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5 Commits

Author SHA1 Message Date
Jhonathan Abreu d9a5da80fb Address peer review 2025-11-06 18:26:35 -04:00
Jhonathan Abreu 9172d74e82 Update regression algorithms 2025-11-06 09:23:10 -04:00
Jhonathan Abreu 7810d06607 Update regression algorithms and minor fixes 2025-11-05 15:45:47 -04:00
Jhonathan Abreu accbfe05c0 Refactor default securities seeding 2025-11-04 09:08:59 -04:00
JosueNina f7ce35ae82 Track OHLCV for Current Trading Day (#8922)
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* Implement Session class

* Use MarketHourAwareConsolidator inside Session

* Delete SecurityCacheSessionConfig

* Refactor session class

* Solve review comments

* Fix regression algorithms

* Add null check to AvailableDataTypes

* Update session class

* Solve new review comments

* Add new test for futures and update regression test to PEP8

* Add new regression algorithm for Session with futures

* Resolve review comments

* Add local time keeper to SecurityCache

* Scan on consolidator updates and time updates

* Add new regression algorithms and unit tests

* Add unit tests and improve comments

* Fix syntax test

* Solve review comments

* Add regression algorithms

* Resolve review comments

* Make SessionConsolidator implement IDataConsolidator

* Add caching to avoid recreating SessionBar instances on every access

* Solve review comments

* Make SessionConsolidator inherit from MarketHourAwareConsolidator

* Add unit test to verify Session preserves previous day values

* Update regression algorithms

* Solve review comments

* Resolve review comments

* Solve new review comments

* Add unit test for Session class

* Refactor SessionBar properties and Update method

* Use WorkingDataInstance reference instead of _workingData.Clone()

* Use a delegate to get the workingBar instance

* Fix bug in MarketHourAwareConsolidator

* Solve review comments

* Handle OI values

* Add regression algorithms for future contracts and options

* Solve review comments

* Refactor SessionConsolidator to inherit PeriodCountConsolidatorBase

* Prevent overlapping higher resolution data

* Update tests

* Solve review comments

* Minor tweaks
 2025-09-19 12:25:24 -05:00