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feature-optimize-python-load
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Author SHA1 Message Date
AlexCatarino 19502cc40b Adds support to multi asset type pairs 
Securities from different types may have different timezones. In this case, daily resolution data is split in two slices in a history request, so these slices are grouped together to determined whether we have data from all the symbols in the same date.
 2018-07-12 15:17:21 +01:00
AlexCatarino 009a136be3 Adds minimum correlation requiment to accept a candidate pair 2018-07-11 23:40:30 +01:00
AlexCatarino c59ff47ed7 Refactors PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm 
- 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