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* Portfolio state chart
- Cleanup and renames
- Add series.IndexName. Uodating unit tests
- Add Chart.LegendDisabled. Adding new unit tests
- Add ChartPoint.Tooltip. Updating unit tests
- Minor compression tweak. Adding unit test
- Add ChartJsonConverter. Adding unit tests
* Minor chart serialization order tweak
* Refactor portfolio state sampling and storing
* Move PortfolioMargin into a lean side chart
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* Downloader data provider fixes
- Fix stored data time zone, which is expected in data time zone
- Minor logging improvements
- LeanData Parse handles etf universes path. Adding unit test
- LeanDataWrite will only map if there's something to map to
* Fix download data provider synchronization
* Synchronization improvements after more testing
- KeyStringSynchronizer will handle reentrancy. Adding unit tests
- Define a unique Synchronizare for downloading data, since not related
to disk reading & writting
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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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* 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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* Use lean data key as param for request
* key -> filePath rename and some cleanup
* Refactor
* Add Organizations Endpoints
* Add some organization api wrapper objects
* Address namespace issue
* Reorganize Api Test into seperate files using one ApiTestBase
* Add Organization tests
* Use capitalized "API" test namespace to reduce amount of file changes
* Add License to test base
* Update /data endpoint functions and response objects
* Update ApiDataProvider Logic
* Handle deserialization of organization products
* Simplify converter
* Only throw for equity requests when not subscribed to map/factor files
* Add missing header
* Make arguement exception
* Api adjustments
* Add Zip factor and map file providers
- Common project will now reference Compression project and not the other way
round.
- Adding Zip FactorFile and MapFile providers
* Refactor FactorFileProvider to use DataProvider to fetch files
* Use resulting MinimumDate in construction of FactorFile
* Nit FactorFile comments and arrangement
* Refactor MapFileProviders to use DataProvider for fetching files
* Refactor ZipFileProvider
* Clean up
* Refactor Backtesting Future/Option chain providers to use dataprovider
* Fixes for data/ endpoints and test adjustments
* Response objects adjustments/cleanups
* ApiDateProvider fixes and testing
* Add LocalZipFactorFileTests
* Update ApiDataProvider download test to verify stream is not null
* Implement posting of agreement summary and signed time
* Mark all Api related tests as explicit and document details on running
* Clarify default token on ApiTestBase
* Adjust summary
* Update Api responses for QCC, except org products which are sold in USD
* Implement cache expiration for zip MapFile and FactorFiles. Adding unit tests
* Fix multiple markets for ZipFactorFile provider
* Use Symbol as cache key
* Api.cs review
* Dispose of factorFileStream after reading
* Use zip.EntryFileNames
* Address a few reviews
* Few more fixes
* Address Api Review
* Add Job Org id to config
* Minor tweaks
* Compare with invariant culture
* Fixes Option Universe selection
* ZipEntryNameSubscriptionDataSourceReader will use IDataProvider
* Fix research
* Fix null reference exception
* Make duplicate log debug
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Adds processed data directory to read price data from
* Make coarse universe generator look at data directory before failing to find daily data
* Set coarse generator output of missing daily file to debug log
* Add CoarseUniverseGenerator logs
* Fixes 100 nanosecond increment lookahead bias when parsing large numbers
* Whenever we parse a number that is has precision greater than
DateTime ticks (sub-100 nanoseconds), if we have nanoseconds
between [0, 1000), excluding numbers divisible by 100,
we will have leftover nanoseconds between [0, 100) nanoseconds, but
they won't be factored in to the DateTime calculation, since casting
to `long` only takes the integer component of the number, so we lose
the extra nanoseconds that came with the decimal, and time is set to
the "floored" value without those nanoseconds.
Since .NET `DateTime` type has a limitation of only being able
to represent time in increments of 100 nanoseconds, by not
considering the sub-100 nanoseconds, we introduce a look-ahead
bias of at most 100 nanoseconds/1 tick
* Misc adjustment to make method use `decimal` instead of `double`
for increased precision when parsing large numbers
* Changes CoinAPI data converter to support processing raw files in original directory structure and file name
* Removes Market requirement from CoinAPI data converter
* Remove timeout on decompression of raw AlgoSeek futures data
* Updates SEC downloader to use HttpClient where requests were failing
* For some unknown reason, valid requests to a valid URL were
failing when using WebClient. Changing our requester to
HttpClient fixes the issue, and enables us to leverage
async capabilities where applicable.
* Added fault tolerance to index file downloads, including a
rate limit in case we've been rate limited
* Further refactoring; catches 429 errors, adds missing rategate calls
* Replace all usage of WebClient, force retry for all failures
* Adds optional config value for Benzinga News API key in downloader
* Modifies Estimize Downloader api config name and fixes directory not found bug
* Refactor Estimize to speed up processing time
* Adds ticker limits if desired
* Misc. bug fixes, performance improvements, code cleanup
* Remove debug log statements leftover from previous commit
* Add support for non-tick Index resolutions in LeanDataWriter
* Empty commit
* Empty commit
* Empty commit
* Empty commit
* Empty commit
* Empty commit
* Lower requests/second for SEC downloader, add missing rategate call
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Update projects to use .NET 5.0, the successor to .NET Core
* Fix ambiguous errors. Add IBAutomator net5
* Remove FXCM
* Upgrade IBAutomater to v1.0.51
ignored, and an empty message aborts the commit.
* Fix rebase
- Fix ambiguous Index
- Remove StrategyCapacity.cs
- Update System.Threading.Tasks.Extensionsy
* Remove unrequired references
* Fixes
- Travis will use dotnet, not nunit nor mono
- Remove mono from foundation image
- Fix python setup in research
- Fix unit tests
* Don't call ReadKey when input is redirected
* Fix ConsoleLeanOptimizer
* Research fixes
* Update comment
* Add vsdbg to Dockerfile
* Fixes
- Revert dockerfile FROM custom changes
- Adjust and fix regression algorithms
- Option assignment will be deterministic in the order
- 'Rolling Averaged Population' is calculated using doubles, updating
expected values.
- Update readme, removing references to mono
- Add missing Py.Gil lock
* Replace ICSharp with .NET Interactive
* Fixes after rebase
* CSharp research fixes
- Adding new Initialize.csx that pre loads all assemblies
- Adjusting template research file
- Moving steps in dockerfilejupyter
- Fix unit tests and regression tests after rebase
Co-authored-by: Gerardo Salazar <gsalaz9800@gmail.com>
Co-authored-by: Stefano Raggi <stefano.raggi67@gmail.com>
Co-authored-by: Jasper van Merle <jaspervmerle@gmail.com>
* Removes SevenZipSharp library from ToolBox
- Library removal required for update to .NET 5.0 since it's not
compatible with it and Linux is unsupported.
* Adds new extract 7z functionality to Compression project
* Refactors AlgoSeekFuturesConverter 7z extract
* Refactors DukascopyDataDownloader 7z extract
* Addresses review: code cleanup + exception type change on timeout
* Removes not needed stream of data in Dukascopy downloader
* Makes output directory non-optional
* Migrate to newer CSProj format; build succesful
Rebase onto master
* Maintain binaries directory
* Reinstate FSharp default condition
* Remove reference to packages.config
* Test project fixes
* Remove nuget.config and "Solution Items"
* Remove repetitive assembly info
* Reinstate default compiles and cleanup redundant settings
* Reinstate any specific settings that defaults are unclear for
* Reinstate Framework.nuspec
* Make test internal classes public for composer use; undo assembly change
Rebase onto master part 2
* Address review; restore some settings
* Restore RootNamespace and AssemblyName attributes
* Use NugetPackageRoot instead of NugetPackageFolders
* Reinstate "RestorePackages" setting
* Transfer compilied Python files to launcher and tests bin
* Remove conflicting settings
* Fix WebSocketSharpFork references
* Fix FSharp Core reference
* Upgrade TestPlatform.ObjectModel to 16.8.3, and redirect V11 binding
* Add Mono.Cecil package
* Address review
* 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>
Adds static methods of the form Parse.<TypeName>(string str) that use
CultureInfo.InvariantCulture. These are to be used when parsing strings.
It's still safe (from the CA1304/CA1305 perspective) to use the ToDecimal
extension method for decimals.
Adds string extension methods for common operations that will now require
CultureInfo.InvariantCulture. These are to be used when converting values
to strings, such as ToStringInvariant()/ToStringInvariant(format), but also
useful for searching within strings, StartsWithInvariant, EndsWithInvariant
and IndexOfInvariant.
FxCop has various rulesets for enforcing things within our codebase.
For this particular issue, we'll be enforcing CA1304 and CA1305 to
ensure we're always using an IFormatProvider or a CultureInfo where
applicable.
Linked Issue: #3045
The `NullReferenceException` type is intended to only be thrown by the CLR.
In most cases, it should be converted to an `ArgumentException` or an
`InvalidOperationException`, depending on if the null value is a parameter
to the current method or not.
The `Exception` type should never really be thrown as it doesn't provide any
additional information or hints as to the issue. It also forces users that
would like to handle expected exceptions to catch all exceptions. These are
converted to an exception type that more accurately describes the reason for
raising the exception: `KeyNotFoundException`, `InvalidOperationException`
Martin-Molinero