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quantconnect--lean/Launcher/config.json
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Martin-Molinero 9cdb4a91c5 Refactor live data feed (#4636) 
* 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>
2020-08-18 20:21:10 -03:00

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{
// this configuration file works by first loading all top-level
// configuration items and then will load the specified environment
// on top, this provides a layering affect. environment names can be
// anything, and just require definition in this file. There's
// two predefined environments, 'backtesting' and 'live', feel free
// to add more!
"environment": "backtesting", // "live-paper", "backtesting", "live-interactive", "live-interactive-iqfeed"
// algorithm class selector
"algorithm-type-name": "BasicTemplateFrameworkAlgorithm",
// Algorithm language selector - options CSharp, FSharp, VisualBasic, Python, Java
"algorithm-language": "CSharp",
//Physical DLL location
"algorithm-location": "QuantConnect.Algorithm.CSharp.dll",
//"algorithm-location": "../../../Algorithm.Python/BasicTemplateFrameworkAlgorithm.py",
//"algorithm-location": "QuantConnect.Algorithm.FSharp.dll",
//"algorithm-location": "QuantConnect.Algorithm.VisualBasic.dll",
//"algorithm-location": "QuantConnect.Algorithm.Java.dll",
//Research notebook
//"composer-dll-directory": ".",
// engine
"data-folder": "../../../Data/",
// debugging configuration - options for debugging-method LocalCmdLine, VisualStudio, PTVSD, PyCharm
"debugging": false,
"debugging-method": "LocalCmdline",
// handlers
"log-handler": "QuantConnect.Logging.CompositeLogHandler",
"messaging-handler": "QuantConnect.Messaging.Messaging",
"job-queue-handler": "QuantConnect.Queues.JobQueue",
"api-handler": "QuantConnect.Api.Api",
"map-file-provider": "QuantConnect.Data.Auxiliary.LocalDiskMapFileProvider",
"factor-file-provider": "QuantConnect.Data.Auxiliary.LocalDiskFactorFileProvider",
"data-provider": "QuantConnect.Lean.Engine.DataFeeds.DefaultDataProvider",
"alpha-handler": "QuantConnect.Lean.Engine.Alphas.DefaultAlphaHandler",
"data-channel-provider": "DataChannelProvider",
"object-store": "QuantConnect.Lean.Engine.Storage.LocalObjectStore",
"data-aggregator": "QuantConnect.Lean.Engine.DataFeeds.AggregationManager",
// limits on number of symbols to allow
"symbol-minute-limit": 10000,
"symbol-second-limit": 10000,
"symbol-tick-limit": 10000,
// limits the amount of data points per chart series. Applies only for backtesting
"maximum-data-points-per-chart-series": 4000,
// if one uses true in following token, market hours will remain open all hours and all days.
// if one uses false will make lean operate only during regular market hours.
"force-exchange-always-open": false,
// save list of transactions to the specified csv file
"transaction-log": "",
// To get your api access token go to quantconnect.com/account
"job-user-id": "0",
"api-access-token": "",
// live data configuration
"live-data-url": "ws://www.quantconnect.com/api/v2/live/data/",
"live-data-port": 8020,
// interactive brokers configuration
"ib-account": "",
"ib-user-name": "",
"ib-password": "",
"ib-host": "127.0.0.1",
"ib-port": "4002",
"ib-agent-description": "Individual",
"ib-tws-dir": "C:\\Jts",
"ib-trading-mode": "paper",
"ib-enable-delayed-streaming-data": false,
"ib-version": "974",
// tradier configuration
"tradier-account-id": "",
"tradier-access-token": "",
"tradier-refresh-token": "",
"tradier-issued-at": "",
"tradier-lifespan": "",
"tradier-refresh-session": true,
// oanda configuration
"oanda-environment": "Practice",
"oanda-access-token": "",
"oanda-account-id": "",
// fxcm configuration
"fxcm-server": "http://www.fxcorporate.com/Hosts.jsp",
"fxcm-terminal": "Demo", //Real or Demo
"fxcm-user-name": "",
"fxcm-password": "",
"fxcm-account-id": "",
// iqfeed configuration
"iqfeed-username": "",
"iqfeed-password": "",
"iqfeed-productName": "",
"iqfeed-version": "1.0",
// gdax configuration
"gdax-api-secret": "",
"gdax-api-key": "",
"gdax-passphrase": "",
// bitfinex configuration
"bitfinex-api-secret": "",
"bitfinex-api-key": "",
// Required to access data from Quandl
// To get your access token go to https://www.quandl.com/account/api
"quandl-auth-token": "",
// Required to access data from Tiingo
// To get your access token go to https://www.tiingo.com
"tiingo-auth-token": "",
// Required to access data from US Energy Information Administration
// To get your access token go to https://www.eia.gov/opendata
"us-energy-information-auth-token": "",
// Required for IEX history requests
"iex-cloud-api-key": "",
// alpaca configuration
// available trading mode: 'paper', 'live'
"alpaca-key-id": "",
"alpaca-secret-key": "",
"alpaca-trading-mode": "paper",
// parameters to set in the algorithm (the below are just samples)
"parameters": {
// Intrinio account user and password
"intrinio-username": "",
"intrinio-password": "",
"ema-fast": 10,
"ema-slow": 20
},
"environments": {
// defines the 'backtesting' environment
"backtesting": {
"live-mode": false,
"setup-handler": "QuantConnect.Lean.Engine.Setup.ConsoleSetupHandler",
"result-handler": "QuantConnect.Lean.Engine.Results.BacktestingResultHandler",
"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.FileSystemDataFeed",
"real-time-handler": "QuantConnect.Lean.Engine.RealTime.BacktestingRealTimeHandler",
"history-provider": "QuantConnect.Lean.Engine.HistoricalData.SubscriptionDataReaderHistoryProvider",
"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BacktestingTransactionHandler"
},
// defines the 'live-paper' environment
"live-paper": {
"live-mode": true,
// the paper brokerage requires the BacktestingTransactionHandler
"live-mode-brokerage": "PaperBrokerage",
"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
"data-queue-handler": "QuantConnect.Lean.Engine.DataFeeds.Queues.LiveDataQueue",
"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BacktestingTransactionHandler"
},
// defines the 'live-tradier' environment
"live-tradier": {
"live-mode": true,
// this setting will save tradier access/refresh tokens to a tradier-tokens.txt file
// that can be read in next time, this makes it easier to start/stop a tradier algorithm
"tradier-save-tokens": true,
// real brokerage implementations require the BrokerageTransactionHandler
"live-mode-brokerage": "TradierBrokerage",
"data-queue-handler": "TradierBrokerage",
"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler"
},
// defines the 'live-interactive' environment
"live-interactive": {
"live-mode": true,
// real brokerage implementations require the BrokerageTransactionHandler
"live-mode-brokerage": "InteractiveBrokersBrokerage",
"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
"data-queue-handler": "QuantConnect.Brokerages.InteractiveBrokers.InteractiveBrokersBrokerage",
"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
"history-provider": "BrokerageHistoryProvider"
},
// defines the 'live-interactive-iqfeed' environment
"live-interactive-iqfeed": {
"live-mode": true,
// real brokerage implementations require the BrokerageTransactionHandler
"live-mode-brokerage": "InteractiveBrokersBrokerage",
"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
"data-queue-handler": "QuantConnect.ToolBox.IQFeed.IQFeedDataQueueHandler",
"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
"history-provider": "QuantConnect.ToolBox.IQFeed.IQFeedDataQueueHandler"
},
// defines the 'live-fxcm' environment
"live-fxcm": {
"live-mode": true,
// real brokerage implementations require the BrokerageTransactionHandler
"live-mode-brokerage": "FxcmBrokerage",
"data-queue-handler": "FxcmBrokerage",
"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
"history-provider": "BrokerageHistoryProvider"
},
// defines the 'live-oanda' environment
"live-oanda": {
"live-mode": true,
// real brokerage implementations require the BrokerageTransactionHandler
"live-mode-brokerage": "OandaBrokerage",
"data-queue-handler": "OandaBrokerage",
"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
"history-provider": "BrokerageHistoryProvider"
},
"live-gdax": {
"live-mode": true,
// real brokerage implementations require the BrokerageTransactionHandler
"live-mode-brokerage": "GDAXBrokerage",
"data-queue-handler": "GDAXDataQueueHandler",
"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
"history-provider": "BrokerageHistoryProvider"
},
"live-bitfinex": {
"live-mode": true,
// real brokerage implementations require the BrokerageTransactionHandler
"live-mode-brokerage": "BitfinexBrokerage",
"data-queue-handler": "BitfinexBrokerage",
"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
"history-provider": "BrokerageHistoryProvider"
},
// defines the 'live-alpaca' environment
"live-alpaca": {
"live-mode": true,
// real brokerage implementations require the BrokerageTransactionHandler
"live-mode-brokerage": "AlpacaBrokerage",
"data-queue-handler": "AlpacaBrokerage",
"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
"history-provider": "BrokerageHistoryProvider"
}
}
}
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