* Implement new indicator IBS
* remove using System
* typo
* doc fix
* Implement new indicator IBS
* remove using System
* typo
* doc fix
* inherit TradeBarIndicator and return 1m when High=Low
* duplicate spy_with_ibs
* returns 0.5 when High=Low
* Minor fix for Mis-Aligned Timestamps from IndicatorHistory
- Minor fir for mis-Aligned Timestamps from IndicatorHistory. Adjusting
unit test to reproduce issue.
* Add another assert to indicator history tests
* Minor fixes for IndicatorHistory and IV
- Minor fix for IndicatorHistory, use ScaledRaw data normalization mode
for option indicators. Adding unit test
- Expand the IV expected upper range to 400%, given values can be higher
than previous value of 200%
- Adjust IV to use smoothing function only when both option calculations
succeed
* Updating regression algorithm expected greeks, minor change
* Implement new indicator ZLEMA
* Add script to generate reference data from talipp
* Some review fixes
* description
* use isReady
* use Delay(...)
* simplify ComputeNextValue
* Minor tweaks addressing review
* replace DateTime.UtcNow for specific date time instances
* remove unused imports
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Add indicator helper methods for base Algorithm
- Add indicator helper methods for base algorithm. Adding new unit tests
* Expand indicators helper methods
- Expand indicators helper methods, adding support for C# and custom
indicators too. Adding unit tests
- Expand indicators helper methods to support multiple symbols as input.
Adding unit tests
- Improve conversion of symbol enumerable from python to C# adding unit
tests
* Address reviews
- Keep old QB.Indicator methods for backwards compatibility
- Rename new API to IndicatorHistory, matching
FutureHistory/OptionHistory
- Add new regression algorithms
- Minor improvement to DynamicData so it supports snake name access
The second and third parameter are `fastPeriod` and `slowPeriod`, but we had `slowPeriod` and `fastPeriod`, which is inconsistent with the class contructor and other indicators with `fastPeriod` and `slowPeriod` parameters.
* Initial boilerplate code
* Fix build failure
* Initial iteration for the code for Derivative Oscillator code
* Add foundation for unit tests
* Add reset method for test
* Add test case
* fixed test cases, all tests pass
* Put placeholder for IsReady change
Not implemented, as test cases fail when change is uncommented
* Update documentation and change class name
* Change names for Derivative Oscillator to more meaningful
* Add DO extension to create the indicator
* Provide variable definitions with var, replace old test file with new
* Use chaining for indicators creation
* Add test based on external data
* Change test file
* Fix WarmUp test + alphabetical order + rename indicator class
* Make all tests run except for external data tests
* Fixed warmup period and fixed the ResetsProperly test case
* Removed unused directives
* Add output directory for Derivative Oscillator test
* Minor tweaks
---------
Co-authored-by: HaentjeGH <l.m.j.haenen@student.tue.nl>
Co-authored-by: ivkozlov <ivkozlov@ozon.ru>
Co-authored-by: DanielVanRijswijk <d.j.v.Rijswijk@student.tue.nl>
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Allow mirror contract and smoothing IV
* Python wrapper on smoothing IV
* helper method update
* Add forward tree model
* modify and add unit tests and data
* address peer review
* address peer review
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* Implement VaR in PortfolioStatistics
* Added ValueAtRisk indicator
* Refactored ValueAtRiskTests
* Added returns column to test data
* Change indicator helper method name
* Addressed comments
* Chande Variable Index Dynamic Average (VIDYA) Indicator
* Improvements
* Improvements
* Final Changes
* Editted, Retested
* Comments
* Minor Corrections
* Updated Datetime Format of test data to US Standards
---------
Co-authored-by: Pronoy Chowdhury <rokstarr.dbz@outlook.com>
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* Add IV indicator
* Fix bug
* Add QCAlgorithm helper method
* Add unit tests
* Add OptionPricingModelType, as option for greeks & IV estimation
* Nit, and fix bug
* Address peer review
* Fix bug
* Fix bug on CRR
* Ensure test indicator initiate correctly
* Address 2nd review
* Check for FOPs and index options as well
* Add comparison with QuantLib
* CRR not follow BSM
* minor bug fix
* Implement risk free interest rate as an algorithm model
* Use risk free insterest rate model in Sharpe Ratio indicator
* Address peer review
Also added python wrapper
* Take pyobject as interest rate model in Sharpe Ratio indicator
* Minor fix
* Minor fix
* Address peer review
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* correlation as lean indicator #6983
* correlation as lean indicator #6983, added SPY QQQ test and Spearman test
* correlation as lean indicator #6983
* correlation as lean indicator #6983, fixes after review
* correlation as lean indicator #6983, fixes after review
* correlation as lean indicator #6983, fixes after review
* correlation as lean indicator #6983, added AcceptsQuoteBarsAsInput Test
* Minor review changes
---------
Co-authored-by: Grzegorz Wodnicki <info@funchips.co.uk>
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* New Fundamental Data
* Minor CIK lookup fix
* Handle live mode & delete unexisting properties
* Minor coarse fundamental adjustment
* Add fundamental history support
* Fix unit tests
* Performance improvements
* Fixes
* Minor regression algorithm fix
* Improvements. Add FundamentalUniverseSelectionModel
* Change default values
* Fix unit test
* Minor tweaks
* Fix unit test
* Minor error handling improvement
* Fix rebase
Adds a new constructor overload that matches the pattern in Lean: Symbol, Symbol, other types.
Adds a new constructor that infers the indicator name: "B(period)".
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* Changes up to the date
* Revert "Changes up to the date"
This reverts commit 45dc9756bc616a7ec389425a2eda89614eb01ac7.
* First attempt to solve bug
* Improve solution
* Add unit tests
* Fix bugs and add regression tests
* Solve bugs
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* Implement Unregister helper method
- Implement Unregister helper method, each indicator which hold a
reference to the consolidators updating it. Adding regression
algorithms
* Fix for QuantBook indicators
* Address reviews
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* Apply splits and dividends to volatility models
* Apply splits and dividends to volatility models using history requests
* Add new ScaleRaw data normalization mode
Handling the new mode in the price scale enumerator.
* DataNormalizationMode.ScaledRaw history requests
* Minor changes
* Minor changes
* Disable new normalization mode in AddSecurity methods and other minor changes
* Peer review
* Minor changes
* Peer review
* Minor changes
* Peer review
* Peer review
* Peer review
* Add scaled raw history regression algorithm
* Add more regression algorithms
* Add more regression algorithms
* Add Slice.TryGet unit tests
* Peer review
* Peer review
* Peer review
* Peer review
* Peer review
* Update algorithms stats
* Peer review
* Peer review
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* WIP
* Add base currency cash
* Symbol properties and data processing
* Add basic template algorithm
* Add hourly crypto future algorithm
* Minor fixes after live trading testing
* CoinApiDataQueueHandler CryptoFuture support
* Address reviews
* Fix regression algorithms after update
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* Period timespan consolidation improvements
- If user is trying to consolidate a period providing data of a bigger
period we will now throw an exception. Adding tests
- If both consolidated and given data share the same period, gently
adjust the consolidator into a data count of 1. Adding tests
- Fixing bug in QuoteBarConsolidator period double accounting. Adding unit tests
* Add Period and Count regression algorithm
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`WarmUpIndicator` for Python indicators doesn't return the indicator anymore after #6027. So all overloads should return `void`.
Fixes `SmaCrossUniverseSelectionAlgorithm` [C# and Py].
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* Indicator
* Fixed logic error
* Removed old files, added KER into KAMA
* Removed old comments
* Added requested changes
* Minor clean up
* Refactors KaufmanEfficiencyRatio and KaufmanAdaptiveMovingAverage
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
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* Super Trend Indicator #4653
* Updated test data
Previous test data was wrong
* Reduced if statement
* Updated tests
Replacing spy test data with dwac test data from trading view.
* Minor comment update
* Minor tweaks
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* First BetaIndicator prototype
- In construction
* Fist BetaIndicator version and unit tests
* More unit tests and regression test
* Nit change
* Requested changes
* Nit changes
* Requested changes
* Adjust beta formula slightly and nit changes
* Nit change
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* Implement IIndicatorWarmUpPeriodProvider
- Implement IIndicatorWarmUpPeriodProvider in PythonIndicator.cs
- Make a unit test to check whether the WarmUpPeriod is working as expected
- Make a regression test to check the new feature at a system level
* Nit change
* Change Period parameter for WarmUpPeriod parameter
- Change regression test to check if the new parameter keep backwards compatibility with indicators that do not set WarmUpPeriod
* Documentation change
* Fix tests bugs
- In CommonIndicatorTests.cs before finish the test it checks the period.value with the number of samples but for default the period.value was set to -1
* Change names
* Change WarmUp and RegisterIndicator methods
- Lean WarmUp indicator skip custom python indicators that don't define WarmUpPeriod parameter
* Call WarmUpIndicator manually
- Add a new "bridge" method called WarmUpIndicator in QCAlgorithm.Python.cs to set up everything to call WarmUpIndicator in QCAlgorithm.Indicators.cs
- Change the regression algorithm to warm up the indicators manually
* Remove unnecessary code and add more tests
* Nit change
* Revert "Nit change"
This reverts commit da411f59c9e4295d75a11c6c581f615a938dd2c6.
* Fix bugs
* Try fix bugs
* Add C# regression test
- More nit changes
- Fix bugs
* Requested changes
* Remove unnecessary code
* Requested changes
* Nit changes
- Add new Python class to check a custom indicator, which doesn't inherits from PythonIndicator, warms up properly
* Reduce redundant code
* Fix bug and add more unit and regression tests
* - Add more unit tests
* Nit change
* Test cleanup
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Implement IIndicatorWarmUpPeriodProvider
- Implement IIndicatorWarmUpPeriodProvider in PythonIndicator.cs
- Make a unit test to check whether the WarmUpPeriod is working as expected
- Make a regression test to check the new feature at a system level
* Nit change
* Change Period parameter for WarmUpPeriod parameter
- Change regression test to check if the new parameter keep backwards compatibility with indicators that do not set WarmUpPeriod
* Documentation change
* Fix tests bugs
- In CommonIndicatorTests.cs before finish the test it checks the period.value with the number of samples but for default the period.value was set to -1
* Change names
* Change WarmUp and RegisterIndicator methods
- Lean WarmUp indicator skip custom python indicators that don't define WarmUpPeriod parameter
* Call WarmUpIndicator manually
- Add a new "bridge" method called WarmUpIndicator in QCAlgorithm.Python.cs to set up everything to call WarmUpIndicator in QCAlgorithm.Indicators.cs
- Change the regression algorithm to warm up the indicators manually
* Remove unnecessary code and add more tests
* Nit change
* Revert "Nit change"
This reverts commit da411f59c9e4295d75a11c6c581f615a938dd2c6.
* Fix bugs
* Try fix bugs
* Add C# regression test
- More nit changes
- Fix bugs
* Requested changes
* Remove unnecessary code
* Requested changes
* Nit changes
- Add new Python class to check a custom indicator, which doesn't inherits from PythonIndicator, warms up properly
* Reduce redundant code
FemtoTrader