Refactor portfolio state sampling and storing

QuantConnect · Jan 29, 2024 · fbabfb7 · fbabfb7
1 parent 999af70
commit fbabfb7
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Showing 20 changed files with 315 additions and 504 deletions.
diff --git a/Algorithm.Framework/Alphas/AlphaStreamAlphaModule.cs b/Algorithm.Framework/Alphas/AlphaStreamAlphaModule.cs
diff --git a/Common/ChartJsonConverter.cs b/Common/ChartJsonConverter.cs
@@ -61,7 +61,9 @@ public override void WriteJson(JsonWriter writer, object value, JsonSerializer s
             writer.WritePropertyName("Series");
             writer.WriteStartObject();
             // we sort the series in ascending count so that they are chart nicely, has value for stacked area series so they're continuous 
-            foreach (var kvp in chart.Series.OrderBy(x => x.Value.Values.Count).ThenBy(x => x.Value.Values.Select(x => (x as ChartPoint)?.Y ?? 0).Sum()))
+            foreach (var kvp in chart.Series.OrderBy(x => x.Value.Index)
+                .ThenBy(x => x.Value.Values.Count)
+                .ThenBy(x => x.Value.Values.Select(x => (x as ChartPoint)?.Y ?? 0).Sum()))
             {
                 writer.WritePropertyName(kvp.Key);
                 serializer.Serialize(writer, kvp.Value);

diff --git a/Common/Data/BaseData.cs b/Common/Data/BaseData.cs
@@ -22,7 +22,6 @@
 using QuantConnect.Util;
 using QuantConnect.Data.Market;
 using System.Collections.Generic;
-using QuantConnect.Data.Custom;
 
 namespace QuantConnect.Data
 {
@@ -36,7 +35,6 @@ namespace QuantConnect.Data
     [ProtoInclude(200, typeof(QuoteBar))]
     [ProtoInclude(300, typeof(Dividend))]
     [ProtoInclude(400, typeof(Split))]
-    [ProtoInclude(555, typeof(PortfolioState))]
     public abstract class BaseData : IBaseData
     {
         private decimal _value;

diff --git a/Common/Data/Custom/PortfolioState.cs b/Common/Data/Custom/PortfolioState.cs