* Create EaseOfMovementValue.cs
Added ease of movement file
* Update EaseOfMovementValue.cs
Added calculation for EMV and return its value
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
Rearranged code and removed all IndicatorBases
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
Added Min and Max Indicator
* Added Tests and Compile
* Fixed Bugs and Removed Reset
* Added Current Value and revereted to Bar data
* Fixed test file and refined indicator file
* TradeBar to IBaseDataBar
* Bug fixes
* bug fix
* Switching to TradeBar and attempting to fix Volume bug
There are two bugs that I have been having trouble fixing. 1. Cannot implicitly convert decimal to int (simple fix but cannot find where bug is taking place)
2. IBaseDataBar does not contain a definition for Volume
* Update EaseOfMovementValueTests.cs
* bug fix
* added data
* updated assertion
* added reset
* Update EaseOfMovementValueTests.cs
* Update EaseOfMovementValue.cs
* Update spy_emv.txt
I had the wrong test data in. Was throwing failed test for many pull requests.
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* Cleaned Data
* Bug fixes
Fixed zero division error. Used better Test Data.
* removed readonly from _previous...price
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* bug fix
* Test Bug Fix
* EMV data from online
* Cosmetics
* Out of bounds fix
* Update EaseOfMovementValueTests.cs
* Update spy_emv.txt
* Update spy_emv.txt
* Added changes requested
Placed constructor first, fixed nullable type if statement, set 10,000 to default argument, added SMA.
* Update EaseOfMovementValue.cs
added variables
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* Fixed bugs
* Changed Delta, Added Assert
Create Indicator -> Update EMV -> Assert Status. Also changed delta from 1 to 0.000001 to improve test accuracy.
* Added unit test testing the SMA
- WarmupIndicator will be able to determine the correct type to use
- Fix bug in `History.GetMatchingSubscriptions()` which would use the
same TZ for exchange and data. Covered by regression algorithm.
- Consolidate will only infer `TickType` from `T` is not abstract
- Adding regression algorithm
- Slice will expose `Get(Type)` to get data by type, adding unit tests
- Remove unrequired symbol check
- Dispose of `ZipDataCacheProvider` used in unit tests.
To avoid issues with other tests since zip files could remain open.
- Make `GetSubscription` private and remove unrequired overload
- Add warning message when trying to warm up an indicator which does not
have a warm up period
- Fixes for C# RegisterIndicator API methods which were ignoring provided
type of T
- Fixes for Py RegisterIndicator API methods which was not using the
provided 'selector' method
- Adding C# and Py regression algorithm
- Consistently use QuantConnect/Lean naming convention for method variables;
- Use `IND(PARAM1,PARAM2, ..., PARAMN)` format for indicators. Indicators that are created by a helper method become: `IND(PARAM1,PARAM2, ..., PARAMN, SYMBOL_res)`.
- Fixes `RegressionChannelTest`.
- Implements `IIndicatorWarmUpPeriodProvider`;
- Refactors `IchimokuKinkoHyo`;
- Fixes sub-indicator computations: the `Delay` sub-indicators were accepting input from indicators that were not realy;
- Adds `Chikou` indicator (closes#919);
- Indicators with name starting with A;
- `Maximum`. `Minimum` and `MACD`;
- Adds new unit test method to `CommonIndicatorTests`: `WarmsUpProperly`;
- Indicators unit tests inherit from `CommonIndicatorTests`.
- Removes `UniverseSettings.DataNormalizationMode` (it will ne addressed in a dedicated issue: https://github.com/QuantConnect/Lean/issues/3082)
- Adds examples/tests for Tick resolution, Forex (QuoteBar data) and Custom data.
- Tick resolution is not allowed: logs a message
- Custom data example/test added in `CustomDataNiftyAlgorithm`
- Adds support for ATR and VWAP since they are, respectively, a bar and a trade bar indicator.
- Adds consolidators to handle difference between data resolution and indicator resolution.
This helper method can be used to warm up indicators individually whether it is created after the security has been added to the universe or before (universe selection scenario).
- Fix the subscription addition to `SubcriptionManager` when a History request is made before the security is created, since it should be not added.
- `IndicatorBase.Update` does not throw when an input is older than the last update. We only log (adds QuantConnect.Logging dependency to QuantConnect.Indicators) the error and discard the addition. Removes unit test for that exception.
Replaces Enum `CalendarType` for static class with the same name. This class defines two properties (`Weekly` and `Monthly`) that can be used to define the previous calendar date (Monday or 1st of current month) which will correspont to the `Time` of a `IBaseData` object.
Refactor `PeriodCountConsolidatorBase` to define use `GetRoundedBarTime` based on a period specification that depends on the constructor overload: `integer`, `TimeSpan` or `Func<DateTime, CalendarInfo>`. The last one can be set with the `CalendarType` properties.
VWAP will submit market orders while the current price is more favorable than VWAP.
STD will submit market orders while the current price is a configured number of
standard deviations away from the mean in the favorable direction.
Jovad Uribe