The PairsTradingAlphaModel is a simple example of defining an insight
grouping. Insights that are grouped together are assigned a unique
group-id that can be used by the portfolio construction model.
Updates were made to the CommonAlphaModelTests to give more control to
derived types. Some changes are still needed here to give securities
unique prices. I would recommend using a psuedo-random walk approach
by using Random with a constant seed value.
Launcher project is packed as `QuantConnect.Lean`but as a mean ot having all Lean features just calling one package.
In the same sense, `QuantConnect.Algorithm.CSharp` is included as package and added as dependecy in the `QuantConnect.Lean` package just to have a working example aailable out-of-the-box.
The ScheduledUniverseSelectionModel wraps the new ScheduledUniverse.
ScheduledUniverse is similar to the UserDefinedUniverse we use to create
universes for dopbox/remote files w/ symbol listing. The new abstraction
that 'turns on' this no-data/scheduled based universe behavior is the
ITimeTriggeredUniverse, which exposes GetTriggerTimes which yields the
date/times your univese selection function will be called.
A regression algorithm was also added to cover the new feature.
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.
- 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
In the advanced build settings, Language version was also upgraded from C# 5.0 to C# 6.0. The minimum Visual Studio version required will now be VS2015.
Michael Handschuh