* Daily data Time & EndTime Improvement
- Adjust daily data Time & EndTime to actually reflect the time of the
data used, for example US Equity from 9.30 to 4PM. Adding new unit and
regression tests
* Refactor solution to use enumerator
- Refactor daily strict end times solution to be through enumerator
usage, so it applies for history providers too
* Minor fixes
* Revert fill forward enumerator change
- Revert FillForward enumerator causing stats changing, enhancing unit
tests
* Some cleanup
* Improve handling of live trading FF enumerator
- Improve handling of live trading FF enumerator, by adding support for
bars to arrive with a delay so we can handle auction close/option
prices or data providers which might have some delay making the data
available. Adding new unit tests asserting the behavior
* 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
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Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* Support sourcing custom data from ObjectStore
* Add Python regression algorithm
* Wire engine to pass ObjectStore down to the stream readers
* Minor changes
* Minor unit tests fixes
* Remove unused SetupHandlerParameters.ObjectStore
* Minor changes
* Minor changes
* Support single-file zipped data to be sourced from object store
* Assert object store custom data history requests in regression algorithms
* Add custom object store data live data feed unit test
* Add multi-file object store custom data regression algorithms
* Minor fix
* LeanDataWriter can handle mapping
- Adjust LeanDataWrite so that it can handle symbol mapping if required.
Adding unit tests
* Fix Lean Data path parsing
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* Allow DataWriter to merge existing ticks if desired
- Optionally allow lean data writer to merge new ticks with existing
- Adjust ZipStreamWriter
- Fix bug in compression lib that was leaving files open. Reproduced by
added tests.
* Address reviews
- Define new WritePolicy to configure the behavior of the LeanDataWriter
regarding how it should handle writing to a file: merge, overwrite,
append
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* GH-6115: adjust dates
* fix
* use another approach
* Add lean data writter multiple days data unit test
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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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
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* Add new DownloaderDataProvider
- Moving LeanDataWrite and IDataDownloader to common project
- Add new BaseDataDownloaderDataProvider with concurrency helper method
- Add new DownloaderDataProvider which will use a IDataDownloader or
IBrokerage implementation as data source
* Add support for downloading symbol chains data
* Reconcile duplicated code
* Add License header
* CS0219 Fixes: Value assigned, but never used
* CA1507: Use nameof in place of string literals
* CS0108 : Hides Inherited Member; Use new keyword to overwrite formally
* CS0114: Hides inherited member; use override keyword
* CS0168: Variable is declared but never used
* Tests CS1062; using obsolete implicit Symbol -> String; fix via .ToString()
* CS0472: Non Nullable Obj getting Null Checked
* CS0067 Member not used; ignore all cases for future use
* CS00162 : Unreachable code; either removed or ignored for debugging and test cases
* CS0169 Remove non-used fields; ignore those that may be used in future
* CS0414; Field is assigned but never used.
* CS0618; Obsolete properties and members; Only fixes simple ones, rest will have to broken up
* CS0649; Field never assigned too
* CS0659 & CS0661 ; Overwrite operators and equals but not hashcode; I don't really override it but just call base
* Small comment fix
* Cleanup pragma statement
* Allow LeanDataWriter to append to zip data files
* Use the data directory provided to the writer instead of the global value
* Disregard the time-portion of an input date
* Overwrite zip entries when creating futures data files
* Minor tweak and adding unit test
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
Martin-Molinero