* Deleted regression algorithms because they tested behavior similar to
other existing regression algorithms
* Fixed new bug in regression algorithm due to AddData changes
* Added unit tests for wrapt version and package existence
* Fix issue where data would be set to raw normalization mode
- Moving mapper from C# to Python since some cases did not work when
implemented in C#
- Small changes to `PandasDataFrameHistoryAlgorithm` which runs till the
end with no errors
- Adding more backwards compatible unit tests
- Add Pandas backwards compatibility shim
- Adding `MappingExtensions` which will remove data type from the
`Symbol.ID.Symbol` value to resolve the `MapFile`
- `SecurityIdentifier.TryParse()` will throw when given an invalid
`SecurityType`
- Removing `AccountCurrency` from `Cash` and `Brokerage` classes.
`ICurrencyConverter` will now provide the `AccountCurrency`
- Adding new static `OrderFee.Zero` which will return a 0 order fee in
`NullCurrency`
- Adding static `Currencies.USD` value, replacing all "USD".
- Addin new static `Currencies.NullCurrency`
- Updating Bitfinex `FeeModel` so it return fees in quote currency.
Adding unit tests
- Adding new `IAlgorithm.AccountCurrency { get; }` that will point to the
`Portfolio.CashBook.AccountCurrency`. Setter will be added in a
following PR.
- Base `Brokerage` class will now have a `AccountCurrency { get }`
pointing to the `IAccountCurrencyProvider`. Will be used by the different
brokerages implementations.
- Removing unneeded `CashBook` instance to create a new `TimeSlice`
- Adding new `TimeSliceFactory`, an instance base class that will
provide methods to create a new `TimeSlice`. Will own the `DateTimeZone`
property.
- Adding new `ISecurityPrice` and `IOptionPrice` that will provide a
reduced interface for accessing price properties and methods used when
creating a new `TimeSlice`
- Adding new ISecurityService and its implementation SecurityService.
Expose by SecurityManager.
This class will expose a method for creating new securities. The
SecurityManager is exposing this new interface, calling _securityService
internally, so Future/OptionUniverseSelectionModel.cs can use it
- Replacing all usages of SecurityManager.CreateSecurity for new
ISecurityService
- Modifying `Cash.cs` and `CashBook.cs` `EnsureCurrencyDataFeeds()` to
return newly added `SubscriptionDataConfig` instead of `Security`. This
will avoid using `Security.Subscriptions` at call site.
- Moving old SecurityManager.CreateSecurity into new
SecurityServiceTests.cs
Security instances will require private access to this value in order to
compute close profit.
NOTE: The extent of these changes for simply adding a constructor argument
insinuates that we're missing an abstraction to manage the construction of
these objects, such as a factor object for Security. This will need some
careful TLC in the near future.
- Adds `MarginCallModelPythonWrapper` to wrap a python class that represents a margin call model.
- Adds `SetMarginCallModel` to enable the setting of custom margin call model.
- Adds `BuyingPowerModelPythonWrapper` to wrap a python class that represents a custom buying power model.
- Adds `SetBuyingPowerModel` and `SetMarginModel` to enable the seeting of custom buying power model.
Pipes universe data from the data feed, through TimeSlice.Create and adds
TimeSlice.UniverseData dictionary property for read access from the algo
manager, where the data will be placed onto the correct security object.
Since Lean/QuantConnect data from a symbol can be found in Slice.Ticks, Slice.Bars and Slice.QuoteBars, information for all of this members must be used in order present all information in the pandas.DataFrame.
Move the logic of importing the module into AlgorithmPythonWrapper where it is wrapped.
Throws an exception if the script does not have a class that inherits from either QCAlgorithm not QCAlgorithmFramework.
Adds a check for OnData being defined in the module. If not, OnData from the base class will not be called (it causes stack overflow otherwise)
- Moves PandasData class to its own file
- Refactors PandasData class to deal with list of tick
- Other minor changes requested by peer-review
- Adds unit test for PandasConverter's tick handling
Martin Molinero