8 Commits

Author SHA1 Message Date
Jhonathan Abreu b8e49a94ad Python models conversion to PEP8 (#7969)
* Python models conversion to PEP8

* Python models conversion to PEP8

* Minor fix
2024-04-23 10:45:36 -04:00
Louis Szeto 279a306758 Update TrailingStopRiskManagementModel model to cancel insights (#7131)
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* Update risk model to cancel insight

* Updates Regression Tests

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Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
2023-03-23 15:29:04 -03:00
Derek Melchin 0fa2ea19bc Reset trailing stop model highwater mark upon security liquidation (#6724)
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* Fix trailing stop reset

* Add regression algorithm
2022-11-07 17:46:46 -03:00
Jhonathan Abreu 69dd4fc638 Fixed bug for trailing stop model tracking original security price (#6356)
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* Reproduce TrailingStopRiskManagementModel bug with test case

* Fix TrailingStopRiskManagementModel to make it relative to max price

* Adapted old TrailingStopRiskManagementModel test to new implementation

* Fix TrailingStopRiskManagementModel Python version

* Fixed TrailingStopRiskFrameworkAlgorithm regression tests data

* Handling both long and short positions in TrailingStopRiskManagementModel

* Traking holdings value instead of unrealized profit in TrailingStopRiskManagementModel

* Checking for position side change in TrailingStopRiskManagementModel

* Handling immediate liquidation in TrailingStopRiskManagementModel
2022-05-26 19:50:54 -03:00
Martin-Molinero aaba566954 Alpha Streams Improvements. Python Imports (#5874)
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* Order handling improvements

- Execution model will only trigger market order if they are above the
  minimum order margin portfolio percetage value
- SecurityCache.Reset is complete

* Python Import fixes

- Add regression test for ImmediateExecutionModel minimum order margin
  check
2021-08-24 11:15:48 -03:00
IlshatGaripov eccca2c029 Fix for Trailing Stop Risk Management Model (#5791)
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* To fix the referenced issue

* Fixing up TrailingStopRiskManagementModel

* Fix-ups to address review

* Impl. tests + relevant improvements

* Minor logic improvement at first dictionary update

* Regression test small fix

* Adds explicit 'D' suffix for numbers in test case double arr

* Use integer values in test cases

* Removes failing testcases in MaximumDrawdownPercentPerSecurityTests (!) & renaming

* Revert "Removes failing testcases in MaximumDrawdownPercentPerSecurityTests (!) & renaming"

This reverts commit f9cd279f8cc5e9e1ede5b6f1eae5f4266b7dd295.

* Fix up for failing test cases
2021-08-20 15:14:36 -03:00
Martin-Molinero 03f56481d4 Refactor python algorithm import (#5657)
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* Python research import improvements

- Improve start.py for research env
- Remove unrequired imports

* Centralize algorithm imports

* Add regression test GH action

* Unit test python import clean up

* Join research and main imports

* More python import clean up

* Fix failing skipped regression algorithm
2021-06-15 19:06:06 -03:00
AlexCatarino 25baaf179a Implements python version of TrailingStopRiskManagementModel
- Implements python version of `TrailingStopRiskManagementModel`
- Implements python version of `TrailingStopRiskFrameworkAlgorithm`
2018-11-07 15:50:40 +00:00