Implements `PortfolioBias` in EWPCM, CWPCM and IWPCM. With this new feature, these PCM will ignore insights that do not respect the desired bias. E.g. for `PortfolioBias.Long`, on Insights with `InsightDirection.Up` will be converted into `PortfolioTarget.Quantity` greater than zero and other `InsightDirection` will result in `PortfolioTarget.Quantity` of zero.
- Creates `CustomUniverseSelectionModel` that mimics `QCAlgorithm.AddUniverse(String, Func<DateTime, IEnumerable<string>>)`
- Replaces `BaseETFUniverse` for `InceptionDateUniverseSelectionModel` that inherits from `CustomUniverseSelectionModel`
- ETF Basket USMs inherits from `InceptionDateUniverseSelectionModel`
Adds static methods of the form Parse.<TypeName>(string str) that use
CultureInfo.InvariantCulture. These are to be used when parsing strings.
It's still safe (from the CA1304/CA1305 perspective) to use the ToDecimal
extension method for decimals.
Adds string extension methods for common operations that will now require
CultureInfo.InvariantCulture. These are to be used when converting values
to strings, such as ToStringInvariant()/ToStringInvariant(format), but also
useful for searching within strings, StartsWithInvariant, EndsWithInvariant
and IndexOfInvariant.
FxCop has various rulesets for enforcing things within our codebase.
For this particular issue, we'll be enforcing CA1304 and CA1305 to
ensure we're always using an IFormatProvider or a CultureInfo where
applicable.
Linked Issue: #3045
- 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`
- 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.
In this new UniverseDefintions, a member, QC500, defines the QC500 Universe. This helper can be used to add that custom universe to the user algorithm (both in C# and Python).
- Updates PythonNet to 1.0.5.17
- Improve performance by adding new `interop` `type` cache holding a `bool`, true if its an `exception`. And adding a `setter` and `getter` cache for the `propertyobject`. Closes#2925.
- Decimal parsing allows numeric string in exponential notation. Closes#2918#2919.
Closes#2929
- Requires a new PythonNet 1.0.5.15 package where the different `.dll` are in a
specific folder: `\win` `\linux` and `\osx`
- Removed not present `decimal.py` from `Algorithm.Python` project. It
was moved into `Common`.
- Replace `xbuild` for `msbuild` required for using the `System.Runtime.InteropServices`.
Also note the `xbuild` on travis prints:
> >>>> xbuild tool is deprecated and will be removed in future updates, use msbuild instead <<<<
In the new package:
- C# decimal conversion will use C# double and python float due to the big performance impact of converting C# decimal to python decimal;
We didn't experience the expected performance improvements. Locally under
unit test there was aboout an order of magnitude throughput increase, but
when run against the history benchmark, this new approach was 60% slower.
We're reverting this for now to perform further analysis and better
understand the performance profiling of the python history stack.
- Adds log to display the python version the algorithm is using.
- Fixes python algorithms that were failing because of small subtleties
like leading zeroes.
- Updates pythonnet with a version compiled with python 3.6 flags
- Changes in DockerfileFoundation: we now use miniconda to manage the python
environment.
- Took the opportunity to add NTLK (#1349), Tensorforce (#1369) and
PyTorch/Pyro (#1385).
- Changes readme in Algorithm.Python to show steps to install miniconda
In this update, methods overloads with decimal parameters accept python float.
- Fixes FractionalQuantityRegressionAlgorithm:
With the pythonnet update we can pass a python float where a decimal is required.
In this new nuget package, we have included two versions Python.Runtime.dll for macOS
We also add the instructions to compile pythonnet for different operational systems
Martin Molinero