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* Improve error message when consolidator period Python object is unsupported
* Make unsupported consolidator period error message more concise
* Apply descriptive Python conversion errors to other user-facing sites and add QuoteBarConsolidator.FromResolution
* List available overloads in unsupported Python argument error messages
* Update QuantConnect.pythonnet to 2.0.61
* Update overload hint test expectations to Python-typed signatures
* Exclude PyObject overloads from error hints and update to Python annotation style
* Move PyObject overload filtering from consumers into MethodSignatureFormatter
* Update Python alpha model name expectations for Python-style enum rendering
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* Fix MaximumSharpeRatioPortfolioOptimizer to maximize the Sharpe ratio
The optimizer fixed the portfolio return to the equal-weight return
((µ − r_f)ᵀw = k) and minimized variance, which collapsed it to a
minimum-variance optimizer instead of maximizing the Sharpe ratio.
Python now maximizes (µ − r_f)ᵀw / √(wᵀΣw) directly with SLSQP, keeping
the budget constraint Σw = 1 and the per-weight bounds. C# applies the
Charnes-Cooper substitution y = κw, minimizing yᵀΣy subject to
(µ − r_f)ᵀy = 1 and recovering w = y / (1ᵀy); the per-weight bounds are
written as linear constraints in y (yᵢ − up·(1ᵀy) ≤ 0, yᵢ − lw·(1ᵀy) ≥ 0)
so the problem stays a convex QP and the [lower, upper] range is honored.
Both languages reach the same optimum, and the unit-test expectations are
updated to the corrected weights.
Addresses QuantConnect/Lean#9322
* Add property-based test that the optimizer maximizes the Sharpe ratio
* Cover all well-defined cases in the Sharpe optimality test
* Bound the optimality test above by the tangency Sharpe ceiling
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* Initial solution
* Solve review comments
* Add PythonSelectionModelHandler to reduce code duplication
* Refactor universe selection models
* Add python instance to Selection Models with virtual/override methods
* Add python instance to Alpha Models
* Add python instance to Execution models
* Solve review comments
* Solve new review comments
* Fix calling SetPythonInstance only when method exists and is callable
* Use unit test instead of regression algorithms
* Solve review comments
* Set python instance to the models
* Initialize Python containers only when instance is set
* Replace try-catch with explicit method existence check
* Initialize containers in BasePythonWrapper only when needed
* Add null instance check before method invocation
* Refactor TryExecuteMethod
* Refactor Python wrappers which inherit from BasePythonWrapper<>
* Solve review comments
* Remove ununsed methods
* Solve review comments
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* Add 'asynchronous' parameter to trading api
* Add regression algorithms
* More fixes for asynchronous orders
* Fix failing unit tests
* Fix failing unit tests
* Add multiple orders requests in transaction handler
Make each transaction thread handle requests corresponding to the same order
* Refactor order state machine in BrokerageTransactionHandler
Now using a single dictionary to hold orders and their state, either pending for submission, open or closed.
* Revert: remove complete orders from new state machine in BTH
* Add order ticket to new BTH open orders state machine
* Run syn in Backtesting transaction handler for new orders submission
* Remove OpenOrderState.SubmissionPending property
* Add Security to OpenOrderState
* Minor fix
* Cleanup
* Some cleanup in BTH
* Cleanup
* Minor fix
* Minor unit test fix
* Minor fix
* Make Brokerage.ConcurrencyEnable property virtual
* Minor change
* Cleanup
* Add 'asynchronous' parameter to SetHoldings api
* Improve regression algorithms
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* Changed default async to true and passed target.Tag
* Make execution models place orders asynchronously if specified
* Add unit tests
* Execution model default to asynchronous orders.
Also, minor fixes for tickets remaining fill quantity potential race conditions
* Add SecurityHolding.UnrealizedQuantity property
It gets the holding quantity the security will have once all open orders are filled.
Added for thread safety reasons when execution models place asynchronous orders and need to calculate the actual quantity needed to reach the target of there are open orders
* Some cleanup
* Adjust projected holdings quantity on splits
* Minor fix
* More changes and cleanup
* Minor fix
* Improvements for thread safety
* Add IOrderProvider.GetProjectedHoldings to get projected holdings atomically
* Minor unit tests fix
* Add ProjectedHoldings DTO class
* Address peer review
---------
Co-authored-by: arthiondaena <arthiondaena@gmail.com>
* Initialize securities on re-addition
* Minor unit tests fixes
* Reset Index.ManualSetIsTradable when security is removed
* More changes to clean up and simplify
* Address security re-utilization only
* Cleanup regression algorithms
* Initial draft of the solution
* Remove old format
* Address requested changes
* Add Index option test case
* nit changes
* Address Martin reviews, improve unit tests and solve 8577
* Add unit tests
* Nit change
* Address requested changes
* Address Martin reviews
* Nit changes and more unit tests
* Nit change
* Address requested changes
* Address requested changes
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* Inicial solution
* Use InitialMargin instead of MaintenanceMargin
* Addressed review comments
* Update unit test
* Refactor GenerateOptionTicker method to handle IndexOption
* Addressed PR comments
* Update unit test
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* Improve indicator warmup
- Allow indicator warmup to handle multiple symbols, used for option
greeks. Adding regression test
- Improve indicator history to handle specific T types. Adding unit test
- Remove period, and historical underlying volatility, from IV so
simplify warmup behavior
* Address review, fix minor issues
* Add algorithm unit tests
* Add Brokerage unit tests
* Add Common unit tests
* Fix unit test bugs
* Add remaining unit tests
* Address requested changes
* Address requested changes
* Fix failing unit test
* Address requested changes
* Daily data Time & EndTime Improvement
- Adjust daily data Time & EndTime to actually reflect the time of the
data used, for example US Equity from 9.30 to 4PM. Adding new unit and
regression tests
* Refactor solution to use enumerator
- Refactor daily strict end times solution to be through enumerator
usage, so it applies for history providers too
* Minor fixes
* Revert fill forward enumerator change
- Revert FillForward enumerator causing stats changing, enhancing unit
tests
* Some cleanup
* Improve handling of live trading FF enumerator
- Improve handling of live trading FF enumerator, by adding support for
bars to arrive with a delay so we can handle auction close/option
prices or data providers which might have some delay making the data
available. Adding new unit tests asserting the behavior
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* Minor api improvements
- Adding Universe.Selected to hold the current set of selected symbols.
Adding regression tests
- Adjusting TimeRules and DateRules to fallback to the MHDB if the
security hasn't been added. Updating existing regression tests
* Expand regression test assertion
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* Portfolio state chart
- Cleanup and renames
- Add series.IndexName. Uodating unit tests
- Add Chart.LegendDisabled. Adding new unit tests
- Add ChartPoint.Tooltip. Updating unit tests
- Minor compression tweak. Adding unit test
- Add ChartJsonConverter. Adding unit tests
* Minor chart serialization order tweak
* Refactor portfolio state sampling and storing
* Move PortfolioMargin into a lean side chart
* Fix bug in ETFConstituentUniverseSelectionModel()
The bug was raised after calling an overload constructor using just the
ticker as parameter. Since the universeFilterFunc was null, the method
Extensions.TryConvertToDelegate<T> returned true and thus, the filter
func assigned was the one returned by the method
`ConvertToUniverseSelectionSymbolDelegate()` which used the null
filterfunc.
* Handle potential future bugs
* MaximumSharpeRatioPortfolioOptimizerTests
* MinimumVariancePortfolioOptimizerTests
* UnconstrainedMeanVariancePortfolioOptimizerTests
* Addressed comments
* Address comments v2
* Refactored tests with base test class. Added Python wrapper tests
Base test class and python wrapper tests
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* feat: ETFConstituentsModel overloading constructor
* test
* feat: new constructor of ETFConstituentsUniverse
test: support all constructor on c#
* feat: cached symbol in ETFConstituentsUniverse.py
test: validate getting symbol from cahed collection
* remove: extra ctor in ETFConstituentsUniverseSelectionModel
* refactor: add miss condition secType in py
refactor: rename out existTicker -> Symbol
refacotr: rewrite test
* feat: new ETFConstituentsFrameworkAlgos
* refactor: more neat ETFConstituentsAlgos
* fix: CompositeUniverse to SetUniverse
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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
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* Add ClrBubbleExceptionInterpreter
* Add ClrBubbledExceptionInterpreter tests
* Bump pythonnet version to 2.0.23
* Minor changes
* Minor change
* Minor fix
* Fix failing unit tests
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* Support sourcing custom data from ObjectStore
* Add Python regression algorithm
* Wire engine to pass ObjectStore down to the stream readers
* Minor changes
* Minor unit tests fixes
* Remove unused SetupHandlerParameters.ObjectStore
* Minor changes
* Minor changes
* Support single-file zipped data to be sourced from object store
* Assert object store custom data history requests in regression algorithms
* Add custom object store data live data feed unit test
* Add multi-file object store custom data regression algorithms
* Minor fix
* Removed platformId support from C2.
Modernized C2 API calls to APIv4.
Added C2 rate limiters (RateGate).
Added response logging so users can easily debug their code.
Added a few symbols for the demo.
* Address requested changes
* Address requested changes
---------
Co-authored-by: Francis Gingras <francis@collective2.com>
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* Fix bug and add unit tests
- Modify `InsightWeightingPortfolioConstructionModel.cs/py` to take the
absolute value in its `GetValue()` method
- Modifiy `InsightsReturnsTargetsConsistentWithDirection()` unit test to
consider also the case where the direction is Down and the weight is
negative
* Nit 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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* Solve bug and add regression test
The bug was raised because, when trying to use C#
MeanVarianceOptimizationPortfolioConstructionModel from a Python
algorithm, there wasn't a constructor that accepted a portfolio optimizer
as a PyObject. Additionally, there wasn't also a Python Wrapper to wrapp
that portfolio optimizer.
- Add PortfolioOptimizerPythonWrapper.cs
- Add constructor in
MeanVarianceOptimizationPortfolioConstructionModel.cs that accepts
portfolio optimizer as a PyObject
- Add regression algorithms to cover the changes
* Improve constructor overload implementation
* Change implementation to follow API pattern
* Enhance implementation and add unit tests
* Enhance implementation and add more unit tests
* Enhance implementation
Jhonathan Abreu