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USDT_BTC benchmark
This commit: * Adds a crypto_benchmark that can create benchmarks for symbols found on POLO * Changes default trading calendars to OPEN * Properly computes daily bar data from five minute POLO bars * Allows trading of one hundredth of a coin, later we plan to integrate per the ratio of a full coin to its base denomination.
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@@ -289,7 +289,7 @@ class TradingAlgorithm(object):
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# If a schedule has been provided, pop it. Otherwise, use NYSE.
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self.trading_calendar = kwargs.pop(
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'trading_calendar',
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get_calendar('NYSE')
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get_calendar('OPEN')
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)
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self.sim_params = kwargs.pop('sim_params', None)
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@@ -1115,7 +1115,7 @@ class TradingAlgorithm(object):
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if calendar is None:
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cal = self.trading_calendar
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elif calendar is calendars.CRYPTO_ASSETS:
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cal = get_calendar('NYSE')
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cal = get_calendar('OPEN')
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elif calendar is calendars.US_EQUITIES:
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cal = get_calendar('NYSE')
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elif calendar is calendars.US_FUTURES:
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