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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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- Zip entries will be sourced from cache provider
- Option underlying will use SubscriptionDataSource to fetch it's data.
Fixing bug where it would let through an old data point, or miss
sending data through.
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* Create generic writing for LeanDataWriter, + notes on todos
* Make Options Daily/Hourly data store by year
* Refactor Generic Write
* Permit hour and daily resolutions for options
* Refactor writer to merge when needed with other files
* Cleanup redundancies, run write tasks in parallel
* Make needed classes/vars available
* Update tests to reflect new naming convention for daily hourly options data
* Add Byte[] overloads for ZipData functions in compression
* Implemented Store() for ZipDataCacheProvider
* Have LeanDataWriter use a DataCacheProvider
* ZipDataCacheProvider cleanup
* ZipDataCacheProvider tweaks, doesn't support storing non-zips
* Test adjustments
* Update LeanDataWriter to use Write instead of SaveDailyHourly/SaveMinuteSecond
* Implement tests to verify DownloadAndSave behavior
* Nit cleanup on DownloadAndSave tests
* Fix for options daily/hourly underlying equity subscription read
* Add daily/hourly options data and regressions
* Add missing open interest for hourly
* Fix writing of OpenInterest Daily/Hourly data
* Update data
* Fix Date typo in regression
* Use daily algorithm to test delisting
* Revisions part 1
* Expand test for DataCacheProviders; refactor DiskDataCacheProvider
* nit - test adjustments
* ZipDataCacheProvider test setup refactor
* Adjust multithreaded read/write test; fixes for ZipDataCacheProvider
* Move DiskDataCacheProvider to its own file and add write test
* Remove _appendToZips; always overwrite entry or create zip
* Add mapping regression for daily options
* nit - add license to regression
* Fix Tick write case where more than one data point for a DateTime
* Fix data issue
* Address review
* Tweaks for tests
* Stop Store() early if no entry name is given
- Refactor ZipDataCacheProvider to avoid value types thread issues, it
will now use a timer. Add missing dispose calls.
- Synchronizer won't share the `SubscriptionFrontierTimeProvider`
instance since it's not thread safe and shouldn't be called
- Fix BacktestingResultHandler `_daysProcessed` thread safety
- Fixing `RealTimeScheduleEventService` thread safety
- `SecurityIdentifier` will calculate `StrikePrice` just once. Replacing
`!=` for a direct call to `Equals()` preventing unnecessary checks.
- Slightly improving Linq queries at `OptionFilterUniverse`
- Replace `OpenReader().CopyTo` for `Extract(stream)` avoids copying the
data twice.
- Replace `DateTime.Now` for `DateTime.UtcNow`
This bug was causing all zip files to remain open, even when removing them from the cache and calling Dispose on ZipFile objects.
The issue is that ZipFile.Dispose closes the underlying FileStream only if created by the ZipFile instance, which is not the case here because we fetch a Stream object containing the zip file from the data provider. In fact calling ZipFile.Read(stream) returns a ZipFile instance which does not "own" the stream, it is the caller's responsibility to dispose of it.
When reading multi-entry zip files (such as futures and options), ZipDataCacheProvider was unnecessarily calling DataProvider.Fetch for files already cached.
Instead of leaving zip exceptions to the data feed enumerator stack, we now log file names of corrupt zip files, return null and continue.
The file system data feed should now handle corrupt files like missing files.
Refactored IDataProvider interface to return stream. The IDataProvider
Fetch method now only takes a key. The IDataProvider
has been reshuffled to be at the bottom of the LeanDataStack. It provides
data to the rest of the Lean stack. The default implementation of IDataProvider reads
data from disc.
All IDataCacheProviders now have constructors which take IDataProviders
and use them to find data on disc.
Renamed DataCacheProvider to ZipDataCacheProvider
Added comments to IDataProvider and it's implementations
Added comments to IDataCacheProvider and it's implementations
Martin-Molinero