- Adding new `Func<DateTime, DateTime?>` that allows PCM to return null
if the next rebalance time is null, in which case the function will be
called again in the next loop.
- Adjusting PCM next rebalance time check to perform rebalance once the
time is reached
- Adding new regression test. Updating existing
- Moving InsightCollection into base `PortfolioConstructionModel`
- Will call `InsightCollection.GetNextExpiryTime()` on each check, and
for performance `InsightCollection` will keep track of next insight
expiry time
- Removing need for PCM base classes having to call `RefreshRebalance`
- Some refactor clean up at base
PortfolioConstructionModel.IsRebalanceDue()
- Refactoring some PCM methods to be `protected` since they are not required
to be public
- Adding new `PortfolioConstructionModel.RebalanceOnInsightChanges`
flag, that will allow avoiding new insights or insight expirations to
trigger a rebalance
- Updating unit tests
- Fix for the MeanVarianceOptimizationPortfolioConstructionModel that
was skipping, in some cases, 0 magnitude insights
- Improving OrderSizing.Value and Volume to include code in consumers
- OrderSizing.GetUnorderedQuantity() will adjust result by lot size
- ImmediateExecutionModels will use OrderSizing.GetUnorderedQuantity()
- OrderSizing.Value() will take into account ContractMultiplier
- Adding unit tests
- Add missing PCM constructor methods for the different supported
rebalancing periods overloads
- Normalize rebalance behavior in the base `PortfolioConstructionModel`
- Adding new `PortfolioConstructionModel.RebalanceOnSecurityChanges`
that will allow disabling rebalance on security changes
- Adding unit tests
- 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
- Unit test started failing because it was using a future end time at
the time of the merge and once it passed the end time it started failing
because it performed 1 extra selection
Changes `GetLastKnownPrice` logic to retry to get non-null data after a first attempt. Previously, it would return null in the first attempt and illiquid securities would not have valid data to set its market price. In the second attempt, we increase the look-back period to the equivalent of three trading days worth of data.
- `AddUniverse` call will add new Universe to the pending collection which
will be consumed at the `OnEndOfTimeStep` where it will be added to the
data feed, same as we do for the `UserDefinedUniverses`. This is
required since the start and end date, during initialize, is consumed by
these universe subscriptions.
-Adding unit test.
The class field that tracks the current month is updated only if there are securities that passed the selection criteria. It prevents division by zero and allows the universe selection a new attempt on the next trading day while keeps the universe unchanged
- `AlgorithmManager` will search for `SubscriptionDataConfigs` using the
`SubcriptionDataConfigService` versus directly checking active `Subscriptions`.
In the case of warmup, subscription have not been added yet. Also will
include internal subscriptions.
- Adding unit tests
This helper is a favorite of mine to use in models to handle OnSecuritiesChanged
event to maintain internal state in light of additions/removals. Sometimes, the
internal state objects implement IDisposable, and without this code, they would
never be disposed. A good usage of IDisposable here would be to remove any items
that are only used by that single security related internal state such as a consolidator
- Adding `BaseData.AdjustResolution()` that should return a valid
resolution for the given data and security type.
This allows us to set a limitation which is useful to avoid invalid data
requests or unnecessary fill forward situations. The user will be
notified through a console message.
- Adding unit and regression test
- Updating example algorithms custom data resolution
- Some performance improvements. Wont change console color if
`SelectedOptimization` is defined
- Adding `FreePortfolioValue` to be set after algorithm initialize based
on the `TotalPortfolioValue` and the `FreePortfolioValuePercentage`
- Updating regression tests
- Adding new regression test
- Adding check for minimum order value at `BuyingPowerModel`
Adds constructor overloads to `EqualWeightingPortfolioConstructionModel` (`EWPCM`) to allow different rebalancing definitions.
It is possible to define rebalancing period with `Resolution`, `TimeSpan` (`timedelta` for Python) or a `Func<DateTime, DateTime>` (`lambda x: x+timedelta(y)`). The last option lets the model use `Expiry` helper class with the members such as `EndOfWeek` and `EndOfMonth`.
- Adding `SecurityCacheProvider` this class allows for two different
`Security` to share the same data type cache through different instance
of `SecurityCache`. This is used to directly access custom data types
through their underlying in a peformant maner
- Some small improvements
- Adding new `ConfidenceWeightedPortfolioConstructionModel` (C# / Py) that will
generate percent `Targets` based on the latest active `Insight` `Confidence` per
`Symbol`.
- Will ignore `Insights` that have no `Confidence`.(unit tested)
- If the sum of all the last active `Insight` per `Symbol` is bigger than 1, it
will factor down each target percent holdings proportionally so the sum is 1. (unit tested)
- Adding unit tests
- Adding a new regression test framework algorithm (C#/Py)
-**Note**: `ConfidenceWeightedPortfolioConstructionModel` inherits from the `InsightWeightingPortfolioConstructionModel`. Protect method `GetValue` was implemented in `IWPCM` to enable the choice of `Insight` member.
Adds IRegisteredSecurityDataTypesProvider to track all the data types
registered in the algorithm. Using this data, we can detect if it's
possible that we'll eventually have a property of a certain type name.
For example, consider I wish to use security.Data.TradeBar but we haven't
received any trade bars yet. Before this change a KeyNotFoundException
would be raised, but since we can determine that we expect to have trade
bars, we can detect this and return an empty list when we haven't received
any data yet. This also removes the need to constantly do a HasData<T>()
check before accessing the dynamic members.
Closes#3620
* Implement method precedence hack on two additional python methods
* Changed behavior of SymbolCache loading with a ticker
- Previously, we would search the cache with ticker for types that did not
require mapping.
* Added new documentation
* Code cleanup
* Change first date to be SID.DefaultDate if SecurityType isn't expected
* Modified AddData tests to meet expectations. AddData unit tests are passing
This is being done in an effort to prevent symbol collisions within the
custom data (SecurityType.Base) namespace. The custom data type's name,
is used for disambiguation. As written, this change will break several
user algorithms that still rely on using the implicit string -> Symbol
lift. Providing this type information is optional an currently only being
used by AddData<T> methods. Other consumers of SecurityType.Base symbols
arn't at risk for collision, such as the UserDefinedUniverse, ScheduledUniverse
and others that are LEAN controlled. In order to maintain backwards compatibility,
the SymbolCache was updated to do a hard search when the requested ticker was
not found, looking for the prefix ('ticker.').
Fixes#3332
- Custom data types will know whether or not Lean should use map files
- Updating regression test with sample custom data using map files,
which can run locally
- Adding unit tests for the `SubscriptionDataReaderHistoryProvider`,
checking it mappes equities and options correctly
Martin Molinero