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- Fill model will take into account internal configurations, this is
specially relevant for continuous future mapped contracts. Updating
regression algorithms and unit tests.
- Allowing internal configurations to update trade builder information
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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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* Minor improvements
- Avoid division by zero error in backtesting result handler. Race
condition where the SetAlgorithm implementation would still be running
and we try to loop through the update method
- Improvement nullreference exception message
- Cleanup resolution to timespan extension method
* Address reviews
- Cleanup data config fill forward conditional statement for tick
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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- Remove thread in charge of sorting and updating the queues weight.
This will be handled by each worker thread instead. Avoid cases where
the work count is so high that the sorting thread in master would not
be able to update all the weights, causing data to be enqueued beyond
the max prefetch limit. Adding benchmark algorithm reproducing issue
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- Smaller live warmup history requests, will keep track of the last point
we got from the file based enumerator and start our history enumeration from this point
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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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* Warmup minor fixes
- Result handler fix
- Centralize and normalize status update during warmup
* Address reviews
* Minor adjustments
* Add console message during warmup period
* Fix warmup percentage update
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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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* Added checking if algorithm is stopped in initialize method
* Quit on initialize adjusment
- Minor adjustments to solution. Adding more regression algorithms
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
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- Fully reset the security cache when it's finally removed from the algorithm.
Adding regression algorithm reproducing issue
- Updating regression algorithms which would trade based on data
previously available
* 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
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- The BrokerTransactionHandler will also adjust virtual positions for
margin accounts when fees are in base currency and the asset is a
crypto or forex pair. Adding new regression tests reproducing issue
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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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* WIP
* Fix fees in base currency not being subtracted
- Fix fees in base currency not being subtracted from the quote currency
for crypto cash accounts. Updating regression tests to assert
portfolio, cashbook state and holdings state.
* Fix unit test race condition
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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
Martin-Molinero