Commit Graph

8 Commits

Author SHA1 Message Date
Martin-Molinero 7879795207 Enable daily precise end time by default (#8254)
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* Default daily precise end times

- Enable by default daily precise end times. Updating stats
- Minor fix for algorithm manager consolidator updates, adding new regression test
  asserting behavior and updating others
- Minor fix for SubscriptionData creator avoid round down on warmup if
  not appropiate
- Adjust consolidators to emit on daily strict end times if requested
  daily resolution and setting enabled
- Updating regression algorithms

* Skip daily data on extended market hours

* Some cleanup and self review

* Revert unrequired change
2024-08-14 12:49:56 -03:00
Martin-Molinero 53c2a214a1 Improve indicator warmup (#8192)
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* Improve indicator warmup

- Allow indicator warmup to handle multiple symbols, used for option
  greeks. Adding regression test
- Improve indicator history to handle specific T types. Adding unit test
- Remove period, and historical underlying volatility, from IV so
  simplify warmup behavior

* Address review, fix minor issues
2024-07-11 16:16:49 -03:00
Ricardo Andrés Marino Rojas a2b420cb0a Fix warnings part 8 (#8113)
* Fix CA1819 and CA1002 warnings

Changed the type of Languages statistic in regression tests from
Language[] to List<Language>. By doing that, the warning CA1819 was
removed but then the warning CA1002 was raised. However, this warning
was expected to be excluded from QuantConnect.Algorithm.CSharp.

* Improve implementation

* Simplify code

* Fix bugs
2024-06-28 10:10:30 -03:00
Ricardo Andrés Marino Rojas aa5ab68b47 Fix 3/4 of CA2201 warnings (#8102)
* Fix 2/4 of CA2201 Warnings

* Fix 3/4 of CA2201 warnings
2024-06-24 19:31:23 -03:00
Ricardo Andrés Marino Rojas 8c33536498 Add algorithm status statistic (#8095)
* First draft of the solution

* Fix bugs

* Fix bugs
2024-06-24 14:19:32 -03:00
Martin-Molinero d3b5bbaa1b Avoid duplicate data on FF resolution change (#8053)
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2024-05-24 11:58:27 -03:00
Ricardo Andrés Marino Rojas ead2efe6b9 Add Starting and Ending KPI's (#7811)
* First draft of the solution

* Add missing changes

* Remove the new KPI's from report

* Fix bugs

* nit change

* Add improvements

* Fix regression tests

* Solve bugs in the regression algos

* Fix regression tests bugs

* Expand unit tests and add minor changes
2024-03-25 15:40:38 -03:00
Louis Szeto c049a35121 Add Option Gamma, Vega, Theta, Rho Indicator (#7830)
* Add gamma indicator

* add helper method

* add unit tests

* add in regression tests

* Address peer review

* add vega indicator

* add theta and rho indicators

* Address peer review, refactor
2024-03-11 10:32:36 -03:00