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* Fix performance degradation on expirying assets
- Options would expire and get removed, when the universe removed the
security it would never be reseted on universe selection, causing
leaks
- Minor improvement for composer assembly loading
- Minor improvement for loading exception interepreters, so it uses
composer
* Minor regression test fix
* Add new benchmark algorithm
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* Use Futures Bank Holidays For Expirations
* Minor improvements
- Futures will be stored by their contract month, not expiry
* Delete dairy future products
* Minor test fixes
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* Fix ProcessSplitSymbols crash during live mode warmup
Fixes InvalidOperationException when CancelOpenOrders is called during warmup in live/paper trading mode.
When historical splits are replayed during live mode warmup, ProcessSplitSymbols attempts to cancel open orders for option contracts, but CancelOpenOrders throws an exception during warmup.
The fix adds an early return when algorithm.LiveMode && algorithm.IsWarmingUp. This is safe because in live/paper trading, current positions already reflect historical splits.
Includes unit tests validating the fix.
* Some improvements and more tests
- Ignore splits during warmup for backtesting and live trading. Adding a
regression algorithm reproducing issue
* Minor fix
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Minor fix for negative rolling window index
- Minor fix for negative rolling window index when partially full,
adding unit test
* Reduce RefreshesSymbolProperties test runtime
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* Implement Session class
* Use MarketHourAwareConsolidator inside Session
* Delete SecurityCacheSessionConfig
* Refactor session class
* Solve review comments
* Fix regression algorithms
* Add null check to AvailableDataTypes
* Update session class
* Solve new review comments
* Add new test for futures and update regression test to PEP8
* Add new regression algorithm for Session with futures
* Resolve review comments
* Add local time keeper to SecurityCache
* Scan on consolidator updates and time updates
* Add new regression algorithms and unit tests
* Add unit tests and improve comments
* Fix syntax test
* Solve review comments
* Add regression algorithms
* Resolve review comments
* Make SessionConsolidator implement IDataConsolidator
* Add caching to avoid recreating SessionBar instances on every access
* Solve review comments
* Make SessionConsolidator inherit from MarketHourAwareConsolidator
* Add unit test to verify Session preserves previous day values
* Update regression algorithms
* Solve review comments
* Resolve review comments
* Solve new review comments
* Add unit test for Session class
* Refactor SessionBar properties and Update method
* Use WorkingDataInstance reference instead of _workingData.Clone()
* Use a delegate to get the workingBar instance
* Fix bug in MarketHourAwareConsolidator
* Solve review comments
* Handle OI values
* Add regression algorithms for future contracts and options
* Solve review comments
* Refactor SessionConsolidator to inherit PeriodCountConsolidatorBase
* Prevent overlapping higher resolution data
* Update tests
* Solve review comments
* Minor tweaks
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Submit (and fill in case of market orders) in the same time step even if orders are asynchronous in backtesting since it's data driven instead of real time driven.
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* Enable concurrency for paper brokerage.
Implement PaperBrokerageTransactionHandler to handle concurrency for live paper trading transaction handler
* Remove PaperTradingBrokerageTransaction handler
Favor existing BacktestingTransactionHandler
* Minor fixes and cleanup
* Minor unit tests fix
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* Add 'asynchronous' parameter to trading api
* Add regression algorithms
* More fixes for asynchronous orders
* Fix failing unit tests
* Fix failing unit tests
* Add multiple orders requests in transaction handler
Make each transaction thread handle requests corresponding to the same order
* Refactor order state machine in BrokerageTransactionHandler
Now using a single dictionary to hold orders and their state, either pending for submission, open or closed.
* Revert: remove complete orders from new state machine in BTH
* Add order ticket to new BTH open orders state machine
* Run syn in Backtesting transaction handler for new orders submission
* Remove OpenOrderState.SubmissionPending property
* Add Security to OpenOrderState
* Minor fix
* Cleanup
* Some cleanup in BTH
* Cleanup
* Minor fix
* Minor unit test fix
* Minor fix
* Make Brokerage.ConcurrencyEnable property virtual
* Minor change
* Cleanup
* Add 'asynchronous' parameter to SetHoldings api
* Improve regression algorithms
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* Some fixes for new C# enums handling in Pythonnet
* Minor changes and cleanup
* Update Pythonnet version to 2.0.45
* Minor changes
* Minor fix
* Minor fix
* Minor change
* Minor change
* Minor unit test fix
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* Log the Number of Active Subscriptions Before and After Warm Up #8779
* Refactor: Log subscriptions count once before first timeslice
* Resolve review comments
* Minor cleanup
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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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
---------
Co-authored-by: arthiondaena <arthiondaena@gmail.com>
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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
* 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
* 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
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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
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* Fill forward prev date universe file in manual chains fetch
If there is no universe file available for the current date, use the previous one and fill forward to avoid having empty chains on a day when we haven't generated the universe files
* Try a maximum of 3 days behind for manual chains fetching
* Minor change
* Minor fix
* Add comments
* Minor fix
* Minor fix for expired contracts
Martin-Molinero