f0a3196b00
Merge pull request #2041 from jingwu74/master
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Adding Benchmark algorithms
2018-05-29 17:38:55 -04:00
6045aa0579
minor change
2018-05-29 17:36:11 -04:00
595700e340
Fixes EqualWeightingPortfolioConstructionModel logic
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`EqualEeightingPortfolioConstructionModel` (C# and Python) allocates all cash to the stocks who have insights in universe.
- Fixes regression tests to reflect the model logic change
- Fixes imports in python algorithms to use python models when available
2018-05-28 12:47:06 +01:00
6e8dd0d40f
modify project file
2018-05-26 01:55:39 -04:00
cbc948a535
add ScheduleEventsBenchmark algorithm
2018-05-26 01:55:00 -04:00
093d6d56a1
add IndicatorRibbonBenchmark algorithm
2018-05-26 01:54:08 -04:00
98027e2025
add HistoryRequestBenchmark algorithm
2018-05-26 01:52:45 -04:00
4481f200ba
add CoarseFineUniverseSelectionBenchmark algorithm
2018-05-26 01:51:45 -04:00
ae427a14d0
Add regression algorithms for this bug fix
2018-05-25 22:06:28 +02:00
a9e4c99715
Add the portfolio check
2018-05-24 17:21:05 -04:00
442f419aa9
Add EmptyMinute400EquityBenchmark algorithm
2018-05-24 16:42:33 -04:00
d8559f1fb4
Update project file for adding new algorithms
2018-05-24 16:40:26 -04:00
52467e154d
Add EmptySingleSecuritySecondEquityBenchmark algorithm
2018-05-24 16:39:54 -04:00
105208d3dd
add BasicTemplateBenchmark algorithm
2018-05-24 16:38:37 -04:00
f63a34b699
Delete BasicTemplateFxcmVolumeAlgorithm.py
2018-05-21 19:52:38 -04:00
dcb373afe3
Update QuantConnect.Algorithm.Python.csproj
2018-05-21 19:51:15 -04:00
f606c6f0a6
Fix zero value issue in Greeks
2018-05-21 14:54:05 -04:00
567e9135ee
add python example of using fxcm volume
2018-05-17 17:46:02 -04:00
c6fc61940d
Modifies DisplacedMovingAverageRibbon data resolution
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Subscribe to daily data instead of minute-resolution to be able to run tests locally.
- Adds regression test for that algorithm.
2018-05-10 19:44:19 +01:00
ec63bffaa2
Modifies CoarseFundamentalTop5Algorithm
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Renames CoarseUniverseTop5DollarVolumeAlgorithm.cs to CoarseFundamentalTop5Algorithm.cs: fine name was unconsistent with class name (not a QuantConnect pattern).
Adds Log method calls to python algorithm that are present in C# example.
2018-05-10 19:44:19 +01:00
5006600166
Modifies RenkoConsolidatorAlgorithm data resolution
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Subscribe to daily data instead of minute-resolution to be able to run tests locally. Also, liquidate the position in one of the event handlers to generate more trades.
- Adds regression test for that algorithm.
2018-05-10 19:44:18 +01:00
bc4a752985
Merge pull request #1987 from AlexCatarino/feature-1985-adds-universe-selectin-security-initializer-example
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Adds universe selection algorithm with custom security initilizer
2018-05-10 14:28:54 -04:00
f77c0ae792
Consistency fix
2018-05-10 15:47:51 +01:00
f23ef2a60c
Uses the simplest SetSecurityInitializer overload in the examples.
2018-05-10 12:20:05 +01:00
24af1bd7cd
Adds universe selection algorithm with custom security initilizer
2018-05-10 11:58:11 +01:00
042028096b
Refactors CompositeAlphaModel constructors
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Changes the constructor that accepted an array to accept params array and adds a new constructor to deal with a single model addition.
2018-05-09 22:36:33 +01:00
ff574b9d86
Fixes EmaCrossUniverseSelectionModel indicator update logic
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Instead of using the `&&` operator, use `&` so that both EMA are updated.
2018-05-08 19:47:20 +01:00
5d6dea6473
Simplify EmaCrossUniverseSelectionModel by using list instread of dict
2018-05-08 18:54:17 +01:00
04f357f2b8
Implements python version of EmaCrossUniverseSelectionModel
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Adds EmaCrossUniverseSelectionModel and EmaCrossUniverseSelectionFrameworkAlgorithm to show the new model in action
2018-05-08 18:54:17 +01:00
0a2f7032c2
Merge pull request #1964 from AlexCatarino/feature-1962-deprecate-action-scheduleevent
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Updates examples with ScheduleEvents
2018-05-07 09:38:01 -04:00
f3c6c7202a
Updates Algorithm.Python and Algorithm.PythonTools projects
2018-05-07 14:19:51 +01:00
e7c1fbd556
Updates examples with ScheduleEvents
2018-05-07 12:53:38 +01:00
88b97bd8e4
Adds overload to ScheduleManager.On method that accepts a PyObject parameter
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Adding an overload to `ScheduleManager.On` method that accepts a `PyObject` parameter enables python algorithm to pass a method as parameter directly.
- Fixes `ScheduleEventsAlgorithm` to show the new feature in action.
2018-05-07 12:05:00 +01:00
61b5859446
Implements SectorExposureRiskFrameworkAlgorithm
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This algorithm and its regression test are meant to test the `MaximumSectorExposureRiskManagementModel`.
2018-05-03 21:53:14 +01:00
d878857e50
Merge pull request #1938 from StefanoRaggi/feature-1093-ib-time-in-force-day
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Add TimeInForce.Day support in backtesting and IB brokerage
2018-05-03 14:33:40 -04:00
4eb896bbee
Merge pull request #1946 from jingwu74/master
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Fix issue of no traded options in OptionChainProviderAlgorithm
2018-05-02 20:36:55 -04:00
c25afbad29
Add fill/update/cancel times to order object
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LastFillTime is updated on each partial/fill order event
LastUpdateTime is updated on each submitted order event w/ update count > 0
CancelTime is updated on canceled order events
Also fixes bug in regression algorithm where it used Time instead of UtcTime
for creating the SubmitOrderRequest object.
2018-05-02 14:16:33 -04:00
7569467f45
fix bugs of no traded options
2018-05-01 15:34:40 -04:00
2d19ab7ead
Review TimeInForce handler interface
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- removed IAlgorithm dependency from time in force handlers
- renamed GoodTilCancelled to GoodTilCanceled
- added GTC time in force in regression algorithms
- inlined initialization of time in force handler dictionary
2018-05-01 20:53:43 +02:00
38ac2c5d72
Add TimeInForceAlgorithm regression tests
2018-04-30 20:18:18 +02:00
11489b3edf
Modifies BasicTemplateFrameworkAlgorithm
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- Use `MaximumDrawdownPercentPerSecurity` as `RiskManagementModel`.
- Modifies regression test to reflect risk model choice
- Use SetXXX to set models in python version
2018-04-27 23:08:53 +01:00
991b15a6d1
Adds python version of PairsTradingAlphaModelFrameworkAlgorithm
2018-04-25 13:45:44 +01:00
0c8119de8a
Merge pull request #1889 from AlexCatarino/feature-1884-python-execution-models
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Adds python version of execution model examples
2018-04-19 13:24:27 -04:00
4722e1cab5
Adds python version of execution models regression algorithms
2018-04-19 12:53:29 +01:00
c4cde0e06d
Adds python version of CompositeAlphaModelFrameworkAlgorithm
2018-04-19 11:32:33 +01:00
b0265ba7f5
Adds support to python selectors in Renko Consolidators
2018-04-16 14:39:25 +01:00
35e8e0891e
Fixes RenkoConsolidator for python
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- Missing `event` keyword prevented pythonnet to recognize `DataConsolidated` as a event handler.
- Adds python version of `RenkoConsolidatorAlgorithm`.
2018-04-16 13:39:16 +01:00
eb9e15c507
Merge pull request #1866 from jingwu74/master
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Use available resolution in options and futures algorithms
2018-04-13 15:58:56 -04:00
4c98817c9e
change the benchmark setting
2018-04-12 18:33:01 -04:00
699bfe0812
Merge pull request #1861 from StefanoRaggi/bug-1820-crypto-basic-template
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Update BasicTemplateCryptoAlgorithm to include crypto specific features
2018-04-12 17:05:07 -04:00
Jared