* The original implementation was made with the idea in mind that bars
have a time range that they encompass. When the `Time` property is
rounded down, the period added to `EndTime` ensures that the data
will not have look-ahead bias.
However, multiple data sources do not have a time range that the data
applies to, and is actually point-in-time. For these kinds of
data, rounding of the data is not preferred since they are supposed
to represent a point in time.
- Add a comment explaning why we need to round down in data time zone
and not exchange timezone.
- Keep subscription EndTime RoundDown by DataResolution since it won't
change and it's expensive.
- Replace Enum to string operations on Options enums, since it's
expensive
- Replace Enum IsDefined check since it uses reflection
- Improve OptionFilterUniverse linq operations
- Improve performance of SecurityIdentifier properties to avoid having
to extract them from properties always
- Avoid calling ToList for already list data collections (it creates a
copy)
- Avoid iterating over securities for which we have no holdings when
calculating TPV or MarginUsed
- 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
- Adding new ReferenceWrapper for structs, value types, to avoid thread
race conditions while reading and writting. In C# reference type
assignments are atomic, so it allows us avoid using locks.
- Add more fill forward unit test including a weekend using different
combinations of resolutions
- Add required AIG second data file
- Avoid list in most common FF case
- Add StreamReader Reader for Tick data type.
- Adding stream reader GetString extension, adding tests.
- BacktestingBrokerage will not create unnecessary order events
- AlgorithmPythonWrapper will directly call base OnFrameworkData()
implementation skipping going through python and it's overhead
- Small performance improvement for adding Tick data points into a Ticks
collection
- For python always wrap slice with PythonSlice, so that slice.Get()
works even when no custom data is present, adding test.
- Reduce ResultHandler amount of packets sent and their size.
- Only send order and orderEvents packet if there is actually data in them.
- Don't send Holdings fields if value is 0
- Don't send AlphaRuntimeStatistics fields if default values
- Adding new ConcatEnumerator that will join enumerators together
secuentially. Adding unit tests
- SubscriptionDataReaderHistoryProvider will consume an optional
intraday enumerator that will be concatenated with the existing
SubscriptionDataReader
- Algorithms logs of the same type will be batched together when sent
- Increasing backtesting update to 3 seconds same as LiveTrading
- Increasing insight sending interval from 1 second to 3
- Reducing code duplication for retrieving and sending algorithm logs
- Adding new SerializedOrderEvent and SerializedOrder with new
JsonConverters
- Specifying OrderEvent json converter when storing, streaming data
- Adding unit tests
Gerardo Salazar