Commit Graph

5 Commits

Author SHA1 Message Date
Gerardo Salazar eb6e13d91f Fixes many issues and refactors some of the report creator
* Can handle null Result packets
* Created utility files
* Added various helper methods to PortfolioLooper
* Fixes build issue by removing System.Collections.Immutable
* Updates plots to show "Insufficient data" when it can't be created
* Hides empty crisis page
* Fixes wkhtmltopdf display bug
* Removes Calculations.cs
* Modifies accessibility of AddToUserDefinedUniverse in QCAlgorithm
* Add null value handling in OrderJsonConverter
* Various bug fixes
* Fixes broken ReportChartTests.py
* Adds leverage to PointInTimePortfolio
2019-12-18 16:10:56 -08:00
Gerardo Salazar 55d802a3b6 Implements support for FX pairs that require currency conversion
* Fixes bugs in various plots
2019-12-18 16:08:40 -08:00
Gerardo Salazar a94077f05a Implements exposure chart.
* Fixes bugs with the following plots:
  - Leverage
  - Drawdown
2019-12-18 16:08:40 -08:00
Gerardo Salazar 7cc4dec6b7 Reworks structure of project
We now will calculate all of the metrics needed to directly plot the
data in C# instead of doing calculations in Python.

This has added benefits in that the code can be easily reused to generate
plots from Result packets and makes the underlying plotting library we
use more extensible and replaceable.

* Adds Calculations.cs
* Refactors some of ReportCharts.py
* Adds Drawdown classes
* Adds Deedle and MathNet.Numerics packages
* Completes calcuations in C# side instead of Python

Side note: I think it's a little funny that we were previously
calculating the plots via Pandas, which uses a C backend. Effectively, we
were transferring data between at least 2 separate FFI
boundaries: C# -> Py -> C -> ? (whatever BLAS is written in)
2019-12-18 16:08:40 -08:00
Gerardo Salazar fa54cd9652 Implements Drawdown chart w/ drawdown periods 2019-12-18 16:08:40 -08:00