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    Refactor live data feed (#4636)

    frostbyte_neo 发布于 2020-08-18 23:21:10 +00:00 | 2845 次提交 在此版本后已推送到 master

    • 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

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