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* Update Lean Foundation docker files to IBGateway v985
* Add apt-get update for ARM foundation
* Update default value of IB gateway
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* WIP removal of custom data references & tests updates
* Regression algos updated and python algorithms moved to DataSource repos
* Fixes failing unit tests
* Add "LiveDataTypes" field to LiveNodePacket
* Adds Initialize() to IDataChannelProvider
* Adds new extension method to convert
HistoryRequest -> SubscriptionDataConfig
* Address review: Add protobuf definitions for Iconic data types
* Address review: re-adds DynamicSecurityDataAlgorithm as regression algo
* Small adjustments to variable naming and documentation
* Move test files to respective DataSource repos
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* Add support for IBGateway v985
- Effective in TWS version 985 and later, for US stocks the bid, ask, and last size quotes are shown in shares (not in lots).
* Add missing error log in IB symbol mapper
* Trigger build
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- Create Lean common engine initialization class, which will be called
by research and Lean launcher
- Fix backtest deserialization bug due to failing to handle decimal
value
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* Refactor pandas mapper to support newer versions
* Clean up remapper
* Finalize deprecated tests and adjust those that should apply to new pandas
* Move mapper to its own file
* Add supporting Py tests and setup instructions
* Add license
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- Calling RemoveSecurity() will remove the security from all the
universes holdings it, there was a race condition here where it would
just take the first universe and remove it from it.
Adding regression test adding and removing an option contract and it's underlying
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- Take lock to refresh client to avoid null reference
exception
- Reduce gate rate
- Use extension methods to await tasks
- Avoid copying the data multiple times
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* Update BinanceBrokerage to handle more than 512 symbols
* Address review
- fetch symbol weights only if required
- remove code duplication
* Add rate limiting for new connections
* Update WebSocketMessage to include the websocket instance
* Handle resubscriptions on reconnect
* Address review
* Address review
* Remove unnecessary locking
* WebSocketClientWrapper updates
- remove allocation of receive buffer on each message
- add missing lock in Close method
- log message data when message type is Close
- fix race condition after unexpected websocket close
* Set WebSocketClientWrapper task to LongRunning
* Add missing check in GetHistory
* Fix exceptions with Binance downloader
- closes#5794
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* Update BinanceBrokerage to handle more than 512 symbols
* Address review
- fetch symbol weights only if required
- remove code duplication
* Add rate limiting for new connections
* Update WebSocketMessage to include the websocket instance
* Handle resubscriptions on reconnect
* Address review
* Address review
* Remove unnecessary locking
* WebSocketClientWrapper updates
- remove allocation of receive buffer on each message
- add missing lock in Close method
- log message data when message type is Close
- fix race condition after unexpected websocket close
* Set WebSocketClientWrapper task to LongRunning
* Add missing check in GetHistory
* Fix exceptions with Binance downloader
- closes#5794
* Update Bitfinex symbols in symbol properties database
* Update BitfinexBrokerage to use BrokerageMultiWebSocketSubscriptionManager
* Address review
* Remove unnecessary locking
* Remove old channels on resubscription
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* logging and kite connection retry
(cherry picked from commit 9845a2d79e86c338093cadcae7f41b29d897c78c)
* changed thread.sleep time for kite connection retries
* websresponse retry on error - coding style change
* datetome parse to convert time in utc
* indentation code-style fix
* zerodhaDownloader support for dataTimeZone
* removed code redundancy for single conversion without hardcoded TZ
* removed hardcode dataTimeZone and code refactor
* returns exchange TZ to lean and data TZ to local disk from downloader
* Kite historical candle timestamp TZ conversion
* added unit test for kite historical candle
* access modifier correection
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* Filter out small orders based on Setting
- BuyingPowerModel will filter out small orders based on algorithm
setting, a % of PTV, instead of hard coded 1 share value. Addin unit
and regression tests
- Updating regression algorithms to use new setting, reduce order trades
* Update regression algorithms
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* zerodhaDownloader support for India Market
(cherry picked from commit c36272ef9c4c7eddfff77413d900faab3a2a8654)
* indenation styling fix
* zerodha donwloader
* Market.India support from zerodhaSymbolMapper
* code styling changes
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* re adding KiteProductType
* check kiteProductType per order and get all Product Type Account Holdings
* use WithLockedStream and remove lock unlock stream
* filter holding if config productType set otherwise fetch all
* improvements in styling and properties
* unionbank has less margin requirements, second always works
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- TransactionHandler will see invalid OrderEvent for an order which
tries to short an non shortable asset. Adding unit test, updating
regression algorithm.
- Fix Api data price path normalization, found while testing with
shortable provider. Adding unit tests
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- Improve readme file, add nuget link, update Lean home page
- Increase 10min look back to 60 for setting currency conversion
- Replace error message for trace when minute resolution history request
is empty
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* Added Augen Price Spike Files
* AugenPriceSpike Update
Adjusted indicator calculations and added test data from Trading View
* Requested Changes
* Minor changes
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* Add reproducing unit test
* Apply fix to force adjustment if needed
* Adjust fee to correctly replicate original issue
* Adjust solution
* Update unit test to reflect the way this function is used
* nit - rename test
* Cleanup error message to improve reproducibility
* nit - Drop unneeded var
* Add in adjustment test cases as well, fixed
Stefano Raggi