Previously Tick resolution subscriptions only received ticks with TickType.Trade, now TickType.Quote and TickType.OpenInterest are received as well.
This PR replaces PR #1065
This method is a convient way to check if the security has a subscription that represents custom data. It returns true if the security contains at least one subscription that represents custom data
Warmup history requests for options and futures were only creating a single subscription for open interest (no trades or quotes).
Also some History overloads had the same issue.
History requests should not return a dictionary with a dataframe, but a multi-index dataframe.
It is more common to work with multi-index dataframes rather than multi-column.
- Moved provider implementations out of brokerages into their own classes
- Removed DefaultOptionChainProvider
- Added BacktestingOptionChainProvider and LiveOptionChainProvider
- Moved SetOptionChainProvider call from Engine to setup handlers
Implements Quandl support for Python.
It was not possible to derive from Quandl in order to select the column. If the data did not have "close", it would thrown an exception since it would look for this work in a dictionary.
It is now possible to select the column.
See example QuandFuturesDataAlgorithm.py
The algorithm had two issues:
1. the LINQ query for contract selection was not including the option right (Put or Call)
2. the algorithm was submitting two extra orders at the end of the day (when market closed)
A helper method was also added in QCAlgorithm to determine if the market is open for a given symbol at the current time.
In the advanced build settings, Language version was also upgraded from C# 5.0 to C# 6.0. The minimum Visual Studio version required will now be VS2015.
This update implemented implicit conversion.
From now on, python algorithms will be able to use string object instead of Symbol object when a method overload requires Symbol.
Calling Impromptu.ActLike<IAlgorithm> to make the python object acts like a IAlgorithm caused multiple AlgorithmPythonWrapper objects running in parallel to hold the same python object. That call was removed and instead we access the python object directly.
- Removes AlgorithmPythonUtil.py and add its code directly in AlgorithmPythonWrapper.cs
- Clean up: removes all references to IronPython and ImpromptuInterface
Adds overloads to Plot and PlotIndicator to handle calls from python.
Adds CustomChartingAlgorithm and changes MACDTrendAlgorithm to showcase the feature
This new pythonnet package makes available the latest version from pythonnet master branch and includes modifications to enable charting in Lean for python.
The dockerfile to create images for the cloud is updated to reflect the package update and adds keras and tensorflow
jjd