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* Implement a prototype of the maximum recovery time function.
* Add unit test skeletons.
* Add failing test
* Issue #4581: Implement MaxDrawdownRecoveryTime.
* Issue 4581: Add DTO for Drawdown Percentage, Drawdown Enddate, and High Value
* Issue 4581: Fix bgu for when lDrawdowns list is empty.
* Issue 4581: Change names of tests. Change name of file.
* Issue 4581: Make adjustements to flow of adding drawdowns to lDrawdowns.
* Issue 4581: Add multiple unit tests.
* Issue #4581: Change name of unit test
* Issue #4581: Add to PerformanceMetrics
* Issue #4581: Add Maximum Drawdown Recovery to PortolioStatistics class.
* Issue #4581: Add to portolfio statistics class.
* Issue #4581: Add to statistics builder.
* Issue #4581: Add report key.
* Case #4581: Convert to decimal.
* Issue #4581: Correct comment.
* Issue #4581: Correct performance metrics view model string.
* Case #4581: Correct statistics builder view model string..again.
* Issue #4581: Placed DradownDradownDateHighValueDTO at the end of the file for simpler diff.
* Issue #4581: Add 2 new tests.
* Issue #4581: Change algorithm so that when multiple maximum drawdowns occur, the longest of all recoveries is reported.
* Issue #4581: Add unit test.
* Issue #4581: Remove reportkey. Change dto name.
* Issue #4581: Change summary.
* Issue #4581: Change comment.
* Add max drawdown recovery calculation with unit tests
* Update regression algorithms with the new metric
* Solve review comments
* Update regression algorithms
* Add TryGet to safely get the key: MaximumDrawdownRecovery
* Ignore MaximumDrawdownRecovery metric in OptimizationBacktest Json
* Revert changes in Messaging
* Update regression algorithms
* Add test case: TakesLongestRecoveryAmongMultipleDrawdowns
* Use integer days for MaximumDrawdownRecovery
* Add MaximumDrawdownRecoveryReportElement
* Use more explicit names
* Rename files and variables for consistency
* Update regression algorithms
---------
Co-authored-by: Alain Schaerer <aschaerer@pcatg.com>
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* Use correct sids when reading options/futures universe files
* Introduce new format for options and futures universe files
* Minor change
* Minor data fix
* Minor change
* Fix failing unit tests
* Add options and futures symbols cache
* [HACK] Force use test universe files
* Minor fix for universe symbols cache
* Performance improvements
* Miror change
* Cleanup
* Sort universe files
* Minor regression algorithm fix
AddAndRemoveOptionContractRegressionAlgorithm to not depend on universe file entries ordering
* Add time tolerance when checking if asset is within current bar
* Update IsExchangeOpen and add unit tests
* Solve review comments
* Add unit test in ImmediateFillModelTests
* Delete conditional IsExchangeOpen()
* Fill MOC orders when LocalTime is at or after market close
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* Allow multiple concurrent transaction handlers
Also support multiple producers in BrokerageConcurrentMessageHandler
* Minor change
* Minor change
* Add new maximum-transaction-threads config to json file
* Minor naming changes
* Address peer review and add unit tests
* Minor fix
* Minor fix and unit tests
* Address peer review
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* Support sub-indicator discovery using IIndicator and exclude PandasIgnore attribute
* WIP: PandasInclude
* Add PandasInclude annotation
* Resolve review comments
* Add a list of ignored properties
* Clean up [PandasIgnore] in IndicatorBase
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* feat: new Level One service
feat: new ctor in Tick
fix: missed SetValue in Tick ctor
* refactor: LevelOneService
feat: Tick Event Args
* feat: use aggregator in LevelOneService explicitly
remove: extra TickEventArgs
* feat: ThreadSafeDataAggregatorWrapper
refactor: use ThreadSafeDataAggregatorWrapper in LevelOneService
* feat: generic LevelOne Market Data Manager
refactor: LevelOneMarketData
remove: ThreadSafeDataAggregatorWrapper
* feat: support OpenInterest in LevelOneMarketData
feat: add EventBasedDataQueueHandlerSubscriptionManager in LevelOneServiceManager
feat: handle OpenInterest
* feat: add missed license in BaseDataEventArgs
* feat: create un-subscribe wrapper in LevelOneServiceManager
refactor: TryGetLevelOneMarketData
feat: validate the same Quote data in LevelOneMarketData
* feat: handle nullable value in levelOneMarketData
* feat: handle nullable value in LevelOneServiceManager
* refactor: change location of LevelOneMarketData Service
test:feat: test of LevelOneMarketData
* feat: add SetIgnoreZeroSizeUpdates
* refactor: use ignoreZeroSizeUpdates internally in TryResolvePriceSize
* refactor: position add symbols in collection in LevelOneServiceManager
* fix: validation of IgnoreZeroSizeUpdates setting in LevelOneMarketData
* test:feat: validate UpdateLastTrade with IgnoreZeroSizeUpdates setting
test:refactor: use global DateTime in testCases
* fix:test: missed calculation value in QuoteBar
* Make RollingWindow compatible with any data type
* Add generic RW<T> method
* Add RollingWindow wrapper class for PyObject
* Solve review comments
* Resolve review comments
* Fill-forward last warmup data point to normal data feed
* Minor clean up
* Minor changes and unit tests
* Address peer review
* Minor changes
* Improve unit tests
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* implements Klinger Volume Oscillator
* preserve newest data file
* improve class summary
* address PR comments, add signal line, use RollingWindow to persist data, refactor code to make easier to follow
* add helper method KVO in in QCAlgorithm.Indicators.cs, add Signal test, fix IsReady and WarmUpPeriod
* default signal period for KVO, refactor and improve ComputeNextValue, simplified code
* update comment
* update comment
* Add open interest data to future chains contracts
Even though futures chains and contracts are not created from internal subscriptions data (like OI subscriptions or continuous futures contracts subscriptions), we still want to add OI data to already created contracts given that OI subscriptions are always internal but trade an quote ones are not.
* Minor changes
Martin-Molinero