f7e06510d4
Fix missing front month contract in energy futures backtesting
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Energy futures (CL, HO, RB, NG) expire in the month before the contract month.
To handle these properly, the following changes have been implemented:
- the AlgoSeekFuturesReader has been updated to create the future symbol with the correct expiry date
- the zip entry names in futures data files now contain the full expiry date (in addition to the contract month)
- the sample data files have been updated to use the new zip entry names
- new unit tests have been added and existing ones updated
2019-04-29 09:40:59 +02:00
454d4acf43
Add missing data files for BasicTemplateFuturesFrameworkAlgorithm
2018-08-08 18:14:40 +02:00
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
86866fa324
delete daily and hourly futures data
2018-04-12 18:33:58 -04:00
addf2101fa
Added / fixed conversion test from minute to hourly/daily for futures
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- Adapted DataReader to load zipfile entries
- Uploaded corrected daily / hourly data for ES and GC
2017-06-27 10:25:34 +02:00
212ca333f1
Added hourly and daily test data generated from original GC and ES minute example data
2017-06-19 19:32:41 +02:00
a82d002a68
Added tick data for gc 10/06/2013 to 10/08/2013 (19.2MB)
2017-05-18 14:47:30 -04:00
92b4eddf64
Added updated sample GC Futures data
2017-05-10 11:49:25 -04:00
100e760b3d
Added corrected sample ES futures data
2017-05-10 11:44:44 -04:00
2da01255d2
Added example futures data for BasicTemplateFuturesAlgorithm
2017-04-26 13:11:15 -04:00
4da3d1fd8a
Added ES futures data with the new decimal format
2017-04-25 17:27:58 -04:00
8f3eff50c6
Updated PR
2017-01-17 00:35:22 +08:00
b3387edf53
Update Future sample data files
2017-01-09 21:49:04 +01:00
1305d96edd
Open interest support: backtesting, converters, live data handlers (IQFeed/IB), live trading (IB). First cut. Regression Test.
2016-11-15 21:33:33 +01:00
Stefano Raggi