- Consistently use QuantConnect/Lean naming convention for method variables;
- Use `IND(PARAM1,PARAM2, ..., PARAMN)` format for indicators. Indicators that are created by a helper method become: `IND(PARAM1,PARAM2, ..., PARAMN, SYMBOL_res)`.
- Fixes `RegressionChannelTest`.
- Implements `IIndicatorWarmUpPeriodProvider`;
- Refactors `IchimokuKinkoHyo`;
- Fixes sub-indicator computations: the `Delay` sub-indicators were accepting input from indicators that were not realy;
- Adds `Chikou` indicator (closes#919);
- Indicators with name starting with A;
- `Maximum`. `Minimum` and `MACD`;
- Adds new unit test method to `CommonIndicatorTests`: `WarmsUpProperly`;
- Indicators unit tests inherit from `CommonIndicatorTests`.
- Removes `UniverseSettings.DataNormalizationMode` (it will ne addressed in a dedicated issue: https://github.com/QuantConnect/Lean/issues/3082)
- Adds examples/tests for Tick resolution, Forex (QuoteBar data) and Custom data.
- Tick resolution is not allowed: logs a message
- Custom data example/test added in `CustomDataNiftyAlgorithm`
- Adds support for ATR and VWAP since they are, respectively, a bar and a trade bar indicator.
- Adds consolidators to handle difference between data resolution and indicator resolution.
This helper method can be used to warm up indicators individually whether it is created after the security has been added to the universe or before (universe selection scenario).
- Fix the subscription addition to `SubcriptionManager` when a History request is made before the security is created, since it should be not added.
- `IndicatorBase.Update` does not throw when an input is older than the last update. We only log (adds QuantConnect.Logging dependency to QuantConnect.Indicators) the error and discard the addition. Removes unit test for that exception.
Replaces Enum `CalendarType` for static class with the same name. This class defines two properties (`Weekly` and `Monthly`) that can be used to define the previous calendar date (Monday or 1st of current month) which will correspont to the `Time` of a `IBaseData` object.
Refactor `PeriodCountConsolidatorBase` to define use `GetRoundedBarTime` based on a period specification that depends on the constructor overload: `integer`, `TimeSpan` or `Func<DateTime, CalendarInfo>`. The last one can be set with the `CalendarType` properties.
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.
* Fixes 5 warnings with code CD1572
* Adds the Xml Comment parameter and implements the missing selector parameter
* Fixes rest of the 13 warnings with code CS1572
* Update the ALMA using the correct default value for sigma
* makes ALMA default sigma = 6
* Incorporate the statistical interpretation of the parameters in the docstring.
* documentation small fixes.
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
When indicators received data from securities that were subscribed as QuoteBar or TickType.Quote, they were consolidated as TradeBars.
Tick were consolidated into TradeBar even when period were zero. Tick object information was lost in the process. With this fix, Tick keeps being Tick.
Adds tests for ResolveConsolidator to verify the consistency between input and output type
TradeBar -> TradeBar
QuoteBar -> QuoteBar
TickType.Trade -> TickType.Trade or TradeBar
TickType.Quote -> TickType.Quote or TradeBar
Currently, most consolidators rely on receiving a piece of data after
the consolidation period before firing the consolidated event. This
introduces a lag in the results. We've mostly gotten around this for
the most common case through usage of the IdentityConsolidator.
The issue arises when considering fill forward behavior and subscriptions
with different resolutions.
Consider a Minute subscription a Daily subscription. Default behavior will
fill forward that daily bar on every minute. If your indicator is based on
the IdentityConsolidator, then it will receive the same price update for
each minute the security trades that day.
By scanning the consolidators based on time, the consolidator is able to
determine that it is indeed time for it to emit a new consolidated bar.
This removes the need for the IdentityConsolidator while also fixing the
aforementioned bug.
Refactors existing consolidators, indicators, and helper methods to depend on
IBaseData instead of BaseData. These updates also defines an IBaseDataBar to
act as an abstraction point between TradeBar and QuoteBar.
* 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 WindowIdentity indicator and its test. We need this at WeightedBy to keep values and weights at sync (same sample number).
Adds WeightedBy indicator extension and a simple test in IndicatorExtensionsTests
Adds VolumeWeightedAveragePriceIndicator (VWAP indicator), its test and external data file for testing.
AlexCatarino