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* Changed default async to true and passed target.Tag
* Make execution models place orders asynchronously if specified
* Add unit tests
* Execution model default to asynchronous orders.
Also, minor fixes for tickets remaining fill quantity potential race conditions
* Add SecurityHolding.UnrealizedQuantity property
It gets the holding quantity the security will have once all open orders are filled.
Added for thread safety reasons when execution models place asynchronous orders and need to calculate the actual quantity needed to reach the target of there are open orders
* Some cleanup
* Adjust projected holdings quantity on splits
* Minor fix
* More changes and cleanup
* Minor fix
* Improvements for thread safety
* Add IOrderProvider.GetProjectedHoldings to get projected holdings atomically
* Minor unit tests fix
* Add ProjectedHoldings DTO class
* Address peer review
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Co-authored-by: arthiondaena <arthiondaena@gmail.com>
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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
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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
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* Limit supported order types to Market, Limit, and StopMarket in Bitfinex brokerage
* Update brokerage models
* Fix broken unit test
* Solve review comments
* Convert regression algorithm into a unit test
* Resolve review comments
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* Make ExtendedDictionary extend IDictionary
* Revert "Make ExtendedDictionary extend IDictionary"
This reverts commit bbbe9c769be682767cb9e487b904480376b53596.
* Make ExtendedDictionary key a type parameter
* Make SecurityPositionGroupModel an ExtendedDictionary
* Add unit tests
* Minor change
* Add more unit tests and other minor changes
* Add Count and ContainsKey to BaseChain
* Update pythonnet version to 2.0.43
* Update some python regression algorithms
* Minor regression algorithms fix
* Make CashBook and ExtendedDictionary
* Minor changes
* Minor changes
* Update pythonnet version to 2.0.44
* feat: support MOO in CharlesSchwabBrokerageModel
* feat: validate IsMarketOpen with MOO order type in PreOrderChecks
* test:feat: Validate MOO in various Market hours time
* fix: Algo with new MOO time validation
* test:fix: set DateTime of Algo explicitly in OrderQuantityConversionTest
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* wip: show work
* refactor: TradeStationBrokerageModel of using OutsideRegularTradingHours
test:feat: OutsideRegularTradingHours
* remove: comboLimit OrderType in IsLimitOrder(...)
* fix: regression algo which test unsupported OrderType in extend market hours
* fix: condition with supportsOutsideTradingHours in CanSubmitOrder
* refactor: regression test with OutsideRegularMarketHours TradeStation
* refactor: TradeStationBrokerageTradeWithOutsideRegularMarketHoursParameter
---------
Co-authored-by: Henry Ennis-Thomas <henry@henryetdev.com>
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* test:feat: Assert Lean UnsettledCash and Brokerage.PerformCashSync
test:feat: new PaperBrokerage with manual cash balance
* test:refactor: calculation of Margin
* feat: change DefaultSettlementTime
* test:fix: use right brokerage settlement cash to balance
* test:refactor: use specific time when SettlementModel.Scan happens
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* Initial solution: Add an extra conditional in SubscriptionManager and add regression algorithms
* Solve comments review
* Add unit test
* Refactor unit tests in SubscriptionManagerTests
* Resolve comments review
This allows the stubs generator to know when to not generate Union types for parameters that can accept multiple types, like Symbol | str | BaseContract
Jhonathan Abreu