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* initial commit
* get history from data providers
* merge history from history providers
* merge slice
* Add merge function in slice
* Update test
* merge aux data
* add data points in _data
* append new data points in original list
* Add test suite for HistoryProviderManager
* reduce complexity
* setup once
* add fake history provider
* doesn't count aux data
* add tests for options
* style changes
* add custom data
* merge rawDataList
* use array of history providers
* optimize
* fix formatting error
* add comment
* add tests
* simplify
* use list
* use abstraction
* split tests
* add test
* use abstraction to create generic enumertor class
* refactor
* accept list of type T
* sync history slices
* use SubscriptionDataReaderHistoryProvider for live
* rename test file
* return empty
* add tests
* cleanup
* address reviews
* optimize
* Fix method definition
* use initial time for basedata
* refactor
* re-use collection
* inherit HistoryProviderBase
* always return HistoryProviderManager
* add tests
* update rawDataList
* reset composer
* consider null elements
* add tests for binary search method
* Follow lean coding style
* revert
* remove binary search method
* convert to field
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* Update MHDB and SPDB
Update MHDB and SPDB with micro futures
* Fix bugs
* Add more FutureExpiryFunctions
* Requested changes
* Nit changes
* Nit changes
- Fix some future values in SPDB
- Test LastFriday() method
- Apparently Micro CHF/USD Futures(MSF) refers to the micro of Swiss Franc Futures (6S). The same happens with Micro JPY/USD (MJY) Futures and Japanese Yen Futures (6J)
* Fix bugs
* Micro futures MultipleFactor
* Fix some futures MultipleFactor
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* specify enpoint url of ftx api (can be FTX pr FTX.US)
* more metadata for ftxus
* tidy up code
* tests
* more tests
* fix tests
* fix us fee rates
* add account tier
* update symbol props
* typo
* typo-2
* update symbol properties
* use FTXUS fee model
* minor tweaks
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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>
* 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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* 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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- If available, CoinApi converter will read previous date files to
rescue initial midnight ticks for the processing date. Also make sure
to drop ticks from tomorrow
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* fix exchangeinfo downloader
* normalize data, update symbol properties
* min ordersize should be in base currency
* check min order size using quote currency price
* check order size in quote currency
* improve checks
* improve code; more unit tests
* more description
* fix failing test
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* Move Aggregate Quote and Trade Bars to utils
* Add decimal and long overload to UnixTimeStampToDateTime
* Add Kraken OrderType check in CanSubmitOrder
* PR !5969 review fixes
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As most brokers use separate exchange codes for CBOE and CFE, we added the new Market.CFE (previously Market.CBOE was used for both exchanges). This change also avoids hacky code in symbol mappers.
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* More logging for BinanceRestApiClient
* Changing LogLevel to Debug for history providers : Binance, Polygon
* Minor fixes
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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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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* 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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* 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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* 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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* Fix coarse universe generator on single processor
* Make sure MaxDegreeOfParallelism value is not less than 1
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* added symbolData class to store exchange and token values of tickers
* support for India Market
(cherry picked from commit 5f629dcb9e72426dc7b560e782cb1fae72861574)
* removed local vscode workspace file
* support for india market instead of nse and other exchanges
* changed hardcoded india values to Market.India
* changed zerodha getcash fromm available to net
* addded edge case handoing with expections
* support for market info (nse, bse) for india market
* exchange info for EmitQuoteTick
* basic testing with c#
* c# algo
* c# testing
* live orders during market open success
* support orderproperties for exchange value for order placement
* added exceptional handling cases
* fix xml descriptions for the files
* fix zerodha-product-type in DefaultOrderProperties
* add basic template for india market
* fix orderProperites for default values
* fix for local data, python implementation not available
* fix access modifiers of SymbolData
* fix variable name case
* fix single check for exchange, call to base
* fix styling, redundent code and access modifers
* fix non static not callable from static
* fix static
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* Adjust AlgoSeek Futures price multipliers to quote prices in USD
* Revert changes to AUP scaling
* After a second review, seems that this contract isn't scaled.
The contract multiplier differs from the NYMEX Aluminum Index's
contract multiplier, and so does the minimum price variation.
The minimum price fluctuation seems consistent with CME's
quoted prices, which also claims the contract is quoted in USD.
* Fix futures contract multipliers for some scaled contracts
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* Add new DownloaderDataProvider
- Moving LeanDataWrite and IDataDownloader to common project
- Add new BaseDataDownloaderDataProvider with concurrency helper method
- Add new DownloaderDataProvider which will use a IDataDownloader or
IBrokerage implementation as data source
* Add support for downloading symbol chains data
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The Kraken allow queries from pairs of format XBTUSD and XXBTZUSD but it will only return data with the XXBTZUSD causing errors when XBTUSD ticker is specified.
This commit adds a more meaningful error when KDL is called with XBTUSD format.
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* SymbolJsonConverter improvements
- SymbolJsonConverter will be able to deserialize symbols expressed in
user friendly format. Adding unit test
- Adding a couple of helper methods, removing duplicated code
* Fix FOPs expiration year parsing
Ronit Jain