Although the Algorithm.FSharp project is excluded from the default Lean build, the reference to StringInterpolationBridgeStrong is required to build the project.
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
- Updates PythonNet to 1.0.5.17
- Improve performance by adding new `interop` `type` cache holding a `bool`, true if its an `exception`. And adding a `setter` and `getter` cache for the `propertyobject`. Closes#2925.
- Decimal parsing allows numeric string in exponential notation. Closes#2918#2919.
Closes#2929
- Requires a new PythonNet 1.0.5.15 package where the different `.dll` are in a
specific folder: `\win` `\linux` and `\osx`
- Removed not present `decimal.py` from `Algorithm.Python` project. It
was moved into `Common`.
- Replace `xbuild` for `msbuild` required for using the `System.Runtime.InteropServices`.
Also note the `xbuild` on travis prints:
> >>>> xbuild tool is deprecated and will be removed in future updates, use msbuild instead <<<<
In the new package:
- C# decimal conversion will use C# double and python float due to the big performance impact of converting C# decimal to python decimal;
- Adds log to display the python version the algorithm is using.
- Fixes python algorithms that were failing because of small subtleties
like leading zeroes.
- Updates pythonnet with a version compiled with python 3.6 flags
- Changes in DockerfileFoundation: we now use miniconda to manage the python
environment.
- Took the opportunity to add NTLK (#1349), Tensorforce (#1369) and
PyTorch/Pyro (#1385).
- Changes readme in Algorithm.Python to show steps to install miniconda
In this update, methods overloads with decimal parameters accept python float.
- Fixes FractionalQuantityRegressionAlgorithm:
With the pythonnet update we can pass a python float where a decimal is required.
In this new nuget package, we have included two versions Python.Runtime.dll for macOS
We also add the instructions to compile pythonnet for different operational systems
In the advanced build settings, Language version was also upgraded from C# 5.0 to C# 6.0. The minimum Visual Studio version required will now be VS2015.
This new pythonnet package makes available the latest version from pythonnet master branch and includes modifications to enable charting in Lean for python.
The dockerfile to create images for the cloud is updated to reflect the package update and adds keras and tensorflow
This includes updating all usages of symbol as a security identifier to use the new type.
The type includes a unique field, SID, as well as the current ticker's value. This allows
for consistent addressability while also allowing the ticker to evolve over time with the
mapping changes.
Effort was made to maintain compile and runtime backwards compatibility.
Time sync:
* Data feeds are required to time sync in UTC time
* TimeSlice.Time is now in UTC
IAlgorithm
* Time is now exclusively the algorithm's local time zone
* Added UtcTime
* SetDateTime( DateTime ) accepts a UTC time and is internally converted
SubscriptionDataConfig
* Adds market and time zone as required ctor parameters
SecurityExchange
* Now passes most calls directly through to SecurityExchangeHours class
SecurityExchangeHours
* Holds market hours for each day of week (LocalMarketHours)
* Talks in terms of local times in the SecurityExchangeHours.TimeZone time zone
Data/market-hours/
* New data folder to hold market hour information
* Includes market-hours-database.csv to hold market hours per market/symbol/security (see doc in file)
* Includes holidays-usa.csv to hold holidays for 'usa' market
+ The holiday files follow the pattern 'holidays-*.csv' where * is the market
TimeKeeper
* Receives updates in UTC time
* Passes that to LocalTimeKeeper's who lazily evaluate the time in their respective time zones
* Eventually this can grow to be the sole source of time in the algorithm's scope
MISC:
* Fixes exception thrown when exiting LiveTradingDataFeed
* Fixes exception thrown when exiting FileSystemDataFeed
* Fixes exception thrown when exiting StatusPing
* Simplify FillForwardEnumerator logic with GetNextMarketOpen
* Adds many time zones, see TimeZones.cs
Martin Molinero