* 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 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
* 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>
- Adding new DataPermissionManager that will own the existing
datachannelProvider. Will assert configurations before added to the
data feed. Adding unit tests
- 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
Adalyat Nazirov