Removes Assets that Are Not Invested and Not Tradable From Capacity Calculations (#5515)
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* Add property for capacity. Remove unused variable * Move SymbolCapacity and CapacityEstimate to common, passed through Symbol to runtime statistics * Add null checks * Remove uninvested and untradable assets from capacty calculations * Add SymbolCapacity influential period * Updates Regression Tests - DelistingEventsAlgorithm - Allows additional contributions from delisted AAA.1 - DelistingFutureOptionRegressionAlgorithm - Removes DC01H12 contributions one month later - FutureOptionBuySellCallIntradayRegressionAlgorithm - Allows additional contributions from future after expiry replacing the contribution of the next contract option - DelistedFutureLiquidateRegressionAlgorithm - FutureOptionCallITMExpiryRegressionAlgorithm - FutureOptionCallITMGreeksExpiryRegressionAlgorithm - FutureOptionPutITMExpiryRegressionAlgorithm - FutureOptionShortCallITMExpiryRegressionAlgorithm - FutureOptionShortPutITMExpiryRegressionAlgorithm - FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm - Allows additional contributions from future after expiry - FutureOptionCallOTMExpiryRegressionAlgorithm - FutureOptionPutOTMExpiryRegressionAlgorithm - FutureOptionShortPutOTMExpiryRegressionAlgorithm - IndexOptionCallITMGreeksExpiryRegressionAlgorithm - IndexOptionCallOTMExpiryRegressionAlgorithm - IndexOptionShortCallOTMExpiryRegressionAlgorithm - Allows additional contributions from option after expiry - MACDTrendAlgorithm - Removes contribution when SPY is not invested for over one month - UniverseSelectionRegressionAlgorithm - Allows additional contributions from delisted GOOAV replacing GOOG (new symbols) * Adds Lowest Capacity Asset to Regression Tests * Normalize expected value -0, because -0 is also written to file if updated * Write Symbol.Value for lowestCapacitySymbol or empty string for empty Symbol * Update Regressions * Update 'Lowest Capacity Asset' to Symbol.ID Co-authored-by: Jared Broad <jaredbroad@gmail.com> Co-authored-by: Martin-Molinero <martin@quantconnect.com> Co-authored-by: Colton Sellers <Colton.R.Sellers@gmail.com>
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@@ -142,6 +142,7 @@ namespace QuantConnect.Algorithm.CSharp
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{"Treynor Ratio", "0.176"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", "NWSA.CustomDataUsingMapping T3MO1488O0H0"},
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{"Fitness Score", "0.127"},
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{"Kelly Criterion Estimate", "0"},
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{"Kelly Criterion Probability Value", "0"},
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