4 Commits

Author	SHA1	Message	Date
Jhonathan Abreu	a565dfa6f0	Wait for fresh data before filling market orders on stale data (#9563) ... * Wait for first session bar before filling equity market orders at open EquityFillModel.MarketFill could fill a market order placed right after market open using data from the previous trading date, because the first bar of the current session has not been emitted yet. ShouldWaitForFreshData only covered hour/daily resolutions, so minute/second orders filled on stale prices. Add IsWithinFirstResolutionSpanAfterMarketOpen: when the order time is within the lowest subscribed resolution span after the open and the price is stale, wait for the first bar instead of filling on the previous date's price. * Share opening-bar stale-fill wait across fill models Move IsWithinFirstResolutionSpanAfterMarketOpen to the base FillModel and add a ShouldWaitForFreshDataOnStale sibling helper that combines it with the existing coarse-resolution ShouldWaitForFreshData check. The base FillModel, FutureFillModel and EquityFillModel market fills now share this single wait decision at their stale-data guards. ShouldWaitForFreshData is intentionally left untouched at its GetMarketFillPrice call site, which uses it to choose the bar open vs current price and is not gated by staleness, so fill prices for finer resolutions are unchanged. The opening-bar helper is guarded against always-open markets, which have no session open to wait for. * Add regression algorithm for stale fill at market open Reproduces the opening-bar stale fill issue: a market order placed one second after the open while subscribed to minute resolution. Without the fix the order fills on the previous trading date's stale price; the algorithm asserts in OnOrderEvent that a fill never happens within the first minute after the open, so it errors without the fix and passes with it. Uses SPY minute data over 2013-10-07 to 2013-10-11, which is available in the repository Data folder. * Add unit tests for stale fill wait at market open Cover the opening-bar stale fill scenario directly at the fill model level: a market order placed within the first bar after the session open, while only the previous session's stale bar is available, must wait instead of filling on the stale price, and fills once the first session bar arrives. EquityFillModel also asserts the boundary (orders past the first bar still fill on stale data), and FutureFillModel covers the shared base helper from the future path. * Generalize stale market-order fill wait to any time of day Replace the market-open-specific wait with a generic check: a market order that would be filled on stale data waits for fresh data when the latest available data is more than one subscribed resolution bar behind the current time. This no longer considers the market open explicitly; it covers the opening bar (the first session bar has not been emitted yet) and any intraday data gap larger than the resolution. ShouldWaitForFreshDataOnStale now takes the latest data end time and the current time instead of the order time, and is shared by FillModel, FutureFillModel and EquityFillModel. Coarse resolutions (hour/daily) still always wait; tick never waits. Internal configurations are included when sizing the resolution bar. EquityFillModel's best-effort price helpers now report the stale data end time so the gap can be measured. Tests: EquityFillModelTests and FutureFillModelTests cover the market-open and mid-session stale cases (wait then fill on fresh data) plus the within-one-bar boundary (fill on stale). The regression algorithm is generalized to assert no fill happens on data staler than the resolution, with orders at the open and mid-session. Pre-existing plumbing/data-selection tests that used degenerate timestamps were given fresh timestamps so they still exercise their original intent. * Add sample data and adjust regression algorithms for stale-fill wait Add minute/daily sample data so market orders that now wait for fresh data can fill (ES futures gap days, TWX/GOOG equities and options, SPXW weeklies, GC futures/options copy for 2020-01-06). Adjust a few regression algorithms to the deferred-fill behavior: cap orders in the extended-market continuous future test, ignore daily-resolution SPY in the automatic-seed data checks, and refresh OptionAssignmentStatistics expected constants. * Update regression expected statistics for stale-fill wait Regenerate ExpectedStatistics, DataPoints and AlgorithmHistoryDataPoints for the regression algorithms affected by the wait-for-fresh-data fill change and the added sample data: futures/options fill-timing shifts, ES data-point count increases, and GOOG 2015-12-28 outcome changes. * Trim SPXW sample data to expiries within filter window The two SPXW algorithms filter with Expiration(0,7), so contracts expiring more than a week out are never subscribed. Drop those far-dated expiries from the 2021-01-06/08 minute files (760KB->108KB and 776KB->108KB on the quote files). Fills, DataPoints and statistics are unchanged; both regression tests still pass. * Trim ES minute and GOOG option sample data to order-fill minimum The ES minute gap-day files source no order fills (daily-resolution algos fill from es_daily); keep only the front contract used for execution and drop the unused back-month contracts. Trim the GOOG 2015-12-28 option file (no fill depends on it) to the morning chain window. Regenerate the back-month futures statistics affected by the dropped back-month bars. Full CSharp regression suite passes (722/722). * Use SMA gap threshold in BasicTemplateContinuousFuture for C#/Python parity At a fast/slow SMA cross the two averages can coincide to within rounding noise, where the C# (decimal) and Python (double) comparisons disagree, producing different orders between languages. Require a minimum gap before acting on a cross so both languages stay in lockstep, and update the shared expected statistics accordingly. * Mirror order cap in Python algorithm and update future history counts Apply the same pre-2013-11-12/3-order cap to the Python BasicTemplateContinuousFutureWithExtendedMarket algorithm for C#/Python parity, and update the QuantBook future-history expected counts to reflect the added ES sample data. * Use SMA gap threshold in BasicTemplateContinuousFutureWithExtendedMarket for C#/Python parity This algorithm had the same fast/slow SMA cross divergence already fixed in BasicTemplateContinuousFutureAlgorithm (ad8fc33): at the 2013-10-29 cross the two averages coincide to within rounding noise (C# decimal diff -1e-25, Python double diff exactly 0.0), so the raw `_fast > _slow` / `_fast < _slow` comparisons disagree between languages. C# fired a liquidate+rebuild that Python skipped, producing 5 orders in C# vs 3 in Python. Require a minimum 0.001 gap before acting on a cross so both languages stay in lockstep, and regenerate the shared expected statistics (Total Orders 5 -> 3). * Document SMA cross threshold as a C#/Python parity workaround Add a short note before the fast/slow SMA comparisons in both continuous-future template algorithms clarifying that the minimum-gap threshold exists only so the C# and Python versions take the exact same trades on the limited sample data in the repository, where decimal vs double rounding can disagree at a cross. * Fetch subscription configs once per equity market fill MarketFill resolved the subscription configs twice per fill: once via the best-effort price helpers (GetSubscribedTypes) and again via ShouldWaitForFreshDataOnStale. Fetch them once and thread them through both paths via optional parameters, leaving existing callers unchanged. * Measure stale-fill wait against order submission time ShouldWaitForFreshDataOnStale compared the latest data end time against the security current time. Compare against the order submission time instead so the decision to wait for fresh data reflects how stale the data is relative to when the order was placed. Realign the stale-price warning fill test accordingly. * Fix stale market data in SendingNewOrderFromOnOrderEvent test The market price tick was timestamped a day before the order submission time, so under the order-time staleness check the market orders waited for fresh data instead of filling. Use a reference time with the tick one minute before the order so the data is fresh and the orders fill. * Centralize internal-inclusive subscription config lookup in fill models ShouldWaitForFreshDataOnStale re-resolved the subscription configs through the ShouldWaitForFreshData call it makes first, and GetMarketFillPrice did the same. Thread the already-fetched configs through ShouldWaitForFreshData and GetMarketFillPrice so each market fill resolves them at most once. Add a GetSubscriptionDataConfigs(Security) helper on the base FillModel that returns the internal-inclusive configs, and route every fill-model call site through it to remove the duplicated lookup and repeated comment. * Avoid list allocation in ShouldWaitForFreshData Replace the Where(...).ToList() + All(...) with a single foreach over the subscription configs, short-circuiting on the first non-coarse resolution.	2026-07-01 11:22:50 -04:00
Louis Szeto	ed7f3ebbbf	pep8 conversion of python algos #1-25 (#7926) ... * pep8 conversion of python algos * address peer-review * PEP8 updates/fixes * More fixes --------- Co-authored-by: Jhonathan Abreu <jdabreu25@gmail.com>	2024-04-17 17:02:32 -04:00
Jhonathan Abreu	0b81cf0218	Add dataMappingMode parameter to History methods (#7204) ... * Add dataMappingMode parameter to every history api method overload * Minor unit tests fixes * Update regression algorithm stats * Minor changes * Minor changes	2023-04-21 17:24:14 -03:00
Jhonathan Abreu	539011274c	Support extended market hours for futures (#6522) ... * Support extended market hours in AddFuture() * Support extended market hours in AddFutureContract() * Add C# regression algorithm * Add Python regression algorithm * Add regression algorithm for future contracts * Add regression algorithm checking market hour ranges * Fixed future regression algorithms to use extended market hours * Fixed future regression algorithms to use extended market hours * Fixed future regression algorithms to use extended market hours * Fixed AddFutureOptionContractFromFutureChainRegressionAlgorithm to use extended market hours * Update future market hours to include extended in market hours database * Fixed AddFutureOptionContractDataStreamingRegressionAlgorithm to use extended market hours * Fixed AddFutureOptionContractFromFutureChainRegressionAlgorithm to use extended market hours * Fixed AddFutureContractWithContinuousRegressionAlgorithm to use extended market hours * Fixed BasicTemplateContinuousFutureAlgorithm to use extended market hours * Fixed BasicTemplateFuturesAlgorithm to use extended market hours * Fix BasicTemplateFuturesDailyAlgorithm to use extended market hours * Fixed BasicTemplateFuturesFrameworkAlgorithm to use extended market hours * Fixed BasicTemplateFuturesHistoryAlgorithm to use extended market hours * Fixed ContinuousBackMonthRawFutureRegressionAlgorithm to use extended market hours * Fixed ContinuousFutureBackMonthRegressionAlgorithm to use extended market hours * Fixed ContinuousFutureHistoryRegressionAlgorithm to use extended market hours * Fixed ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm to use extended market hours * Fixed ContinuousFutureRegressionAlgorithm to use extended market hours * Fixed DelistedFutureLiquidateRegressionAlgorithm to use extended market hours * Fixed AutomaticIndicatorWarmupDataTypeRegressionAlgorithm to use extended market hours * Fixed ConsolidateRegressionAlgorithm to use extended market hours * Fixed DelistingFutureOptionRegressionAlgorithm to use extended market hours * Fixed EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm to use extended market hours * Fixed FutureContractsExtendedMarketHoursRegressionAlgorithm to use extended market hours * Fixed FutureMarketOpenAndCloseRegressionAlgorithm to use extended market hours * Fixed FutureMarketOpenConsolidatorRegressionAlgorithm to use extended market hours * Fixed FutureOptionBuySellCallIntradayRegressionAlgorithm to use extended market hours * Fixed FutureOptionCallITMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionCallITMGreeksExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionCallOTMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionDailyRegressionAlgorithm to use extended market hours * Fixed FutureOptionHourlyRegressionAlgorithm to use extended market hours * Fixed FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm to use extended market hours * Fixed FutureOptionPutITMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionPutOTMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionShortCallITMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionShortCallOTMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionShortPutITMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionShortPutOTMExpiryRegressionAlgorithm to use extended market hours * Fixed FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm to use extended market hours * Fixed FuturesExpiredContractRegression to use extended market hours * Fixed FutureSharingTickerRegressionAlgorithm to use extended market hours * Fixed HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm to use extended market hours * Fixed HistoryWithDifferentDataMappingModeRegressionAlgorithm to use extended market hours * Fixed HistoryWithDifferentDataNormalizationModeRegressionAlgorithm to use extended market hours * Fixed LimitOrdersAreFilledAfterHoursForFuturesRegressionAlgorithm to use extended market hours * Fixed OpenInterestFuturesRegressionAlgorithm to use extended market hours * Fixed RegisterIndicatorRegressionAlgorithm to use extended market hours * Fixed SetHoldingsFutureRegressionAlgorithm to use extended market hours * Fixed WarmupFutureRegressionAlgorithm to use extended market hours * Fixed AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm to use extended market hours * Fixed AlgorithmHistoryTests to use extended market hours for futures * Fixed AlgorithmTradingTests to use extended market hours for futures * Fixed BrokerageSetupHandlerTests to use extended market hours for futures * Fixed TimeRulesTests to use extended market hours for futures * Fixed FutureOptionMarginBuyingPowerModelTests to use extended market hours for futures * Fixed FutureMarginBuyingPowerModelTests to use extended market hours for futures * Fixed FileSystemDataFeedTests to use extended market hours for futures * Fixed QuantBookHistoryTests to use extended market hours for futures * Split BasicTemplateContinuousFutureAlgorithm to have an extended market version * Fixed FutureMarketOpenAndCloseRegressionAlgorithm to use extended market hours * Split BasicTemplateFuturesAlgorithm to have an extended market version * Split BasicTemplateFuturesAlgorithm to have an extended market version * Split BasicTemplateFuturesFrameworkAlgorithm to have an extended market version * Split BasicTemplateFuturesHistoryAlgorithm to have an extended market version * Revert AddFutureContractWithContinuousRegressionAlgorithm * Revert AddFutureOptionContractDataStreamingRegressionAlgorithm and added data * Revert AddFutureOptionContractFromFutureChainRegressionAlgorithm * Revert AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm * Revert ConsolidateRegressionAlgorithm * Revert Algorithm.CSharp/ContinuousBackMonthRawFutureRegressionAlgorithm.cs * Revert ContinuousFutureBackMonthRegressionAlgorithm * Revert ContinuousFutureHistoryRegressionAlgorithm * Revert ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm * Revert ContinuousFutureRegressionAlgorithm * Revert Algorithm.CSharp/DelistedFutureLiquidateRegressionAlgorithm.cs * Revert EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm * Split FutureMarketOpenAndCloseRegressionAlgorithm to have an extended market version * Split FutureMarketOpenConsolidatorRegressionAlgorithm to have an extended market version * Revert FutureOptionBuySellCallIntradayRegressionAlgorithm * Revert FutureOptionCallITMExpiryRegressionAlgorithm * Revert FutureOptionDailyRegressionAlgorithm * Revert FutureOptionPutITMExpiryRegressionAlgorithm * Revert FutureSharingTickerRegressionAlgorithm * Revert FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm * Revert FuturesExpiredContractRegression * Revert HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm * Revert HistoryWithDifferentDataMappingModeRegressionAlgorithm * Revert HistoryWithDifferentDataNormalizationModeRegressionAlgorithm * Revert OpenInterestFuturesRegressionAlgorithm * Revert RegisterIndicatorRegressionAlgorithm * Revert SetHoldingsFutureRegressionAlgorithm * Revert WarmupFutureRegressionAlgorithm * Revert AutomaticIndicatorWarmupDataTypeRegressionAlgorithm * Some cleanup * Address changes request * Address changes request * Add more Class III Milk data to fix DelistingFutureOptionDailyRegressionAlgorithm	2022-08-18 10:56:44 -03:00