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* Binance.US base changes
* biniance exchange info update
* Binance US uses same fee rates as main Binance
* binance us brokerage model tests
* use base implementation of GetBuyingPowerModel method
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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
* 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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- Reduce thread contention in coinApi DQH by taking a lock per symbol
versus a global lock.
- Improve tick creating by reducing object being wasted on empty
constructor
* CoinApi HistoryProvider impl.
* Small fix of ToTradeBar()
* Revert the change : CreateSliceEnumerableFromSubscriptions
* More tests and fixes.
* Removes redundant ToList()
* too much spacing
* Fixes to get data for an unlimited period of time, by means of pagination
* fixing up Coin API streaming
* Fixing file name
* Adding log showing CoinApi product plan
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Update crypto entries in SPBD
- Update values for GDAX and Bitfinex, with latest values from exchanges
- Update symbols with >3 letters
- [Fix] Remove same base-quote entries
* Update unit tests
Increment in precision given smaller lot sizes in SPDB crypto entries.
* Add GDAX symbol properties downloader (unit test)
* Update GDAX symbol properties database
* Add BrokerageSymbol to symbol properties database
* Update GDAX symbol properties
* Address review
- Rename BrokerageSymbol to MarketTicker
* Add GDAX symbol mapper
* Update GDAXBrokerage to use symbol mapper
* Fix GDAX brokerage unit tests
* Replace GDAXSymbolMapper with SymbolPropertiesDatabaseSymbolMapper
* Address review
- use Symbol key in dictionaries
* Rename BrokerageSymbol to MarketTicker
* Update unit test
* Add Bitfinex symbol properties downloader (unit test)
* Add Bitfinex symbol market ticker to downloader
* Update Bitfinex symbol properties database
* Update BitfinexBrokerage to use SymbolPropertiesDatabaseSymbolMapper
* Remove Bitfinex test symbols from db
* Update Binance symbol properties database
* Update BinanceBrokerage to use SymbolPropertiesDatabaseSymbolMapper
* Add missing Binance test case
* Update symbol properties database
- gdax, bitfinex, binance
* Update CoinApi symbol mapper for new SPDB
* Exclude Bitfinex BCH pre-2018-fork in CoinApiSymbolMapper
* Remove unused properties
* Add CoinApi mappings
Co-authored-by: JJD <jjdambrosio@gmail.com>
* Live Coarse universe refactor
- Live trading will source Coarse and Fine fundamental data directly
from disk. Updating unit tests.
* Adds ILiveDataProvider interface
* Adds wrapper for IDataQueueHandler implementations
* Replaces IDataQueueHandler with ILiveDataProvider in
LiveTradingDataFeed
* Edits IDataQueueHandler documentation
* Maintains aggregation for current IDQH impls and skips for ILDF impls
* Note: No unit test was created for this method, go back and TODO
* Protobuf Market data
- Adding protobuf support for Ticks, TradeBars and QuoteBars. Adding
unit tests.
* Adds unit tests for LiveDataAggregator changes
* Fixes bug where custom data was not handled as it was before
* Fixes race condition bug because of variable reuse in class
* Add protobuf extension serialization
* Fixes for protobuf serialization
* Refactor
* Fix OptionChainUniverse
* replace BaseDataExchange pumping ticks with consolidators
* AlpacaBrokerage
* BitfinexBrokerage
* GDAXBrokerage
* OandaBrokerage
* InteractiveBrokers
* TradierBrokerage
* FxcmBrokerage
* PaperBrokerage
* etc
* WIP fixes for existing LTDF unit tests
* Fixes more LTDF unit tests
* make IDataAggregator.Update recieving Generic BaseData rather than Tick
* Change IDataQueueHandler.Subscribe method
* Some fixes after adding new commits
* Adds protobuf (de)serialization support for Dividend and Split
* Serialize protobuf with length prefix
* Fix missing LTDF unit tests
* Adds TiingoNews protobuf definitions
* fix comments
* more fixes on IQFeedDataQueueHandler
* disallow putting ticks into enumerator directly
* ScannableEnumerator tests
* fix OandaBrokerage
* AggregationManager unit tests
* fix AlpacaBrokerage tests
* fix InteractiveBrokers
* fix FxcmBrokerage tests
* call AggregationManager.Remove method on unsubscribe
* fix GDAX existing tests
* Fixes, refactor adding more tests for AggregatorManager
* Adds BenzingaNews protobuf definitions and round trip unit test
* Adds missing TiingoNews unit test to Protobuf round trip tests
* Improve sleep sequence of LiveSynchronizer
* need start aggregating first, and then can subscribe
* More test fixes and refactor
- Refactoring AggregationManager and ScannableEnumerator so the last is
the one that owns the consolidator
- Adding pulse on the main LiveSynchronizer
* Improve performance of LEquityDataSynchronizingEnu
* Add missing Set job packet method
* Minor performance improvements
* Improvements add test timeout
- Improvements adding test timeout to find blocking test in travis
* Improve aggregationManager performance
* Testing improvements for travis
* Remove test timeouts
* More test fixes
- Adding more missing dispose calls and improving determinism
* fix IEXDataQueueHandler and tests
* Final tweaks to LTDF tests
* more AggregationManager tests
* consume and log ticks
* fix test: couldn't subscribe to Forex tickers
* change Resolution for all bar configs
* Improve RealTimeScheduleEventServiceAccuracy
* refactoring: move common code to base class
* fixed bug; unsubscribe SubscriptionDataConfig
* Small performance improvement
* Minor fixes
* Avoid Symbol serialization
* Fixes coarse selection in live mode
* Fix for live coarse
* Adds protobuf (de)serialization support for Robintrack
* Adds round-trip unit test
* Minor performance improvements
* More minor performance improvements
* pass LiveNodePacket through to OandaBrokerage
* Fixes empty list becoming null value when deserializing with protobuf
* Reverts BZ live trading exception removal and fixes tests
* Refactor WorkQueue making it abstract
* Add try catch for composer
* Adds optional data batching period to LiveFillForwardEnumerator
* Override data-queue-handler with config
* Improve PeriodCountConsolidator.Scan performance
* Move batching delay to main Synchornizer thread
* Reverts addition of Robintrack protobuf definitions
* Give priority to config history provider if set
* Add Estimize protobuffing
- Add Estimize protobuffing support. Adding unit tests
* Always dispose of data queue handler
Co-authored-by: Gerardo Salazar <gsalaz9800@gmail.com>
Co-authored-by: Adalyat Nazirov <aenazirov@gmail.com>
We assumed CoinAPi symbol list has no duplicates, but they those cases are expected, as we can read in their docs https://docs.coinapi.io/#list-all-symbols
> In the unlikely event when the "symbol_id" for more than one market is the same. We will append the additional term (prefixed with the "_") at the end of the duplicated identifiers to differentiate them.
Ignore files if they have the extra suffix
After asking CoinApi support, they inform us that symbols with the extra suffix are for edge cases.
> There could be corner-cases for other data types like FUTURES or OPTIONS, e.g., exchange lists same option but one with American and other with European execution-style
- Moved IConnectionHandler and DefaultConnectionHandler from ToolBox project to Brokerages project
- Added connectionId to IConnectionHandler.Initialize to support multiple connections
- Added new BitfinexSubscriptionManager to BitfinexBrokerage to handle max 30 channels per websocket
- Added lastDataReceivedTime argument to IConnectionHandler.KeepAlive
- Fixed logic bug in EnableMonitoring
- Removed DateTime.UtcNow call from KeepAlive
- Handled empty symbol list in SubscribeSymbols
- Fixed logic in subscription batching task and handled 5-second minimum requirement between Hello messages
- Added future-proof "heartbeat" case in OnMessage
Adalyat Nazirov