d5996fb7c8
MV & BL portfolio optimization implementation
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Closes #1998 . Closes #2219 .
2018-07-24 16:53:11 +01:00
3d48efcbea
Add Tiingo Daily Prices example algorithm
2018-07-24 13:24:52 +02:00
21a227eaae
Merge pull request #2295 from AlexCatarino/bug-2293-python-custom-data-type
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Fixes custom data type mismatch in python algorithms
2018-07-23 15:37:22 -04:00
d75794ede2
Adds indicator with custom data in BasicTemplateIntrinioEconomicData.
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This addition aims to show that the fix of the preivious commit solves the bug.
2018-07-23 17:26:43 +01:00
fde0239930
Fix failing internal feed regression algorithms
2018-07-23 14:25:28 +02:00
1138b0c1e2
Fix TimeInForceAlgorithm regression tests
2018-07-19 11:52:40 +02:00
df88433428
Merge pull request #2276 from QuantConnect/bug-2273-internal-feeds-end-time
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Fix internal feed subscription end time in AlgorithmManager
2018-07-19 00:11:58 -04:00
bd3c48e05e
Fix internal feed subscription end time in AlgorithmManager
2018-07-19 00:32:20 +02:00
380caa5203
Add IRegressionAlgorithmDefinition.CanRunLocally
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This flag indicates whether or not the local regression test system,
via RegressionTests.AlgorithmStatisticsRegression should run a given
IRegressionAlgorithmDefinition
2018-07-18 15:57:11 -04:00
975c2845c3
Merge pull request #2246 from QuantConnect/feature-2245-updates-pythonnet
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Update pythonnet version to v1.0.5.8
* Includes fix for date time UTC bug
2018-07-18 11:26:19 -04:00
8f6d3116e6
Merge pull request #2264 from QuantConnect/bug-2263-intrinio-missing-factor-files
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Add missing map/factor files for BasicTemplateIntrinioEconomicData regression
2018-07-18 11:25:26 -04:00
a39490edd0
Merge pull request #2250 from Martin-Molinero/bug-2197-delisted-symbol-data-being-sent
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Fix for delisted subscription data being sent
2018-07-18 11:05:14 -04:00
3bf8cd228b
Merge pull request #2259 from AlexCatarino/master
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Fixes typo in PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm.py
2018-07-18 10:55:17 -04:00
7d66262688
Merge pull request #2258 from QuantConnect/feature-2241-missing-regression-test-for-futures
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Adds BasicTemplateFuturesAlgorithm as regression test.
2018-07-18 10:47:29 -04:00
0cc39e53b3
Add missing map/factor files for BasicTemplateIntrinioEconomicData regression
2018-07-18 15:09:08 +02:00
ff5e888313
Fix for delisted subscription data being sent
2018-07-18 09:45:13 -03:00
e3c6f9d32e
Add missing data files for CancelOpenOrdersRegressionAlgorithm
2018-07-18 13:10:31 +02:00
6fcb381c46
Fixes typo in PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm.py
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The lookback period for one year should be 252, since one year has 252 trading days.
2018-07-17 22:18:17 +01:00
ae99f7b9a1
Add Python version
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Add comments to `IRegressionAlgorithmDefinition` members.
2018-07-17 18:01:53 -03:00
b69d2de337
Adds BasicTemplateFuturesAlgorithm as regression test.
2018-07-17 17:25:49 -03:00
8e3b7153b2
Rebase with pythonnet/master and fix datetime UTC bug
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Updates pythonnet with pythonnet/master and fix datetime issue ([65ac279](https://github.com/QuantConnect/pythonnet/commit/65ac279a03dbded39fe3e28bb79c233f0c970f6f )).
2018-07-16 11:52:54 +01:00
afad0a6ab9
Merge pull request #2216 from AlexCatarino/feature-2215-refactors-pairs-trading-alpha-model
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Refactors PairsTradingAlphaModel
2018-07-12 11:31:29 -04:00
0a6488ba5b
Removes PairsTradingAlphaModelFrameworkAlgorithm
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This algorithm uses the `BasePairsTradingAlphaModel` that should only be used as a base class, since it doesn't have a method to select the pairs.
2018-07-11 23:40:30 +01:00
c59ff47ed7
Refactors PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm
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- Moves `PearsonCorrelationPairsTradingAlphaModel` class to its own file in order to make it available as a framework model.
- Follows existing pattern design that alpha models receive a lookback and a `Resolution` object.
- Algorithm implements `IRegressionAlgorithmDefinition`.
2018-07-11 23:40:30 +01:00
6121236f20
Implements PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm
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This algorithm is an example on how to extend the `BasePairsTradingAlphaModel` to select a pair to trade based on pearson correlation.
2018-07-11 23:40:29 +01:00
6dbe83d0be
Renames PairsTradingAlphaModel
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- Since it will be used as a base class for other pairs trading models, it was ranamed as BasePairsTradingAlphaModel
- Use a tuple of symbols are key of BasePairsTradingAlphaModel._pairs dictionary.
2018-07-11 23:40:29 +01:00
e815fe8cba
Refactors PairsTradingAlphaModel
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Instead of using a single, pre-defined, pair set in the class constructor, the pair is defined when securities are changed, therefore depending on the universe selection model.
2018-07-11 23:40:29 +01:00
843b703950
Update statistics for BasicTemplateOptionsFrameworkAlgorithm
2018-07-11 22:42:17 +02:00
1b7bc7a7b3
Merge pull request #2214 from QuantConnect/feature-2208-update-open-source-data-set
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Update open source data set
2018-07-06 11:46:35 -04:00
b783e98d91
Dont chain algorithm indicator helper methods
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Chaining these is a bad pattern and should not be used in any of our
sample code.
2018-07-06 05:28:17 -04:00
d2d4fda43c
Remove crypto quote data and use trade bar consolidator
2018-07-06 03:15:56 -04:00
2fa9b0b6f7
Make regression algorithms self-contained
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Some algorithms had dependencies outside of the file that needed
to be copied into each project. The alternative here is to move
the Bitcoin and QuandlFuture type into Common\Data or similar
2018-07-06 02:05:03 -04:00
5a3a10a7b0
Adds BasicTemplateOptionsFrameworkAlgorithm to the regression tests
2018-07-05 21:02:01 +01:00
6d721c897a
Implements CallsOnly and PutsOnly methods in OptionFilterUniverse
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These two helper methods makes it simpler to select options with a specific right. This selection could be done with a Linq expression, but there is no equivalent for python. It is more user friendly to add those helper than adding a `PyObject` overload to `Contracts` method.
Use `PutsOnly` method in `BasicTemplateOptionsFrameworkAlgorithm`.
2018-07-05 20:59:08 +01:00
7eb4526724
Update open source data set and regression statistics
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Factor files from 2018.06.04
Data files from 2018.07.05
2018-07-05 15:13:57 -04:00
96dc5e8673
Moving IRegressionAlgorithmDefinition to QuantConnect.Common
2018-07-03 13:34:27 -03:00
8ec32c58af
Merge pull request #2176 from AlexCatarino/bug-2030-download-method-ambiguous-call
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Fixes ambigous call bug for Download method
2018-07-02 11:18:10 -04:00
292951e029
Adds examples of Download method in C# and python algorithms
2018-06-28 19:01:30 +01:00
15e67b4ddd
Renamed IndicatorWarmupRegressionAlgorithm
2018-06-28 11:56:23 -04:00
891cd5952a
Renamed HistoryAndWarmupRegressionAlgorithm
2018-06-27 17:42:35 -04:00
de9429320a
Merge pull request #2160 from Martin-Molinero/issue-2159-fix-multiple-contract-addition-for-optionchainprovideralgorithm
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New check to avoid adding the same option contract multiple times
2018-06-25 17:05:04 -04:00
1605870c2b
New a check to avoid adding the same option contract multiple times
2018-06-25 14:02:14 -03:00
7bc991a621
Update execution models to execute trades ordered by margin impact
2018-06-22 18:07:13 +02:00
ddef036745
Fix InvalidOperationException in AddRemoveOptionUniverseRegressionAlgorithm
2018-06-18 10:14:35 +02:00
73fb791786
Update regression statistics for ParameterizedAlgorithm and RegressionAlgorithm
2018-06-15 14:25:03 +02:00
499c0c5876
Merge pull request #2115 from StefanoRaggi/bug-2114-update-regression-stats
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Update expected stats for a few framework regression tests
2018-06-14 11:15:39 -04:00
be47d60fa7
Fix CustomDataRegressionAlgorithm failing test
2018-06-14 11:44:28 +02:00
80fb0ee63c
Update expected stats for a few framework regression tests
2018-06-13 23:51:02 +02:00
bb21171943
Implements python Consolidate API
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Collapse QuoteBar to TradeBar if trade bar handler specified
2018-06-12 13:17:49 -04:00
007bcea6b8
Add Consolidate API
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These new methods allow algorithms to quickly create, register, and
wire events on consolidators in a single line.
2018-06-12 12:58:28 -04:00
Art Wild