Algorithm Sampling and Statistics Fixes (#5936)
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* Implement scheduled event sampling solution * Use UTC time, only update daily portfolio value once a day * For daily resolutions sample chart always * Cleanup * Drop resample daily all together * Force final sample * Regression updates * FIx LiveResultHandler to update portfolio and benchmark values outside of sampling event * Name the daily sampling event * Address review pt 1 * Drop force and use reference wrapper * Adjust tests * Fix warning for Benchmark Timezone Misalignment and also add test * Fix for daily resolution orders and test adjustments * Also warn on universe settings with daily resolution * Update missed regression * Fix reference wrapper use * Update regression after rebase * Add values back in for Daylight Algo * Have statistics builder skip day 1 performance * Regression adjustments * Test adjustments * Update regression unit test * Adjust some regressions starts to show performance values * Add hourly algorithm for beta comparison * Address missing Python regression changes * Remove null comment
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@@ -25,7 +25,7 @@ class AddFutureOptionContractDataStreamingRegressionAlgorithm(QCAlgorithm):
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self.expectedSymbolsReceived = []
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self.dataReceived = {}
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self.SetStartDate(2020, 1, 5)
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self.SetStartDate(2020, 1, 4)
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self.SetEndDate(2020, 1, 6)
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self.es20h20 = self.AddFutureContract(
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@@ -36,8 +36,8 @@ class AddFutureOptionContractDataStreamingRegressionAlgorithm(QCAlgorithm):
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Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, datetime(2020, 6, 19)),
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Resolution.Minute).Symbol
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optionChains = self.OptionChainProvider.GetOptionContractList(self.es20h20, self.Time)
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optionChains += self.OptionChainProvider.GetOptionContractList(self.es19m20, self.Time)
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optionChains = self.OptionChainProvider.GetOptionContractList(self.es20h20, self.Time + timedelta(days=1))
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optionChains += self.OptionChainProvider.GetOptionContractList(self.es19m20, self.Time + timedelta(days=1))
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for optionContract in optionChains:
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self.expectedSymbolsReceived.append(self.AddFutureOptionContract(optionContract, Resolution.Minute).Symbol)
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