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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
* 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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* 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
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* Update regression test to check number of insights
* Update model to have insight manager ref and cancel insight when signal goes flat
* Update unit tests and regression tests
* Address peer review: using Insights.Clear
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* Warm up EmaCrossAlphaModel
Warm Up EmaCrossAlphaModel indicators
* Fix regression test bug
When using the default `EmaCrossAlphaModel()` the period of both indicators to be ready is bigger than the difference between the start date and the end date of the algorithm. Then, as the algorithm didn't warm up the data both indicators of EmaCrossAlpha never were ready, but now as the model warms up the data both indicators are ready so we get different statistics
* Requested change
* Fix unit tests
As there wasn't items in `AddedSecurities`, when trying to remove the items in ´RemovedSecurities´ there was nothing to remove because there was never a security in `_symbolDataBySymbol`. That's why, in order to test, the behavior of `EmaCrossAlphaModel` when removing a security we need to first add one to then remove it.
* Requested changes in Python
- Requested changes in Python
- Nit changes
* Nit change
* Requested Changes
* Add RemoveConsolidators() method in Python version
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* Do not send internal SecurityChanges to Algorithm
- Will not send internal security changes to the Algorithm by default.
Following custom security changes filter pattern. Updating regression
algorithms to assert behavior.
- The universe member will know wether it was added with internal
configurations or not
* Address reviews use a separate collection for internals
* Refactor solution. Adding security changes constructor class
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* Warm up MACD indicators
- When a security is added in the MACD alpha model, it's warm up at once
* Add unit tests
* Nit change
* Code style and nit changes
* Live Coarse universe refactor
- Live trading will source Coarse and Fine fundamental data directly
from disk. Updating unit tests.
* Adds ILiveDataProvider interface
* Adds wrapper for IDataQueueHandler implementations
* Replaces IDataQueueHandler with ILiveDataProvider in
LiveTradingDataFeed
* Edits IDataQueueHandler documentation
* Maintains aggregation for current IDQH impls and skips for ILDF impls
* Note: No unit test was created for this method, go back and TODO
* Protobuf Market data
- Adding protobuf support for Ticks, TradeBars and QuoteBars. Adding
unit tests.
* Adds unit tests for LiveDataAggregator changes
* Fixes bug where custom data was not handled as it was before
* Fixes race condition bug because of variable reuse in class
* Add protobuf extension serialization
* Fixes for protobuf serialization
* Refactor
* Fix OptionChainUniverse
* replace BaseDataExchange pumping ticks with consolidators
* AlpacaBrokerage
* BitfinexBrokerage
* GDAXBrokerage
* OandaBrokerage
* InteractiveBrokers
* TradierBrokerage
* FxcmBrokerage
* PaperBrokerage
* etc
* WIP fixes for existing LTDF unit tests
* Fixes more LTDF unit tests
* make IDataAggregator.Update recieving Generic BaseData rather than Tick
* Change IDataQueueHandler.Subscribe method
* Some fixes after adding new commits
* Adds protobuf (de)serialization support for Dividend and Split
* Serialize protobuf with length prefix
* Fix missing LTDF unit tests
* Adds TiingoNews protobuf definitions
* fix comments
* more fixes on IQFeedDataQueueHandler
* disallow putting ticks into enumerator directly
* ScannableEnumerator tests
* fix OandaBrokerage
* AggregationManager unit tests
* fix AlpacaBrokerage tests
* fix InteractiveBrokers
* fix FxcmBrokerage tests
* call AggregationManager.Remove method on unsubscribe
* fix GDAX existing tests
* Fixes, refactor adding more tests for AggregatorManager
* Adds BenzingaNews protobuf definitions and round trip unit test
* Adds missing TiingoNews unit test to Protobuf round trip tests
* Improve sleep sequence of LiveSynchronizer
* need start aggregating first, and then can subscribe
* More test fixes and refactor
- Refactoring AggregationManager and ScannableEnumerator so the last is
the one that owns the consolidator
- Adding pulse on the main LiveSynchronizer
* Improve performance of LEquityDataSynchronizingEnu
* Add missing Set job packet method
* Minor performance improvements
* Improvements add test timeout
- Improvements adding test timeout to find blocking test in travis
* Improve aggregationManager performance
* Testing improvements for travis
* Remove test timeouts
* More test fixes
- Adding more missing dispose calls and improving determinism
* fix IEXDataQueueHandler and tests
* Final tweaks to LTDF tests
* more AggregationManager tests
* consume and log ticks
* fix test: couldn't subscribe to Forex tickers
* change Resolution for all bar configs
* Improve RealTimeScheduleEventServiceAccuracy
* refactoring: move common code to base class
* fixed bug; unsubscribe SubscriptionDataConfig
* Small performance improvement
* Minor fixes
* Avoid Symbol serialization
* Fixes coarse selection in live mode
* Fix for live coarse
* Adds protobuf (de)serialization support for Robintrack
* Adds round-trip unit test
* Minor performance improvements
* More minor performance improvements
* pass LiveNodePacket through to OandaBrokerage
* Fixes empty list becoming null value when deserializing with protobuf
* Reverts BZ live trading exception removal and fixes tests
* Refactor WorkQueue making it abstract
* Add try catch for composer
* Adds optional data batching period to LiveFillForwardEnumerator
* Override data-queue-handler with config
* Improve PeriodCountConsolidator.Scan performance
* Move batching delay to main Synchornizer thread
* Reverts addition of Robintrack protobuf definitions
* Give priority to config history provider if set
* Add Estimize protobuffing
- Add Estimize protobuffing support. Adding unit tests
* Always dispose of data queue handler
Co-authored-by: Gerardo Salazar <gsalaz9800@gmail.com>
Co-authored-by: Adalyat Nazirov <aenazirov@gmail.com>
- Adding new `CompositeAlphaModel.AddAlphaModel()`
- Adding C#/Py regression algorithms using the new `QCAlgorith.AddAlphaModel()`
- Improving exception message
- Add python version of `QCAlgorith.AddAlphaModel()`
- Removing `using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm`
- Removing `QCAlgorithmFrameworkBridge`
- Removing `IsFrameworkAlgorithm`
- Making `EmitInsightBasedOnFill` private. Adding new
`IOrderEventProvider` exposing an `event` to which `QCAlgorithm` will
subscribe.
- `AccountType.Cash` algorithms will be allowed to manually trade and
emight insights manually or with alpha model.
> This PR is a mechanical refactor, no behaviour changed
- Obsoleting `IsFillDataForward`, `Resolution`, `IsExtendedMarketHours`
`Security` configuration properties. Replacing there usages by
requesting the `SubscriptionDataConfigs` to the new
`SubscriptionDataConfigService`
- Removing unneeded `CashBook` instance to create a new `TimeSlice`
- Adding new `TimeSliceFactory`, an instance base class that will
provide methods to create a new `TimeSlice`. Will own the `DateTimeZone`
property.
- Adding new `ISecurityPrice` and `IOptionPrice` that will provide a
reduced interface for accessing price properties and methods used when
creating a new `TimeSlice`
- Removed usages of algorithm.Securities.key as a parameter for the
`ManualUniverseSelectionModel()` since those securities, added through
`AddXXXX` calls will be managed by the `UserDefinedUniverse`. This was
causing for Universes to try to add the same subscription requests
- Adding new empty constructor for ManualUniverseSelectionModel,
required for Python
- ManualUniverse will return any existing SDC for the
symbol. This is for maintaining existing behavior and
preventing breaking changes: Specifically motivated by usages of
Algorithm.Securities.Keys as constructor parameter of the
ManualUniverseSelectionModel, since those Symbols added by Addxxx()
calls will already be managed by the UserDefinedUniverse
- Making some format modifications to aling with used Lean formatting
Fixes a bug where we were using the security's data resolution to compute
the insight's close time. This led a case such as insight.Period == 20days
to step 20days worth of tradable minutes (assuming minute data resolution),
yielding a close time that was very far in the future.
We also add different means of specifying an insight's period/close time:
1. Specify insight period as a TimeSpan and we compute close time
2. Specify insight period and a resolution and bar count and we compute close time
3. Specify insight close time local directly and we compute the insight period
The key here is maintaining consistency between the three different approaches
which is heavily validated with the corresponding unit tests.
Edits also made to trust the insight's close time as the analysis end time in
the case where the analysis period == insight period (extra analysis period = 0).
Given the current setup (extra analysis period == 0), this guarantees that close
and analysis end times are equivalent.
Regression statistics were updated and expectedly we get many more insights that
have completed analysis, and as such, average scores have also changed.
This change allows the universe selection model to select different universe
definitions as time proceeds. This enables the definition of a universe model
that, for example, could add option chains for securities selected by a different
universe model.
The BasicTemplateOptionsFrameworkAlgorithm was added to showcase and provide
regression for a universe model that selects different universes.
Pipes universe data from the data feed, through TimeSlice.Create and adds
TimeSlice.UniverseData dictionary property for read access from the algo
manager, where the data will be placed onto the correct security object.
The PairsTradingAlphaModel is a simple example of defining an insight
grouping. Insights that are grouped together are assigned a unique
group-id that can be used by the portfolio construction model.
Updates were made to the CommonAlphaModelTests to give more control to
derived types. Some changes are still needed here to give securities
unique prices. I would recommend using a psuedo-random walk approach
by using Random with a constant seed value.
Alpha models can choose to implement the Name property, if not, the system
will use the model's type name as the Insight.SourceModel.
Existing tests were updated to also assert expected model names
Jhonathan Abreu