* feat: support snake-case style Python QCAlgorithm implementations
* feat: add unit tests and minor fixes
* feat: implement new BasePythonWrapper class for python wrappers.
Used to cache methods and contains invoke functionality
* feat: make python wrappers implement the new base class for pep8 style support
* feat: keep overriden methods in Algorithm Python Wrapper
* feat: add unit tests for custom models algorithms with PEP8 style
* Bump pythonnet version to 2.0.30
* fix bugs and address peer review
* Address peer review
* Minor revert
* feat: StubsIgnoreAttribute for ignoring members or classes by the stubs generator
* Minor fixes
* Minor fix
* Minor fix
* Bump pythonnet version to 2.0.31
* Added Greeks.Lambda_ alias of Lambda for python compatibility.
Remove unused method
* Improve GetFillModel()
* Add support for other methods
* Add regresion algos and improvements
* Make Python algorithms regression tests
* Improve unit tests
* Minor changes
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* Shortable modeling improvements
- Do not limit live trading because of shortable model, will send
algorithm warning
- Add Interactive brokers shortable provider
- Minor LocalDiskShortableProvider API changes
* Fix shorted order update
- Fix shorted order update. Updating regression algorithm
* Minor improvement
* 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
* Revert "Merge process"
This reverts commit 775a4b8ec18e0f1562b72c27203ec0df84c8f675, reversing
changes made to bcc3e790f66fe744ea6f4cb2083c3e9d1881ea2f.
* Revert "Revert "Merge process""
This reverts commit aa18fb40eec2aa551ab7a81310ba4515270d6c1a.
* Solve bugs
- Solve bugs in DefaultMarkets, CanUpdateOrder() and CanSubmitOrder() methods from BrokerageModelPythonWrapper.cs
- Add regression algos in both Python and C# to cover the changes
* Catch potential errors and add unit tests
* Add more unit tests
* Nit change
* Enhance implementation, add more unit tests
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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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* Add algorithm settings to backtest results
* Use algorithm result settings in report generation
* Add unit tests
* Housekeeping
* Changes for live result report
* Housekeeping
* Housekeeping
* Housekeeping
* Add unit tests
* Refactor HasSufficientBuyingPowerForOrder implementations
Adds Sufficient and Insufficient helper methods to HashSufficientbuyingPowerForOrderParameters
enabling syntax like:
return paraeeters.Sufficient()
returnparameters.Insufficient(reason)
The next change will add the initial margin required which will simply require
updating both of these helper methods to accept the value.
* IBuyingPowerModel: Add margin functions Maintenance/Initial/ForOrder
These were originally hidden in an effort to only expose what's necessary
for the engine to perform its work. Additionally, we encapsulated all of
the method arguments into parameters classes to prevent having to break
anyone in the future. Not including these foundational methods turns out to
be an oversight. These methods are not required by the engine, but rather by
other models. Another possible solution here is to add an additional abstraction
and include these methods on this new abstraction. BuyingPowerModel would then
explicitly implement these methods and models that depend on them would require
two code paths, one for when the buying power model implements this interface
and another for when it doesn't.
Tests were additionally updated to remove test model implementations created for
the sole purpose of exposing these private methods.
* Add ConstantBuyingPowerModel
Provides an implementation of IBuyingPowerModel that returns the same
constant value
* Update BuyingPowerModelPythonWrapper to use reflection for method names
Having a bunch of hard-coded strings is a sure fire way for someone to
overlook when changing methods. This change ensures that noone needs to
remember that this code exists :)
Cleans up the syntax around verifying a python object implements a particular
C# interface via the ValidateImplementationOf<T> method by having it return a
value since the only use cases are in constructors when setting the models.
I was initially going to update ALL python wrappers to validate the passed
in models, but such a change could break many things that are 'working' right
now. Such an effort should be saved for its own dedicated PR.
* Add Parameters/Result types for new buying power model methods
* Support computing maintenance margin for arbitrary quantities
The existing GetMaintenanceMargin function assumes that we're only interested
in the maintenance margin for the entirety of the provided security's holdings.
This makes it impossible to perform what-if analysis or to even ask how much
maintenance margin is devoted to a particular subset of the security's holdings.
This change adds the quantity to the MaintenanceMarginParameters class. Futures
and Options models also depend on holdings cost and holdings value, so they have
also been added to the parameters type. Finally, static factory methods were
added to improve discernment of intent: ForCurrentHoldings provides the existing
behavior and then ForQuantityAtCurrentPrice to support what-if scenarios where
we're looking for the change in maintenance margin if we were to execute an order
for the securiy at the current time step. Obviously a constructor is provided to
set all of the values explicitly, using any price metric the caller desires.
* Address review
- Fix BPM xml documentation
- Fix python unit tests and PythonWrapper validate method
* Add SecurityHolding.QuantityChanged event
Adding event handlers will allow us to orchestrate complex
events from distant parts of the codebase through wiring
them up. If we continue down this path, it will move us away
from the current, very 'mechanical' data flows expressed in
LEAN and towards a more modern, event processing based system.
This is but a baby step in that direction and the initial use
case is using this QuantityChanged event to trigger resolution
of the algoritm's positions groups. This is part of an effort
to improve the fidelity of options margin modeling where we'll
model an OptionStrategy as an IPositionGroup. This will allow
us to compute the margin requirements of an OptionStrategy as
a unit instead of computing margin of each security individually
in isolation.
See #4065
* PortfolioManager: Group fields and remove unused field
This codebase generally places fields as the first members, but
this class had some fields at the top, then some properties, and
then some more fields. This change brings all the fields together
at the top of the file and also removes pointless comments placed
directly above some of the fields. Additionally, an unused field
was removed.
* Remove unused _currencyConverter from Security
Looks like at some point the only code using this member variable was removed
and the necessary clean up was overlooked.
* Add Parse.Enum functions
* Support disabling regression algorithms by language via config.json
Adds 'regression-test-languages' to config.json and filters regerssion algorithms to
run based on this value. When cycling on a particular feature, it's nice to be able
to run the entire regression set while ignoring the python algorithms. Once the C#
algorithms are all passing, one can then go back and run C# and Python in a final run,
since 99% of feature work doesn't impact python specifically.
* Implement IComparable in SecurityIdentitfier
This can be used to deterministically sort securities and symbols
* Add .editorconfig to enforce common formatting for json/sh files
* Fix typo in IBuyingPowerModel.GetBuyingPower xml docs
* Add ListEquals/GetListHashCode and OrderDirection.Closes(PositionSide)
ListEquals and GetListHashCode are designed to be used together as they
complement each other according to C#'s requirements for Equals and
GetHashCode functions.
PositionSide.ToOrderDirection() extension simply converts a PositionSide
to its logical equivalent OrderDirection. Long->Buy, Short->Sell, None->Hold
OrderDirection.Closes(PositionSide) determines if a particular OrderDirection
would have the effect of reducing a position's absolute size. This function
greatly improves the readability of buying power functions that must provide
adjustments when an order/contemplated trade reduces/closes an existing position.
OrderDirection.Buy.Closes(PositionSide.Short)
OrderDirection.Sell.Closes(PositionSide.Long)
All other combinations return false
Adds ToArray/ToImmutableArray convenience functions that combine a call
to Select followed by To(Immutable)Array all in one function call.
* Add decimal.DiscretelyRoundBy extension method
Supports rounding a decimal value by an arbitrarily chosen maximum precision,
or 'quanta'
* Update FutureMarginBuyingPowerModelTests to respect the security's lot size
* Add core position group classes and abstractions
* Add initial/maintenance margin support, buying power model consistency tests
* Add SufficientBuyingPower and GetReservedBuyingPower to position group model
Includes update to BrokerageTransactionHandler to use position group BPM for
sufficient buying power checks.
* Resolve position groups on each fill
We need to update the state of our position groups on each fill so that
we can properly handle multiple orders within the same time step. We
also limit the number of positions sent into the resolver by removing
securities without any holdings.
* fixup! Add SufficientBuyingPower and GetReservedBuyingPower to position group model
* Add GetMaximumLotsFor{Target|Delta}BuyingPower
Instead of computing order quantity, these functions compute the
maximum number of position group lots, which is the position group
quantity, and is guaranteed to be a whole number, for the provided
target/delta buying power parameters.
The SecurityPositionGroupBuyingPowerModel delegates to the security's
IBuyingPowerModel by applying a scaling factor equal to the security's
lot size.
This change also updates references to IBuyingPowerModel.GetMaximum...
to use the new position group model methods.
* Convert remaining IBuyingPowerModel call sites to position groups
* Rename PositionManasger.CreateDefaultGroup -> GetOrCreateDefaultGroup
Better describes its behavior
* Add Position Groups readme.md
* Add Option Strategy BuyingPowerModel
- Adding CompositePrositionGroupResolver and
OptionStrategyPositionGroupResolver
- Adding OptionStrategyPositionGroupBuyingPowerModel handling option
strategies based on IBs margin table. Adding regression algorithms
- Few changes so that option strategies executed by multiple orders are
detected
- Adjust OptionStrategyDefinitionMatch to include equity legs in the
matching result
- Minor tweaks fixing previous rebase
- Minor fixes for existing option strategies definitions, adding new
missing strategies.
- Fixing minor bugs in option strategy matcher. Adding more unit tests
* Address self reviews
- Fixing bug in 'PositionGroupCollection'
- Few minor simplificaitons
- Adding BasicTemplateOptionEquityStrategyAlgorithm
* Address reviews
- Improve regression algorithms margin remaining and used assert logic to be exact. Taking into account spread and fees
Co-authored-by: Michael Handschuh <mhandschuh@gmail.com>
* Have BrokerageModel determine default benchmark
* Add DefaultBenchmark to Python wrapper
* Handle Null benchmark case
* Add NullBenchmarkRegressionAlgorithm
* Refactor solution to have BrokerageModel return IBenchmark; also refactor QCAlgorithm benchmark handling
* Always create a new security for benchmark
* Drop security overload, Always create a new security for benchmark
* Check our securities for a symbol matching the ticker before creating a new one
* No Python version of this regression
* Address review
* Create shared SecurityBenchmark creator function
* Add Python regression and needed FuncBenchmark constructor
* Creates IShortableProvider interface + interface impls
* This is the foundational work for the addition of the shortable stocks
feature for backtesting and live trading. Note that the QCAlgorithm
API and the backend transaction handling will be implemented
separately.
* temp; work on preorder checks
* improve checks
* tmep
* Enforces ETB checks at BrokerageTransactionHandler
* Adds ETB Shortable Provider to QCAlgorithm and IAlgorithm
* Removes ETB check from PreOrderChecksImpl
* Removes outdated test, new test to come soon for relevant class
* Work in progress commit, pushing for review.
* Adds new regression algorithm (WIP)
* Enhances ShortableProviderOrdersRejectedRegressionAlgorithm
* Adds new methods to QCAlgorithm
* Move IShortableProvider to have BrokerageModel own it
* Comments updates
* Adds new properties to Equity Security for shortable
* Fixes bug where retrieving open order quantities would aggregate the
submitted order quantity rather than the remaining order quantity for
open orders.
* Fixes bug where quantity of zero would result in a
false positive in QCAlgorithm.Shortable(...)
* Code refactoring and comments updates
Co-authored-by: Jared <jaredbroad@gmail.com>
- Adding _some_ of the missing PyObject.Dispose calls. In the cases
where C# is calling the Python side.
- Note that Python calls to C# code is correctly handling the
disposure of resources.
Summary of members in python wrapper classes where pointing to other methods for reference when they should have a meaningful description to be used in documentation
Jhonathan Abreu