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Martin-Molinero 3a3dbe29ea
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Bug chain selection improvements (#7376) 
* Contract chain selection improvements

- Adjust contract chain selection behavior for futures and options so we
  are sure to use the correct local time when filtering expirations.
  Adding unit test reproducing issue

* Update futures regression algorithms

* Address reviews
2023-07-13 20:34:45 -03:00
..
Enumerators
Bug chain selection improvements (#7376)
2023-07-13 20:34:45 -03:00
Queues
Minor fake data queue handler fixes (#7114)
2023-03-21 15:10:03 -03:00
Transport
Add StreamReader BaseData.Reader
2019-11-18 17:03:27 -03:00
WorkScheduling
Enable debugging worker threads (#6647)
2022-09-21 16:29:37 -03:00
AggregationManager.cs
Add internal subscriptions always (#4690)
2020-09-03 18:15:21 -07:00
ApiDataProvider.cs
Minor tweak for ApiDataProvider to support India (#6169)
2022-01-24 21:27:22 -03:00
BacktestingChainProvider.cs
Chain Providers will filter expired (#7267)
2023-05-23 18:33:07 -03:00
BacktestingFutureChainProvider.cs
Refactor chain providers (#6394)
2022-06-10 11:24:09 -03:00
BacktestingOptionChainProvider.cs
Expand Index option support (#6849)
2023-01-12 16:39:02 -03:00
BaseDataCollectionAggregatorReader.cs
Bug fix python history requests enumerable data (#6066)
2021-11-19 14:58:48 -03:00
BaseDataExchange.cs
Warmup fixes (#6293)
2022-05-31 10:03:56 -03:00
BaseDownloaderDataProvider.cs
Downloader Data Provider Improvements (#7159)
2023-03-31 18:29:55 -03:00
BaseSubscriptionDataSourceReader.cs
Add aggregator reader (#5942)
2021-09-27 17:25:23 -03:00
CachingFutureChainProvider.cs
Changes FutureChainCacheEntry and OptionChainCacheEntry accessibility levels
2017-12-04 14:16:59 +00:00
CachingOptionChainProvider.cs
Expand Index option support (#6849)
2023-01-12 16:39:02 -03:00
CollectionSubscriptionDataSourceReader.cs
Add aggregator reader (#5942)
2021-09-27 17:25:23 -03:00
CompositeDataProvider.cs
Data monitor (#6725)
2022-11-09 17:38:34 -03:00
CompositeTimeProvider.cs
Refactor multi IDQH frontier (#6709)
2022-10-25 11:59:21 -03:00
CreateStreamReaderErrorEventArgs.cs
Fix Lean Warnings V1 (#5408)
2021-03-22 11:08:48 -07:00
CurrencySubscriptionDataConfigManager.cs
Portfolio.UnsettledCashBook update when quote currency is not the account currency (#6871)
2023-02-09 12:53:52 -03:00
DataChannelProvider.cs
Live margin interest rate bug (#6833)
2023-01-03 14:13:11 -03:00
DataFeedPacket.cs
Memory Related Performance improvements (#6700)
2022-10-21 15:11:18 -03:00
DataManager.cs
Multiple Symbol Selection Universe (#7273)
2023-05-25 15:23:18 -03:00
DataPermissionManager.cs
Removes References To Built-in Custom Data Implementations (#5793)
2021-08-02 19:24:45 -03:00
DataQueueHandlerManager.cs
Expand Index option support (#6849)
2023-01-12 16:39:02 -03:00
DefaultDataProvider.cs
Data monitor (#6725)
2022-11-09 17:38:34 -03:00
DownloaderDataProvider.cs
Downloader Data Provider Improvements (#7159)
2023-03-31 18:29:55 -03:00
FileSystemDataFeed.cs
Minor IndexOption underlying TZ fix (#7072)
2023-03-15 18:41:52 -03:00
FillForwardResolutionChangedEvent.cs
Fill forward runtime adjustment (#7065)
2023-03-14 18:00:22 -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
Add aggregator reader (#5942)
2021-09-27 17:25:23 -03:00
InternalSubscriptionManager.cs
Live Internal Subscription Start Time (#6392)
2022-06-09 17:28:32 -03:00
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
Refactor chain providers (#6394)
2022-06-10 11:24:09 -03:00
LiveOptionChainProvider.cs
Live Option Chain Source Fix (#7369)
2023-07-11 20:43:11 -03:00
LiveSynchronizer.cs
Warmup fixes (#6293)
2022-05-31 10:03:56 -03:00
LiveTimeProvider.cs
Warmup fixes (#6293)
2022-05-31 10:03:56 -03:00
LiveTradingDataFeed.cs
Remove expire check for live universe subscriptions (#7377)
2023-07-13 20:33:24 -03:00
ManualTimeProvider.cs
Adding new ReferenceWrapper
2020-04-30 19:56:15 -03:00
NullDataFeed.cs
Continuous futures (#6034)
2021-11-15 14:44:30 -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
Warmup fixes (#6293)
2022-05-31 10:03:56 -03:00
ReaderErrorEventArgs.cs
Renames ISubscriptionFactory to ISubscriptionDataSourceReader
2016-06-04 18:15:59 -04:00
RealTimeScheduleEventService.cs
Performance improvements and fixes (#6330)
2022-05-13 15:04:09 -03:00
SingleEntryDataCacheProvider.cs
Option selection improvements (#6144)
2022-01-10 11:18:28 -03:00
Subscription.cs
Fill forward runtime adjustment (#7065)
2023-03-14 18:00:22 -03:00
SubscriptionCollection.cs
Fill forward runtime adjustment (#7065)
2023-03-14 18:00:22 -03:00
SubscriptionData.cs
Warmup resolution respected (#6467)
2022-07-15 13:05:06 -03:00
SubscriptionDataReader.cs
Fix future daily price scale factor update (#6963)
2023-02-14 20:09:59 -03:00
SubscriptionDataSourceReader.cs
Option selection improvements (#6144)
2022-01-10 11:18:28 -03:00
SubscriptionFrontierTimeProvider.cs
Value types thread safety changes
2020-05-01 16:58:29 -03:00
SubscriptionSynchronizer.cs
Live T-1 selection warmup (#6395)
2022-06-10 17:25:20 -03:00
SubscriptionUtils.cs
Fill forward runtime adjustment (#7065)
2023-03-14 18:00:22 -03:00
Synchronizer.cs
Warmup fixes (#6293)
2022-05-31 10:03:56 -03:00
TextSubscriptionDataSourceReader.cs
Fix fill forward unit tests (#7070)
2023-03-15 12:45:04 -03:00
TimeSlice.cs
Add internal subscription manager (#4678)
2020-09-01 21:22:22 -03:00
TimeSliceFactory.cs
Remove internal subscriptions from future chain (#7169)
2023-04-05 18:23:04 -03:00
UniverseSelection.cs
Fix security cache reset (#6959)
2023-02-14 12:09:27 -03:00
UpdateData.cs
Performance improvements
2019-10-17 10:26:37 -03:00
ZipDataCacheProvider.cs
Expand GetSecondUnevenWait usages (#6340)
2022-05-16 20:12:22 -03:00
ZipEntryNameSubscriptionDataSourceReader.cs
Option selection improvements (#6144)
2022-01-10 11:18:28 -03:00