* Adjust delisting liquidation time
- Adjust delisting liquidation time to 15 min before market closes.
Adding unit tests. Updating existing.
- Handle `Statistics.CompoundingAnnualPerformance` invalid calculation
to avoid exception.
- AlgorithmManager will not handle delisting events in live trading
- Fix bug where due to a split driven liquidation matching delisting
date a position in the option would remain open. Reproduced by
`BasicTemplateOptionsFrameworkAlgorithm`
* Address review
- Address review add documentation on delisting offset span
* Fix delisted liquidation orders being cancelled
- Place delisted liquidation orders 10 min before market closes of 10
min before the end of the delisting warning date. Adding regression
test and unit tests. Updating existing tests.
* Fix failing python option unit tests
* Fix bug where positions would be open delisting liquidation
* Fix universe selection and delisting
- Delisting will happen ASAP for all types. Giving priority to close
positions on derivates first
- Fix bug in universe selection where OptionChain would remove
underlying even if holding a position in derivate.
- Updating regression tests statistics
* Add unit test, fix unit test expected stats
- Remove unused `OptionChainUniverseDataCollectionAggregatorEnumerator`
- Refactor `BaseDataCollectionAggregatorEnumerator` and
`OptionChainUniverseDataCollectionEnumerator` to avoid emitting invalid
data points
- Updating regression tests statistics
- Adding unit test
This flag indicates whether or not the local regression test system,
via RegressionTests.AlgorithmStatisticsRegression should run a given
IRegressionAlgorithmDefinition
It's important that we keep the factor files consistent with respect to
the date that they were generated. This enables us to run the regression
algorithms in the cloud and get the same results by using the factor files
from the correct date.
A mechanical refactoring was performed to make algorithms currently used in
regression algorithms to implement IRegressionAlgorithmDefinition, which allows
algorithms to define their own expected statistics and what languages should be
run as part of regression. The type name of the C# type is used to determine the
file/model name for python. This was for simplicity, but if needed, could later be
refactored to expose more information, but for now the convention of keeping names
the same makes sense and just works easily.
Martin-Molinero