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* replace to local functions as they are more performant
* fix random generator upper bound
Next() includes minValue, but not maxValue, so we increment it +1
* introduce abstract layers
* refactoring
* fix tets
* adapt tests
* fixup
* implement blackschole price model for options
* use risk free rate
* use ql price model
* wip
* change interface
* fix
* tidy up the code
* wip
* iterate groupped symbols
* wip
* wip
* fix
* allow symbol of different types
* improve settings
* wip
* iterate full range
* fix issue with negative option
* fix
* fixup
* use StandardDeviationOfReturnsVolatilityModel
* re-use existing tick types per security type
* parametrize underlying security type
* use default option style
* dynamic option price model
* fix enumeration
* test
* fix unit tests
* refactor code
* remove unused file
* minor tweaks and refactoring
* rename symbol generator class
* fix interface
* add comments
* more comments and unit tests
* more tests
* add disclaimer
* more tests
* more comments and tests
* split tests into different files
* tidy up the code
* tidy up the code; more tests
* refactor TickGenerator => use security price directly on each iteration
* remove dupe; reuse main constructor
* use SecurityManager, refactor code
* bugfix: save ticks in history array
* check volatility warm up & tests
* more unit tests
* describe volatility period span in settings
* rename command line option
* Minor adjusments. Address review
- Use Lean log handler instead of writting directly to console
- Rename BlackShcolesPriceGenerator to generically OptionPriceModelPriceGenerator
- Minor format clean up & standarization
- Add support for specifying the option chain size
* Rename TickGenerator private fields
* Fix unit tests
* fix tests class name
* Support tickers being specified
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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- Zip entries will be sourced from cache provider
- Option underlying will use SubscriptionDataSource to fetch it's data.
Fixing bug where it would let through an old data point, or miss
sending data through.
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- Live subscription enumerator will clone the underlying data set when
live mapping is being done. To avoid issues where IDQH implementations
could reuse a data point with same configurations. Adjusting unit test
to reproduce issue
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* Do not send internal SecurityChanges to Algorithm
- Will not send internal security changes to the Algorithm by default.
Following custom security changes filter pattern. Updating regression
algorithms to assert behavior.
- The universe member will know wether it was added with internal
configurations or not
* Address reviews use a separate collection for internals
* Refactor solution. Adding security changes constructor class
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* CompositeDataQueueHandler handles duplicate configs
- CompositeDataQueueHandler will handle duplicate subscriptions sharing
the same config. Adding unit tests
* Refactor bug solution after review
- LiveSubscriptionEnumerator will not long perform any symbol mapping
but will just trigger a new subscription call when remapped.
- CompositeDHQ will handling symbol mapping and keep track of these
mapped configs to trigger unsubscribe accordengly. Adding unit tests
* Adjust solution after review
- To avoid breaking uniqueness of SubscriptionDataConfig will be adding
a private `mapped` property that will change equality of mapped
configs to avoid them clashing. Adding unit tests
* Rename IDQH subscription extension methods
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* Minor performance improvements
* CompositeDataQueueHandler is UniverseProvider
- CompositeDataQueueHandler implements the UniverseProvider interface.
Adding unit tests
* initial commit
* Follow IDQH implementation
* Expect a list of data handlers from LiveNodePacket
* Return null if can not subscribe
* refctor to add check for subscription
* initialze null
* Add tests
* Check subscribe retuns null/not-null
* cleanup
* Read all required IDQH credentails to job
* Use CDQH to handle all IDQH instances
* constructor abstraction to call from setjob
* use flag
* remove redundant because derived will call initialize on it
* abstract and initialize from setjob
* handle null enumerators
* get creds from data handlers
* handle single data handler value from data-queue-handler
* Fix to support a json array
* Fix missed constructor call
* change access modifier to access from Tests files
* Add test to get brokerageFactory from dataQueueHandler
* Fix init flag to handle all conditions
* Add docs
* initialize from setjob
* Check if websocket open before using
* change defination of initialzie to include tradier
* clean up
* change defination
* fix wrong api key name
* return empty enumerator
* check websocket open before sending request
* check connection before subscribing
* fix to include more cases
* check websocket open before sending request
* Minor refactoring
* reafctor and use IsConnected
* remove unused
* clean up
* Fix test cases
* reverse change
* include config changes
* connect to websocket from setjob
* check websocket connection from setjob
* clean up
* include condition for IDQH that are not brokerage
* Address review
* Add market check condition before subscribe
* Remove deprecated
* Minor fix for deserializing data queue handler
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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- Fix for IB option position update race condition, where the BTH would
incorrectly assume it should trigger an early option assignment. Adding unit tests
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* Continuous Futures Refactor. Live Mappings
- Adding support for live mappings. LiveTradingDataFeed will handle any
symbol mapping at the configuration layer and resubscribe through the
IDQH
- Refactoring continuous futures adding ContinuousFutureUniverse that
will select the currently mapped security
* Minor fixes
- Remove addition of configurations in UniverseSelection step, leave
resposability for universe.
- LiveTradingDF future unit test will only assert slice data for non
internal feeds.
- ContinuousContractUniverse will respect internal option interest
subscription
* Address review
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* Add tick type to data downloader get (price data) call in order for api's with rate limits to handle not making an api call at all.
* Added DTO object to pass into data downloader get
* Added missing header for new file
* Address review. Minor tweaks
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Fix for python enumerable data history request
- Fix for python enumerable type data history request. Adding unit test.
* Add methods for adding data points into a baseDataCollection
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* Move processing of delistings to Brokerage
* Deal with case that exchange is not open on OptionSymbol.ID.Date
* Refactor solution to use DelistingNotification event
* Adjust some regression expected liquidation time
* Mark some todos on deprecated functions
* Update expected liqudation time for Py regressions
* Update regressions that have been validated
* Use HandlePositionAssigned for assignment orders
* Update regressions
* Update some missed unit tests; remove one that is already covered by regression
* Cleanup deprecated backend functions
* nit - small cleanup adjustment
* Post rebase fix
* Address review
* Minor tweak to py regression
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* Remove user plan enum
- Get maximum order and runtime from job controls
- Remove user plan enum definitions
* Add log for BacktestingSetupHandler maximums
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* Create generic writing for LeanDataWriter, + notes on todos
* Make Options Daily/Hourly data store by year
* Refactor Generic Write
* Permit hour and daily resolutions for options
* Refactor writer to merge when needed with other files
* Cleanup redundancies, run write tasks in parallel
* Make needed classes/vars available
* Update tests to reflect new naming convention for daily hourly options data
* Add Byte[] overloads for ZipData functions in compression
* Implemented Store() for ZipDataCacheProvider
* Have LeanDataWriter use a DataCacheProvider
* ZipDataCacheProvider cleanup
* ZipDataCacheProvider tweaks, doesn't support storing non-zips
* Test adjustments
* Update LeanDataWriter to use Write instead of SaveDailyHourly/SaveMinuteSecond
* Implement tests to verify DownloadAndSave behavior
* Nit cleanup on DownloadAndSave tests
* Fix for options daily/hourly underlying equity subscription read
* Add daily/hourly options data and regressions
* Add missing open interest for hourly
* Fix writing of OpenInterest Daily/Hourly data
* Update data
* Fix Date typo in regression
* Use daily algorithm to test delisting
* Revisions part 1
* Expand test for DataCacheProviders; refactor DiskDataCacheProvider
* nit - test adjustments
* ZipDataCacheProvider test setup refactor
* Adjust multithreaded read/write test; fixes for ZipDataCacheProvider
* Move DiskDataCacheProvider to its own file and add write test
* Remove _appendToZips; always overwrite entry or create zip
* Add mapping regression for daily options
* nit - add license to regression
* Fix Tick write case where more than one data point for a DateTime
* Fix data issue
* Address review
* Tweaks for tests
* Stop Store() early if no entry name is given
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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
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* Add BaseDataCollectionAggregatorReader
- Add enumerable for BaseDataCollection
- Add BaseDataCollectionAggregatorReader
- Clean up CollectionSubscriptionDataSourceReader
* Address reviews
- Add new FileFormat that will be handled by the new Reader
- Adding unit tests for the new BaseDataCollectionAggregatorReader
- Some DataSourceReader duplication cleaning up
* Minor adjustment after some live trading tests
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* Alpha holdings state
- Alpha result packet will optionally provide the algorithms portfolio
state
* Rename
* Convert AlphaStreamsPortfolio to data source
* Improvements on AlphaStreams algorithm
* Fix regression tests
* Add unit tests for EW AS PCM and fixing bugs
* Protobuf AlphaStreamsPortfoliot staState
- Protobuf AlphaStreamsPortfolioState. Adding unit tests
- Add variable TPV tests for EW ASPCM
* Add alpha license to Organization response
* Improvements EW AS PCM respects free portfolio value
* Fixes
- Update tests expected statistics results affected by MHDB custom data timezone fix
- Fix for Extensions.IsCustomDataType
* Fixed and adding more regression tests
- Adding support and regression test with alpha consumer with different account currency
- Adding support and regression test of a universe adding custom data
types
- Add support and regression test for algorithm alpha consumer with existing holdings
* Add AlphaStreamsOrderEvent data type
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* Adds support for ETF constituent universes
* Adds filtering for universe data if it doesn't match the
universe subscription type
* Update mapping for ALL underlying Symbols if
`Symbol.UpdateMappedSymbol(...)` is called. Required to support
constituent ETF universes that might have mapping events
* Delistings of composite constituent universe Symbol will result in
removal of universe securities.
* Added regression algorithms for ETF constituent mappings (C#/Python),
along with data required to run locally
* Refactor universe delistings in SubscriptionSynchronizer -
big thank you to @Martin-Molinero :)
* Address review: update regression algorithms and add explanatory comments
* Address review: add additional checks to delisting regression algorithms
* Adds new regression algorithm testing the addition of a universe
without calling AddEquity() and asserts same behavior
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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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* 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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* 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
Ricardo Andrés Marino Rojas