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* Respect warmup resolution given
- The data feed will respect the warmup resolution given and override
the resolution used by the algorithm when adding a subscription.
Updating regression algorithm to keep previous statistics. Adding new
regression algorithm asserting the desired behavior
* Testing improvements
- Add more unit tests and regresion test
- Add missing data for crypto
- Fix bug with FFed data crossing after the end time of the warmup
request
* Add more Warmup resolution regression algorithms
- Adding more warmup resolution regression algorithms, using
Settings.WarmupResolution and an option selection case
* Add more warmup regression tests
- Adding more warmup regression tests.
- Will no longer skip universe selection subscriptions from warmup
resolution enforcement. Updating regression algorithms data points
* Fix bug with data rounding
- Fix data rounding bug when warmup resolution is set to a different
value than the original configuration. Updating regression algorithms
to assert the expected behavior
* Address reviews
- Revert regression algorithms changes to use Resolution during warmup.
Updating their stats.
- Adding new regression algorithms asserting the behavior warming up
using a timespan and no warmup resolution
- Fix bug where data used to warmup the 'normal' enumerator will make it
through into the warmup time span. Updating tests
* Address reviews
- Add missing comments, explaning warmup algorithms time span
calculations.
- Revert changes in existing `WarmupOptionTimeSpanRegressionAlgorithm`
to reduce diff to minimum
- Adding new warmup unit tests asseting algorithm warmup start time, for
different combinations of bar count, timespan, resolution
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* Fix live future and option universe selection daily resolution
- Adding unit test reproducing issue for option and future universe
chain using daily resolution, since was rounding down in UTC TZ the
date might not change and it would re emit the same data point
* Address reviews
- Add more test cases
- Adding locks around RegisteredSecurityDataTypesProvider to allow it to
be used by multiple threads at the same time without exploding
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* Minor fixes for mapped futures contract
- Future security was never able to be non tradable
- Skip remove future contracts from live holdings. Adding unit test
reproducing issue and regression algorithm
* Fix removal of continuous futures
- The canonical continuous future would leave behind an OpenInterest
subscription when removed because of a different in the way the
configurations were built, this will now be centralized in a single
method. Adding unit tests reproducing issue
- FillForwarding setting of the continuous future was not being
respected. Updating algorithm reproducing the issue to assert the
behavior failing in master
* Address reviews
- Minor refactors addressing reviews
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* Fix result handler live holdings
- Live result handler live holdings will include future assets
associated with continuous futures. Adding unit tests
* Fixed for live holdings price rounding
- Live holdings will use the SPDB minimum price variation for rounding.
Adding unit tests
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* Live T-1 selection warmup
- Only use BaseDataCollection class
- Reuse collection enumerator
- Remove FuturesChainUniverseSubscriptionEnumeratorFactory
- Universe selection will use Cache providers
- Add null reference check
- Add more tests
- Fixes for warmup fill forwarding. Add more tests
* Address reviews. Add missing comments
* Refactor chain providers
- ChainProviders will use quote, open interest and trade information,
which ever is first. Updating regression algorithm changing contract
being added.
- Add base BacktestingChainProvider for shared logic, reducing
duplication.
- ChainProviders will now use the given IDataCacheProvider and
IMapFileProvider
- If Providers are called for a date the exchange is closed they will
search for the previous available date where the exchange is open.
Adding unit tests.
* Address reviews. Logging improvements
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* make public safe to expose test properties
* extract ib files
* remove dependencies
* refactor to use ib reference as string
* remove un-used dependencies
* remove redundant refrences
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* Update Tick.cs Time parsing
* Adjust equity tick millisecond read
* Fix tick sub millisecond precision
- DateTime.AddMilliseconds will rount to the nearest integer. So instead
use AddTicks
* Avoid sporadic test failure
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* set price currency for open orders from brokerage setup handler, remove setters from brokerage
* order already has price currency being set by brokerage transcation handler
* remove as overwritten by BrokerageSetupHandler.GetOpenOrders
* refactor because can't use internal setters in private repos
* refactor, use ctor to set attributes
* remove redundant broker dependency
(cherry picked from commit 57b071eb174ca9fe857021ebffa7a546834e86f7)
* check limit price for limit order instead for checking price
* add price agrument for MarketOrder
* remove, not required anymore
* AddUnrequestedSecurity should not return null
* assert string in not null cases
* add data count properties
* 'add history count property
* assert data counts
* update missing override
* consider override/virtual cases
* implement data count
* add message handler for regression tests
* use regression test message handler
* set algorithm manager for regression test message handler
* update data count
* check if stats are present, check if algo manager is not null
* update
* add c# algo
* make same as c# algo
* use new line
* logic shifted to RegressionTestMessageHandler
* cleanup
* auto cleanup
* skip non deterministic data count
* change data count
* use inheritance
* improve stats
* update couht
* add sma indicator to c# and customSMA to python
* call base method before executing further
* skip test
* revert to original
* add duplicate sma
* skip regression test
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* remove un-used
* use utc time for slice sync
* use utc time
* refactor
* add regression test
* use utc time
* use utc time
* make utctime required parameter
* add utcTime in slice creation
* assert warm up complete
* check if algorithm is still warmingup
* use exchange tz
* extract binance brokerage
* remove binance tools from main toolbox app
* modify OrderTestParameters constructor
* fix BinanceBrokerage ref config.json
* update symbol properties
* move BinanceFeeModel tests to the right place
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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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* Use GC server mode for tests
* Fix daily auxiliary data points emission time
- Due to fillforwarding, in some cases with daily resolution symbol
change events (generically any auxiliary data) would arrive late.
Updating regression test to reproduce the issue. Adding unit test
- Some refactoring and logging improvements
* Address reviews
* Remove old xml docs param
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* Add support for live price scaling
- Add support for live trading price scaling for continuous futures.
Adding unit tests
* Move live price scale application. Updating unit tests
- Live trading application of price scaling will happen before fill
forwarding and updating securities real time price. Updating unit
tests to reproduce issue
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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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* Align universe security and configuration TZ
- Make sure universe security and configuration tz are aligned always.
Adding unit test reproducing issue
* Address review UserDefinedUniverse will use UTC TZ
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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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* 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
Martin-Molinero