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
This commit is contained in:
Colton Sellers
2021-10-05 15:31:25 -07:00
committed by GitHub
parent 659735946a
commit d2d99b1f10
165 changed files with 1732 additions and 1461 deletions
@@ -25,7 +25,7 @@ class AddFutureOptionContractDataStreamingRegressionAlgorithm(QCAlgorithm):
self.expectedSymbolsReceived = []
self.dataReceived = {}
self.SetStartDate(2020, 1, 5)
self.SetStartDate(2020, 1, 4)
self.SetEndDate(2020, 1, 6)
self.es20h20 = self.AddFutureContract(
@@ -36,8 +36,8 @@ class AddFutureOptionContractDataStreamingRegressionAlgorithm(QCAlgorithm):
Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, datetime(2020, 6, 19)),
Resolution.Minute).Symbol
optionChains = self.OptionChainProvider.GetOptionContractList(self.es20h20, self.Time)
optionChains += self.OptionChainProvider.GetOptionContractList(self.es19m20, self.Time)
optionChains = self.OptionChainProvider.GetOptionContractList(self.es20h20, self.Time + timedelta(days=1))
optionChains += self.OptionChainProvider.GetOptionContractList(self.es19m20, self.Time + timedelta(days=1))
for optionContract in optionChains:
self.expectedSymbolsReceived.append(self.AddFutureOptionContract(optionContract, Resolution.Minute).Symbol)