We didn't experience the expected performance improvements. Locally under
unit test there was aboout an order of magnitude throughput increase, but
when run against the history benchmark, this new approach was 60% slower.
We're reverting this for now to perform further analysis and better
understand the performance profiling of the python history stack.
Subscribe to daily data instead of minute-resolution to be able to run tests locally. Also, liquidate the position in one of the event handlers to generate more trades.
- Adds regression test for that algorithm.
- Missing `event` keyword prevented pythonnet to recognize `DataConsolidated` as a event handler.
- Adds python version of `RenkoConsolidatorAlgorithm`.
Michael Handschuh