- 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
- Remove unused `OptionChainUniverseDataCollectionAggregatorEnumerator`
- Refactor `BaseDataCollectionAggregatorEnumerator` and
`OptionChainUniverseDataCollectionEnumerator` to avoid emitting invalid
data points
- Updating regression tests statistics
- Adding unit test
- The new scheduler will create a dedicated thread pool
- Work will be prioritized based on their weight and new items will have
highest priority. The weight will be determined by the size of the
subscription enqueueable.
- The work queue will be sorted and the weights updated by a dedicated
thread
- There will be a maximum weight value that will 'disable' a work item
until their weight comes down
- Consumer will not know about workers or anything alike anymore.
- Applying a general max work queue size of 400 items, this will reduce
CPU and RAM usage. Can be set by config.
There's no reason for algorithms to have direct access to this implementation.
Moving this into the engine prevents algoriths from directly accessing LocalObjectStore
and instead can only reference it through the IObjectStore abstraction
- Enable parallel workers for history requests, improving performance.
- Adding SubscriptionUtils to be used by backtesting through the FileSystemDataFeed and
SubscriptionHistoryProvider and live deployments which use the
SubscriptionHistoryProvider in the core
- Fix some timezone issues when using local
start/end time instead of UTC
- Adding missing `Enumerator.Dispose()` to be called by the worker
- Adding `IDataChannelProvider` that will be used to determine if
streaming should be used
- Adding `data-channel-provider` for `config.json`
- Adding unit tests
- `SubscriptionDataReader` will check map file first data and adjust
start date based on it
- Adding unit test
- Reducing code duplication
- Setting up `HistoryProvider` event handling
These are fairly generic and useful types that have zero dependencies.
We'll reuse the the ITimeProvider for the leaky bucket implementation
to permit for better unit testing as well as potentially alternate modes
of managing the time that the leaky bucket sees, such as simulation time.
Extracting this behavior into it's own class. We'll later extend
the functionality of the implementation to enable a training event
a mechanism for extending the current time loop maximum and/or for
flat out disabling it while the training is runnig and the leaky
bucket has capacity.
- Add Tiingo news data
- Add `IndexSubscriptionDataSourceReader` that will handle data source
which use and index file
- Add `BaseSubscriptionDataSourceReader` to avoid code duplication
- Adjustments at `LiveCustomDataSubscriptionEnumeratorFactory` so that
custom data in a collection format does not emit old data
- Adding `TiingoNewsJsonConverter`
- Adding unit tests
- Adding new `SubscriptionDataEnumerator` to fix broken enumerator Dipose chain
- Adding `Dispose` calls on enumerators in unit tests
- Fix unit test HandlesCoarseFundamentalData
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
- Adding `IRealTimeHandler.OnSecurityChanged()` will be used to update
the `OnEndOfDay` security related scheduled events
- Adding `BaseRealTimeHandler.cs` to reduce code duplication in the
`Backtesting` and `LiveTrading` `RealTimeHandlers`
- Adding CSharp and Python regression tests
- Deprecating `OnEndOfDay()` callback because of two reasons, mainly
because Python does not support two methods with the same name, but also
because different assets have different market close times.
- `ScheduledEvents` set at the same time will now be deterministic
- Adding new `StepTimeProvider` that will advance time based on a
desired custom evaluator.
- Live trading `Options`, `Futures` and `Coarse` data will use a
`FrontierAwareEnumerator` + `StepTimeProvider`. This will allow to hold
the selection data until its the desired time
- `Universe.CanRemoveMember` will round the members time in the universe
based on the `UniverseSettings.MinimumTimeInUniverse`
- C# `Timer` can sometimes be triggered before the expected due time.
Implementing `RealTimeScheduleEventService` that will guarantee a
scheduled event due time is respected and the event never happens before
time.
- `TextSubscriptionDataSourceReader` will now cache raw price mode data
points for each requested local source file, per data type.
Caching will be handled by the `MemoryCache` class.
- `GetLastKnownPrice()` will not `RoundDown` end time. This was causing
it to fail to fetch a data point in some cases.
- Adding new `PriceScaleFactorEnumerator` that will scale raw prices
based on a provided `SubscriptionDataConfig` and update the
`SubscriptionDataConfig.PriceScaleFactor`. Adding unit tests.
- `BaseData` factories (`TradeBar.cs`, `QuoteBar.cs`, `Tick.cs`) will
no longer scale factor prices, they will generate data points in raw
mode.
- `SubscriptionDataReader` will no longer update the
`SuscriptionDataConfig.PriceScaleFactor`
- Fix `BrokerageTransactionHandlerTests` unit test that was having a
race condition.
- `UniverseSelection` class will now keep track and remove internal
currency subscriptions through the usage of new class
`CurrencySubscriptionDataConfigManager`
- Modifying existing regression tests to assert bug 2773.
- Adding new regression test that fixes the case where a new cash is set
after initialization. This could happen during cash sync performed by
the `BrokerageTransactionHandler`.
- Adding new `CashAdded` event for the `CashBook` to solve the
issue.
- Moving `UniverseSelection.EnsureCurrencyDataFeeds` call into the
`IResultHandler` implementation through usage of the new `SetupHandlerHelper`
class, that will also set an initial conversion rate if none present.
- Adding regression test, that reproduces original issue
- Moving `Splits`, `Dividends`, `Mappings`, `Delistings`, from the
`SubscriptionDataReader` into there own enumerator, inheriting from
new `CorporateEventBaseEnumerator`
- Adding new helper `static class CorporateEventEnumeratorFactory` to
create the new enumerators
- Adding unit tests for new `CorporateEventBaseEnumerator`
- Adding some extra checks to `HourSplitRegressionAlgorithm` and
`DelistingEventsAlgorithm`
- Removing unneeded `CashBook` instance to create a new `TimeSlice`
- Adding new `TimeSliceFactory`, an instance base class that will
provide methods to create a new `TimeSlice`. Will own the `DateTimeZone`
property.
- Adding new `ISecurityPrice` and `IOptionPrice` that will provide a
reduced interface for accessing price properties and methods used when
creating a new `TimeSlice`
- The class `Subscription` will internally track each `Universe`
`SubscriptionRequest` added or removed
- Adding regression test in which two different `Universe` request the
same `SubscriptionDataConfig` and one of them removes/adds it in a
toggle fashion (fails on current master)
- `UniverseSelection` pending removals will also be tracked by
`Universe`
- `UniverseDecorator` will overwrite the `Universe` member of
`SubscriptionsRequests` at `GetSubscriptionRequests()`. This is due to
`this != this,Universe`
- Adding `Subscription` unit tests covering expected behavior
- Extracting pending removals logic from `UniverseSelection` class into
a new helper class `PendingRemovalsManager`. This new class will keep
track of the `universes` requesting to remove a security. Adding unit tests
- Creating new `Synchronizer` which will consolidate and combine `TimeSlice`
streaming for both live and backtests modes. Will live in front of the
`DataManager`
- `SubscriptionSynchronizer` will be the `FrontierTimeProvider` exposed,
and owned, by the new `Synchronizer`
- Updating existing tests
Martin Molinero