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574 Commits

Author SHA1 Message Date
Martin Molinero 4bc7ec124c Rebase - Improve exception message 2019-04-03 22:00:27 -03:00
Martin Molinero cfa08a11fb Address reviews 
- Removing `using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm`
- Removing `QCAlgorithmFrameworkBridge`
- Removing `IsFrameworkAlgorithm`
- Making `EmitInsightBasedOnFill` private. Adding new
`IOrderEventProvider` exposing an `event` to which `QCAlgorithm` will
subscribe.
- `AccountType.Cash` algorithms will be allowed to manually trade and
emight insights manually or with alpha model.
 2019-04-03 21:55:44 -03:00
Martin Molinero 19f1806ddc Address review: readd Framework project 2019-04-03 21:55:43 -03:00
Martin Molinero 32ac3146b4 Merge Framework and Classic Algorithms 
- Merging Framework and Bridge algorithms into classic QCAlgorithm
class.
- Removing Framework project, VS17 and VS15
 2019-04-03 21:54:32 -03:00
Jared 6dd7a2d50f Merge pull request #3028 from HalldorAndersen/patch-9 
New Universe Selection Model: Correlation breakdown
 2019-04-03 16:09:45 -07:00
AlexCatarino 45eb639dfa Adds Example Algorithm of Expiry Helper Class Usage in Alpha Models 2019-04-03 22:08:52 +01:00
AlexCatarino da6519b9f4 Updates pythonnet to 1.0.5.19 
Updates PythonNet to 1.0.5.19
 - Related  https://github.com/QuantConnect/pythonnet/pull/28/
 2019-04-02 17:17:40 +01:00
HalldorAndersen c3dc6dea0c Update UncorrelatedUniverseSelectionFrameworkAlgorithm.py 2019-04-01 10:51:23 -07:00
HalldorAndersen ac30e127cf Update UncorrelatedUniverseSelectionFrameworkAlgorithm.py 2019-04-01 10:40:26 -07:00
HalldorAndersen 50f95aed00 Update UncorrelatedUniverseSelectionFrameworkAlgorithm.py 2019-04-01 10:35:49 -07:00
HalldorAndersen 1fefb2d474 Update UncorrelatedUniverseSelectionFrameworkAlgorithm.py 2019-04-01 10:33:09 -07:00
HalldorAndersen a945e5dab7 Update QuantConnect.Algorithm.Python.csproj 2019-04-01 10:08:13 -07:00
HalldorAndersen f37c2944d1 Update and rename UncorrelatedFrameworkAlgorithm.py to UncorrelatedUniverseSelectionFrameworkAlgorithm.py 2019-04-01 10:00:43 -07:00
HalldorAndersen ba829a9c0e Update UncorrelatedFrameworkAlgorithm.py 2019-04-01 09:59:07 -07:00
AlexCatarino 6d2460d8ed Updates pythonnet to 1.0.5.18 
- Updates PythonNet to 1.0.5.18
  - Cherry picks the memory leak fix from upstream/pythonnet
 2019-03-28 00:47:38 +00:00
Jared afd10768a6 Merge pull request #3002 from QuantConnect/bug-subscription-data-reader-time-zones 
Fix Time Zone Bug in SubscriptionDataReader
 2019-03-27 08:06:17 -07:00
HalldorAndersen 0e621e93db Rename UncorrelatedToBenchmarkFrameworkAlgorithm.py to UncorrelatedFrameworkAlgorithm.py 2019-03-26 11:21:30 -07:00
HalldorAndersen c085e439a7 Rename UncorrelatedToSPYFrameworkAlgorithm.py to UncorrelatedToBenchmarkFrameworkAlgorithm.py 2019-03-26 10:17:42 -07:00
HalldorAndersen c69d00d76c Update QuantConnect.Algorithm.Python.csproj 2019-03-26 10:15:37 -07:00
HalldorAndersen 259560c4e3 Update UncorrelatedToSPYFrameworkAlgorithm.py 2019-03-26 10:02:17 -07:00
HalldorAndersen e7b2751388 Create UncorrelatedToSPYFrameworkAlgorithm.py 2019-03-25 17:06:35 -07:00
HalldorAndersen 1194a04678 Update and rename Algorithm.Python/UncorrelatedToSpyUniverseSelectionModel.py to Algorithm.Framework/Selection/UncorrelatedToSpyUniverseSelectionModel.py 2019-03-25 16:40:27 -07:00
HalldorAndersen 9ba0955ba0 Update UncorrelatedToSpyUniverseSelectionModel.py 2019-03-25 15:12:03 -07:00
HalldorAndersen ebbc74290c Update UncorrelatedToSpyUniverseSelectionModel.py 2019-03-25 14:52:05 -07:00
HalldorAndersen c2230266dd Update UncorrelatedToSpyUniverseSelectionModel.py 2019-03-25 14:47:32 -07:00
HalldorAndersen d702aa5def Create UncorrelatedToSpyUniverseSelectionModel.py 2019-03-25 14:40:53 -07:00
Jared 10d1d3e854 Merge pull request #2938 from simonsonjack/cca_alpha 
New Alpha -- Contingent Claims Analysis Alpha
 2019-03-15 09:49:23 -07:00
Stefano Raggi 5ddcf12428 Remove order event logging in BasicTemplateFuturesAlgorithm 
Regression run time is now about 50% less
 2019-03-14 12:03:41 +01:00
Jared 206d3bee50 Merge pull request #2997 from QuantConnect/bug-2994-qc500-inconsistencies 
Implements IndexUniverseDefinitions
 2019-03-13 08:17:02 -07:00
AlexCatarino fc780e6136 Remove logging 2019-03-12 21:56:09 +00:00
AlexCatarino 6cc832c782 Implements IndexUniverseDefinitions 
In this new UniverseDefintions, a member, QC500, defines the QC500 Universe. This helper can be used to add that custom universe to the user algorithm (both in C# and Python).
 2019-03-12 18:50:18 +00:00
Jared 0b0f81d18e Merge branch 'master' into price_gap_alpha 2019-03-12 10:37:49 -07:00
Jared bba622a580 Merge pull request #2995 from AlexCatarino/bug-2994-qc500-inconsistencies 
Fix QC500 bugs and inconsistencies
 2019-03-12 09:58:00 -07:00
Jared 1e7fee1800 Merge pull request #2984 from AlexCatarino/feature-2950-adds-csharp-exemple-alphas 
Adds matching version of C# and Python Alpha algorithms
 2019-03-12 09:57:48 -07:00
AlexCatarino 0d64032dfe Remove logging 2019-03-12 16:36:40 +00:00
AlexCatarino fa179b4659 Fix QC500 bugs and inconsistencies 
- ConstituentsQC500GeneratorAlgorithm:
  - Change monthly flag to be consistent with Selection Model that cannot use Schedule events.
  - Use a Dictionary keyed by `Symbol` instead of `string`.
  - Selector functions return `Universe.Unchanged` instead of empty list;
  -Refactoring and more informative logging.
- QC500UniverseSelectionModel
  - SelectFine methods were performing all the logics every day and it should be only once per month
  - Log and return `Universe.Unchanged` before division by zero if universe drops to zero members after filtering before selection by sector.
  - Refactoring
 2019-03-12 10:57:01 +00:00
Jared e24f506486 Merge pull request #2983 from simonsonjack/university_updates 
Python Demo Algorithm Updates
 2019-03-08 18:46:55 -08:00
Jack Simonson 276b4c4484 Revert Qaundl class subscription data source, edit quandl tickers for examples to ensure compilation 2019-03-08 17:17:34 -08:00
Jack Simonson 0f2e62a4f0 Added back ticker to force scheduled data event on trading day; added second data handler for trade bars 2019-03-08 15:34:39 -08:00
AlexCatarino 0f5bcd6454 Adds VIXDualThrustAlpha 
- Adds Python version
 2019-03-05 23:02:24 +00:00
AlexCatarino 89817a7b96 Adds GasAndCrudeOilEnergyCorrelationAlpha 
- Adds C# version
- Some improments in python version
  - Refactors the CorrelationPairsSelection
  - Replace history request for rolling window
 2019-03-05 23:01:07 +00:00
AlexCatarino df6bdedd64 Adds GreenblattMagicFormulaAlpha 
- Adds C# version
- Minor improments in python version
 2019-03-05 22:53:38 +00:00
Jack Simonson c071979350 Assorted changes to address import statements and Rolling Window code that fails to run 2019-03-04 11:37:21 -08:00
Jack Simonson ff565f933f Del. decimal import 2019-03-04 10:20:10 -08:00
Jack Simonson 0d963ccdd5 Changed Quanld source to correctly retrieve csv data, along with simple cleanup of import statements and use of Decimal 2019-03-04 09:47:33 -08:00
Jared 587bb4d279 Merge pull request #2979 from HalldorAndersen/patch-8 
Update and rename GreenblattMagicFormulaAlgorithm.py to GreenblattMag…
 2019-03-01 17:27:23 -08:00
HalldorAndersen f0564c0821 Update and rename GreenblattMagicFormulaAlgorithm.py to GreenblattMagicFormulaAlpha.py 2019-03-01 17:15:59 -08:00
Jared 37affce63e Merge branch 'master' into feature-2950-adds-csharp-alpha-stream-examples 2019-03-01 17:10:07 -08:00
AlexCatarino 6ca82fd196 Further Fixes From Peer-Review 2019-03-02 01:06:09 +00:00
AlexCatarino 774b32bc5f Apply Fixes Suggested by Peer-Review 2019-03-02 00:34:12 +00:00