* Async universe selection
- Add support for async universe selection, which will happen ahead of
time in the data stack for a performance improvement
* Thrown if using Coarse+Fine Asynchronous Universe selectioon
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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
* Changed argument exceptions so that they used the nameof() operator for parameter names
* Update IQSocket.cs
---------
Co-authored-by: John Doe <john@doe>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Make statistics available at runtime to algorithms
* Re-calculate statistics on every call
* Housekeeping
* Add regression algorithms
* Address peer review
* Support for custom summary statistics at runtime
* Minor changes
* Address peer review
* Address peer review
* Minor changes
* Minor changes
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* Add SetAccountCurrency overload
- Add SetAccountCurrencyOverload to allow the user to set also account
currency quantity
- Add regression and unit tests to cover the changes
* Add regression algos
* Simplifiy SetAccountCurrency implementation
* Minor changes
* Minor changes
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* Implement Trailing FreePortfolioValue
- Implement Trailing FreePortfolioValue by default, users will be able
to set it to a fixed number if desired. Adding regression algorithm
- Setting the default 'MinimumOrderMarginPortfolioPercentage' from 0 to
0.1% of the TPV to avoud tiny trades by default
* Update existing regression algorithms
* Address reviews
- Send warning message to the user if a trade does not happen due to the
default setting of the minimum order margin percentage value
* Address reivews
* Rename TotalPortfolioValueLessFreeBuffer
* Update new regression algorithm
* Minor fix CrunchDao Symbology
- Minor fix for CrunchDao Symbology. Updating existing tests
* Add missing symbol mapping
- Add IAlgorithm.Ticker(Symbol) functionality which will return the
latest ticker for the requested symbol at the current algorithm time
- SignalExporters will use Ticker to get the current symbol ticker
* Rename SecId GetTicker to Ticker
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* Add forward data only fill model example
- Add forward data only custom fill model C# & PY example.
- Minor adjustment for 'MarketOrderFillTimeout' to be zero always in
backtesting
* Address reviews
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* Implement ShortableProviderPythonWrapper.cs
- Modify AllShortableSymbolsCoarseSelectionRegressionAlgorithm.cs and ShortableProviderOrdersRejectedRegressionAlgorithm.cs to use ShortableProvider from Security and not from the Brokerage model
- Add SetShortableProvider() overload method in Security.cs to set a custom shortable provider from Python
- Remove AllShortableSymbols() method from LocalDiskShortableProvider.cs
- Remove DefaultShortableProvider class
- Add regresion algorithms in C# to cover the changes done
* Implement ShortableProviderPythonWrapper.cs
- Modify AllShortableSymbolsCoarseSelectionRegressionAlgorithm.cs and ShortableProviderOrdersRejectedRegressionAlgorithm.cs to use ShortableProvider from Security and not from the Brokerage model
- Add SetShortableProvider() overload method in Security.cs to set a custom shortable provider from Python
- Remove AllShortableSymbols() method from LocalDiskShortableProvider.cs
- Remove DefaultShortableProvider class
- Add regresion algorithms in C# to cover the changes done
* Solve bugs and nit change
* Address review
---------
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Add fillForward parameters to every History method
* Remove conflicting Python history method
* Undo removing conflicting Python history method
* Minor changes
* Minor changes
* Minor changes
* Add fillForward and extendedMarket parameters to history request factory
* Minor changes
* Minor changes
* Minor changes
* Minor changes
* Minor unit tests changes
* Rename fillForward parameter in History API
New name if fillDataForward as in the Add*Security API to standarize
parameters naming
* Rename fillForward parameter
Using the shorter fillForward in every API
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* Add Collective2SignalExportClass
Add SignalExportTarget interface
* Collective2SignalExport test working
Add SignalExportManager
Add draft of CrunchDAOSignalExport
* Modify SignalExportManager
Instantiate SignalExportManager in QCAlgorithm constructor
Draft of CrunchDAOSignalExport
* Improve SignalExportManager
- Add regression tests SignalExportDemonstrationAlgorithm in C# and
Python
* Improve SignalExportDemonstrationAlgorithm
Address requested changes in Collective2SignalExport, SignalExportManger and SignalExportTargetTests.cs
* Add CrunchDAOSignalExport.cs
Add CrunchDAOSignalExport unit tests in SignalExportTargetTests.cs
* Add NumeraiSignalExport.cs
Modify SignalExportDemonstrationAlgorithm.cs to test NumeraiSignalExport
Add unit test in SignalExportTargetTests to test NumeraiSignalExport
* Address required changes
- Add BaseSignalExport.cs
- Add SignalExportParameters.cs
- Add PortfolioSignalExportDemonstrationAlgorithm.cs/py
- Improve Error handling in SignalExport provider classes
- Collective2SignalExport now gets the correct number of shares for each holding
- SignalExportManager now computes the correct holding percentage of each portfolio target
- SignalExportManager now takes into account if the algorithm is in live mode
- Demonstration algorithms now are more simple
* Address last required changes
- PortfolioSignalExportDemonstrationAlgorithm.cs/py now inherits from SignalExportDemonstrationAlgorithm.cs/py
- Add more unit tests to assert SignalExportManager gets the correct percentage quantity for each holding
- Change Collective2SignalExport, CrunchDAOSignalExport and NumeraiSignalExport Send() method to return true if there was no error while sending the signals and false otherwise
- Nit changes
* Remove exceptions thrown
- Add more unit tests and more test cases
- Enhance BaseSignalExport.Dispose() method
* Add Collective2SignalExportClass
Add SignalExportTarget interface
* Collective2SignalExport test working
Add SignalExportManager
Add draft of CrunchDAOSignalExport
* Modify SignalExportManager
Instantiate SignalExportManager in QCAlgorithm constructor
Draft of CrunchDAOSignalExport
* Improve SignalExportManager
- Add regression tests SignalExportDemonstrationAlgorithm in C# and
Python
* Improve SignalExportDemonstrationAlgorithm
Address requested changes in Collective2SignalExport, SignalExportManger and SignalExportTargetTests.cs
* Add CrunchDAOSignalExport.cs
Add CrunchDAOSignalExport unit tests in SignalExportTargetTests.cs
* Add NumeraiSignalExport.cs
Modify SignalExportDemonstrationAlgorithm.cs to test NumeraiSignalExport
Add unit test in SignalExportTargetTests to test NumeraiSignalExport
* Address required changes
- Add BaseSignalExport.cs
- Add SignalExportParameters.cs
- Add PortfolioSignalExportDemonstrationAlgorithm.cs/py
- Improve Error handling in SignalExport provider classes
- Collective2SignalExport now gets the correct number of shares for each holding
- SignalExportManager now computes the correct holding percentage of each portfolio target
- SignalExportManager now takes into account if the algorithm is in live mode
- Demonstration algorithms now are more simple
* Address last required changes
- PortfolioSignalExportDemonstrationAlgorithm.cs/py now inherits from SignalExportDemonstrationAlgorithm.cs/py
- Add more unit tests to assert SignalExportManager gets the correct percentage quantity for each holding
- Change Collective2SignalExport, CrunchDAOSignalExport and NumeraiSignalExport Send() method to return true if there was no error while sending the signals and false otherwise
- Nit changes
* Remove exceptions thrown
- Add more unit tests and more test cases
- Enhance BaseSignalExport.Dispose() method
* Fix failing regression tests
* Fix failing unit tests
* Nit changes
* Nit change
* Nit change
* Fix failing unit tests
* Changes required
- Break regression algos `SignalExportDemonstrationAlgorithm.cs/py` nad `PortfolioSignalExportDemonstrationAlgorithm.cs/`y` into three ones, one for each signal export provider
- Change SignalExportManager constructor to receive current algorithm as a parameter
- Fix bug in `SignalExportManager.GetPortfolioTargets()`, now it computes the correct percentage for each holding
- Make `BaseSignalExport.DefaultAllowedSecurityTypes` overrdible
- Handle case were `Collective2SignalExport.ConvertPercentageToQuantity()` returns null
- Clean unnecessary code in `Collective2SignalExport()`, `CrunchDAOSignalExport()` and `NumeraiSignalExport()`
* Nit change
* Nit change
* Minor tweaks after review
* Remove indexes from signal exports
* Required changes
- Change EMA indicators period from 200, 300 to 10,100 in regression algorithms
- Remove Indices from regression algorithms
- Add more XML documentation to regression algorithms
- Change `Log.Error` to `_algorithm.Error` in Signal export providers. Besides, fix error message format
- Change default value for `platformId` parameter in `Collective2SignalExport.cs` constructor
- Solve small bugs in SignalExportProvider when verificating the amount of porfolio targets is greater than zero and each portfolio target is allowed
- Handle case when `PortfolioTarget.Percent()` returns null in `Collective2SignalExport.ConvertPercentageToQuantity()`
- Handle error format message from Collective2 API
- Check every ticker signal is between 0 and 1 (inclusive) in `CrunchDAOSignalExport.cs`
- Modifiy `NumeraiSignalExport.cs` constructor to take into account filename given in the arguments
- Fix small bug with the return value of `ConvertTargetsToNumerai()` method in `NumeraiSignalExport.cs`
- Modify `SignalExportManager.cs` to return true when the algorithm being ran is not in live mode
- Remove indices from CrunchDAO unit tests
* Enhance ´CrunchDAOSignalExport.cs´ implementation
---------
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Refactor alpha statistics
- Refactor alpha statistics, cleaning up and simplifying no longer required calculations and scoring
- Adding new InsightEvaluator abstraction, adding C# & PY regression
algorithms
* Optimization backtest result json converter update
* Address reviews
- Remove IAlphaHandler, move insight storage responsability to IResultHandler
and centralizing insight collection on the QCAlgorithm.Insights to be
reused by the framework models
- Fix portfolio turnover single day backtests and duplicate time
sampling handling. Updating regression algorithms
* Add InsightCollection tests and minor fixes
* Adding more & improved tests
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* Expand Index option support
- Adjust APIs so that the same underlying can be used
for different options, adding support for SPX weekly options. Adding
regression tests
* Fix IndexOption.IsStandard
* Add IndexOption test
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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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* Normalize time in universe behavior
- Normalize Option & Future chain universe behavior regarding their
assets time in universe. They will now respect the universe settings
time in universe value. Adding new regression algorithms asserting the
behavior
* Address reviews & cleanup
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Use `SetEndDate` to set `EndDate` in `QCAlgorithm` constructor. It will ensure that the `EndDate` is independent of the time the algorithm is executed if `SetEndDate` is not called in `Initilaize`.
Some users don't implement `SetEndDate` to run the algorithm to the latest datapoint, but this is not true if we run the algorithm during the day as the latest datapoint will be 24 hours before the execution time while there is data until the current day midnight.
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* Support extended market hours in AddFuture()
* Support extended market hours in AddFutureContract()
* Add C# regression algorithm
* Add Python regression algorithm
* Add regression algorithm for future contracts
* Add regression algorithm checking market hour ranges
* Fixed future regression algorithms to use extended market hours
* Fixed future regression algorithms to use extended market hours
* Fixed future regression algorithms to use extended market hours
* Fixed AddFutureOptionContractFromFutureChainRegressionAlgorithm to use extended market hours
* Update future market hours to include extended in market hours database
* Fixed AddFutureOptionContractDataStreamingRegressionAlgorithm to use extended market hours
* Fixed AddFutureOptionContractFromFutureChainRegressionAlgorithm to use extended market hours
* Fixed AddFutureContractWithContinuousRegressionAlgorithm to use extended market hours
* Fixed BasicTemplateContinuousFutureAlgorithm to use extended market hours
* Fixed BasicTemplateFuturesAlgorithm to use extended market hours
* Fix BasicTemplateFuturesDailyAlgorithm to use extended market hours
* Fixed BasicTemplateFuturesFrameworkAlgorithm to use extended market hours
* Fixed BasicTemplateFuturesHistoryAlgorithm to use extended market hours
* Fixed ContinuousBackMonthRawFutureRegressionAlgorithm to use extended market hours
* Fixed ContinuousFutureBackMonthRegressionAlgorithm to use extended market hours
* Fixed ContinuousFutureHistoryRegressionAlgorithm to use extended market hours
* Fixed ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm to use extended market hours
* Fixed ContinuousFutureRegressionAlgorithm to use extended market hours
* Fixed DelistedFutureLiquidateRegressionAlgorithm to use extended market hours
* Fixed AutomaticIndicatorWarmupDataTypeRegressionAlgorithm to use extended market hours
* Fixed ConsolidateRegressionAlgorithm to use extended market hours
* Fixed DelistingFutureOptionRegressionAlgorithm to use extended market hours
* Fixed EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm to use extended market hours
* Fixed FutureContractsExtendedMarketHoursRegressionAlgorithm to use extended market hours
* Fixed FutureMarketOpenAndCloseRegressionAlgorithm to use extended market hours
* Fixed FutureMarketOpenConsolidatorRegressionAlgorithm to use extended market hours
* Fixed FutureOptionBuySellCallIntradayRegressionAlgorithm to use extended market hours
* Fixed FutureOptionCallITMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionCallITMGreeksExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionCallOTMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionDailyRegressionAlgorithm to use extended market hours
* Fixed FutureOptionHourlyRegressionAlgorithm to use extended market hours
* Fixed FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm to use extended market hours
* Fixed FutureOptionPutITMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionPutOTMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionShortCallITMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionShortCallOTMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionShortPutITMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionShortPutOTMExpiryRegressionAlgorithm to use extended market hours
* Fixed FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm to use extended market hours
* Fixed FuturesExpiredContractRegression to use extended market hours
* Fixed FutureSharingTickerRegressionAlgorithm to use extended market hours
* Fixed HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm to use extended market hours
* Fixed HistoryWithDifferentDataMappingModeRegressionAlgorithm to use extended market hours
* Fixed HistoryWithDifferentDataNormalizationModeRegressionAlgorithm to use extended market hours
* Fixed LimitOrdersAreFilledAfterHoursForFuturesRegressionAlgorithm to use extended market hours
* Fixed OpenInterestFuturesRegressionAlgorithm to use extended market hours
* Fixed RegisterIndicatorRegressionAlgorithm to use extended market hours
* Fixed SetHoldingsFutureRegressionAlgorithm to use extended market hours
* Fixed WarmupFutureRegressionAlgorithm to use extended market hours
* Fixed AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm to use extended market hours
* Fixed AlgorithmHistoryTests to use extended market hours for futures
* Fixed AlgorithmTradingTests to use extended market hours for futures
* Fixed BrokerageSetupHandlerTests to use extended market hours for futures
* Fixed TimeRulesTests to use extended market hours for futures
* Fixed FutureOptionMarginBuyingPowerModelTests to use extended market hours for futures
* Fixed FutureMarginBuyingPowerModelTests to use extended market hours for futures
* Fixed FileSystemDataFeedTests to use extended market hours for futures
* Fixed QuantBookHistoryTests to use extended market hours for futures
* Split BasicTemplateContinuousFutureAlgorithm to have an extended market version
* Fixed FutureMarketOpenAndCloseRegressionAlgorithm to use extended market hours
* Split BasicTemplateFuturesAlgorithm to have an extended market version
* Split BasicTemplateFuturesAlgorithm to have an extended market version
* Split BasicTemplateFuturesFrameworkAlgorithm to have an extended market version
* Split BasicTemplateFuturesHistoryAlgorithm to have an extended market version
* Revert AddFutureContractWithContinuousRegressionAlgorithm
* Revert AddFutureOptionContractDataStreamingRegressionAlgorithm and added data
* Revert AddFutureOptionContractFromFutureChainRegressionAlgorithm
* Revert AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm
* Revert ConsolidateRegressionAlgorithm
* Revert Algorithm.CSharp/ContinuousBackMonthRawFutureRegressionAlgorithm.cs
* Revert ContinuousFutureBackMonthRegressionAlgorithm
* Revert ContinuousFutureHistoryRegressionAlgorithm
* Revert ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm
* Revert ContinuousFutureRegressionAlgorithm
* Revert Algorithm.CSharp/DelistedFutureLiquidateRegressionAlgorithm.cs
* Revert EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm
* Split FutureMarketOpenAndCloseRegressionAlgorithm to have an extended market version
* Split FutureMarketOpenConsolidatorRegressionAlgorithm to have an extended market version
* Revert FutureOptionBuySellCallIntradayRegressionAlgorithm
* Revert FutureOptionCallITMExpiryRegressionAlgorithm
* Revert FutureOptionDailyRegressionAlgorithm
* Revert FutureOptionPutITMExpiryRegressionAlgorithm
* Revert FutureSharingTickerRegressionAlgorithm
* Revert FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm
* Revert FuturesExpiredContractRegression
* Revert HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm
* Revert HistoryWithDifferentDataMappingModeRegressionAlgorithm
* Revert HistoryWithDifferentDataNormalizationModeRegressionAlgorithm
* Revert OpenInterestFuturesRegressionAlgorithm
* Revert RegisterIndicatorRegressionAlgorithm
* Revert SetHoldingsFutureRegressionAlgorithm
* Revert WarmupFutureRegressionAlgorithm
* Revert AutomaticIndicatorWarmupDataTypeRegressionAlgorithm
* Some cleanup
* Address changes request
* Address changes request
* Add more Class III Milk data to fix DelistingFutureOptionDailyRegressionAlgorithm
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* refactor(Algorithm): Correct `Intrinino` -> `Intrinio` references
Signed-off-by: Ryan Russell <git@ryanrussell.org>
* refactor(Algorithm): Update `evemts` -> `events`
Signed-off-by: Ryan Russell <git@ryanrussell.org>
* refactor(BubbleAlgorithm): readability improvements
Signed-off-by: Ryan Russell <git@ryanrussell.org>
* refactor(OrderTicketDemoAlgorithm): readability improvements
Signed-off-by: Ryan Russell <git@ryanrussell.org>
Signed-off-by: Ryan Russell <git@ryanrussell.org>
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* Respect warmup resolution given
- The data feed will respect the warmup resolution given and override
the resolution used by the algorithm when adding a subscription.
Updating regression algorithm to keep previous statistics. Adding new
regression algorithm asserting the desired behavior
* Testing improvements
- Add more unit tests and regresion test
- Add missing data for crypto
- Fix bug with FFed data crossing after the end time of the warmup
request
* Add more Warmup resolution regression algorithms
- Adding more warmup resolution regression algorithms, using
Settings.WarmupResolution and an option selection case
* Add more warmup regression tests
- Adding more warmup regression tests.
- Will no longer skip universe selection subscriptions from warmup
resolution enforcement. Updating regression algorithms data points
* Fix bug with data rounding
- Fix data rounding bug when warmup resolution is set to a different
value than the original configuration. Updating regression algorithms
to assert the expected behavior
* Address reviews
- Revert regression algorithms changes to use Resolution during warmup.
Updating their stats.
- Adding new regression algorithms asserting the behavior warming up
using a timespan and no warmup resolution
- Fix bug where data used to warmup the 'normal' enumerator will make it
through into the warmup time span. Updating tests
* Address reviews
- Add missing comments, explaning warmup algorithms time span
calculations.
- Revert changes in existing `WarmupOptionTimeSpanRegressionAlgorithm`
to reduce diff to minimum
- Adding new warmup unit tests asseting algorithm warmup start time, for
different combinations of bar count, timespan, resolution
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* Minor fixes for mapped futures contract
- Future security was never able to be non tradable
- Skip remove future contracts from live holdings. Adding unit test
reproducing issue and regression algorithm
* Fix removal of continuous futures
- The canonical continuous future would leave behind an OpenInterest
subscription when removed because of a different in the way the
configurations were built, this will now be centralized in a single
method. Adding unit tests reproducing issue
- FillForwarding setting of the continuous future was not being
respected. Updating algorithm reproducing the issue to assert the
behavior failing in master
* Address reviews
- Minor refactors addressing reviews
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- Similar to the OptionChainUniverse, the future chain universe should
also add it's contracts using the raw data normalization mode. Adding
regression algorithm reproducing issue
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* Warmup minor fixes
- Result handler fix
- Centralize and normalize status update during warmup
* Address reviews
* Minor adjustments
* Add console message during warmup period
* Fix warmup percentage update
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* Make continuous futures untradable
- To match live trading behavior. Adjust continuous futures securities
to be untradable
* Set ContinuousFuture as non tradable
- Set continuous futures as non tradable. Update regression algorithms
- Fixes for symbol capacity calculation
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* Handle security added and removed in the same loop
- Correctly handle adding and removing a security in the same loop.
Adding regression test
* Adding comments
Martin-Molinero