* Seed runtime-added currency conversion rates immediately
Fixes the spurious 'The conversion rate for <currency> is not available'
runtime error caused by a two-path seeding asymmetry.
The setup path (BaseSetupHandler.SetupCurrencyConversions) wires up a
currency's conversion feed AND seeds its rate via history/last-known-price
so the rate is non-zero right away. The runtime path
(UniverseSelection.EnsureCurrencyDataFeeds, invoked during universe
selection / SetCash mid-run) only created the conversion subscription and
left the rate at 0 until the first bar of the pair arrived. Any conversion
in that gap (classically a midnight scheduled SetHoldings firing before the
day's first conversion-pair bar) threw.
EnsureCurrencyDataFeeds now seeds newly introduced, still-zero-rate
conversion securities and calls cash.Update(), mirroring the setup path.
Seeding is gated behind a seedNewCurrencies flag (default true) so the
setup caller, which performs its own optionally white-listed seeding, can
opt out and not regress white-list semantics. SeedSecurities degrades
gracefully when no history/data is available, leaving the rate at 0 as
before, so live mode and no-history scenarios are safe.
Adds a regression test exercising the runtime path.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
* Make runtime currency seeding robust and fix regression expectation
CI failures from the runtime currency-conversion seeding change:
1. AlgorithmWarmupTests.WarmUpInternalSubscriptions threw
ArgumentNullException because the new EnsureCurrencyDataFeeds seeding
path ran GetLastKnownPrices in a stub where the conversion security
lacked SymbolProperties. Pre-seeding is best-effort and must never
break the algorithm, so wrap it in try/catch and degrade gracefully
(leave the rate at 0, the pre-fix behavior) - matching the documented
intent. The first conversion-pair bar still updates the rate.
2. ScheduledUniverseSelectionModelRegressionAlgorithm (C# + Python)
asserted AlgorithmHistoryDataPoints == 0. The algorithm runtime-adds
Forex pairs (EURGBP -> GBP cash) via scheduled universe selection;
the fix now correctly seeds that runtime currency's conversion rate
with a last-known-price history request (deterministically 50 points).
The old 0 reflected the buggy unseeded behavior, so update the
expectation to 50. No other statistics changed.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
* Seed runtime added currency conversion rates
* Seed currencies with no new conversion feed and dedup the seeding helper
---------
Co-authored-by: Martin-Molinero <Martin-Molinero@users.noreply.github.com>
Co-authored-by: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
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* Add SeedInitialPrices algorithm setting
This is true by default and indicates that the engine will seed initial prices right after the security is added or selected
* Update regression algorithms
* Update regression algorithms
* Update regression algorithms
* Refactor default securities seeding
* Minor fix
* Minro fixes
* Cleanup
* Updated and add regression algorithms
* Address peer review
* Centralize logic to get last known data for multiple securities
* Some cleanup
* Minor build fix
* Minor fixes
* More logic centralization
* Some more cleanup
* Cleanup
* Update regression algorithms and minor fixes
* Update regression algorithms
* Minor fix
* More minor fixes
* Update regression algorithms
* Cleanup
* Minor test fix
* Address peer review
* Minor fix and performance improvement
* Fix to seed open interest data
* Minor test fixes
* Address peer review
* Minor change
* Minor revert
* Minor fixes and improvements
* Disable initial seeding by default
* Minor fixes
* Cleanup
* Cleanup
* Minor fix
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* Default daily precise end times
- Enable by default daily precise end times. Updating stats
- Minor fix for algorithm manager consolidator updates, adding new regression test
asserting behavior and updating others
- Minor fix for SubscriptionData creator avoid round down on warmup if
not appropiate
- Adjust consolidators to emit on daily strict end times if requested
daily resolution and setting enabled
- Updating regression algorithms
* Skip daily data on extended market hours
* Some cleanup and self review
* Revert unrequired change
* feat: new `TradingDaysPerYear` prop in IAlgorithmSettings
* feat: getTradingDayPerYear by BrokerageModel
feat: init algo tradingDaysPerYear in brokerage|BacktestingSetupHandler
refactor: nullable `TradingDayPerYear`
* remove: hardcoded value:252 in statistics
* test: `algorithm.Settings.TradingDaysPerYear` for different brokerage
fix: tests calculation of `AnnualPerformance()`
* fix: Report generator by tradingDayPerYear
* fix: hardcoded value in PortfolioStatisticsTests
* fix: tradingDayPerYear in AnnualPerformanceTest
remove: extra spacing
* feat: backwards compatibility for TradingDaysPerYear
* feat: several UTest for AlgoSetting's TradingDaysPerYear prop
* fix: existed algo + test
* feat: regression algo with checking of tradingDayPerYear in OnEndOfAlgorithm()
* refactor: GetBrokerageTradingDayPerYear -> SetBrokerage... in BaseSetupHandler
refactor: carry out tradingDayPerYear at the top level and pass variable
* remove: default valuine in test param
remove: extra comment.
* fix: missed init TradingDaysPerYear in report.portfolioAlgo
fix: hardcoded value to tradingDaysPerYear
* fix: nullable TradingDaysPerYear in AlgorithmConfiguration
feat: UTest for PortfolioLooperAlgo
feat: add advanced description
* feat: test PortfolioStatistics with different tradingDaysPerYear
* revert: PortfolioLooper with TradingDaysPerYear implementation
* revert: nullable TradingDaysPerYear in AlgoConfiguration
remove: SetBrokerageTradingDayPerYear in BaseResultHandler
* style: remove empty row
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* Minor debugging improvements
- Improve exception message if user provides empty/null ticker
- Log margin information on algorithn initialization
- Add unit test asserting option strategy position groups resolve
correctly for existing holdings
* Symbol Lazy SecurityDefinitionSymbolResolver
- Symbol will have a lazy SecurityDefinitionSymbolResolver instance
resolution
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- Improve readme file, add nuget link, update Lean home page
- Increase 10min look back to 60 for setting currency conversion
- Replace error message for trace when minute resolution history request
is empty
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* Apply changes from #2146 on current master
Credit for most of these changes goes to https://github.com/viliwonka.
Rebasing three years of changes didn't go so well, so I manually
applied the changes in #2146 on the current master branch.
This commit attempts to represent the changes in #2146 as closely as
possible, no cleanup has been performed yet. Despite this, some changes
were inevitable because part of #2146 has been implemented another way
in the past three years.
* Clean up
* Process review comments
* Add tests
* symbol -> potentialConversionRateSymbol
* Ensure regression tests run/get data
* Fix broken test
* Process review comments
* Process review comments
* Simplify currency conversion logic
* Performance improvement, doc updates and test rename
* Rebase fixes
* Remove obsolete properties
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Reconcile and consolidate SetupHandlers
* Centralize GetConfiguredDataFeeds()
* nit - extra space
* Check for null, also allow null to be passed back if no config value
* Fix breaking test
* Cleanup
* fix return var
* remove unneeded if/else
* Minor changes
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Adds Static AlgorithmCreationTimeout Property to BaseSetupHandler
This value will be used to set maximum time that the creation of an algorithm can take.
* Adds Additional Logging to AlgorithmPythonWrapper
It will informing the user how long it takes to import the module.
* Changes How AlgorithmCreationTimeout is Initialized
It will prevent callling Config.GetDouble on every call.
Bitfinex exchange may return us an empty result - if we request data for a small time interval during which no trades occurred - for example 1 minute interval - can happen even with most liquid pairs, like "ETHUSD" - would be good to have some time margin for such scenario. and pump more data to warm up conversion rates
* regression tests
* fix: apply the same time convertion to history request time as for data time
* ver2
* fixup
* unit tests
* do not need this conversion because RoundDownInTimeZone returns in proper TZ
* comment
* requested changes
* refactoring
* more refactoring
* fix existing test: should return Sunday if open
* more symbols
* fix existing tests: submit new btcusd data
* fix
* add Cfd symbol
- When BacktestNodePacket has the inital `CashAmount` set we will clear
all existing cash amounts and set the account currency
- Adding more unit tests
- Setting SPY as the default security benchmark
- The security benchmark subscription will be added at `UniverseSelection`
as an internal subscription. Using its own dedicated Security instance
which doesn't live in the algorithms.Securities collection.
- Reducing algorithms exposure to internal subscriptions
- `TimeSliceFactory` will prioritize higher resolution bars, when same
symbol is present twice (for non-internal subscriptionst)
- Adding regression test `CustomUniverseWithBenchmarkRegressionAlgorithm`
- Adding new `SetAccountCurrency()` for backtesting. Has to be called
before adding any `Security` or calling `SetCash()`, else will throw.
- Adding new Non account currency unit tests for `CashBuyingPower`,
`SecurityPortfolioModel`, `SecurityMarginModel`,
`SecurityPortfolioManager`, `Future/OptionMarginBuyingPowerModels`
- Adding new C# regression test using `SetAccountCurrency()`, one for
`CashBuyingPowerModel` and one for `SecurityMarginModel`
- Adding new Py and C# basic regression algorithms using
`SetAccountCurrency()`
- `Options` and `Futures` will use not use `AccountCurrency` as quote
Cash.
- `SecurityBenchmark` value will be in account currency
- `GetCashBalance()` will return a `List<CashAmount>`, will not need to
set conversion rates, which requires knowing what the account currency is.
- Removing `Global.Holding` conversion rate field. It wasn't being used
and required knowing what the account currency is.
- Adding equality operators for `CashAmount`. Adding unit tests.
- `BaseSetupHandler.SetupCurrencyConversions` will order configurations
based on their type, selecting (`Trade` over `Quote`) and just perform
one history request per security.
JosueNina