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‎.github/workflows/build.yml‎

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name: Build & Test
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on:
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push:
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branches: ['*']
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pull_request:
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branches: [master]
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jobs:
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build:
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runs-on: ubuntu-20.04
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container:
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image: quantconnect/lean:foundation
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steps:
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- uses: actions/checkout@v2
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- name: Checkout Lean Same Branch
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id: lean-same-branch
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uses: actions/checkout@v2
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continue-on-error: true
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with:
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ref: ${{ github.ref }}
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repository: QuantConnect/Lean
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path: Lean
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- name: Checkout Lean Master
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if: steps.lean-same-branch.outcome != 'success'
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uses: actions/checkout@v2
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with:
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repository: QuantConnect/Lean
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path: Lean
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- name: Move Lean
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run: mv Lean ../Lean
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- name: BuildDataSource
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run: dotnet build ./QuantConnect.DataSource.csproj /p:Configuration=Release /v:quiet /p:WarningLevel=1
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- name: BuildTests
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run: dotnet build ./tests/Tests.csproj /p:Configuration=Release /v:quiet /p:WarningLevel=1
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- name: Run Tests
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run: dotnet test ./tests/bin/Release/net6.0/Tests.dll

‎.gitignore‎

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# Object files
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*.o
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*.ko
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*.obj
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*.elf
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*.pyc
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# Visual Studio Project Items:
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*.suo
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# Precompiled Headers
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*.gch
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*.pch
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# Libraries
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*.lib
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*.a
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*.la
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*.lo
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# Shared objects (inc. Windows DLLs)
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#*.dll
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*.so
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*.so.*
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*.dylib
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# Executables
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*/bin/*.exe
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*.out
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*.app
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*.i*86
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*.x86_64
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*.hex
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# QC Cloud Setup Bash Files
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*.sh
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# Include docker launch scripts for Mac/Linux
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!run_docker.sh
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!research/run_docker_notebook.sh
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# QC Config Files:
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# config.json
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# QC-C-Specific
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*Engine/bin/Debug/cache/data/*.zip
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*/obj/*
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*/bin/*
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*Data/*
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*Docker/*
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*/Docker/*
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*Algorithm.Python/Lib/*
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*/[Ee]xtensions/*
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!**/Libraries/*
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# C Debug Binaries
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*.pdb
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## Ignore Visual Studio temporary files, build results, and
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## files generated by popular Visual Studio add-ons.
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# User-specific files
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*.suo
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*.user
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*.userosscache
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*.sln.docstates
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*.userprefs
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# Build results
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[Dd]ebug/
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[Dd]ebugPublic/
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[Rr]elease/
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[Rr]eleases/
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x64/
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x86/
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.vs/
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build/
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bld/
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[Bb]in/
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[Oo]bj/
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# Roslyn cache directories
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*.ide/
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# MSTest test Results
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[Tt]est[Rr]esult*/
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[Bb]uild[Ll]og.*
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#NUNIT
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*.VisualState.xml
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TestResult.xml
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# Build Results of an ATL Project
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[Dd]ebugPS/
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[Rr]eleasePS/
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dlldata.c
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*_i.c
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*_p.c
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*_i.h
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*.ilk
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*.meta
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*.obj
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*.pch
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*.pdb
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*.pgc
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*.pgd
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*.rsp
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*.sbr
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*.tlb
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*.tli
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*.tlh
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*.tmp
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*.tmp_proj
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*.log
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*.vspscc
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*.vssscc
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.builds
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*.pidb
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*.svclog
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*.scc
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# Chutzpah Test files
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_Chutzpah*
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# Visual C++ cache files
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ipch/
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*.aps
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*.ncb
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*.opensdf
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*.sdf
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*.cachefile
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# Visual Studio profiler
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*.psess
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*.vsp
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*.vspx
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# TFS 2012 Local Workspace
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$tf/
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# Guidance Automation Toolkit
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*.gpState
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# ReSharper is a .NET coding add-in
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_ReSharper*/
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*.[Rr]e[Ss]harper
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*.DotSettings
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*.DotSettings.user
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# JustCode is a .NET coding addin-in
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.JustCode
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# TeamCity is a build add-in
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_TeamCity*
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# DotCover is a Code Coverage Tool
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*.dotCover
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# NCrunch
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_NCrunch_*
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.*crunch*.local.xml
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# MightyMoose
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*.mm.*
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AutoTest.Net/
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# Web workbench (sass)
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.sass-cache/
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# Installshield output folder
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[Ee]xpress/
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# JetBrains Rider
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.idea/
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# DocProject is a documentation generator add-in
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DocProject/buildhelp/
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DocProject/Help/*.HxT
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DocProject/Help/*.HxC
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DocProject/Help/*.hhc
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DocProject/Help/*.hhk
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DocProject/Help/*.hhp
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DocProject/Help/Html2
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DocProject/Help/html
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# Click-Once directory
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publish/
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# Publish Web Output
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*.[Pp]ublish.xml
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*.azurePubxml
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# TODO: Comment the next line if you want to checkin your web deploy settings
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# but database connection strings (with potential passwords) will be unencrypted
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*.pubxml
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*.publishproj
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# NuGet Packages
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*.nupkg
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!LocalPackages/*
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# The packages folder can be ignored because of Package Restore
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**/packages/*
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# except build/, which is used as an MSBuild target.
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!**/packages/build/
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# If using the old MSBuild-Integrated Package Restore, uncomment this:
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#!**/packages/repositories.config
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# ignore sln level nuget
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.nuget/
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!.nuget/NuGet.config
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# Windows Azure Build Output
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csx/
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*.build.csdef
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# Windows Store app package directory
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AppPackages/
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# Others
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*.Cache
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ClientBin/
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[Ss]tyle[Cc]op.*
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~$*
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*~
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*.dbmdl
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*.dbproj.schemaview
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*.pfx
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*.publishsettings
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node_modules/
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bower_components/
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# RIA/Silverlight projects
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Generated_Code/
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# Backup & report files from converting an old project file
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# to a newer Visual Studio version. Backup files are not needed,
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# because we have git ;-)
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_UpgradeReport_Files/
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Backup*/
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UpgradeLog*.XML
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UpgradeLog*.htm
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# SQL Server files
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*.mdf
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*.ldf
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# Business Intelligence projects
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*.rdl.data
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*.bim.layout
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*.bim_*.settings
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# Microsoft Fakes
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FakesAssemblies/
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# Test Runner
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testrunner/
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# Meld original diff files
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*.orig
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# Output chart data
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Charts/
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# NCrunch files
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*.ncrunchsolution
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*.ncrunchproject
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# QuantConnect plugin files
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QuantConnectProjects.xml
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Launcher/Plugins/*
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/ApiPython/dist
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/ApiPython/quantconnect.egg-info
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/ApiPython/quantconnect.egg-info/*
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QuantConnect.Lean.sln.DotSettings*
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#User notebook files
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Research/Notebooks
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#Docker result files
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Results/

‎DataProcessing/CLRImports.py‎

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# This file is used to import the environment and classes/methods of LEAN.
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# so that any python file could be using LEAN's classes/methods.
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from clr_loader import get_coreclr
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from pythonnet import set_runtime
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# process.runtimeconfig.json is created when we build the DataProcessing Project:
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# dotnet build .\DataProcessing\DataProcessing.csproj
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set_runtime(get_coreclr('process.runtimeconfig.json'))
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from AlgorithmImports import *
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from QuantConnect.Lean.Engine.DataFeeds import *
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AddReference("Fasterflect")

‎DataProcessing/DataProcessing.csproj‎

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<Project Sdk="Microsoft.NET.Sdk">
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<PropertyGroup>
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<OutputType>Exe</OutputType>
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<TargetFramework>net6.0</TargetFramework>
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<AssemblyName>process</AssemblyName>
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<CopyLocalLockFileAssemblies>true</CopyLocalLockFileAssemblies>
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</PropertyGroup>
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<ItemGroup>
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<PackageReference Include="QuantConnect.Lean.Engine" Version="2.5.*"/>
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<PackageReference Include="QuantConnect.Research" Version="2.5.*"/>
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<PackageReference Include="QuantConnect.pythonnet" Version="2.0.*" />
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<PackageReference Include="fasterflect" Version="3.0.0" />
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</ItemGroup>
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<ItemGroup>
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<ProjectReference Include="..\QuantConnect.DataSource.csproj" />
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</ItemGroup>
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<ItemGroup>
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<None Remove="CLRImports.py" />
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<Content Include="CLRImports.py">
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<CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
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</Content>
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</ItemGroup>
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<ItemGroup>
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<None Remove="config.json" />
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<Content Include="config.json">
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<CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
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</Content>
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</ItemGroup>
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</Project>

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