- Adding an example algorithm of a custom universe selection using
coarse data and adding tiingo news. If conditions are met will add the
underlying and trade it
- Adding required UniversePythonWrapper
This example shows how to create an EMA cross algorithm for a futures' front contract. Once the contract is added, the indicators are registered to a new consolidator and warmed up with historical data. When a contract is removed, the consolidator is removed and the indicators are reseted. We don't need to liquidate it, because it's liquidated automatically since it has expired.
- 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.
This basic algorithm implements a `CustomPartialFillModel` class that chnages the behavior of the `FillModel.MarketFill` to simulate partially fill orders.
- Update regression algorithms stats after making SecurityCache ignore
QuoteBars for equity for OHCL values and GetLastData(). They were
affected since the `BenchmarkSecurity` used `.Price` which was QB for
equities. Order list hashes changed because SubmissionLastPrice will
now be TB instead of QB
The stale price message should use `ToStringInvariant` with `price.EndTime` for string represenation across different cultures. The former behavior has impact on the order list hash calculation.
- Disable order event streaming in backtest
- Add new OrderEvent IsUpdate flag to be set by the different brokerage
implementations
- Update regression test stats after rebase
- WarmupIndicator will be able to determine the correct type to use
- Fix bug in `History.GetMatchingSubscriptions()` which would use the
same TZ for exchange and data. Covered by regression algorithm.
- Consolidate will only infer `TickType` from `T` is not abstract
- Adding regression algorithm
- Slice will expose `Get(Type)` to get data by type, adding unit tests
Colton Sellers