* Fixes inability to parse negative strike prices in SecurityIdentifier
* Adds new tests ensuring backwards compat and no throwing w/ negative
strike prices
* Changes strategy used to support negative strike prices
* We add support for negative strike prices at the cost of
reducing the maximum allowed precision for the strike price.
We encode a negative sign into the 20th bit of the strike price
and set our bounds for precision to a max (exclusive) of 475712.
This in turn is then used to form a negative strike when rebuilding
the SID.
* Adds tests covering changes
* Address review: adds additional tests and refactors code
* Address self-review: remove unused import in SymbolTests
* Address review: adds additional test cases for OptionStyle and OptionRight
* These tests are to ensure that backwards compatibility is maintained
* Addresses review: Adds option chain <-> master SID hash test
* Refactors previous tests to reduce on code duplication
* Reduce test duplication
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* GDAX Brokerage updates
- Replaced fill detection from trade stream with monitor task
- Order fees for fills are now the real fees paid (previously they were calculated by the brokerage model)
- All unit and integration tests are green
* Address review
- Remove unnecessary signals
- Add "gdax-fill-monitor-timeout" config setting
* Remove user channel
* Create EaseOfMovementValue.cs
Added ease of movement file
* Update EaseOfMovementValue.cs
Added calculation for EMV and return its value
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
Rearranged code and removed all IndicatorBases
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
Added Min and Max Indicator
* Added Tests and Compile
* Fixed Bugs and Removed Reset
* Added Current Value and revereted to Bar data
* Fixed test file and refined indicator file
* TradeBar to IBaseDataBar
* Bug fixes
* bug fix
* Switching to TradeBar and attempting to fix Volume bug
There are two bugs that I have been having trouble fixing. 1. Cannot implicitly convert decimal to int (simple fix but cannot find where bug is taking place)
2. IBaseDataBar does not contain a definition for Volume
* Update EaseOfMovementValueTests.cs
* bug fix
* added data
* updated assertion
* added reset
* Update EaseOfMovementValueTests.cs
* Update EaseOfMovementValue.cs
* Update spy_emv.txt
I had the wrong test data in. Was throwing failed test for many pull requests.
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* Cleaned Data
* Bug fixes
Fixed zero division error. Used better Test Data.
* removed readonly from _previous...price
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* bug fix
* Test Bug Fix
* EMV data from online
* Cosmetics
* Out of bounds fix
* Update EaseOfMovementValueTests.cs
* Update spy_emv.txt
* Update spy_emv.txt
* Added changes requested
Placed constructor first, fixed nullable type if statement, set 10,000 to default argument, added SMA.
* Update EaseOfMovementValue.cs
added variables
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* Fixed bugs
* Changed Delta, Added Assert
Create Indicator -> Update EMV -> Assert Status. Also changed delta from 1 to 0.000001 to improve test accuracy.
* Added unit test testing the SMA
- Add more fill forward unit test including a weekend using different
combinations of resolutions
- Add required AIG second data file
- Avoid list in most common FF case
- 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.
- Use `/usr/share/nltk_data` instead of `/root/nltk_data`.
- Adds test for NLTK.
- Tidies the root directory of the docker image
- Adds support to mlfinlab
AJY, AKL, AKZ, ANE, APS, AR0, ARE, AUP, AVZ, AW, AYV, AYX, AZ1, B0, B7H, BCF, BIO, BK, BOO, BR7
Correct wrong entry for symbol ZT in symbol-properties-database
Add missing holidays or early closes for energies and fx in mhdb
Adds Russell 2000 E-Mini (RTY), Nikkei 225 Dollar (NKD) and Sugar 11 CME Globex (YO) to future data: entails update entries in market hours and symbol properties databases.
Updates `FutureExpiryFunction` to handle these contracts expiration date.
- Fixes `TrueRange` computation: it was not using the H-L range;
- Fixes `SmoothedDirectionalMovementMinus` that used a constant value instead of the defined period;
- Use a `WilderMovingAverage` to compute ADX based on DX.
- Fixes `AverageDirectionalMovementIndexRating` only be ready when there is enough past values.
- Removes external data for `AverageDirectionalMovementIndexRating` and points to column in `AverageDirectionalMovementIndex` external data.
Closes#2666
Gerardo Salazar