* Centralize Python/C# model detection logic
* Improve helper method
* Remove unnecessary conditionals
* Fix unit tests
* Refactor QCAlgorithm.python.cs to use the new helper method for models
* Solve review comments
* Clean up Python wrapper exception
* Update XML comments to better describe T and TWrapper in CreateModelOrWrapper
* Join unit tests in TestCases
* Solve review comments
* Replace manual TryConvert checks with CreateInstanceOrWrapper helper
* Refactor user define universe handling
- Normalize user define universe additions and removals to behave like
other subscriptions without requiting special handling
* Minor fixes
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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
* Fix extended hours only days period history
Don't include extended hours only days in date range calculated fro period history request
* Add comments
* Cleanup
* Revert some changes
* Cleanup
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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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* Set consolidated bar EndTime to last input's EndTime in count-based consolidator
* Solve review comments
* Move EndTime assignment to base class
* Update unit tests
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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
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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
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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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* 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
- To simplify stub generation, merge PythonSlice into Slice, following
existing pattern too, see QCAlgorithm.Python.cs
- Minor sintax fixes in example python algorithms
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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
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* Disable extended market hours for universe history requests
* Exclude extended market hours for all chain universe history requests
* Disable extended market hours for chain universes
* Minor change
* Minor fix
* Minor change
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* Make FOPs selection universe file-based for backtesting
* Make FOPs option chains universe file based
* Make Future universe selection file-based like option universe
* Make Future universe selection file-based like option universe
* Abstraction cleanup
* Add FuturesChains API to QC algorithm
Also refactor future chain provider to use the new FutureUniverse instead of zip file names
* Update regression algorithms stats
* Refactor QuantBook option and future history to use new universes
* Fix failing tests
* Fix failing tests
* Fix failing tests
* Minor future chains unit test improvement
* Add futures chains DataFrame property
Also, remove IDerivativeSecurity interface from Future
* Add DataFrame property to FuturesChains class
* Add regression algorithms
* Add regression algorithms
* Replace QCAlgorithm.FutureChainProvider usages with new FuturesChain api
* Minor fixes
* Reduce number of universe files in repo
* Minor data fixes
* Regression algorithms updates
* Add implicit conversion from FuturesContract to Symbol
Modified algorithms to use futures contract objects directly instead of accessing their Symbol property.
Removed unnecessary import statements and redundant lines in various files.
* Improve resolution handling for history requests
* Changed _auxiliaryData field to lazily-initialized AuxiliaryData property
* Refactor data handling in BaseChain and TimeSliceFactory
- Added `AddData` method to `BaseChain` for adding market data
- Refactored `TimeSliceFactory` to use `BaseChain.AddData` method
* Remove specific constructors and indexers from Chain classes
Removed public indexers in `BaseChains` for getting or setting `BaseChain` instances by `ticker` or `Symbol`, which were used for Pythonnet compatibility.
* Remove chain cache logic from FuturesChainUniverse
* Refactor class and interface names for clarity
Renamed `FileBasedUniverse` to `BaseChainUniverseData` and
`IFileBasedUniverse` to `IChainUniverseData`.
* Add base class for options and futures contracts
- Introduced `BaseContract` as an abstract base class for contracts, consolidating common properties and methods.
- Removed ISymbolInterface
* Add minor fix for future options tickers parsing
Added tests
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* Clean chain provider classes up
* Remove ZipEntryName other classes and unused code
Removed ZipEntryName class and references across various files.
Removed DataQueueFuturesChainUniverseDataCollectionEnumerator and DataQueueOptionChainUniverseDataCollectionEnumerator classes.
Removed OptionChainUniverseSubscriptionEnumeratorFactory class.
Removed unused code for handling OptionChainUniverse and FuturesChainUniverse in FileSystemDataFeed.cs and LiveTradingDataFeed.cs.
Removed several test files related to enumerator factories and universe data collection.
* Minor changes and cleanup
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* Refactor FuturesContract data handling
Forward price data from bars and ticks stored in private fields for improved memory usage
* Fix: use universe data for market data in FuturesContract
* Update regression algorithms stats after rebase
Added HSI futures universe files
* Sort configs by internal flag
Internals go first
* Throw from option universe data filters for future options
Future options IV, Open interest and greeks are not supported for future options
* Minor changes
* Improve some regression algorithms
* Minor fix for failing unit tests
* Update FOPs universe file header
Removed greeks and IV columns.
Updated FOPs universe files: removed outdated columns.
* Minor unit test fix
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* Minor fix
* Add history provider as constructor argument for chain providers
* Update new regression algorithms data points count
* Minor fix for FakeDataQueue
* Add initialize method to chain providers classes
* Minor changes
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* Minor fix
* Minor fix
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* Add logs to ProcessedDataProvider
* Removed test logs
* Minor fix
* Support downloading options and futures universe files from api data provider
* feat: parsing of universe file path for different security types
* fix: market position in parsing of universe file
refactor: add example of universes file path in xml description method
* test:feat: parsing of universe path
* rename: return variable in ParseUniversePath
* feat: extension to create history request internally
* feat: entity DataUniverseDownloaderGetParameters
* config: downloaderDataProvider project
* feat: create DataUniverseDownloadConfig in download project
* feat: run universe downloader in DownloaderProvider
* test:fix: missing using
test:remove: parameter ctor of DataDownloadConfig
* refactor: run Universe downloader in Main
* feat: GetUniverseFileName by processingDate
* refactor: CreateDataUniverseDownloaderGetParameters with using Start and EndDate
refactor: exception message in DataUniverseDownloadConfig
* feat: new out argument in TryParsePath's LeanData
* feat: RunUniverseDownloader in DownloadDataProvider
* feat: DerivativeUniverseData to write csv file
feat: extension to download universe data with different parameters
* remove: log warn which path when get universe file path
* refactor: DataUniverseDownloaderGetParameters
feat: run Download Universes file in DownloaderDataProvider internally
* refactor: overload TryParsePath only with 4 parameters
* remove: editconfig file in DownloaderDataProvider
* remove: validation on null parameters
* rename: typo DateType to DataType
* refactor: use endDate in ctor DataUniverseDownloaderGetParameters
refactor: use UnderlyingSymbol from base class Symbol property
remove: CreateDataUniverseDownloaderGetParameters()
refactor: put LoadSymbol in base class
clean/remove: DataUniverseDownloadConfig
* refactor: use Time.EachTradeableDay in CreateDataDownloaderGetParameters
remove: CheckMarketOpenStatus
* fix: RunUniverseDownloader with EndUtc in DownloaderDataProvider
* refactor: GetUniverseFullFilePath
* remove: validate historyData like Any
* fix: use date from parsing path in DownloaderDataProvider
* feat: download QuoteBar for Universe file
feat: handle QuoteBar in DerivativeUniverseData
refactor: filter option in final dictionary
* revert: CreateHistoryRequest() in DownloaderExtensions
* feat: use optional parameter SecurityExchangeHours in DataUniverseDownloaderGetParameters
refactor: DataUniverseDownloaderGetParameters
refactor: use Log.Debug instead Log.Trace to prevent spamming
* fix: ordering of download universe data
revert: parameter ctor in DataDownloadConfig
revert:test: use parameter ctor instead of Config.Set
* clean: extra `usings`
* fix: Get DataType in DataDownloadConfig
feat: new ctor in BaseDataDownloadConfig
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* First draft of the solution
* Add regression tests
* Improve solution and add unit test
* Address suggestions
* Improve unit tests
* Nit changes
* Fix regression algorithms
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* Normalize universe data frames
Universe and (generically BaseDataCollection) data frames are not normalize and unpacked into a data frame, instead of just creating data frames with the universe lists within it
* Fix unit tests and algorithms to expecte new universe dataframe format
* Fixes
* Add PandasConverter.DataFrameGenerator class
* Pandas data frame generator class fixes
* Add comments
* Housekeeping
* Add attributes to mark classes and properties for pandas processing
* Improve pandas properties expanding
Allow and handle duplicate names
* Use PandasData generalization for Lean common data types
* Add points time as column when converting base data collections to data frames
* Cleanup and minor changes
* Minor change
* Pandas data to get type members on demand
* Move Pandas helper classes to their own files
* Minor changes
* Add flatten argument to python history api
This allows users to decide whether they want fully expanded dataframes for universe and other collection data types. Else, master behavior is kept
* Adding missing changes to last commit
* Update Pythonnet version to 2.0.40
* Add flattent argument to algorithm's OptionChain api
* Minor changes
* Housekeeping
* Minor changes
* Bug fix skipping data collection data points
* Add comment
* Set correct exchange time to OptionUniverse instances
* Address peer review and cleanup
* Cleanup
* Minor changes
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* Fix option universe
Set right time using exchange time zone when reading.
Remove OptionUniverse market hours hack in GetEntry extension method.
* Minor change
* Test
* Fix price shift on continuous future rollover
* Keep track of both data and exchange time in subscription data reader
* Fix for daily and hourly resolutions.
Add daily and hour algorithms
* Fixes for emitting new exchange dates at the beginning and end when data is not available
* Cleanup
* Minor fix
* Minor fix: detect mapping in data reader after advancing time keeper
* Minor fix
* More fixes
* More fixes
* Fixes for universe files
* More fixes for daily resolution data
* Separate DateChangeTimeKeeper to its own file
* Add DateChangeTimeKeeper unit tests
* Minor fix
* Add more DateChangeTimeKeeper unit tests
* Address peer review
* Address peer review
* Address peer review
* Detect mappings using the config NewSymbol event
* DateChangeTimeKeeper performance improvement for time zone conversions
* Clean up date change time keeper
* Cleanup
* Minor regression algo update
* Cleanup
* Cleanup
* Fix perform universe selection on sundays for continuous futures with extended market hours
* Cleanup
* Address peer review
* More cleanup
* More cleanup
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* feat: sort property in SubscriptionDataSource
* refactor: read lines (with sort opportunity) in TextSubscriptionDataSourceReader
* refactor: xml description of Sort property in SubscriptionDataSource
* revet: TextSubscriptionDataSourceReader changes
* feat: develop UnsortedTextSubscriptionDataSourceReader
* remove: UnsortedTextSubscriptionDataSourceReader
* feat: develop SortEnumerator
feat: use SortEnumerator in SubscriptionDataReader
* revert: TextSubscriptionDataSourceReader changes
* feat: use sort Enumerator in LiveCustomDataSubscriptionEnumeratorFactory
* test:feat: Unsorted Live Data Feed with using Object Store
* test:feat: history CustomData request with unsorted data
* refactor: develop TryWrapper on SortEnumerator
* remove: extra spacing
* refactor: Sort in SubscriptionDataSource
* feat: add RegressionAlgorithms when source return data in Descending format
* refactor: xml description of prop Sort in SubscriptionDataSource
* refactor: SortEnumerator
* test:refactor access modifier in ExampleCustomDataWithSort
* test:refactor: increase performance LiveDataFeedSourcesDataFromObjectStore
* feat: add xml comment of regression algorithm
* test:revert: access modifier to public in internal test class
* test:refactor: use while instead of timer
* Revert "test:refactor: use while instead of timer"
This reverts commit 4fe43da8094df366f7ae4b361c97a4a14b815c32.
* Fix pandas converter to handle list of data with different symbols
* Properly convert list of data into dataframe
Take into consideration data for multiple symbols in the same list
* Cleanup
* Index dataframes by symbol object instead of SID string
* Add symbol equality operator to compare against object
* Exclude "ID" from option chain dataframe
* Minor fix
* Add greeks columns directly in option chain dataframe.
Also add pass-through properties for greek values in OptionUniverse
* Some cleanup
* Minor fix
* Add new QCAlgorithm.OptionChains() method
- Use OptionChains as output
- Add DataFrame to OptionChain and OptionChains
- Rename Greeks classes
- Add ISymbolProvider for classes that have a symbol (IBaseData, OptionContract)
* Unify QCAlgorithmOptionChain API
Also refactor OptionContract to handle: (1) Actual market data and option price model data, and (2) OptionUniverse data
* Pass symbol properties to OptionUniverse option chain from algorithm
* Format OptionContract for dataframe
* Minor fix
* Add multiple option chains api regression algorithms and other minor changes
* Address peer review
Add NullGreeks class: keep ModeledGreeks as internal as possible
* Minor fix and add PandasConverter unit tests
* Peer review: Non-thread-safe Lazy for Python
* Handle Greeks unwrapping by PandasData
* PandasData cleanup
* Add data and other minor changes
* Unit test fix
* Update Pythonnet to 2.0.39
* Cleanup
* PandasData handling children class members
Address peer review
* Fix: indexing symbol conversion in pandas mapper
* Fix pandas mapper to convert string keys to symbol only when necessary
* Cleanup
* Cleanup
* Add PandasColumn python class to handle proper indexing
This allows propery hash and equality between Symbols, C# strings and Python strings
* Minor fixes
* Symbol cache improvements
* Minor fix for cache miss
* Revert PandasMapper reserved names and improvements
* Minor fix
* Revert reserved names
* Minor fix for Symbol equality operators
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
Martin-Molinero