* avoid preliminary typing command lines arguments
* unit tests: Config.Get can parse and cast values
* unit tests: parse command line args and return string values
* unit test: parameter attribute converter
* merge&parse 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>
* Deletes NullAlphaHandler, NullLeanManager, NullSynchronizer
* Calculate the backtest and live PointInTimePortfolios only once now
* Refactor Metrics calculations
* Add missing license headers to some files
* Reverts accessibility of AddToUserDefinedAlgorithm to private
* Other misc. fixes and cleanup
* Make Benzinga News Converter more efficient (and cleaner!)
* Implement JSON converter for serialization/deserialization process
* Fix bug where duplicate symbols would be added to news.Symbols
* Modify algorithm strategies
Updates all occurrences of parsing/ToString-ing to use CultureInfo if
possible. This project can not reference QuantConnect.Common, so it's
unable to use the new StringExtensions.
See #3045
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
Created random-seed argument for rdg in order to let the user get deterministic output
Update documentation in 'FactorFileRow.cs' to accurately reflect factor
file structure
Update CSV generation for FactorFile so that it uses FactorFileRow's CSV
generator
Add FinancialCalendar to make it easier to implement logic regarding
financial quarters
Add mapping events to RandomDataGenerator
Update MapFileRow ToCsv method to correctly emit the ticker as lowercase
Fix bug in FactorFile where we would get the same initial data point twice
when we converted it to CSV
Create new method to convert a MapFile to CSV
Create new method to write MapFile to disk as CSV
Add unit test to test for successful CSV generation in MapFile
Add new files to project
Add FinancialCalendar unit tests
Create new class to handle generation of dividends, splits, and maps
This side steps the issue reported in #2840 by removing the desire to pass
zero for the maximum deviation. The previous issue was that we were leaning
on the trade ticks to produce the series variation and then trying to fit
quote ticks around a previously generated trade tick. This solution permits
both quote and trade ticks to produce variations and prevents the generator
from emitting both at the same time step.
A new parameter, --quote-trade-ratio, determines the relative density of each.
For example, a quote trade ratio of 1 means equal trade and quote ticks, whereas
a value of 2 means twice as many quote ticks as trade ticks.
This change also removes special treatment regarding the downsizing of the
requested deviation for quote ticks. If the consumer wants to limit the
deviation of quote ticks than the consumer can make that decision, but the
random value generator should simply follow instructions like a good little
boy.
Fixes#2840
Invoke from toolbox cli using --app=rdg or --app=randomdatagenerator
Produces random data over the requested time frame in the desired resolution,
security type and density.
Here's a few sample command line invocations:
--app=rdg --start=20190101 --end=20200101 --symbol-count=1 --resolution=Daily --data-density=Dense --include-coarse=false
--app=rdg --start=20190101 --end=20200101 --symbol-count=10 --security-type=Future --resolution=Hour --data-density=VerySparse
--app=rdg --start=20190101 --end=20200101 --symbol-count=5 --security-type=Option --resolution=Minute --data-density=Sparse
Martin-Molinero