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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
* Add security dynamic properties unit and regression tests.
These assert that dynamic properties that are instances of python classes that inherit c# classes keep their python object references.
* Minor change
* Bump pythonnet version to 2.0.21
* Fix security dynamic properties cast from PyObject
* Minor change
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* Address JB comment
* Remove repeated fields in BaseRenkoBar
- Add new unit test to all indicators that inherit from
IndicatorBase<TradeBar>. This test asserts the indicators can receive
RenkoBar's as input
* Add Regression test and improve unit tests
- Change `Volume` property from `RenkoBar.cs` since RenkoBar's don't
have Volume. Now it throws an error when accessed
* Address required changes
* Add Python regression test and enhance unit tests
* Enhance unit and regression tests
* Assert indicator current value at the end
* Allow more indicators to use Renko/VolumeRenkoBar
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* Dynamic security properties for quick objects storage
* Documentation and other minor changes
* Add Security indexer to access custom properties
* Address peer review
* Minor changes
* Improve regression algorithms
* Bumped pythonnet to version 2.0.19
* Bumped pythonnet to version 2.0.20
* Address peer review
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* Fix bug
The algorithm `CustomPartialFillModelAlgorithm.cs` was not working as
expected with short orders because in its Fill model, the variable
`absoluteRemaining` instead of decrease was being increased since
the `FillQuantity` in each call to this method was negative. Therefore
when this amount was substracted to `absoluteRemaining`, instead of
substract, it was added. Hence the method created more partial orders
than expected, specifically: 580 short orders for SPY with Quantity -10.
* Fix `CustomPartialFillModelAlgorithm.py`
* Address required changes
* Nit change
* Address required changes
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Replaces old `TrailingStopRiskFrameworkAlgorithm` for `TrailingStopRiskFrameworkRegressionAlgorithm` that inherits from `BaseFrameworkRegressionAlgorithm` as a member of the framework regression tests.
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* Renames and Updates BaseAlphaModelFrameworkRegressionAlgorithm
The `BaseFrameworkRegressionAlgorithm ` will be used for multiple framework regression tests
* Updates and Renames EmaCrossAlphaModelFrameworkAlgorithm
Adds "Regression" to inform that it's a regression algorithm.
* Updates and Renames MaximumPortfolioDrawdownFrameworkAlgorithm
Adds "Regression" to inform that it's a regression algorithm, and use the model name: `MaximumDrawdownPercentPortfolio`
* Adds New Regression Algorithms
* Custom data type history request in python
* Potential solutions
* Minor changes
* Use Slice.Get(Type) for getting python custom data history
* Minor changes
* Add unit tests
* Add unit tests
* Udpdate regression algorithms
* Peer review
* Peer review
* Add research regression tests
* Minor changes
* Minor changes
* Minor tweaks
---------
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Rename Renko to ClassicRenko
* Rename WickedRenko to Renko
* Adjust tests and usages
* Backwards support WickedRenkoConsolidator
* Renames for consistency
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* Adds ETF(...) to UniverseDefinitions
* Adds ETF constituents universe framework regression algorithm
for C#/Python
* Address review: adds test cases for ticker/Symbol ETF universe additions
* Fixes bug where null Market would result in null dereference exception
* Address review: add missing Index tests
* Address review: don't hardcode market when creating constituent universe
* Uses Brokerage Model's default markets collection to determine
the market for the given security type
* Address review: restore QC500 and DollarVolume.Top(...)
* Restores algorithms related to both helper universe
definition methods
* Address review: remove copy to output directory for python algos
* Add example algorithms for ETF constituent universes using custom RSI alpha model
* Address review: adjust algorithm to use cache + algo RSI & clean up code
* Address review: make ETF Constituent RSI Alpha Model algo a regression test
* Address review: increase trade count and remove single trade logic
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* WIP removal of custom data references & tests updates
* Regression algos updated and python algorithms moved to DataSource repos
* Fixes failing unit tests
* Add "LiveDataTypes" field to LiveNodePacket
* Adds Initialize() to IDataChannelProvider
* Adds new extension method to convert
HistoryRequest -> SubscriptionDataConfig
* Address review: Add protobuf definitions for Iconic data types
* Address review: re-adds DynamicSecurityDataAlgorithm as regression algo
* Small adjustments to variable naming and documentation
* Move test files to respective DataSource repos
* Update projects to use .NET 5.0, the successor to .NET Core
* Fix ambiguous errors. Add IBAutomator net5
* Remove FXCM
* Upgrade IBAutomater to v1.0.51
ignored, and an empty message aborts the commit.
* Fix rebase
- Fix ambiguous Index
- Remove StrategyCapacity.cs
- Update System.Threading.Tasks.Extensionsy
* Remove unrequired references
* Fixes
- Travis will use dotnet, not nunit nor mono
- Remove mono from foundation image
- Fix python setup in research
- Fix unit tests
* Don't call ReadKey when input is redirected
* Fix ConsoleLeanOptimizer
* Research fixes
* Update comment
* Add vsdbg to Dockerfile
* Fixes
- Revert dockerfile FROM custom changes
- Adjust and fix regression algorithms
- Option assignment will be deterministic in the order
- 'Rolling Averaged Population' is calculated using doubles, updating
expected values.
- Update readme, removing references to mono
- Add missing Py.Gil lock
* Replace ICSharp with .NET Interactive
* Fixes after rebase
* CSharp research fixes
- Adding new Initialize.csx that pre loads all assemblies
- Adjusting template research file
- Moving steps in dockerfilejupyter
- Fix unit tests and regression tests after rebase
Co-authored-by: Gerardo Salazar <gsalaz9800@gmail.com>
Co-authored-by: Stefano Raggi <stefano.raggi67@gmail.com>
Co-authored-by: Jasper van Merle <jaspervmerle@gmail.com>
* Update to new QC PythonNet
* Update readme
* Remove Python.Runtime config, replaced by env var
* Allow local packages testing in repo
* Address Review
* Add the LocalPackages readme
* Update Jupyter Image
* Update Research ReadMe
* Some app.config files were kept to either enable features
that are only enable-able via the config files, or binding redirects
for DLLs that are not packaged with NuGet (i.e. VisualStudio
package, required to run tests successfully @ 15.0.0.0)
* Include MortgageRateVolatilityAlpha and fixes
* Include PlaceHolder PythonAlgorithm.cs
* Delete BinanceUtil
* Remove unused Regression Algorithms
* Minor tweaks
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Migrate to newer CSProj format; build succesful
Rebase onto master
* Maintain binaries directory
* Reinstate FSharp default condition
* Remove reference to packages.config
* Test project fixes
* Remove nuget.config and "Solution Items"
* Remove repetitive assembly info
* Reinstate default compiles and cleanup redundant settings
* Reinstate any specific settings that defaults are unclear for
* Reinstate Framework.nuspec
* Make test internal classes public for composer use; undo assembly change
Rebase onto master part 2
* Address review; restore some settings
* Restore RootNamespace and AssemblyName attributes
* Use NugetPackageRoot instead of NugetPackageFolders
* Reinstate "RestorePackages" setting
* Transfer compilied Python files to launcher and tests bin
* Remove conflicting settings
* Fix WebSocketSharpFork references
* Fix FSharp Core reference
* Upgrade TestPlatform.ObjectModel to 16.8.3, and redirect V11 binding
* Add Mono.Cecil package
* Address review
* Add interface to allow custom security entries for MHDB and SPD
* Simplify adding custom Properties and MarketHours via AddData overload
* Refactor
* Remove AddData and GetDatabaseSymbolKey overloads
* Add unit tests
* Remove AddData overload, for real.
* Nit changes
* Set CustomDataBitcoinAlgorithm back to original
* Add Python and C# Regression
* nit typo
* nit typo actual
* Reset symbol property to default
* Reflect last change to py regression
* Revert "Remove AddData overload, for real."
This reverts commit dc877495c079f17dda1695494ffe36886b1c117e.
* Implement AddData solution fully
* Function nit fix
* Address review
* nit - remove param comment
* Address review
* Adds FuturesOptionsUnderlyingMapper
This adds a mapper for Futures options that have a different
contract month between the FOP and the underlying future, as is
observed in the contracts ZB, ZC, ZS, ZT, ZW, HG, SI, GC.
An example of this is GC (e.g. OGH21 -> GCJ21). Other contracts follow
different rules, which have been included as part of this commit.
* Adds unit tests for FuturesOptionsUnderlyingMapper
* Adds unit and regresssion tests for underlying Futures mapping for FOPs
* Addresses review and adds FuturesListings
* Removes dependency on IFuturesChainProvider in
FuturesOptionsUnderlyingMapper
* Fixes bugs related to FuturesOptionsUnderlyingMapper and incorrect
results
* Modifies misc. code to handle new results correctly from FOPs
underlying mapper
* Makes FOPs underlying mapper static, and makes other methods private
* Adds new tests for FuturesListings
* Addresses review: code cleanup
* Address review: Makes arrays to List in FuturesListing private methods
Jhonathan Abreu