Commit Graph

3 Commits

Author SHA1 Message Date
Colton Sellers d2d99b1f10 Algorithm Sampling and Statistics Fixes (#5936)
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* Implement scheduled event sampling solution

* Use UTC time, only update daily portfolio value once a day

* For daily resolutions sample chart always

* Cleanup

* Drop resample daily all together

* Force final sample

* Regression updates

* FIx LiveResultHandler to update portfolio and benchmark values outside of sampling event

* Name the daily sampling event

* Address review pt 1

* Drop force and use reference wrapper

* Adjust tests

* Fix warning for Benchmark Timezone Misalignment and also add test

* Fix for daily resolution orders and test adjustments

* Also warn on universe settings with daily resolution

* Update missed regression

* Fix reference wrapper use

* Update regression after rebase

* Add values back in for Daylight Algo

* Have statistics builder skip day 1 performance

* Regression adjustments

* Test adjustments

* Update regression unit test

* Adjust some regressions starts to show performance values

* Add hourly algorithm for beta comparison

* Address missing Python regression changes

* Remove null comment
2021-10-05 19:31:25 -03:00
Alexandre Catarino 6546647e08 Get Best Effort Price For Fill Price (#5855)
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`EquityFillModel` will use Trade Tick or TradeBar data if there is no L1 data available leading to filling to stale price.
2021-08-12 10:16:20 -03:00
Martin-Molinero e92230a7fe Fix SubscriptionDataReader auxiliary data out of order (#5843)
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* Fix SubscriptionDataReader auxiliary data out of order

- Fix for SubscriptionDataReader emitting auxiliary data out of order
  due to sparse that and enumerator refresh logic. Adding regression
  algorithm
- Minor tweaks for unit tests failing on and off

* Fix for SDR internal subscriptions

- Fix for SubscriptionDataReader enumerator refresh for internal
  subscriptions which were ignored. Adding regression test
- Updating custom data regression algorithms affected by the issue
	- DropboxBaseDataUniverse was emitting a custom data point being end time
	- UnlinkedTraderBarIconicType was emitting a single data point
	  of the underlying SPY minute data when if should of emitted
	  all data points
2021-08-10 18:57:23 -03:00