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593 Commits

Author SHA1 Message Date
Stefano Raggi 0a046699fc Consolidate SharpZipLib library usage 2020-05-28 11:18:44 +02:00
Stefano Raggi cfb3329f33 Update System.Net.Http to latest version 
- also removed unused references
 2020-05-22 22:55:18 +02:00
Martin-Molinero 34f5e6d427 Merge pull request #4439 from QuantConnect/bug-smartinsider-history-dropped-points 
Updates Smart Insider transactions and intentions to use different time index
 2020-05-22 11:12:07 -03:00
Martin-Molinero 1d0d4f4d7b Add assembly descriptions (#4442) 
Add assembly descriptions
 2020-05-21 09:35:12 -07:00
Gerardo Salazar f610b3a4fb Updates Smart Insider transactions and intentions to use different time index 
* We now use the time at which Smart Insider added a given event to
   their database. Because time indexes for Smart Insider are now
   non-duplicated per symbol, the History request will properly work.
 2020-05-20 14:55:28 -07:00
Martin Molinero 891cf4d69b Update to .Net 4.6.2 2020-05-15 17:32:46 -03:00
Martin-Molinero 7bcd648f86 Merge pull request #4409 from QuantConnect/bug-3936-tiingonews-data-points-drop-v2 
Fix TiingoNews Time
 2020-05-15 10:13:49 -03:00
Gerardo Salazar 9ad876ff31 Fixes data destination issue in BenzingaNewsDataConverter 2020-05-14 13:01:29 -07:00
Stefano Raggi bef8011327 Address review 2020-05-14 01:14:19 +02:00
Stefano Raggi 541421f290 Fix extended market hours flag 2020-05-13 11:38:53 +02:00
Stefano Raggi d7ca05c541 Save future/option daily/hourly data in LeanDataWriter 2020-05-13 11:38:53 +02:00
Stefano Raggi 880afae4b7 Add futures download and save to IBDataDownloader 2020-05-13 11:38:53 +02:00
Stefano Raggi 0831f2052d Add future/option support to LeanDataWriter 2020-05-13 11:38:53 +02:00
Stefano Raggi b3cf6315de Add IncludeExpired flag to IDataQueueUniverseProvider.Lookup 
This flag was added to enable history requests for expired futures and options contracts.
 2020-05-13 11:38:53 +02:00
Martin Molinero 6009e3ffeb Fix TiingoNews Time 
- Fix TiingoNews time for backtesting, converter will store and organize
  data based on the 'QC time' which is crawldate or publish data plus an
  offset
 2020-05-12 16:15:26 -03:00
Martin-Molinero 8511235bcd Merge pull request #4401 from gsalaz98/bug-estimize-estimates-reader-crashing 
Fix Estimize processing issues that prevented two downloaders from completing
 2020-05-11 20:18:07 -03:00
Gerardo Salazar 7036a3e99c Address review - add missing continue statement and extends unit tests 2020-05-11 15:14:43 -07:00
Martin Molinero 269b8ba204 Remove PsychSignal data 
- Remove PsychSignal data since it's no longer available
 2020-05-11 18:48:13 -03:00
Gerardo Salazar 4a923e3e43 Address review - add tests and reduce code duplication 
* Refactors the delimiter detection method to make adding new
    values quick and easy.
 2020-05-11 13:46:08 -07:00
Gerardo Salazar 5d6c5c6235 Fix processing issue that stopped Estimize from completing successfully 
* We made an assumption that all tickers marked as "defunct" from
    Estimize would have a dash '-' separating the defunct indicator
    from the ticker. However, there was a ticker where the defunct
    separator was actually an underscore '_'. There are now
    additional checks in place to ensure that we do not pass the
    Substring method an invalid 'length' value.
 2020-05-11 12:22:06 -07:00
Martin Molinero c226914322 Value types thread safety changes 
- 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
 2020-05-01 16:58:29 -03:00
Jared c939c68f21 Merge pull request #4350 from QuantConnect/feature-4348-extend-idqh 
Add Dispose and IsConnected to IDataQueueHandler
 2020-04-30 11:24:50 -07:00
JJD 13f54e7ffe Remove exchange from tick files 2020-04-28 16:29:17 -03:00
JJD eff06b86eb Look for exchange on SPDB instead of the raw filename 2020-04-28 16:29:17 -03:00
Martin Molinero 07f36ad3e9 Update IQFeedDataQueueHandler future market check 2020-04-28 16:29:16 -03:00
JJD 9ecc6b008b Fix issue in AlgoSeekFuturesReader 2020-04-28 16:29:16 -03:00
JJD cbcc20a22b Remove all references to Market.USA in AlgoSeek futures converter 2020-04-28 16:29:15 -03:00
Juan José D'Ambrosio 41955297f0 Parse the exchange from raw data filename 2020-04-28 16:29:14 -03:00
Martin Molinero cd2ef13d38 Update FuturesExpiryFunctions 
- Update FuturesExpiryFunctions to be keyed by symbol. Updating unit
  tests
 2020-04-28 16:29:14 -03:00
Martin Molinero 88d4719327 Fixes for future market users 
- Update consumers using Market.USA for future symbols
- Fix for SymbolPropertiesDatabase changes
 2020-04-28 16:29:14 -03:00
JJD d2e42409d3 Update Futures converter for new exchanges 2020-04-28 16:29:14 -03:00
Stefano Raggi 7554babad8 Add Dispose and IsConnected to IDataQueueHandler 2020-04-28 17:39:13 +02:00
Michael Sena fce5d9d2e6 Remove references to IKVM.Reflection in Brokerages and ToolBox 2020-04-22 01:31:53 +10:00
ScalpTrader f0147e38ff Ignore symbols with the new continuous contract symbol 2020-04-14 16:25:09 -10:00
Mathieu Paquette beb4db60ff fix(ToolBox\IQFeed): new unsupported continuous symbol pattern 
Fixes #4280
 2020-04-04 11:17:33 -04:00
AlexCatarino 72f0f44f60 Updates Pythonnet Version 
From 1.0.5.29 to 1.0.5.30
Ref.: https://github.com/QuantConnect/pythonnet/pull/42
 2020-04-01 16:15:05 +01:00
Martin Molinero bed8817482 Fix toolbox building always 2020-03-26 15:04:18 -03:00
Martin-Molinero 0badbeba52 Merge pull request #4204 from QuantConnect/bug-4203-benzinga-json-serialization 
Fix serialization of BenzingaNews Time and EndTime properties
 2020-03-20 14:56:28 -03:00
Gerardo Salazar ad3236e0e8 Skips serialization of null values in BenzingaNewsJsonConverter 
* Adds new unit tests for BenzingaNewsJsonConverter

* Fixes issue in BenzingaNewsDataConverter where we would
  write data in local time, resulting in non-UTC times from
  the deserialization in BenzingaNews.Reader(...). Unit tests
  were added for this issue as well
 2020-03-19 17:56:34 -07:00
Martin-Molinero d347655a28 Merge pull request #4179 from QuantConnect/refactor-corase-generator 
Refactor corase generator
 2020-03-19 11:21:54 -03:00
Martin-Molinero 1d9d10c2e9 Merge pull request #4219 from gsalaz98/bug-fix-estimize-converter-share-class-tickers-skipped 
Fixes bug where share class tickers (e.g. BRK.B) would not be processed for Estimize
 2020-03-18 19:48:31 -03:00
Gerardo Salazar cba9ae2e9e Fixes bug where share class tickers (BRK.B) would not be downloaded and converted 
* Removes try/catch around RateGate, since it was fixed in issue #3499
 2020-03-18 15:07:30 -07:00
Stefano Raggi 70f90afce0 Fix Estimize time zone bug in timestamp deserialization 2020-03-14 00:30:10 +01:00
Juan José D'Ambrosio ba2e64f9f4 Add blacklisted ticker list 
set file as content
 2020-03-11 14:45:29 +00:00
Juan José D'Ambrosio 0ee16cbd55 Add blacklisted ticker list 
Also, remove obsolete files
 2020-03-11 14:25:32 +00:00
Juan José D'Ambrosio 92a154be2a Fix issue with listing 2020-03-10 20:43:17 +00:00
Juan José D'Ambrosio 24a43e4832 Address review 2020-03-10 20:31:38 +00:00
Juan José D'Ambrosio 1ab9545262 Fix issues with capitalization and trailing zeroes 2020-03-10 19:28:05 +00:00
Juan José D'Ambrosio ae2531cf05 Fix issues add xml docs 
Concurrent collections concerns 

Reading of fine fundamental folder improvement

Create output folder 

Implement changes in ToolBox and RDG rprograms
 2020-03-10 18:26:32 +00:00
Juan José D'Ambrosio 2e4d1fae01 Refactor corase generator 
Invert logic, start from map files and look for data in daily folders

Also generate all coarse in in memory and write all coarse files at once

Remove obsolete code

Parallelize reading and writing
 2020-03-10 18:25:56 +00:00