This update implemented implicit conversion.
From now on, python algorithms will be able to use string object instead of Symbol object when a method overload requires Symbol.
This new pythonnet package makes available the latest version from pythonnet master branch and includes modifications to enable charting in Lean for python.
The dockerfile to create images for the cloud is updated to reflect the package update and adds keras and tensorflow
sed -i -e 's/UCS2/UCS4/' Common/QuantConnect.csproj
sed -i -e 's/UCS2/UCS4/' Algorithm/QuantConnect.Algorithm.csproj
sed -i -e 's/UCS2/UCS4/' Algorithm.CSharp/QuantConnect.Algorithm.CSharp.csproj
sed -i -e 's/UCS2/UCS4/' AlgorithmFactory/QuantConnect.AlgorithmFactory.csproj
In this example, the algorithm buys a ES futures contract when an up trend is defined by a EMA Cross in SPY. When the contract expires, another one if bought.
Represents an indicator that is a ready after ingesting a single sample and always returns the same value as it is given if it passes a filter condition
Adds an example algorithm
1. Made sure we treat properly option expiration dates before Feb 2015 and after. Added tests.
2. Refactored expiration delisting, assignments/option exercise to happen in the end of the date, not MOC orders in the beginning of the day. Regression test.
3. Refactored option exercise model to generate proper fills on assignments/option. Those fills are reflected correctly in margins, in stats and correspond to IB model. Still need to run IB real-life live tests.
4. Refactored option symbol related functions into separate module (OptionSymbol.cs)
5. Made sure OnAssignmentEvent arrived to the user algo in regression test. Do we need OnExercise event? Not sure.
6. Tested end-to-end Ray's current code (covered call strat) to see short option legs expire worthless, and stats updated.
* Adds Intercept and Slope members in LeastSquareMovingAverage
* Implements the RegressionChannel indicator
The Regression Channel indicator extends the LeastSquaresMovingAverage with the inclusion of two (upper and lower) channel lines that are distanced from the linear regression line by a user defined number of standard deviations.
Adds tests.
* Renames Regression Channel properties
Remove *Line from Regression Channel properties
Adds reference
* Adds RegressionChannelAlgorithm
Adds RegressionChannelAlgorithm
Minor changes on the indidicator
Adds tests for the channels
* Intercept and Slope becomes IndicatorBase instead of WindowIndicator
* Fix LSMA Next Value calculation
Adds PortfolioOptimizationAlgortithm.cs
This algorithm uses Math.NET Numerics library, specifically Linear Algebra object (Vector and Matrix) and operations, in order to solve a portfolio optimization problem.
Adds the IQFeed to the Toolbox:
IQFeedDataQueueHandler implements IDataQueueHandler and
IHistoryProvider
Changes config.json to include IQFeed configuration.
At config.json "data-queue-handler" and "history-provider" should point to
newly created IQFeedDataQueueHandler to make the implementation work
Adds BasicTemplateForexAlgorithm.cs to test IQFeed implementation
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