Commit Graph

5 Commits

Author SHA1 Message Date
Jhonathan Abreu 3888896ed4 Add extendedMarket parameter to History methods (#7191)
* Add extendedMarket parameter to every history api method overload

* Rename extendedMarketHours parameter

New name is extendedHours as in the History API to standarize parameters naming

* Update generic history overloads to use every matching subscription

* Update regression algorithms stats

* Centralize period-based history error for tick resolution

* Rename extended market hours parameter to extendedMarketHours

* Minor changes

* Minor changes

* Minor unit tests changes

* Minor unit tests changes

* Minor changes

* Minor unit tests changes

* Minor unit tests changes
2023-04-20 10:41:32 -03:00
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
Martin-Molinero c4433098c3 Refactor Framework Statistics (#7041)
* Refactor framework statistics

* Further insight chart cleanup
2023-03-03 19:40:29 -03:00
Jhonathan Abreu 9a062e4b5d Include trades and quotes in tick history request (#6595)
* Include both quotes and trades in Tick history request

* Regression algorithm

* Housekeeping

* Housekeeping
2022-08-30 19:03:11 -03:00
Jhonathan Abreu 9e7690754a Forbid tick resolution period-based history requests (#6533)
* Detect implicit tick resolution in period-based history requests and throw

* Add regression algorithms
2022-08-09 18:19:08 -03:00