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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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- Fix for division by zero in option assigment check. Adding regression
test reproducing issue. Will now rely on normalized path in universe
selection to clear the cache
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* Fix: properly adjust prices after a split
* Minor fixes
* Minor: Adjust cached data on split
* Minor change
* Expand regression algorithms assertions
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* New Fundamental Data
* Minor CIK lookup fix
* Handle live mode & delete unexisting properties
* Minor coarse fundamental adjustment
* Add fundamental history support
* Fix unit tests
* Performance improvements
* Fixes
* Minor regression algorithm fix
* Improvements. Add FundamentalUniverseSelectionModel
* Change default values
* Fix unit test
* Minor tweaks
* Fix unit test
* Minor error handling improvement
* Fix rebase
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* Dynamic security properties for quick objects storage
* Documentation and other minor changes
* Add Security indexer to access custom properties
* Address peer review
* Minor changes
* Improve regression algorithms
* Bumped pythonnet to version 2.0.19
* Bumped pythonnet to version 2.0.20
* Address peer review
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* Refactor settlement mode api
- Add new Scan method on ISettlementModel API. To be used by
futures settlement model mark to market handling
- Use 'Parameters' classes for 'ISettlementModel'
* Address reviews
* Daily future settlement
- Implement daily future settlement. Adding unit & regression tests
* Address reviews
* Assert cash balance every day
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* CryptoFutures adjustments
- Address reviews of CryptoFutures:
- Add new Slice MarginInterestRates collection
- Add new regression tests asserting funding rate application behaves
the same no matter the resolution
- Add auxiliary data by type into the security cache
- Revert BuyingPowerModel changes
* Make interest rate application time deterministic
* Memory Related Performance improvements
- Make sure we cleanup & dipose of python related objects during pandas
data generation.
- Disable memoizing enumerable use while creating pandas data frames,
since we do not require it
- Reduce unrequired object creations
- Replace concurrentCollections for ordinary locks
* Decimal parsing typo fix
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- Create SubmitOrderRequest method in algorithm API to reduce
duplication of code and responsability.
- Add order command tests for different failure and success cases
- Fix null reference exception in equity fill model, when there is no
data for an asset.
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- Fully reset the security cache when it's finally removed from the algorithm.
Adding regression algorithm reproducing issue
- Updating regression algorithms which would trade based on data
previously available
- Fix Slice.Get OpenInterest type. Adding unit test
- Fix for SecurityCache that wasn't storing OpenInterest types
- Updateing regression tests to covere these usages
* Refactors SecurityCache to Support Access to Tick of Different Type
Adds two read-only lists of BaseData to save the last list of Tick of TickType.Trade and TickType.Quote. Changes methods accordingly to get and set these lists.
* Addresses Peer Review
The assignment of `_lastData` is moved to keep the current behavior of not beeing set with fill forward data.
`Reset` and `ShareTypeCacheInstance` implements the new class objects.
Adds unit tests for `Reset` and `ShareTypeCacheInstance`.
* Only Cache Non Fill-Forward Data
Undo changes that made AddData cache non fill-forward data.
- Update regression algorithms stats after making SecurityCache ignore
QuoteBars for equity for OHCL values and GetLastData(). They were
affected since the `BenchmarkSecurity` used `.Price` which was QB for
equities. Order list hashes changed because SubmissionLastPrice will
now be TB instead of QB
- Adding `SecurityCacheProvider` this class allows for two different
`Security` to share the same data type cache through different instance
of `SecurityCache`. This is used to directly access custom data types
through their underlying in a peformant maner
- Some small improvements
- `DynamicSecurityData` will be a view into the `SecurityCache` instance
- Custom data which has an underlying will use the underlying
`SecurityCache` data type cache instance
- Refactors for `Security` and `SecurityCache` to avoid storing twice
the same data points in the data type cache
- `PortfolioTargetCollection` avoid calling `Count` on
ConcurrentDictionary directly -> has to take all locks
- `SecurityChanges` change Union for Concat since constructor will call
HashSet
- Make `DynamicSecurityData` hold lazy data objects
- `RegisteredSecurityDataTypesProvider` avoid looping over all
registered types, adding `TryGetType`
- `Security.Update()` will no call group by on data since this data is
already grouped by type. Adding `ContainsFillForwardData` will allows to
be lazy and not re loop through the data unless necessary
- `DefaultAlphaHandler` will use the `static`
`Enumerable.Empty<Insight>` instance when possible
- `SubscriptionSynchronizer` will be lazy to construct the
`universeData` dictionary which is not used in most of the times. Will
use `Count` vs `Any` -> `Count` is known by the dictionary
- For python algorithms `JobQueue` will respect `AlgorithmLocation`, was
using unexisting `"algorithm-path-python"`
- Only define `DEBUG` is `SelectedOptimization` is not defined
- `DynamicSecurityData` will Keep a cache of the generic types
- Avoid using so much linq at `Security.Update()`
- `Slice` will also keep a cache of the generic types
Provides dynamic access to cached security data keyed by the type's name.
For example, `security.Data.GetAll<Tick>()` would yield a list of ticks.
Likewise, using the dynamic accessors, `((dynamic)security.Data).Tick`
would return the same list. In C# you'll need to cast security.Data to
a dynamic. In python, all C# objects are viewed as dynamic, so python can
simply access `security.Data.Tick` directly.
See #3620
Custom derivative data is now being saved into the underlying security's
cache. This makes the custom derivative data available via the underlying's
security object via underlying.Cache.Get<T> where T is the custom data type.
We never want universe data to impact a security's price or other cache
properties. To that end, this change adds another way of adding data to
the cache that simply stores the data for retrieval and does NOT update
any of the security cache properties. The check for aux data was left in
to prevent aux data from setting security prices as well.
Universe data is piped through the TimeSlice and saved in the
security cache in the algorithm manager for consumption by the
algorithm.
This change includes an update to SecurityCache.AddData to preclude
us from setting the security price using auxiliary data. Tests were
updated accordingly.
This change aims to keep the quote bar preference for values in the cache
while also ensuring that the volume data is properly being updated. Tests
were added to provide coverage around expected property changes from different
starting configurations (last data type) and a data update.
Martin-Molinero