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quantconnect--lean/Engine/DataFeeds
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Colton Sellers 5bf72d2432
Build & Test Lean / build (push) Has been cancelled
Adjust Volume for Splits (#5525) 
* Adjust TradeBar volume for splits

* Refactor solution to centralized function `Scale`

* Expand BaseData scale/adjust/normalize tests to assert volume behavior

* Add regression algorithm

* Update regression statistics

* Address review

* NOP to trigger cloud build

* adjust QuoteBar ask and bid size

* adjust broken regression

* Update tests to include QuoteBar adjustments

* nit cleanup

* Adjust Quote Tick bid and ask sizes

* Round volume and size values to nearest int in scale()

* nit

* Adjust regressions
2021-05-17 16:47:44 -03:00
..
Enumerators
Refactor StartDateLimited Warning Logs (#5510)
2021-04-30 10:55:16 -03:00
Queues
Bug 4600 brokerage unsubscribe symbol granular (#4640)
2020-09-14 20:11:44 -03:00
Transport
Add StreamReader BaseData.Reader
2019-11-18 17:03:27 -03:00
WorkScheduling
Minor adjustments for WorkScheduler (#5533)
2021-05-07 19:28:14 -03:00
AggregationManager.cs
Add internal subscriptions always (#4690)
2020-09-03 18:15:21 -07:00
ApiDataProvider.cs
Fix Lean Warnings V1 (#5408)
2021-03-22 11:08:48 -07:00
BacktestingFutureChainProvider.cs
BacktestingFutureChainProvider contract list resolution
2019-10-07 13:49:28 -03:00
BacktestingOptionChainProvider.cs
Fix Lean Warnings V1 (#5408)
2021-03-22 11:08:48 -07:00
BaseDataExchange.cs
Removing DF thread - LTDF bridge
2018-10-09 14:04:41 -03:00
BaseSubscriptionDataSourceReader.cs
Add Tiingo news data
2019-10-01 00:26:36 -03:00
CachingFutureChainProvider.cs
Changes FutureChainCacheEntry and OptionChainCacheEntry accessibility levels
2017-12-04 14:16:59 +00:00
CachingOptionChainProvider.cs
Changes FutureChainCacheEntry and OptionChainCacheEntry accessibility levels
2017-12-04 14:16:59 +00:00
CollectionSubscriptionDataSourceReader.cs
Raise InvalidSource when reader is empty
2019-09-27 15:26:36 -04:00
CreateStreamReaderErrorEventArgs.cs
Fix Lean Warnings V1 (#5408)
2021-03-22 11:08:48 -07:00
CurrencySubscriptionDataConfigManager.cs
DataPermissionManager is used by history provider
2020-06-12 12:51:14 -03:00
DataChannelProvider.cs
Refactor live data feed (#4636)
2020-08-18 20:21:10 -03:00
DataFeedPacket.cs
Address reviews
2019-06-04 17:16:52 -03:00
DataManager.cs
Adds Indexes and Index Options asset types (Backtesting/Live, IB only) (#5379)
2021-03-12 20:46:23 -03:00
DataPermissionManager.cs
DataPermissionManager is used by history provider
2020-06-12 12:51:14 -03:00
DefaultDataProvider.cs
Update Summary of DefaultDataProvider (#5503)
2021-04-23 11:19:46 -03:00
FileSystemDataFeed.cs
Refactor of Auxiliary Data Filtering (#5485)
2021-04-19 11:10:47 -03:00
IDataFeed.cs
Adding new DataPermissionManager
2020-06-12 12:34:10 -03:00
IDataFeedSubscriptionManager.cs
Reduce CPU usage in live synchronizer
2019-04-29 15:16:21 +02:00
IDataFeedTimeProvider.cs
Creating new Synchronizer - TimeSlice streamer
2018-10-19 15:36:08 -03:00
IDataManager.cs
Creating new Synchronizer - TimeSlice streamer
2018-10-19 15:36:08 -03:00
IndexSubscriptionDataSourceReader.cs
Lazy OnEndOfDay ScheduledEvent
2019-12-19 19:07:16 -03:00
InternalSubscriptionManager.cs
Add internal subscriptions always (#4690)
2020-09-03 18:15:21 -07:00
InvalidSourceEventArgs.cs
Renames ISubscriptionFactory to ISubscriptionDataSourceReader
2016-06-04 18:15:59 -04:00
ISubscriptionDataSourceReader.cs
File renames
2016-06-04 18:17:32 -04:00
ISubscriptionSynchronizer.cs
Adding new TimeSlice TimePulse
2019-08-07 14:45:39 -03:00
ISynchronizer.cs
Creating new Synchronizer - TimeSlice streamer
2018-10-19 15:36:08 -03:00
LiveFutureChainProvider.cs
Value types thread safety changes
2020-05-01 16:58:29 -03:00
LiveOptionChainProvider.cs
Fixes LiveOptionChainProvider.FindOptionContracts (#5434)
2021-03-29 13:39:41 -07:00
LiveSynchronizer.cs
Fix Lean Warnings V1 (#5408)
2021-03-22 11:08:48 -07:00
LiveTradingDataFeed.cs
Refactor of Auxiliary Data Filtering (#5485)
2021-04-19 11:10:47 -03:00
ManualTimeProvider.cs
Adding new ReferenceWrapper
2020-04-30 19:56:15 -03:00
NullDataFeed.cs
Adding new DataPermissionManager
2020-06-12 12:34:10 -03:00
PendingRemovalsManager.cs
Fix Lean Warnings V1 (#5408)
2021-03-22 11:08:48 -07:00
PrecalculatedSubscriptionData.cs
Bug 4031 Change data depending on configuration (#4650)
2020-09-09 18:40:19 -03:00
PredicateTimeProvider.cs
Refactor live data feed (#4636)
2020-08-18 20:21:10 -03:00
ReaderErrorEventArgs.cs
Renames ISubscriptionFactory to ISubscriptionDataSourceReader
2016-06-04 18:15:59 -04:00
RealTimeScheduleEventService.cs
Refactor live data feed (#4636)
2020-08-18 20:21:10 -03:00
SingleEntryDataCacheProvider.cs
Address reviews
2019-05-31 18:26:18 -03:00
Subscription.cs
Overall performance improvements v2
2019-06-05 17:06:59 -03:00
SubscriptionCollection.cs
Enable parallel unit testing
2020-04-27 17:45:53 -03:00
SubscriptionData.cs
Adjust Volume for Splits (#5525)
2021-05-17 16:47:44 -03:00
SubscriptionDataReader.cs
Refactor StartDateLimited Warning Logs (#5510)
2021-04-30 10:55:16 -03:00
SubscriptionDataSourceReader.cs
Value types thread safety changes
2020-05-01 16:58:29 -03:00
SubscriptionFrontierTimeProvider.cs
Value types thread safety changes
2020-05-01 16:58:29 -03:00
SubscriptionSynchronizer.cs
Universe dispose and removal (#5134)
2021-01-07 12:03:17 -03:00
SubscriptionUtils.cs
DataNormalizationMode Applies to AddSecurity (#5528)
2021-05-10 20:58:50 -03:00
Synchronizer.cs
Refactor live data feed (#4636)
2020-08-18 20:21:10 -03:00
TextSubscriptionDataSourceReader.cs
Fix low resolution cache (#5080)
2020-12-28 16:27:11 -03:00
TimeSlice.cs
Add internal subscription manager (#4678)
2020-09-01 21:22:22 -03:00
TimeSliceFactory.cs
Fix Warnings V2 (#5436)
2021-04-02 11:20:01 -07:00
UniverseSelection.cs
Stop UniverseSelection from removing the Symbol from the cache (#5513)
2021-04-30 19:01:29 -03:00
UpdateData.cs
Performance improvements
2019-10-17 10:26:37 -03:00
ZipDataCacheProvider.cs
Fix unhandled exception in ZipDataCacheProvider
2020-05-08 17:11:53 +02:00
ZipEntryNameSubscriptionDataSourceReader.cs
Value types thread safety changes
2020-05-01 16:58:29 -03:00