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* Enhance order request processing by grouping requests and adding concurrency tests
* Minor adjustment
---------
Co-authored-by: Adrian Tkacz <adrian.tkacz@creatdy.com>
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* Add a temporary benchmark stats sample in live
Allow trades to be written to result file on first day of the deployment before the first daily sample is done
* Enable trades results streaming
* Minor changes
* Make Trade.Id a Guid
* Cleanup
* Sample temporary charts once per hour
* Minor change
* Minor fix
* Minor fix
* Minor fix
* Add fix for potential race condition
* feat: add MappedSynchronizingHistoryProvider base class
Introduces an abstract class for history providers that handle symbol mapping and time-aligned data slices. Uses IMapFileProvider to resolve ticker changes, provides an abstract method for mapped history retrieval, and overrides GetHistory to synchronize results. Enables nullable reference types and adds documentation.
* Minor tweaks
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* Add total performance statistics to live result files
* Truncate closed trades in live results
* Avoid adding totalPerformance to live minute result file
* Deprecated Trade.Symbol in favor of new Trade.Symbols
* Fixes for Trade serialization
* Add trades json serialization tests
* Cleanup
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* Add SeedInitialPrices algorithm setting
This is true by default and indicates that the engine will seed initial prices right after the security is added or selected
* Update regression algorithms
* Update regression algorithms
* Update regression algorithms
* Refactor default securities seeding
* Minor fix
* Minro fixes
* Cleanup
* Updated and add regression algorithms
* Address peer review
* Centralize logic to get last known data for multiple securities
* Some cleanup
* Minor build fix
* Minor fixes
* More logic centralization
* Some more cleanup
* Cleanup
* Update regression algorithms and minor fixes
* Update regression algorithms
* Minor fix
* More minor fixes
* Update regression algorithms
* Cleanup
* Minor test fix
* Address peer review
* Minor fix and performance improvement
* Fix to seed open interest data
* Minor test fixes
* Address peer review
* Minor change
* Minor revert
* Minor fixes and improvements
* Disable initial seeding by default
* Minor fixes
* Cleanup
* Cleanup
* Minor fix
* 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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* 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
Adrian Tkacz