IlshatGaripov
29e9d678f2
* Fixes 4815 by loading the requested assembly from different folder. # Conflicts: # ToolBox/Program.cs * Upgrades System.Collections.Immutable to Version=1.2.5.0 * Creates a prototype for SSE streaming in IEXDataQueueHandler. * Revert the changes in Tick.cs * Implements a logic in IEXDataQueueHandler that updates the data-feed subscription after Subscribe/Unsubscribe * Implements IEXCouldSubscribeMoreThan100Symbols - which fails and other small fixes. * Implements DoForEach LinqExtensions * Implements IEXEventSourceCollection that wraps all logic that is SSE-subscriptions and symbol-limits-per-connection concerned. * Changes: 1) Fixes to address review. 2) Makes IexMarketPercent in QuoteSSE nullable as null values are assigned to in this field in data object received before the traing session start. 3) Deprecates helper Subscribe/Unsubscribe in IEXDataQueueHandler and IEXCouldSubscribe test. * Fixes: 1) _refreshEvent.Reset() order was not correct - should be called before UpdateSubscription 2) ProcessJsonObject- leaves only the functionality to emit ticks. 3) IEXEventSourceCollection - replaces int counter with CountdownEvent to improve the logic - in particular, need a mechanism that would not allow the repeated call to continue until the first one is completed * Refines the logic with parsing a data snapshot. * Fixes few more bugs: 1) Logic in ProcessJsonObject 2) Logic in UpdateSubscription - need to introduce additional ManualResetEvent to implement the intended logic - otherwise the logic is not suitable for general case * Introduce rate-gate limit in IEXEventSourceCollection: because when subscribing to a bunch of shares (more than 200 for example) the violation of rate gate policy may occur, which described in API docs asRequest Limits IEX Cloud only applies request limits per IP address to ensure system stability. We limit requests to 100 per second per IP measured in milliseconds, so no more than 1 request per 10 milliseconds. SSE endpoints are limited to 50 symbols per connection. You can make multiple connections if you need to consume more than 50 symbols.: * Few additional fixes done after real time testing * Adds xml-docs in stream response object + renaming a file. * Fixes: 1) Additional StreamResponseStocksUS parsing issues, that can happen outside of regular exchange hours. 2) Cancel clientUpdateThread by means of CancellationTokenSource 3) Replace BuildSymbolsQuery by string.Join * Fixes: 1) Changing Log Trace -> Debug 2) Adds ConfigureAwait(false) to async method call 3) Removes direct reference to System.Net.Http * Removes a task and manual reset event in IEXEventSourceCollection * Additions: 1) IEXEventSourceCollectionSubscribes test 2) GetSnpStocksArray() helper method 3) Installs packages in QC.tests : HtmlAgilityPack & LaunchDarkly.EventSource * IEX history provider fixes : 1) Tiny bug in ProcessJsonObject - use continue instead of return as execution is inside the for-each block) 2) Adds period variable for the historical data retrieved 3) Fixing from if (date.Date < start.Date || date.Date > end.Date) conditional check --> if (date < start || date > end) for more precise sorting. * Changes: 1) Removes HtmlAgilityPack and SNP scraper 2) Uses hard coded symbols instead * Bug fix: - at certain hours (example: before pre-market open or on holidays) IEX may send no data on subscription - when trying to connect during those hours Message handler may not be fired - need to place the counter signal to client.Opened to be informed of successful connect. * Implements: 1) IEXEventSourceCollectionSubscriptionThoroughTest and MockedIEXEventSourceCollection 2) Makes changes to IEXEventSourceCollection accordingly to allow the thorough testing. * Fixes formatting issue in StreamResponseStocksUS * Small fix for a new tests: - Change RemovedClientSymbols to keep not clients itself, but symbols array, because clients are being disposed right further * Enables extended logging in Toolbox. * Fixing IEX historical data fetcher bugs: 1) Bug in IEXDataDownloader.cs - HistoryRequest not precisely correct. 2) Enables day-by-day daily bar downloading in IEXDataQueueHandler. Motivation: Suppose we need data for some interval in the past - from-date=20170915-00:00:00 --to-date=20171103-00:00:00. With current behavior IEX would have to download all the historical data from =20170915-00:00:00 up to this day. 3) Extends SynchronizingHistoryProvider * Enables async fashion historical data download * More fixes to IEXCouldGetHistory test. * Reverts day-by-day daily bar downloading and other fixes. * Removes needless packages & references * Fix package reference * To address review * Sort out zero price ticks: after testing on real-time algo 30 min before the market open now - IEX may send updates for many securities with zero lastPrice, lastSize - fix to sort such entries out * Workaround for missing QuoteTicks timestamps: Since we don't have a stamp for quote tick updates (only for trades) we calculate the average delay between trade tick's time stamp and local time, and assuming that delay in average is the same for quote updates - just assign the local machine time adjusted for this average * Simplifies the things. * Changes: 1) Deprecates quote updates for IEX stocks. 2) Reduce the stream updates to reduce costs to -> # Stock Quotes every 1 second (per symbol? ) # Can be up to 54,000 messages per symbol per day https://iexcloud.io/docs/api/#how-messages-work * Fixes: 1) IEXDataQueueHandler: give an error message on extended market hours or tick resolution subscription request. As they are not really well supported by IEX. 2) Few small fixes in IEXEventSourceCollection, including additional condition for when the subscription remains irrevocable.
54 lines
4.1 KiB
XML
54 lines
4.1 KiB
XML
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