Commit Graph

13 Commits

Author SHA1 Message Date
Martin Molinero 982ab3099f Remove Order based insights
- Removing order based insight generator.
- Removing regression and unit tests.
2020-04-01 20:21:19 -03:00
Rahul 5f5dee1e24 Renamed all instances of _isEmitWarmupInsightWarningSent
Changed from _isEmitWamrupInsightWarningSent to _isEmitWarmupInsightWarningSent
2020-03-04 09:26:12 -08:00
Martin Molinero 298d751866 Ignore insight emitted during warmup 2019-10-17 21:22:37 -03:00
Stefano Raggi e5028e087f Remove usage of DateTime.UtcNow in buying power models (#3115)
Remove usage of DateTime.UtcNow in buying power models

In PR#3013 we added support for fee models with history, so the new changes to the GDAXFeeModel exposed this bug, breaking a couple of regression tests (issue #3044)

Update regression stats for EmitInsightCryptoCashAccountType

* Fix typos

Add missing time keeper in CashBuyingPowerModelTests
2019-04-23 07:38:39 -07:00
Martin Molinero b7930aff67 Performance improvements
- Using `Aggregate(lambda)` vs `Sum(lambda)` since the later is slower
due to performing an extra `Select`
- For `QCAlgorithm.Framework.OnFrameworkData()` will avoid calling
`ToArray()` on empty `Enumerables` due to its cost * the number of
calls. If the `Enumerable` is the empty instance, which is static,
will create a new empty array and return it instead.
- Replacing `SecurityIdentifier` `SecurityType` and `GetHashCode`
implementations for `Lazy` versions, that are performed just once, since
these values do not change and are used multiple times.
- For the different `DataDictionary<T>` implementations adding `this[
Symbol] get; set` since existing overload `this [string]` produces an
extra round operations `Symbol->string->Symbol` with a significant
impact.
- Adding `PortfolioTargetCollection.AddRange()` overload using an array
to avoid unnecessary convertions.
2019-04-11 19:01:27 -03:00
Martin Molinero 91f19f781d Implement AddUniverseSelectionModel
- Implementing `QCAlgorithm.AddUniverseSelectionModel`
- Adding C#/Py regression algorithms using the new API
- Modifying `ManualUniverSelectionModels` symbol, adding hash of
the selected `Symbol.Values`
- Modifying `Coarse` and `Fine` symbol, adding random GUID
- Adding `NullUniverseSelectionModel`
2019-04-08 16:58:42 -03:00
Martin Molinero 4d108094e5 Implement QCAlgorithm.AddRiskManagement
- Implemention `QCAlgorithm.AddRiskManagement`
- Adding Py/C# regression test algoririthms
- Moving `CompositeRiskManagementModel` from `Framework` to `Algorithm`
project
2019-04-08 10:53:06 -03:00
Martin Molinero 68d9f48c2d Address reviews
- Adding new `CompositeAlphaModel.AddAlphaModel()`
- Adding C#/Py regression algorithms using the new `QCAlgorith.AddAlphaModel()`
- Improving exception message
- Add python version of `QCAlgorith.AddAlphaModel()`
2019-04-05 18:34:18 -03:00
Martin Molinero 9cabd32d19 Add AddAlphaModel method 2019-04-04 13:36:07 -03:00
Martin Molinero 4bc7ec124c Rebase - Improve exception message 2019-04-03 22:00:27 -03:00
Martin Molinero cfa08a11fb Address reviews
- Removing `using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm`
- Removing `QCAlgorithmFrameworkBridge`
- Removing `IsFrameworkAlgorithm`
- Making `EmitInsightBasedOnFill` private. Adding new
`IOrderEventProvider` exposing an `event` to which `QCAlgorithm` will
subscribe.
- `AccountType.Cash` algorithms will be allowed to manually trade and
emight insights manually or with alpha model.
2019-04-03 21:55:44 -03:00
Martin Molinero 19f1806ddc Address review: readd Framework project 2019-04-03 21:55:43 -03:00
Martin Molinero 32ac3146b4 Merge Framework and Classic Algorithms
- Merging Framework and Bridge algorithms into classic QCAlgorithm
class.
- Removing Framework project, VS17 and VS15
2019-04-03 21:54:32 -03:00