- Slice dynamic data accessors will ignore QuoteBars and
Ticks TickType.QuoteBars for equities. This is to make slice dynamic
accessors deterministic and avoid breaking backwards compatibility when
adding QuoteBars for equities.
`BaseDictionary` is an abstract implementation of `IExtendedDictionary` keyed by `Symbol` that implements Python `dict` methods. `Slice`, `DataDictionary`, `SecurityManager`, and `SecurityPortfolioManager` derives from it in order to behave like Python `dict`.
- Fixes for C# RegisterIndicator API methods which were ignoring provided
type of T
- Fixes for Py RegisterIndicator API methods which was not using the
provided 'selector' method
- Adding C# and Py regression algorithm
- Add a couple of missing cases where we explicitly set tick type to
null and assert the default data type used
- Adding custom data consolidate for Py algorithm
- Reduce MinimumVariancePortfolioOptimizar precision goal so that both
CSharp and Py MeanVarianceOptimizationFrameworkAlgorithm return the same
results
- Limit factor file dates in factor file generator unit test
Implements `PortfolioBias` in EWPCM, CWPCM and IWPCM. With this new feature, these PCM will ignore insights that do not respect the desired bias. E.g. for `PortfolioBias.Long`, on Insights with `InsightDirection.Up` will be converted into `PortfolioTarget.Quantity` greater than zero and other `InsightDirection` will result in `PortfolioTarget.Quantity` of zero.
- Adding new unit test for python PCM implementations, asserting each
method is correctly called
- Reverting some unrequired changes in the
`MeanVarianceOptimizationFrameworkAlgorithm`
- Refactor shared logic from `EqualWeightingPortfolioConstructionModel`
into base `PortfolioConstructionModel` implementation
- `MeanVarianceOptimizationPortfolioConstructionModel` will respect
rebalancing period and will use all active inisights, not just the last
- Refactor AccumulativeInsightPortfolioConstructionModel to inherit from
the EWPCM, reducing code duplication and adding support for rebalancing
period
- Fixing bug where only 1 new insight per symbol was processed per loop
- Adding unit tests
- Updates `DropboxUniverseSelectionAlgorithm` and `DropboxBaseDataUniverseSelectionAlgorithm` with new links to Dropbox files and date range to match the dates in the files.
- Adds copy of files in `TestData` folder.
* Updates TradingEconomics algorithms to use new event definition
* Separated Calendar and Indicator definitions into partial class
* Refactors portions of TradingEconomicsCalendar
* Makes TradingEconomicsCalendar.GetSource return RemoteFile for live
* Fixes bugs in TradingEconomicsEventFilter
* Fixes bugs in StreamReaderExtensions (thanks Martin :))
* Adds new unit tests to cover changes
- Remove unrequired `GetBuyingPower`
- Making `BuyingPowerModel.GetMaintenanceMarginRequirement` protected
instead of public
- Adding `GetMaximumOrderQuantityForDeltaBuyingPower` to replace
public `GetMaintenanceMarginRequirement` and improve API experience for
consumers like the `DefaultMarginCallModel`
- Adding new unit tests
- Remove unused `OptionChainUniverseDataCollectionAggregatorEnumerator`
- Refactor `BaseDataCollectionAggregatorEnumerator` and
`OptionChainUniverseDataCollectionEnumerator` to avoid emitting invalid
data points
- Updating regression tests statistics
- Adding unit test
event names
* Adds unit test for new filter method
NOTE: This is a breaking change for Trading Economics calendar events
property. Any previous string matching might result in a mismatch if
results were not previously being normalized.
Martin Molinero