* 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
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* 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
Build & Test Lean / build (push) Has been cancelled
* Use lean data key as param for request
* key -> filePath rename and some cleanup
* Refactor
* Add Organizations Endpoints
* Add some organization api wrapper objects
* Address namespace issue
* Reorganize Api Test into seperate files using one ApiTestBase
* Add Organization tests
* Use capitalized "API" test namespace to reduce amount of file changes
* Add License to test base
* Update /data endpoint functions and response objects
* Update ApiDataProvider Logic
* Handle deserialization of organization products
* Simplify converter
* Only throw for equity requests when not subscribed to map/factor files
* Add missing header
* Make arguement exception
* Api adjustments
* Add Zip factor and map file providers
- Common project will now reference Compression project and not the other way
round.
- Adding Zip FactorFile and MapFile providers
* Refactor FactorFileProvider to use DataProvider to fetch files
* Use resulting MinimumDate in construction of FactorFile
* Nit FactorFile comments and arrangement
* Refactor MapFileProviders to use DataProvider for fetching files
* Refactor ZipFileProvider
* Clean up
* Refactor Backtesting Future/Option chain providers to use dataprovider
* Fixes for data/ endpoints and test adjustments
* Response objects adjustments/cleanups
* ApiDateProvider fixes and testing
* Add LocalZipFactorFileTests
* Update ApiDataProvider download test to verify stream is not null
* Implement posting of agreement summary and signed time
* Mark all Api related tests as explicit and document details on running
* Clarify default token on ApiTestBase
* Adjust summary
* Update Api responses for QCC, except org products which are sold in USD
* Implement cache expiration for zip MapFile and FactorFiles. Adding unit tests
* Fix multiple markets for ZipFactorFile provider
* Use Symbol as cache key
* Api.cs review
* Dispose of factorFileStream after reading
* Use zip.EntryFileNames
* Address a few reviews
* Few more fixes
* Address Api Review
* Add Job Org id to config
* Minor tweaks
* Compare with invariant culture
* Fixes Option Universe selection
* ZipEntryNameSubscriptionDataSourceReader will use IDataProvider
* Fix research
* Fix null reference exception
* Make duplicate log debug
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
Build & Test Lean / build (push) Has been cancelled
* Do not restrict unrequested securities by 1.0m leverage, let security initializer do its job
* Use UniverseSettings for leverage, fillforward, and extendedmarkethours
* Update unrequested security message
* Use UniverseSettings ExtendedMarketHours for underlying on OptionContracts
* Add unit test to prove setting persistence
* Cleanup unit test
* Adjust crypto unit test assert
Co-authored-by: Colton Sellers <Colton.R.Sellers@gmail.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Enforce USD account currency if allocation is limited
- Enforce USD account currency if allocation is limited. Adding unit
test
* Adjust currency log message
* fix
* Minor tweaks adding unit tests
* Address reviews
- BrokerageSetupHandler will use UniverseSettings.Resolution as default
resolution
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Add property IBrokerage.AccountBaseCurrency
* Set AccountCurrency to brokerage AccountBaseCurrency
* Remove USD AccountCurrency check
* Fix Oanda account base currency
* Fix currency symbol in CashBook.ToString()
* Fix unit tests
* Address review
* Add DebugMessage when changing account currency
* Add debug message for brokerage account base currency
* Fix currency symbol in equity chart and runtime statistics
* Update unit tests
* Simplify BaseWebSocketsBrokerage reconnection
- Gdax does not emit time pulse so when no subscription was present the
DefaultConnectionHandler would trigger a reconnect. Replacing for
directly resubscribing on reconnect.
- TPV == 0 will send warning message instead of being an exception
* Fix unit test
* Add empty cashbook check in BrokerageSetupHandler
* Update check for zero TotalPortfolioValue
* Move check for zero TPV after setting currency conversions
* Fix zero conversion rate for account currency + add unit tests
* Fix unit test
* 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>
This commit is squashed from iterative development:
- More consistent method naming
- Storage root path updated to be absolute and include algorithm name
- Storage root path created only if object store is actually used
- Implemented XML save/load
- Added missing unit tests
- Replaced Log.Trace with Log.Error calls
- Added the object store name logging in Engine.Main
- Read storage root from config
- Create algorithm storage root folder in Initialize
- Remove empty folder in Dispose
- Added null checks in all methods
- Added missing XML parameter docs
- make Initialize and Dispose virtual
- make AlgorithmStorageRoot protected
The IObjectStore abstraction provides algorithms with a persistent
storage mechanism. While the algorithm is running, data is maintained
in memory as a dictionary of raw bytes (string -> byte[]). This ensures
we avoid any reference type shenanigans. Periodically, the data in the
object store is persisted and additionally, when the algorithm shuts
down, the object store's data will again be persisted. This ensures that
when the algorithm starts up again, it will have access to any state
that has been saved into the object store.
A great use case for IObjectStore is saving a compute heavy model.
For example, computing the weights of a deep neural network is very
CPU intensive, but after the weights are computed, evaluation is fairly
quick. An initial backtest can be used to solved for the network's weights
and then subsequent backtests or even in live mode, the weights will be
available to the algorithm provided they were saved into the object store.
Also, some libraries require a file path to load model data. The object
store provides a `GetFilePath(key)` method which will copy the data for
the provided key to the disk and return that path so the library can load
the model data.
- Adding `BaseData.AdjustResolution()` that should return a valid
resolution for the given data and security type.
This allows us to set a limitation which is useful to avoid invalid data
requests or unnecessary fill forward situations. The user will be
notified through a console message.
- Adding unit and regression test
- Updating example algorithms custom data resolution
- Some performance improvements. Wont change console color if
`SelectedOptimization` is defined
A new IBrokerageCashSynchronizer interface has been added to allow brokerage implementations to handle the cash sync process. Most of the cash sync logic has been moved from the BrokerageTransactionHandler to the base Brokerage class.
The IB brokerage will not attempt to perform cash sync during server reset times, respecting the different regional schedules (see also #3413).
- `GetCashBalance()` will return a `List<CashAmount>`, will not need to
set conversion rates, which requires knowing what the account currency is.
- Removing `Global.Holding` conversion rate field. It wasn't being used
and required knowing what the account currency is.
- Adding equality operators for `CashAmount`. Adding unit tests.
- Moving `UniverseSelection.EnsureCurrencyDataFeeds` call into the
`IResultHandler` implementation through usage of the new `SetupHandlerHelper`
class, that will also set an initial conversion rate if none present.
- Adding regression test, that reproduces original issue
- Completly move `DataManager` in front of `DataFeed`. Specifically
`AddSubscription()` and `RemoveSubscription()` implementations. Also
removing IDataFeed.Subscriptions
Martin-Molinero