* Binance Brokerage skeleton
* Market hours
* Implement Symbol Mapper
- known symbols available on /api/v1/exchangeInfo
- fiat currencies are pegged
* Implement GetCashBalance
* Implement GetAccountHoldings
- there are no pre-existing currency swaps
- cash balances are pulled and stored in the cashbook
* Implement GetOpenOrders
* Manage orders: PlaceOrder
* Manage orders: UpdateOrder
Update operation is not supported
* Manage orders: CancelOrder
* Messaging: order book
* Messaging: trades
* Messaging: combine streams
- connect to fake /ws/open channel on init
- case by channel name, but not event type
* Messaging: order depth updates
- ticker symbol is not enough as it pushes updates only once a second, this would be a very incomplete data stream
- fetch ticker snapshot if lastUpdateId == 0
- follow Binance instructions for keeping local orderbook fresh
* Messaging: user data streaming
- Request userDataStream endpoint to get listenKey
- keep listenkey alive
- handle order close event
- handle order fill event
* DataDownloader: get history
- we can aggregate minute candles for higher resolutions
* fix data stream
* Tests: FeeModel tests
* Tests: base brokerage tests
* Tests: download history
* Tests: symbol mapper
* Support StopLimit andd StopMarket orders
* StopMarket orders disabled
Take profit and Stop loss orders are not supported for any symbols (tested with BTCUSDT, ETHUSDT)
* Tests: StopLimit order
* Tests: crypto parsing
* Reissue user data listen key
* comment custom currency limitation
* rework websocket connections
* implement delayed subscription
* adapt ignore message
* add license banner
* use better suited exception type
* avoid message double parsing
* support custom fee values
* extract BinanceApiClient to manage the request/response between lean and binance
* use api events to invoke brokerage events
* do not allow to terminate session if it wasn't allocated.
* update binance exchange info
* tool to add or update binance exchange info
* ExchangeInfo basic test
* Rebase + Resharp
* Binance brokerage updates
- Fix sign bug in sell order fills
- Fix bug in GetHistory
- Remove duplicate symbol from symbol properties db
* Remove unused code
* Revert removal of account currency check
* Update symbols properties database
* Address review
* Address review
- Upgrade API endpoints from v1 to v3
- Updated sub/unsub for new subscription manager
- Subscribe best bid/ask quotes instead of full order book
- Added handling of websocket error messages
- Cleanup + refactor
* Update symbol properties database
* Remove list from symbol mapper
* Fix symbol mapper tests
* Address review
- Fix resubscribe after reconnect
- Fix quote tick edge case
* Fix EnsureCurrencyDataFeed for non-tradeable currencies
* Fix check in EnsureCurrencyDataFeed
* Reuse base class subscribe on reconnect
Co-authored-by: Adalyat Nazirov <aenazirov@gmail.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Upgrade Bitfinex brokerage to API v2
* Fix rebase
* Address review
- use te instead of tu messages for trades
- add missing orderMap removals
- ClientOrderId is now time-based instead of a counter
- minor cleanup
* Trigger build
- `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
* Add PolygonDataQueueHandler
* Add history provider and downloader for Polygon
* Add aggregator to PolygonDataQueueHandler
* Address review
- Removed duplication in message classes
- Added public Subscribe/Unsubscribe methods in PolygonWebSocketClientWrapper
- Added history requests for Forex and Crypto
* Address review
- Add security type and market arguments to downloader
- Fix time zone bug in downloader
* Remove unnecessary locks
* Add Polygon history for all resolutions
- Equity: trades and quotes
- Forex: quotes only
- Crypto: trades only
* 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>
* Allow LeanDataWriter to append to zip data files
* Use the data directory provided to the writer instead of the global value
* Disregard the time-portion of an input date
* Overwrite zip entries when creating futures data files
* Minor tweak and adding unit test
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* 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.
* 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.
- 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
nazbrok