Commit Graph

21 Commits

Author SHA1 Message Date
Martin Molinero 2a0b73e1cf Update regression algorithms
- Update regression algorithms after removing order based insights
2020-04-01 20:37:20 -03:00
Martin Molinero 486b2e6641 Update regression stats
- Update expected OrderListHash in regression algorithms due to
serialization improvements
2020-03-31 12:21:13 -03:00
Jack Simonson c6767780c2 Update regression test statistics 2020-03-26 18:29:29 -07:00
Martin Molinero 0027ab1e66 Regression test assert order list hash
- Regression tests assert order list hash value
- Normalizing some regression test behavior that had differences between
C# and Py
2020-02-19 20:26:12 -03:00
Martin Molinero 20c589f0fe Validate option universe selection data
- Remove unused `OptionChainUniverseDataCollectionAggregatorEnumerator`
- Refactor `BaseDataCollectionAggregatorEnumerator` and
`OptionChainUniverseDataCollectionEnumerator` to avoid emitting invalid
data points
- Updating regression tests statistics
- Adding unit test
2020-01-27 19:11:17 -03:00
Gerardo Salazar 61aa0d3a65 Updates regression statistics
Please note that with these changes, any algorithms that
use daily data exclusively will have incorrect statistics.
2020-01-16 14:03:54 -08:00
Martin Molinero 2f4929e685 Update regression algorithms 2019-09-29 21:50:44 -03:00
Michael Handschuh 49af364055 Update Algorithm.CSharp to respect CA1304 and CA1305
Updates all occurrences of parsing/ToString-ing to go through the new
StringExtensions methods that use CultureInfo.InvariantCulture

See #3045
2019-09-12 15:30:45 -04:00
Martin Molinero cb4c574eeb Adjust algorithms statistics 2019-08-06 21:35:25 -03:00
Martin Molinero 40ac9c5033 Fix IB FeeModel Option fees
- Fixing IB FeeModel options fees. Adding unit tests
- Updating regression algorithms
2019-01-02 15:50:00 -03:00
Stefano Raggi 16f856031c Update start date for OptionSplitRegressionAlgorithm 2018-07-24 18:59:53 +02:00
Michael Handschuh 380caa5203 Add IRegressionAlgorithmDefinition.CanRunLocally
This flag indicates whether or not the local regression test system,
via RegressionTests.AlgorithmStatisticsRegression should run a given
IRegressionAlgorithmDefinition
2018-07-18 15:57:11 -04:00
Martin Molinero 96dc5e8673 Moving IRegressionAlgorithmDefinition to QuantConnect.Common 2018-07-03 13:34:27 -03:00
Michael Handschuh 8402b6f01e Update factor files to 2018.06.04
It's important that we keep the factor files consistent with respect to
the date that they were generated. This enables us to run the regression
algorithms in the cloud and get the same results by using the factor files
from the correct date.
2018-06-07 12:16:45 -04:00
Michael Handschuh 9ee61f425c Refactor regression algorithm to IRegressionAlgorithmDefinition
A mechanical refactoring was performed to make algorithms currently used in
regression algorithms to implement IRegressionAlgorithmDefinition, which allows
algorithms to define their own expected statistics and what languages should be
run as part of regression. The type name of the  C# type is used to determine the
file/model name for python. This was for simplicity, but if needed, could later be
refactored to expose more information, but for now the convention of keeping names
the same makes sense and just works easily.
2018-06-05 12:10:50 -04:00
Michael Handschuh c9f82d4228 Extend option split regression to include split warning event 2018-02-05 12:12:55 -05:00
AlexCatarino 98a1b6a2a2 Refactors options algorithms
AddEquity and SetDataNormalization calls were removed because they are not mandatory since PostInitialize calls them.
2017-12-18 11:24:08 +00:00
Jared Broad fb7d1994ff Tidy and add tags 2017-09-20 17:14:44 -04:00
quant1729 c4cbef95e4 Removed AbsoluteStrikes method from option filter universe. Updated option filter universe to support monday and wednesday weeklys. Tests. 2016-12-29 22:10:55 +01:00
quant1729 cf8163fc3a Refactored option/future universe filters for performance improvements and versatility 2016-12-29 11:44:15 +01:00
quant1729 5803115548 Option splits and renames in backtesting. Added regression tests. 2016-10-26 21:20:03 +02:00