Improve live trading streaming packets

Common/Extensions.cs

@@ -1309,6 +1309,31 @@ public static decimal SmartRounding(this decimal input)
             return input.RoundToSignificantDigits(7).Normalize();
         }
 
+        /// <summary>
+        /// Provides global smart rounding to a shorter version
+        /// </summary>
+        public static decimal SmartRoundingShort(this decimal input)
+        {
+            input = Normalize(input);
+            if (input <= 1)
+            {
+                // 0.99 > input
+                return input;
+            }
+            else if (input <= 10)
+            {
+                // 1.01 to 9.99
+                return Math.Round(input, 2);
+            }
+            else if (input <= 100)
+            {
+                // 99.9 to 10.1
+                return Math.Round(input, 1);
+            }
+            // 100 to inf
+            return Math.Truncate(input);
+        }
+
         /// <summary>
         /// Casts the specified input value to a decimal while acknowledging the overflow conditions
         /// </summary>

Common/Global.cs

@@ -15,6 +15,7 @@
 
 using System;
 using Newtonsoft.Json;
+using System.ComponentModel;
 using QuantConnect.Securities;
 using Newtonsoft.Json.Converters;
 using System.Runtime.Serialization;
@@ -63,6 +64,13 @@ public static class DateFormat
     [JsonObject]
     public class Holding
     {
+        private decimal? _conversionRate;
+        private decimal _marketValue;
+        private decimal _unrealizedPnl;
+        private decimal _unrealizedPnLPercent;
+
+        private decimal _quantity;
+
         /// Symbol of the Holding:
         [JsonProperty(PropertyName = "symbol")]
         public Symbol Symbol { get; set; } = Symbol.Empty;
@@ -72,7 +80,8 @@ public class Holding
         public SecurityType Type => Symbol.SecurityType;
 
         /// The currency symbol of the holding, such as $
-        [JsonProperty(PropertyName = "currencySymbol")]
+        [DefaultValue("$")]
+        [JsonProperty(PropertyName = "currencySymbol", DefaultValueHandling = DefaultValueHandling.Ignore)]
         public string CurrencySymbol { get; set; }
 
         /// Average Price of our Holding in the currency the symbol is traded in
@@ -81,27 +90,82 @@ public class Holding
 
         /// Quantity of Symbol We Hold.
         [JsonProperty(PropertyName = "quantity", DefaultValueHandling = DefaultValueHandling.Ignore)]
-        public decimal Quantity { get; set; }
+        public decimal Quantity
+        {
+            get
+            {
+                return _quantity;
+            }
+            set
+            {
+                // we remove any trailing zeros
+                _quantity = value.Normalize();
+            }
+        }
 
         /// Current Market Price of the Asset in the currency the symbol is traded in
         [JsonProperty(PropertyName = "marketPrice", DefaultValueHandling = DefaultValueHandling.Ignore)]
         public decimal MarketPrice { get; set; }
 
         /// Current market conversion rate into the account currency
         [JsonProperty(PropertyName = "conversionRate", DefaultValueHandling = DefaultValueHandling.Ignore)]
-        public decimal? ConversionRate { get; set; }
+        public decimal? ConversionRate
+        {
+            get
+            {
+                return _conversionRate;
+            }
+            set
+            {
+                if (value != 1)
+                {
+                    _conversionRate = value;
+                }
+            }
+        }
+
 
         /// Current market value of the holding
         [JsonProperty(PropertyName = "marketValue", DefaultValueHandling = DefaultValueHandling.Ignore)]
-        public decimal MarketValue { get; set; }
+        public decimal MarketValue
+        {
+            get
+            {
+                return _marketValue;
+            }
+            set
+            {
+                _marketValue = value.SmartRoundingShort();
+            }
+        }
 
         /// Current unrealized P/L of the holding
         [JsonProperty(PropertyName = "unrealizedPnl", DefaultValueHandling = DefaultValueHandling.Ignore)]
-        public decimal UnrealizedPnL { get; set; }
+        public decimal UnrealizedPnL
+        {
+            get
+            {
+                return _unrealizedPnl;
+            }
+            set
+            {
+                _unrealizedPnl = value.SmartRoundingShort();
+            }
+        }
 
         /// Current unrealized P/L % of the holding
         [JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore)]
-        public decimal UnrealizedPnLPercent { get; set; }
+        public decimal UnrealizedPnLPercent
+        {
+            get
+            {
+                return _unrealizedPnLPercent;
+            }
+            set
+            {
+                _unrealizedPnLPercent = value.SmartRoundingShort();
+            }
+        }
 
         /// Create a new default holding:
         public Holding()

Common/Packets/LiveResultPacket.cs

@@ -39,31 +39,16 @@ public class LiveResultPacket : Packet
         /// </summary>
         public int ProjectId { get; set; }
 
-        /// <summary>
-        /// User session Id who issued the result packet
-        /// </summary>
-        public string SessionId { get; set; } = string.Empty;
-
         /// <summary>
         /// Live Algorithm Id (DeployId) for this result packet
         /// </summary>
         public string DeployId { get; set; } = string.Empty;
 
-        /// <summary>
-        /// Compile Id algorithm which generated this result packet
-        /// </summary>
-        public string CompileId { get; set; } = string.Empty;
-
         /// <summary>
         /// Result data object for this result packet
         /// </summary>
         public LiveResult Results { get; set; } = new LiveResult();
 
-        /// <summary>
-        /// Processing time / running time for the live algorithm.
-        /// </summary>
-        public double ProcessingTime { get; set; }
-
         /// <summary>
         /// Default constructor for JSON Serialization
         /// </summary>
@@ -80,15 +65,12 @@ public LiveResultPacket(string json)
             try
             {
                 var packet = JsonConvert.DeserializeObject<LiveResultPacket>(json);
-                CompileId          = packet.CompileId;
                 Channel            = packet.Channel;
-                SessionId          = packet.SessionId;
                 DeployId           = packet.DeployId;
                 Type               = packet.Type;
                 UserId             = packet.UserId;
                 ProjectId          = packet.ProjectId;
                 Results            = packet.Results;
-                ProcessingTime     = packet.ProcessingTime;
             }
             catch (Exception err)
             {
@@ -106,13 +88,10 @@ public LiveResultPacket(LiveNodePacket job, LiveResult results)
         {
             try
             {
-                SessionId = job.SessionId;
-                CompileId = job.CompileId;
                 DeployId = job.DeployId;
                 Results = results;
                 UserId = job.UserId;
                 ProjectId = job.ProjectId;
-                SessionId = job.SessionId;
                 Channel = job.Channel;
             }
             catch (Exception err) {

Engine/Results/LiveTradingResultHandler.cs

@@ -218,7 +218,6 @@ private void Update()
                     Log.Debug("LiveTradingResultHandler.Update(): End build delta charts");
 
                     //Profit loss changes, get the banner statistics, summary information on the performance for the headers.
-                    var deltaStatistics = new Dictionary<string, string>();
                     var serverStatistics = GetServerStatistics(utcNow);
                     var holdings = GetHoldings(Algorithm.Securities.Values, Algorithm.SubscriptionManager.SubscriptionDataConfigService);
 
@@ -232,7 +231,7 @@ private void Update()
 
                     // since we're sending multiple packets, let's do it async and forget about it
                     // chart data can get big so let's break them up into groups
-                    var splitPackets = SplitPackets(deltaCharts, deltaOrders, holdings, Algorithm.Portfolio.CashBook, deltaStatistics, runtimeStatistics, serverStatistics, deltaOrderEvents);
+                    var splitPackets = SplitPackets(deltaCharts, deltaOrders, holdings, Algorithm.Portfolio.CashBook, runtimeStatistics, serverStatistics, deltaOrderEvents);
 
                     foreach (var liveResultPacket in splitPackets)
                     {
@@ -256,6 +255,7 @@ private void Update()
 
                         var orderEvents = GetOrderEventsToStore();
 
+                        var deltaStatistics = new Dictionary<string, string>();
                         var orders = new Dictionary<int, Order>(TransactionHandler.Orders);
                         var complete = new LiveResultPacket(_job, new LiveResult(new LiveResultParameters(chartComplete, orders, Algorithm.Transactions.TransactionRecord, holdings, Algorithm.Portfolio.CashBook, deltaStatistics, runtimeStatistics, orderEvents, serverStatistics, state: GetAlgorithmState())));
                         StoreResult(complete);
@@ -469,7 +469,6 @@ private IEnumerable<LiveResultPacket> SplitPackets(Dictionary<string, Chart> del
             Dictionary<int, Order> deltaOrders,
             Dictionary<string, Holding> holdings,
             CashBook cashbook,
-            Dictionary<string, string> deltaStatistics,
             SortedDictionary<string, string> runtimeStatistics,
             Dictionary<string, string> serverStatistics,
             List<OrderEvent> deltaOrderEvents)
@@ -514,7 +513,6 @@ private IEnumerable<LiveResultPacket> SplitPackets(Dictionary<string, Chart> del
                 new LiveResultPacket(_job, new LiveResult { Holdings = holdings, CashBook = cashbook}),
                 new LiveResultPacket(_job, new LiveResult
                 {
-                    Statistics = deltaStatistics,
                     RuntimeStatistics = runtimeStatistics,
                     ServerStatistics = serverStatistics
                 })
@@ -824,7 +822,6 @@ protected void SendFinalResult()
                     result = LiveResultPacket.CreateEmpty(_job);
                     result.Results.State = endState;
                 }
-                result.ProcessingTime = (endTime - StartTime).TotalSeconds;
 
                 StoreInsights();
 

Tests/Common/HoldingTests.cs

@@ -15,6 +15,7 @@
 
 using System;
 using NUnit.Framework;
+using Newtonsoft.Json;
 using QuantConnect.Securities;
 using QuantConnect.Data.Market;
 using QuantConnect.Tests.Engine.DataFeeds;
@@ -66,5 +67,22 @@ public void PriceRounding(SecurityType securityType)
                 Assert.AreEqual(10.0000m, holding.AveragePrice);
             }
         }
+
+        [Test]
+        public void Serialization()
+        {
+            var algo = new AlgorithmStub();
+            var security = algo.AddEquity("SPY");
+            security.SetMarketPrice(new Tick(new DateTime(2022, 01, 04), security.Symbol, 10.0001m, 10.0001m));
+            security.Holdings.SetHoldings(10.0000000000m, 10);
+
+            var holding = new Holding(security);
+
+            var result = JsonConvert.SerializeObject(holding);
+
+            Assert.AreEqual("{\"symbol\":{\"value\":\"SPY\",\"id\":\"SPY R735QTJ8XC9X\",\"permtick\":\"SPY\"},\"type\":1," +
+                "\"averagePrice\":10.00,\"quantity\":10.0,\"marketPrice\":10.00,\"marketValue\":100.0," +
+                "\"unrealizedPnl\":-1.0,\"UnrealizedPnLPercent\":-1.0}", result);
+        }
     }
 }

Tests/Common/Util/ExtensionsTests.cs

@@ -1114,6 +1114,16 @@ public void NormalizeDecimalReturnsNoTrailingZeros(decimal input, string expecte
             Assert.AreEqual(expectedOutput, output.ToStringInvariant());
         }
 
+        [TestCase(0.072842, "0.072842")]
+        [TestCase(7.5819999, "7.58")]
+        [TestCase(54.1119999, "54.1")]
+        [TestCase(1152280.01234568423, "1152280")]
+        public void SmartRoundingShort(decimal input, string expectedOutput)
+        {
+            var output = input.SmartRoundingShort().ToStringInvariant();
+            Assert.AreEqual(expectedOutput, output);
+        }
+
         [Test]
         [TestCase(0.072842, 3, "0.0728")]
         [TestCase(0.0019999, 2, "0.0020")]