* Simplify BaseWebSocketsBrokerage reconnection
- Gdax does not emit time pulse so when no subscription was present the
DefaultConnectionHandler would trigger a reconnect. Replacing for
directly resubscribing on reconnect.
- TPV == 0 will send warning message instead of being an exception
* Fix unit test
* regression tests
* fix: apply the same time convertion to history request time as for data time
* ver2
* fixup
* unit tests
* do not need this conversion because RoundDownInTimeZone returns in proper TZ
* comment
* requested changes
* refactoring
* more refactoring
* fix existing test: should return Sunday if open
* more symbols
* fix existing tests: submit new btcusd data
* fix
* add Cfd symbol
* Fix regression *.{lang}.details.logs
Regression tests produce syslogs and a details.logs file. The details log file
provides a mechanism for logging data that passes through the result handler,
such as order event data. A change in the initialization ordeer of components in
the engine cause the algorithm id to not be set yet. The base result handler's
AlgorithmId property is populated via the job and is available, so we use that
instance.
* Update RegressionResultHandler.cs
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Add DataProviderEventArgs base class for IDataProviderEvents event args
This base class includes a Symbol property. This will empower event listeners
to make decisions based on which security (symbol) raised the event. The immediate
use case is preventing multiple numerical precision messages for the same security.
This pattern can equally be applied to other error messages that are raised each
time a security is added to a universe.
See: #BUG-4722
* Update ConcurrentSet.Add to use ISet<T>.Add returning bool
It's a very common pattern to use if (set.Add(item)) which is enabled
via bool ISet<T>.Add(item) but not enabled via void ICollectiont<T>.Add(item).
This change simples changes the default Add implementation to use the ISet<T>
overload and relegates the ICollection<T>.Add implementation to be explicit.
See: #BUG-4722
* Prevent multiple numerical precision messages for same symbol
If a security is continually added/removed from a universe, then the user will
see this message each time the security is added. This results in some spam.
This change simply remembers for which symbols we've notified the user about the
numerical precision issue.
Fixes: #BUG-4722
* Calculate both raw and adjuasted prices for backtesting
* disable second price factoring
* move and reuse method
* test coverage for new methods
* reuse scaling method
* reuse subscriptionData.Create method
* removed unused code
* regression test
* switch to aapl
* fix regression test output
* more asserts
* fix comments - reduce shortcuts and abbrevation
* more comments
* merge parameters
* reduce number of getting price factors
* fix tests
* fix tests
* fix regression tests
* calculate TotalReturn on demand
* include TotalReturn calculations
* perf tuning
* more unit tests for SubscriptionData.Create
* simplify things - store and return only raw and precalculated data
* fix regression tests; change it back
* factor equals 1 for Raw data
* small changes
* follow code style
* implement backward compatibility
* Add set market price during extended market hours
- Set market prices during extended market hours for live trading.
Adding unit test
* Add assert on internal data count
* Fix key not found exception at InternalSubsManager
- Fix key not found exception
- Fix backtesting chart sampling
* Add comment about PreviousUtcSampleTime
* Add internal subscription manager
- Add InternalSubscriptionManager that will handle internal
Subscription. Replaces the realtime updates
- Fix thread race condition in the TimeTriggeredUniverseSubscription, we
have one thread injecting data points, the main algorithm thread, and
the base exchange is pulling from it
- Fixes for FakeDataQueue
- Adding unit tests
* Address reviews and fixes
- Internal subscription will use extended market hours
- Only sample charts accordingly
- Get api-url once
- `UniverseSelection` and `Research` will always use
`AlgorithmHandler.DataProvider` instance instead of
`DefaultDataProvider`
- Remove Compression at test/app.config since the dll isn't required
- Add missing license header
* DataConsolidator Wrapper for Python Consolidators
* Regression Unit Test
* Refactor Regression test
* Bad test fix
* pre review
* self review
* Add RegisterIndicator for Python Consolidator
* Python base class for consolidators
* Modify regression algo to register indicator
* unit test - attach event
* Test fix
* Fix test python imports
* Add license header file and null check
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Add empty cashbook check in BrokerageSetupHandler
* Update check for zero TotalPortfolioValue
* Move check for zero TPV after setting currency conversions
* Fix zero conversion rate for account currency + add unit tests
* Fix unit test
* Live Coarse universe refactor
- Live trading will source Coarse and Fine fundamental data directly
from disk. Updating unit tests.
* Adds ILiveDataProvider interface
* Adds wrapper for IDataQueueHandler implementations
* Replaces IDataQueueHandler with ILiveDataProvider in
LiveTradingDataFeed
* Edits IDataQueueHandler documentation
* Maintains aggregation for current IDQH impls and skips for ILDF impls
* Note: No unit test was created for this method, go back and TODO
* Protobuf Market data
- Adding protobuf support for Ticks, TradeBars and QuoteBars. Adding
unit tests.
* Adds unit tests for LiveDataAggregator changes
* Fixes bug where custom data was not handled as it was before
* Fixes race condition bug because of variable reuse in class
* Add protobuf extension serialization
* Fixes for protobuf serialization
* Refactor
* Fix OptionChainUniverse
* replace BaseDataExchange pumping ticks with consolidators
* AlpacaBrokerage
* BitfinexBrokerage
* GDAXBrokerage
* OandaBrokerage
* InteractiveBrokers
* TradierBrokerage
* FxcmBrokerage
* PaperBrokerage
* etc
* WIP fixes for existing LTDF unit tests
* Fixes more LTDF unit tests
* make IDataAggregator.Update recieving Generic BaseData rather than Tick
* Change IDataQueueHandler.Subscribe method
* Some fixes after adding new commits
* Adds protobuf (de)serialization support for Dividend and Split
* Serialize protobuf with length prefix
* Fix missing LTDF unit tests
* Adds TiingoNews protobuf definitions
* fix comments
* more fixes on IQFeedDataQueueHandler
* disallow putting ticks into enumerator directly
* ScannableEnumerator tests
* fix OandaBrokerage
* AggregationManager unit tests
* fix AlpacaBrokerage tests
* fix InteractiveBrokers
* fix FxcmBrokerage tests
* call AggregationManager.Remove method on unsubscribe
* fix GDAX existing tests
* Fixes, refactor adding more tests for AggregatorManager
* Adds BenzingaNews protobuf definitions and round trip unit test
* Adds missing TiingoNews unit test to Protobuf round trip tests
* Improve sleep sequence of LiveSynchronizer
* need start aggregating first, and then can subscribe
* More test fixes and refactor
- Refactoring AggregationManager and ScannableEnumerator so the last is
the one that owns the consolidator
- Adding pulse on the main LiveSynchronizer
* Improve performance of LEquityDataSynchronizingEnu
* Add missing Set job packet method
* Minor performance improvements
* Improvements add test timeout
- Improvements adding test timeout to find blocking test in travis
* Improve aggregationManager performance
* Testing improvements for travis
* Remove test timeouts
* More test fixes
- Adding more missing dispose calls and improving determinism
* fix IEXDataQueueHandler and tests
* Final tweaks to LTDF tests
* more AggregationManager tests
* consume and log ticks
* fix test: couldn't subscribe to Forex tickers
* change Resolution for all bar configs
* Improve RealTimeScheduleEventServiceAccuracy
* refactoring: move common code to base class
* fixed bug; unsubscribe SubscriptionDataConfig
* Small performance improvement
* Minor fixes
* Avoid Symbol serialization
* Fixes coarse selection in live mode
* Fix for live coarse
* Adds protobuf (de)serialization support for Robintrack
* Adds round-trip unit test
* Minor performance improvements
* More minor performance improvements
* pass LiveNodePacket through to OandaBrokerage
* Fixes empty list becoming null value when deserializing with protobuf
* Reverts BZ live trading exception removal and fixes tests
* Refactor WorkQueue making it abstract
* Add try catch for composer
* Adds optional data batching period to LiveFillForwardEnumerator
* Override data-queue-handler with config
* Improve PeriodCountConsolidator.Scan performance
* Move batching delay to main Synchornizer thread
* Reverts addition of Robintrack protobuf definitions
* Give priority to config history provider if set
* Add Estimize protobuffing
- Add Estimize protobuffing support. Adding unit tests
* Always dispose of data queue handler
Co-authored-by: Gerardo Salazar <gsalaz9800@gmail.com>
Co-authored-by: Adalyat Nazirov <aenazirov@gmail.com>
- 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.
Martin-Molinero