Commit Graph

11 Commits

Author SHA1 Message Date
Ricardo Andrés Marino Rojas 0e61415ce2 Fix bug ImmediateExecutionModel when using Crypto (#8355)
API Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* First draft of the solution

* Add missing algorithm

* Improve regression tests

* Nit change

* Address requests

* Nit change

* Address minor requests

* Nit changes

* Nit suggestion
2024-10-07 16:46:37 -03:00
Jhonathan Abreu 77591f90c7 PEP8 python algorithms conversion (#7950)
Benchmarks / build (push) Has been cancelled
API Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* PEP8 python algorithms conversion

* Fix: Get python or c# methods in PythonData as python wrapper

* Convert portfolio models to PEP8
2024-04-18 19:43:48 -03:00
Martin-Molinero 410956bf9f FreePortfolioValuePercentage Trailing Behavior (#7272)
Regression Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* 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
2023-05-25 18:48:04 -03:00
Martin-Molinero 37dca9d458 Remove log packet aggregation (#6538)
Regression Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
- Remove log packet aggregation
- Clean up Queue api usage
2022-08-11 19:06:11 -03:00
Martin-Molinero aaba566954 Alpha Streams Improvements. Python Imports (#5874)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Order handling improvements

- Execution model will only trigger market order if they are above the
  minimum order margin portfolio percetage value
- SecurityCache.Reset is complete

* Python Import fixes

- Add regression test for ImmediateExecutionModel minimum order margin
  check
2021-08-24 11:15:48 -03:00
Martin Molinero 1dd742d1b8 Order sizing fix
- Improving OrderSizing.Value and Volume to include code in consumers
- OrderSizing.GetUnorderedQuantity() will adjust result by lot size
- ImmediateExecutionModels will use OrderSizing.GetUnorderedQuantity()
- OrderSizing.Value() will take into account ContractMultiplier
- Adding unit tests
2020-02-11 13:17:10 -03:00
Martin Molinero c77a7b9116 Add performance note 2019-06-04 19:05:36 -03:00
Martin Molinero ee4f8fee82 Overall performance improvements
- `TimeSliceFactory` will avoid creating empty collections
- `ExecutionModels` will check target collection count before trying to
enumerate
- Reduce calls to .`TotalPortfolioValue`
- `SecurityValues` will only be created when required
- `TimeKeeper` will use TimeZone unique Id as dictionary key. The
TimeZone hash is expensive.
- `AlgorithmManager` will avoid calling `DateTime.UtcNow`,
`ConvertFromUtc()` and `RoundDownInTimeZone()`
2019-06-03 15:09:02 -03:00
Stefano Raggi 9d3c1df5f3 Fix execution models to handle partially filled orders 2019-05-24 11:50:31 +02:00
Martin Molinero 19f1806ddc Address review: readd Framework project 2019-04-03 21:55:43 -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