Commit Graph

9 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
Martin-Molinero c4433098c3 Refactor Framework Statistics (#7041)
* Refactor framework statistics

* Further insight chart cleanup
2023-03-03 19:40:29 -03:00
Martin-Molinero 6fd1a002fe Adjust index option data timezone (#6970)
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* Fix index option data timezone

- Fix index option data timezone which was 1 hour late than expected

* Update existing index option tests

- Update existing index option tests.
- Disable index option daily resolution support
2023-02-16 17:35:10 -03:00
Jhonathan Abreu 35dfcd73ab Index options MHDB review (#6890)
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* Index options MHDB review

* Update MHDB

* Update regression algorithms stats

* Update regression algorithms stats

* Add index and index options holidays

* Peer review

* Update algorithms stats
2023-02-10 14:37:44 -03:00
Jhonathan Abreu 41a730bc68 OTM option excerise orders improvements (#6767)
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* Set fill price to zero in OTM exercise orders.

Improved the OTM exercise orders message.

* Update regression algorithms and unit tests

* Add IsInTheMoney property to OrderEvent

* Update SerializedOrderEvent

* Properly setting the option exercise order price to strike price or zero

* Minor changes

* Minor changes
2022-12-06 14:30:40 -03:00
Ronit Jain d1ff914e5a fix docs (#6285)
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2022-04-08 17:44:01 -03:00
Ronit Jain 15066ae5e1 Feature improve regression tests (#6245)
* add data count properties

* 'add history count property

* assert data counts

* update missing override

* consider override/virtual cases

* implement data count

* add message handler for regression tests

* use regression test message handler

* set algorithm manager for regression test message handler

* update data count

* check if stats are present, check if algo manager is not null

* update

* add c# algo

* make same as c# algo

* use new line

* logic shifted to RegressionTestMessageHandler

* cleanup

* auto cleanup

* skip non deterministic data count

* change data count

* use inheritance

* improve stats

* update couht

* add sma indicator to c# and customSMA to python

* call base method before executing further

* skip test

* revert to original

* add duplicate sma

* skip regression test
2022-03-15 16:51:15 -03:00
Martin-Molinero fed1fa929b Fix low resolution index TradeBar parsing (#6081)
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- Fix low resolution Index TradeBar parsing. Updating unit tests. Adding
  unit tests
2021-11-29 12:59:16 -03:00
Colton Sellers c11a09e08a Feature Index Option Low Resolution Support (#6075)
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* Activate Index and IndexOptions low res

* Add Index and IndexOption low res data

* Add IndexOption regressions

* Fix bug with IndexOption QuoteBar data not being scaled

* nit - update comment for _scaleFactor

* Update data and regressions to reflect fix in data

* Tweak regressions
2021-11-26 13:11:35 -03:00