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8 Commits

Author SHA1 Message Date
Louis Szeto 784e497691 pep8 conversion on python algorithms #2 (#7933) 
* pep8 conversion

* more

* Minor fix

* Fix related regression algorithm

---------

Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
 2024-04-17 17:36:53 -03:00
Jhonathan Abreu 475f295ce0 Support market orders for futures and FOPs on extended hours (#6575)
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* Allow market orders for futures and FOPs on extended market hours

* Update regression algorithms stats

* Add futures fill model to allow extended market hours

* Add unit tests

* Update regression algorithms stats

* Update regression algorithms stats

* Housekeeping
 2022-08-24 11:04:52 -03:00
Jhonathan Abreu 539011274c Support extended market hours for futures (#6522)
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* 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
Jhonathan Abreu 6c93af96a1 Disable MOO orders for futures out of regular market hours (#6480)
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* Remove suppport for market orders and MOO orders for futures

* Add regression algorithm to assert that limit orders are filled on after hours for futures

* Remove suppport for market orders and MOO orders for futures in DefaultBrokerageModel

* Update regression algorithms stats

* Fixed regression algorithm and clean up

* Add unit tests

* Fix regression algorithms

* Address changes request
 2022-07-19 16:18:06 -03:00
Jhonathan Abreu e9409bf207 Add contractDepthOffset parameter to QCAlgorithm.History() (#6438)
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* Add contract depth offset parameter to big History() methods

- Added unit tests
- Added little more ED daily data

* Add C# regression algorithm

* Add Python regression algorithm

* Update regression algorithms stats

* Address changes request
 2022-06-27 10:04:33 -03:00
Martin-Molinero c8dc343c13 GetLastKnownPrices python data (#6191)
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* Adding unit tests reproducing issue.

* Fix a couple of minor bugs

- IsMarketOpen will work correctly when used with daily and hourly
  resolution.
- slice.Get will work correctly with python custom data
- ExtendedDictionary will be able to dinamically access methods,
  required for python and private C# data types

* Refactor solution. Add more tests

* Remove unrequired import statement
 2022-02-08 15:37:05 -03:00
Martin-Molinero 1aaaa20c61 Fix daily auxiliary data points emission time (#6186)
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* Use GC server mode for tests

* Fix daily auxiliary data points emission time

- Due to fillforwarding, in some cases with daily resolution symbol
  change events (generically any auxiliary data) would arrive late.
  Updating regression test to reproduce the issue. Adding unit test
- Some refactoring and logging improvements

* Address reviews

* Remove old xml docs param
 2022-02-04 21:06:45 -03:00
Colton Sellers 1358bd8115 Future and FutureOption low res support (#6069)
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* Fixes for FutureOptions support in LeanData

* Add CreateCanonicalOption() utility function for Symbol.cs

* Add aggregated Futures/FuturesOptions data to Lean

* Add FutureOptions regressions for daily/hourly data

* Allow Futures to be added with low resolution

* Add Future regressions using hour/daily data

* Nit - Python Class names

* Add reviews

* Add alias into CreateCanonicalOption
 2021-11-24 09:53:21 -03:00