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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
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* websocket-refactor for websocket message as text and binary
Initial commit
websocket support for text and binary messageData
code style fixes
test fix
* delete un-used file
* zerodha websocket textMessage parse
* messageData class abscration
* Empty
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Fix IB history requests
- Fix time zone bug causing incomplete results
- Use RegularTradingHours flag only for equities
- Second resolution data is now requested in 30 minute chunks (instead of 1 minute):
https://interactivebrokers.github.io/tws-api/historical_limitations.html
* Filter history result respecting market hours and IncludeExtendedMarketHours flag
* Add history unit tests
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* Improve python exception parsing
- Improve python exception parsing adding support for line shift. Adding
unit tests
* PythonException revert change
* Centralized and normalize algorithm runtime handling
* Adding support for C# line and file exception report
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* Fixes Market On Open Fill of Equity Fill Model
Only use trade data (Tick with Trade type or TradeBar) to get the open price, since MOO is filled with the opening action price. Ensure that this method doesn't use trade data from before the market opens for high-resolution data case.
Fix unit tests to show that the new implementation only fills with trade data from the current open market.
Change regression tests to reflect the bug fix.
In the `ExtendedMarketHoursHistoryRegressionAlgorithm`, MOO was filled with extended market hours.
* Fix Bug for Tick Resolution Case
For tick susbcription, the tick with the open price information is the the first valid (non-zero) tick of trade type from an open market.
Addresses peer-review by moving the if-condition for data belonging to the open market where the subscriscribed types are checked.
* Fix Bug for Low Resolution Edge Case
For the edge case where the order is placed after the trade bar is open, for example, order places at 1 pm with daily-resolution data. The fill model will not use the open of the bar that will close at midnight, since this value is prior to the order.
Adds unit test.
Change regression tests to reflect the bug fix.
In the `RegressionAlgorithm`, MOO was filled with open prior to the order. The algorithm now has one order less, since the last MOO would need to wait another day to be filled.
* Implements SaleCondition and Exchange Check For Tick
- Adds additional unit tests for MOO
* Fixes Regression Test in DataConsolidatorPythonWrapperTests
* Addresses Peer-Review
- Adds new unit test cases.
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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
Colton Sellers