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QuantConnect / Lean.DataSource.SDK

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Add helper classes to parse and map CUSIP, Composite FIGI, SEDOL, ISIN #5

Closed gsalaz98 closed 2 years ago

gsalaz98 commented 2 years ago

I cleaned up the project a bit to remove unwanted extra dependencies, and I added some instructions to the csproj file to clarify what changes need to be made to it.

I'm making the Lean project include a relative path vs. NuGet package, since the NuGet package isn't updated on every push.

Adds tests for new helper class

Note: include to QuantConnect.Lean.Engine.DataFeeds was required to import DefaultDataProvider

gsalaz98 commented 2 years ago

Moving the implementation to Lean so that QCAlgorithm can also lookup via ISIN/FIGI/SEDOL/CUSIP.

Superseded by https://github.com/QuantConnect/Lean/pull/5922