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    Add primary exchage to map files (#5194)

    frostbyte_neo 发布于 2021-01-21 21:46:12 +00:00 | 2590 次提交 在此版本后已推送到 master

    • Add main exchange to map file

    minimum minimorum test

    • Add MainExchange to MapFilRow IEquatable implementation
      Also write CSV line correctly

    • Normalize exchanges

    Also add small test form MapFileRow

    • Exchange name normalization
    • Exchange name normalization.
    • Tick will protobuf ExchangeCode which will set existing Exchange

    • Include single character exchange code

    • Encode exchange as byte, Include exchange name as Enum

    • Update MapFileRow.cs to accept a byte instead a string for primary exchange

    • Fix issues in encoding exchanges map

    • Fix broken MapFile tests

    • Rename Main Exchange property in MapFileRow

    • Use BATS instead of BATSZ

    • Add primary exchange from map file

    • Move MapFilePrimaryExchangeProvider to its own file

    • Implement Char for primary exchange in map files

    • Fix broken tests after implementing char exchange into map file

    • Add a new constructor for MapFileRow

    it accepts a PrimaryExxchange object as parameter

    • Fix broken test

    WIP

    • Address review

    WIP

    • Handles unexpected encoded exchanges

    • Keep addressing review

    • Address review

    • Fix broken tests

    Make PrimaryExchange as default even if the IPrimaryExchangeProvider is not instantiated

    • Revert breaking change.

    • Add a check that resolved map file actually have content

    The issue that leads to this change was caused by a map file resolved to APC in the CoarseFundamentalTop3Algorithm.
    The resolver returns a not-null MapFile, but it is empty.
    To my best understand, the MapFile Resolver should return only existing map files in the map_files folder. But the LocalMapFileProvider returned a map file with a permtick that doesn't exist in the file system as CSV.

    • Set PrimaryExchange.UNKNOWN as default

    • Address review couple minor bugs

    • Use SID market instead of USA
    • Default ticke exchange is UNKNOWN
    • Update map files with latest format and latest info

    This include:

    • VXX, it was delisted, then VXXB appears and later it chnages from VXXB -> VXX
    • AAA delisting and a new listing with ticker AAA
    • FOXA ticker changue to TFCFA and later it was delisted

    • Update test after updating latest map files

    • Fix bug with factor files after updating map files

    • Fix bug with factor files after updating map files

    and revert statistics in regression tests

    • Update OrderHash in regression test

    Co-authored-by: Martin Molinero martin.molinero1@gmail.com

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