7 Commits

Author	SHA1	Message	Date
Martin-Molinero	4e71203b4c	Brokerage downloader daily/hour skips extended market hours (#8906) ... - Adjust brokerage data downloader daily and hour resolution requests to skip requesting extended market hours - Add missing dispose of brokerage	2025-07-31 20:08:26 -03:00
Jhonathan Abreu	69d2f5ae82	Futures and Future Options file-based universes (#8480) ... * 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 * Trigger Build * Trigger Build * Trigger Build * Trigger Build * 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 * Trigger Build * Trigger Build * 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 * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * 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 * Trigger Build * Trigger Build * Trigger Build * Minor fix * Minor fix * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Add logs to ProcessedDataProvider * Removed test logs * Minor fix * Support downloading options and futures universe files from api data provider	2025-03-25 16:22:38 -04:00
Roman Yavnikov	87a65451ea	Feature: Universe Data Downloader (#8612) ... * 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	2025-03-12 19:38:18 -03:00
Roman Yavnikov	86fcc40c3e	Feature: Generic brokerage downloader wrapper (#8235) ... * feat: new constructor of AlgorithmNodePacket * refactor: extract JobQueue configuration * remove: not used `using` in IDataDownloader * feat: create BrokerageDataDownloader * Revert "refactor: extract JobQueue configuration" This reverts commit 5778936b712befd6e367bee3decc4a3565ca69af. * Revert "feat: new constructor of AlgorithmNodePacket" This reverts commit d7a565ff761243ae1391bd45fd10c93221f0329e. * feat: new config `data-download-brokerage` in DataDownloadProvider * refactor: initialize in BrokerageDataDownloader * remove: not used `using` in Program's DataDownloadProvider * remove: not used ref on QuantConnect.Queue proj * refactor: use default market based on SecurityType * refactor: MarketName in DataDownloadConfig struct test:feat: validate MarketName * feat: support Canonical Symbols in BrokerageDataDownloader * remove: not used command arguments * feat: init CacheProvider of IOptionChainProvider in Downloader * feat: add brokerage message event in BrokerageDataDownloader	2024-07-31 19:02:13 -03:00
Roman Yavnikov	9fad556903	Remove: log ETA calculation (#7994) ... * remove: ETA in data download provider * remove: log of ETA calculation * remove: test with ETA downloader	2024-05-03 14:25:10 -03:00
Roman Yavnikov	ef23d7b6fe	Add Group Symbol and Total Time Execution Logging for Downloading Canonical Data (#7984) ... * refactor: modifier static to parse enum and ignore warning * feat: group symbol when download cannonicial data feat: log total time execution of download provider test: right keeping of cannonicial data * feat: parameter ctor in DataDownloadConfig * test:feat: additional assertion of wrote data in file * feat: static FilterGroupDownloadDataBySymbol * refactor: extract downloader folder path * try: map file false * feat: get rid of dataCacheProvider in DownloaderDataProvider * refactor: get rid mapFile flag * CI test fix --------- Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>	2024-05-01 13:39:34 -03:00
Roman Yavnikov	74d95f1611	Implement Download Project in Lean (#7975) ... * feat: init Download proj * feat: update docker file to copy download proj * feat: parsing in cmd arguments * feat: DataDownloadConfig model feat: add config file refactor: logic of parsing config * feat: overrid ToString in DataDownloaderGetParameters * remove: not used argument command * feat: calculate downloading % (without ETA time) * fix: dockfile copy path for DownloaderDataProvider proj * feat: additional Property in .csproj * remove: DataProviderFullName prop from DataDownloadConfig * remove: extra package (ref from Configuration proj) * feat: ETA calculation of downloading data * Minor tweak * rename: namespace of downloaderDataProvider to generic style format * test: ETA from DownloaderDataProvider * fix: calculate ETA like real downloading process --------- Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>	2024-04-25 19:53:58 -03:00