* Adds LimitIfTouched order.
TODO:
-- Add tests.
-- Add into existing regression algorithms.
-- Refactors (?)
* Fixes
- Remove unrequired space changes
- Fix EquityFillModel min/max limit price fill
- Add TriggerPrice for UpdateOrderRequest.
Quote info used w.r.t. comparing against Limit prices for LIT
FillModel.cs implementation is fixed to use quotes when comparing against set limit prices.
Also changes test implementations to assert which of quotes/trade-bars are being used
Reviewer-suggested fixes
------------
Merge remote-tracking branch 'origin/limiftouched' into limiftouched
Styling
Adds missing null check for quotebar
Styling
Adds missing null check for quotebar
Merge remote-tracking branch 'origin/limiftouched' into limiftouched
High/Low w.r.t. trigger price for determining if TriggerTouched changed to Current price
https://github.com/QuantConnect/Lean/pull/5164/files/0462ad668a5fe65e771122165f36c72d56b92df6#r569832380
fill fixes:
FillModel.cs: Fills exactly at the limit
EquityFillModel.cs: https://www1.interactivebrokers.com/en/index.php?f=608
Equity fill now uses quotebars
Revert - use new constructor which emulates former SubmitOrderRequest
Style changes
Reverts order model to original by means if new constructor
High/Low w.r.t. trigger price for determining if TriggerTouched changed to Current price
https://github.com/QuantConnect/Lean/pull/5164/files/0462ad668a5fe65e771122165f36c72d56b92df6#r569832380
fill fixes:
FillModel.cs: Fills exactly at the limit
EquityFillModel.cs: https://www1.interactivebrokers.com/en/index.php?f=608
Equity fill now uses quotebars
Revert - use new constructor which emulates former SubmitOrderRequest
Style changes
Reverts order model to original by means if new constructor
Merge commit 'bf4c96d2a055ea808fa4293662528c11a89b72c7'
* Suggested style fixes
* Review fixes
-------------------
- Suggested style fixes
- Changes LIT regression to better incorporate order modifications
- TODO: orderlisthash must be fixed
Fixed LIT regression algo
-----------------------
- Includes asserts in OnOrderEvent
* Fix OrderListHash
OrderListHash -> -292689487
* Re-adds quote nullchecks
* EquityFillModelTests fixes asserts
* Reordering FillModel.cs
* Fixes quote logic, adds methods in FillModel.cs
* Refactoring + LIT regression fixes
-- revert unneeded changes
* Fixes list hash
* Rebase -- catch up upstream
* OrderListHash fix
* Various fixes by reviewer
* Final requested changes
* tagged time -> utcinvariant
* Fixes listorderhash
* Time changed to UtcTime.ToString(DateFormat.US, CultureInfo.InvariantCulture)
* Adds Python LimitIfTouchedRegressionAlgorithm
* adds LimitIfTouchedRegressionAlgorithm.py
* adds LimitIfTouchedRegressionAlgorithm.py
* Minor changes to LIT regression algorithms
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Update OrderListHash to use MD5 as hash instead of hash code
* Update regression algorithm OrderListHash statistic
* Use full MD5 hash as OrderListHash, update regression statistic
* Fixes failing regression tests
- For backtesting the algorithm thread will sequentially process pending
order requests
- Adding new non blocking `BusyCollection`
- Updating `UpdateOrderRegressionAlgorithm` that suffered of a race
condition: it supposed `OnOrderEvent` would be called after the call to
`Transactions.AddOrder()` was finished
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.
LastFillTime is updated on each partial/fill order event
LastUpdateTime is updated on each submitted order event w/ update count > 0
CancelTime is updated on canceled order events
Also fixes bug in regression algorithm where it used Time instead of UtcTime
for creating the SubmitOrderRequest object.
- Updated IB fee model to support option exercise
- Added support for splits for options. Not tested on real data yet.
- Added option exercise functionality for long positions. Unit Tests. Not tested on real data yet.
- Added option assignment functionality for short positions. Assignment event. Unit Tests.
- Added basic option assignment simulator for backtesting brokerage. Simulates assignments for deep ITM short positions close to expiration. Unit Tests.
RealTimeSynchronizedTimer now triggers based on UTC time
LiveTradingDataFeed used UTC time to add to bridge
Renamed Security.Time to Security.LocalTime to be explicit
Renamed SecurityExchange.Time to SecurityExchange.LocalTime to be explicit
QCAlgorithm order functions now return an OrderTicket
OrderTicket can be used to directly update or cancel an order
Placing an order now submits an OrderRequest which is processed by the ITransactionHandler
Aaron Janeiro Stone