4 Commits

Author SHA1 Message Date
Martin-Molinero b8b0d18993 Continuous futures (#6034)
* Continuous Future Contracts

* Mapping approach

* Tweaks WIP

* Live mapping

* Live mapping

- Add support for live mapping, refreshing mapfiles
- Fix future expiration functions
- Adding unit tests

* Update moq test package

* Continuous futures price scaling

* Refactor price factors scaling

* Factor file related renames

* Address reviews
2021-11-15 14:44:30 -03:00
Martin-Molinero ede2d4a5e4 Lazy loading of the SecurityDefinition file (#6024)
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
- Perform a lazy loading of the security definitions file. Adding unit
  tests
2021-10-27 14:57:50 -03:00
Martin-Molinero 659735946a Bitfinex fees cash accounts (#5957)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Bitfinex Fee adjustment

- Fix for bitfinex fee adjustment for cash account type only happen if
  the currencies are the expected ones, else log message.

* Adjust error handling to terminate algorithm

* Add bitfinex TESTBTCTESTUSD

* Minor improvements

- Add bitfinex test symbols to the SPDB
- Make SecurityDefinitionSymbolResolver log using trace
- Minor tweak for Bitfinex DQH lock contention
2021-10-04 18:15:32 -03:00
Gerardo Salazar 024d416ddd Adds support for getting a Lean symbol based on FIGI, CUSIP, ISIN, SEDOL (#5922)
* Adds support for getting a Lean symbol based on FIGI, CUSIP, ISIN, SEDOL

* Address review: bug fixes for mapping, improve docs, cleanup & refactor

  * Make LocalZipMapFileProvider and LocalZipFactorFileProvider only
    initialize if they haven't been initialized yet.

* Address review: makes ISIN, SEDOL, CUSIP case-insensitive

  * Cleans up map file provider in SecurityDefinitionSymbolResolver
  * Modifies some test cases to test for case-insensitivity

* Add null check for SecurityDefinitions

* Fix unit tests

Co-authored-by: Martin-Molinero <martin@quantconnect.com>
2021-09-10 19:16:18 -07:00