10 Commits

Author SHA1 Message Date
Martin-Molinero bbbab6d9a8 Refactor alpha statistics phase I (#7055)
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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
2023-03-10 13:12:23 -03:00
Ronit Jain f86926bf7a Fixes HistoryProviderManager slice merging by using algortime for all slices (#6226)
Regression Tests / build (push) Has been cancelled
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* remove un-used

* use utc time for slice sync

* use utc time

* refactor

* add regression test

* use utc time

* use utc time

* make utctime required parameter

* add utcTime in slice creation

* assert warm up complete

* check if algorithm is still warmingup

* use exchange tz
2022-02-18 20:43:33 -03:00
Colton Sellers 4c4a699cb0 Stop Emitting Insights on Delisted Securities (#4997)
* Verify insights are valid before emitting

* nit

* Address review

* Address review and unit tests

* nit - remove extra lines

* Address review

* Initialize insight fields
2020-12-10 11:44:37 -03:00
Martin Molinero cfa08a11fb Address reviews
- 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.
2019-04-03 21:55:44 -03:00
Martin Molinero 32ac3146b4 Merge Framework and Classic Algorithms
- Merging Framework and Bridge algorithms into classic QCAlgorithm
class.
- Removing Framework project, VS17 and VS15
2019-04-03 21:54:32 -03:00
Martin Molinero eaba3ab24e Fix ManualUniverse duplicate effort
- 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
2018-10-12 18:30:04 -03:00
Martin Molinero 1997197f47 Fix failing unit tests 2018-09-18 12:10:42 -03:00
Martin Molinero 41873b2315 Fixing unit tests 2018-08-31 16:06:41 -03:00
Stefano Raggi b37fd75f59 Fix failing unit test 2018-08-21 18:10:51 +02:00
Michael Handschuh b7c046565b Add unit test for checking insight generated/close times
Confirms the times are set and available inside the portfolio construction
model as well as being set and available via the InsightsGenerated event.
2018-06-01 00:51:41 -04:00