- TickQuoteBarConsolidator will use previous bar. Updating unit tests
- QuoteBarConsolidator open ask and bid will match previous bar close
bid and ask. Adding unit tests
- Adding new DataPermissionManager that will own the existing
datachannelProvider. Will assert configurations before added to the
data feed. Adding unit tests
- Do not reuse parameter variables `start` and `end`. Create new variables with meaningful names and rename them to `startUtc` and `endUtc`.
- Use `EachTradeableDayInTimeZone` to calculate `tradableDates`.
- Adds another test/assertion in the regression algorithms to ensure tests in the scheduled event were performed.
The tradable days of the history request should respect the data time zone since the data source files also do.
Upgrade `BasicTemplateFuturesHistoryAlgorithm` to a regression algorithm and add a schedule event to test history requests every hour.
* 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
Martin-Molinero