StopLimitOrders seems to be coded improperly. The buy order had the limit price below the stop price, and the sell order had the limit prive above the stop price. By reversing the two, we can guarantee a sell limit at 0.25% below the close price and a buy limit at 0.25% above the close price, with a stop price at -0.1% and 0.1% respectively.
Changed function of BasicTemplateFuturesConsolidatorAlgorithm.py to use OnSecuritiesChanged to add/remove consolidators. Wrote equivalent algorithm for options data
- Adding new `SetAccountCurrency()` for backtesting. Has to be called
before adding any `Security` or calling `SetCash()`, else will throw.
- Adding new Non account currency unit tests for `CashBuyingPower`,
`SecurityPortfolioModel`, `SecurityMarginModel`,
`SecurityPortfolioManager`, `Future/OptionMarginBuyingPowerModels`
- Adding new C# regression test using `SetAccountCurrency()`, one for
`CashBuyingPowerModel` and one for `SecurityMarginModel`
- Adding new Py and C# basic regression algorithms using
`SetAccountCurrency()`
- `Options` and `Futures` will use not use `AccountCurrency` as quote
Cash.
- `SecurityBenchmark` value will be in account currency
- Requires a new PythonNet 1.0.5.15 package where the different `.dll` are in a
specific folder: `\win` `\linux` and `\osx`
- Removed not present `decimal.py` from `Algorithm.Python` project. It
was moved into `Common`.
- Replace `xbuild` for `msbuild` required for using the `System.Runtime.InteropServices`.
Also note the `xbuild` on travis prints:
> >>>> xbuild tool is deprecated and will be removed in future updates, use msbuild instead <<<<
In the new package:
- C# decimal conversion will use C# double and python float due to the big performance impact of converting C# decimal to python decimal;
- This commit is related to PR 19 in QC/pythonnet
- C# decimal will be cast to C# double and converted into python
float
- Adding new `decimal.py` into the python algorithm project. This is
required for backwards compatibility with users performing operations
over expected decimal types (like `Price`)
- Updating two python regression test algorithms using custom python
execution models to be aware and ignore floating point precision errors
when handling order sizing.
- The HistoryRequestBenchmark will now perform a daily and minute history
request at end of day.
- C# performance is at ~15k data points per second
- Python performance is at ~11k data points per second
Explictly implements the indexert `this[string]` to all classed that inherit from `DataDictionary` since pythonnet was not able to access the indexer from the parent class.
- Changes DividentAlgorithm.py to test the fix.
- Moving `UniverseSelection.EnsureCurrencyDataFeeds` call into the
`IResultHandler` implementation through usage of the new `SetupHandlerHelper`
class, that will also set an initial conversion rate if none present.
- Adding regression test, that reproduces original issue
- Disabling C# and Py `BasicTemplateIntrinioEconomicData` regression
test. Free user credentials are invalid because Intrinio has now a 30 day trial for free users
- `CashBook[NullCurrency] { get; }` will throw an exception
- Revert `Currencies.USD` changes in user facing algorithms
- Improve some documentation
- Revert some format changes
- Adding more asserts for regression test
- Adding new regression tests using a custom fee model which returns
`OrderFee.Zero`
- Adding a non-usd account currency test to the cash book tests
- Adding some unit tests for `NullCurrency` and `OrderFee.Zero`
- Removing `AccountCurrency` from `Cash` and `Brokerage` classes.
`ICurrencyConverter` will now provide the `AccountCurrency`
- Adding new static `OrderFee.Zero` which will return a 0 order fee in
`NullCurrency`
- Adding static `Currencies.USD` value, replacing all "USD".
- Addin new static `Currencies.NullCurrency`
- Updating Bitfinex `FeeModel` so it return fees in quote currency.
Adding unit tests
- Refactoring `IFeeModel`. *This is a breaking change* for implementations
inheriting directly from the interface. Deleting old and adding a new method
`OrderFee GetOrderFee(OrderFeeParameters parameters)` that will use a parameter
and a result object.
- Refactoring `CashAmount` so it does not embed a `ICurrencyConverter`
instance.
- Updating unit tests
- The `Security.QuoteCurrency`, a `Cash` instance, will provide access
to the `AccountCurrency` as a property.
- Will maintain backwards compatibility with old python custom
FeeModels, Adding unit test.
> Note that for now, consumers will ignore the currency, as before, and
directly consume the amount
- Modifying `IFillModel` interface removing old methods and adding new
method `Fill Fill(FillModelParameters)`. This is a breaking change.
- Adding new `PythonWrapper` property for the `FillModel` base class.
This is required due to a limitation in PythonNet:
- Given C# class T has `virtual` methods A and B. Where method A
calls method B. And given custom python class L inherits class T.
And overrides method B. When class L calls
base method A (of class T). And when method A internally calls method B.
It will call C# implementation, not the python override. This issue
is solved going back to the `PythonWrapper`. Adding unit tests.
- Adding new `Parameters` property for the `FillModel` base class that will
be set by the call to `Fill()`. The `Parameters` property will be used by
the modified `XxxxFill()` implementations
- Adding new `Fill` result object for the `Fill(FillModelParameters)`
method
- Adding new check before removing a `SubscriptionDataConfig` due to the FillModels consuming the configuration collection when determining which Price to use. WIll now only remove the `SDC` if the symbol was removed from the selecting `universe`, this will avoid the case where the symbol is never deselected and the subscription ends, which happens at the end of all executions.
- Adding unit tests showcasing retro compatibility.
- Enabling C# `CustomModelsAlgorithm` as a regression test. Python
version returns a different result due to random number generation.
By using the python object parant class, which is either `PythonQuandl` or `PythonData`, instead of `DynamicData`, the `AlgorithmManager.Stream` method can find a matching subcription data configuration used to create a data feed packet.
Closes#2694
HalldorAndersen