5 Commits

Author	SHA1	Message	Date
Ronit Jain	d1ff914e5a	fix docs (#6285)	2022-04-08 17:44:01 -03:00
Ronit Jain	15066ae5e1	Feature improve regression tests (#6245) ... * add data count properties * 'add history count property * assert data counts * update missing override * consider override/virtual cases * implement data count * add message handler for regression tests * use regression test message handler * set algorithm manager for regression test message handler * update data count * check if stats are present, check if algo manager is not null * update * add c# algo * make same as c# algo * use new line * logic shifted to RegressionTestMessageHandler * cleanup * auto cleanup * skip non deterministic data count * change data count * use inheritance * improve stats * update couht * add sma indicator to c# and customSMA to python * call base method before executing further * skip test * revert to original * add duplicate sma * skip regression test	2022-03-15 16:51:15 -03:00
Alexandre Catarino	5361f87dd1	Updates Equity Market Data (#5576) ... * Updates Equity Market Data * Updates Unit Tests * Updates Regression Tests In this commit we include regression tests with small changes (slightly different CAGR, Alpha, etc, but same number of trades) due to the data update. * Updates Regression Tests 2 The following regression tests were adapt because of verification of hard-coded market data values: - `AdjustedVolumeRegressionAlgorithm` - `HistoryWithSymbolChangesRegressionAlgorithm` - `OptionRenameRegressionAlgorithm` - `RawDataRegressionAlgorithm` - `SwitchDataModeRegressionAlgorithm` The following regression tests have more trades since adjusted prices allowed more 1-2 shares trades that were rounded down to zero before: - `AddUniverseSelectionModelCoarseAlgorithm` 23 -> 35 - `MeanVarianceOptimizationFrameworkAlgorithm` 12 -> 14 - `PortfolioRebalanceOnDateRulesRegressionAlgorithm` 298 -> 324 - `PortfolioRebalanceOnInsightChangesRegressionAlgorithm` 83 -> 86 - `ScheduledUniverseSelectionModelRegressionAlgorithm` 86 -> 90 - `SectorExposureRiskFrameworkAlgorithm` 17 -> 22 - `SetHoldingsMultipleTargetsRegressionAlgorithm` 8 -> 9 - `StandardDeviationExecutionModelRegressionAlgorithm` 196 -> 199 - `UniverseUnchangedRegressionAlgorithm` 11 -> 17 - `VolumeWeightedAveragePriceExecutionModelRegressionAlgorithm` 237 -> 238 Especial cases: - `BlackLittermanPortfolioOptimizationFrameworkAlgorithm` 18 -> 17 - BLM model sensibility - `OptionChainedAndUniverseSelectionRegressionAlgorithm` The following regression tests have different Capacity because of different volume from lowest capacity asset, except: - `OptionEquityCoveredCallRegressionAlgorithm` New lowest capacity asset is underlying - `OptionEquityCoveredPutRegressionAlgorithm` New lowest capacity asset is underlying * Revert File Update for SPWR and SPWRA * Fix Regression Tests Temporarily removes python regression test for `MeanVarianceOptimizationFrameworkAlgorithm` as the `MeanVarianceOptimizationPortfolioConstructionModel` for each version are yeilding different results. If we use C# version in `MeanVarianceOptimizationPortfolioConstructionModel.py`, the results match. * Changes Optimization Method in MinimumVariancePortfolioOptimizer [Py] Uses `trust-constr` method. See https://docs.scipy.org/doc/scipy/reference/generated/scipy.optimize.minimize.html	2021-06-17 14:04:51 -03:00
Alexandre Catarino	58793acae8	Removes Assets that Are Not Invested and Not Tradable From Capacity Calculations (#5515) ... * Add property for capacity. Remove unused variable * Move SymbolCapacity and CapacityEstimate to common, passed through Symbol to runtime statistics * Add null checks * Remove uninvested and untradable assets from capacty calculations * Add SymbolCapacity influential period * Updates Regression Tests - DelistingEventsAlgorithm - Allows additional contributions from delisted AAA.1 - DelistingFutureOptionRegressionAlgorithm - Removes DC01H12 contributions one month later - FutureOptionBuySellCallIntradayRegressionAlgorithm - Allows additional contributions from future after expiry replacing the contribution of the next contract option - DelistedFutureLiquidateRegressionAlgorithm - FutureOptionCallITMExpiryRegressionAlgorithm - FutureOptionCallITMGreeksExpiryRegressionAlgorithm - FutureOptionPutITMExpiryRegressionAlgorithm - FutureOptionShortCallITMExpiryRegressionAlgorithm - FutureOptionShortPutITMExpiryRegressionAlgorithm - FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm - Allows additional contributions from future after expiry - FutureOptionCallOTMExpiryRegressionAlgorithm - FutureOptionPutOTMExpiryRegressionAlgorithm - FutureOptionShortPutOTMExpiryRegressionAlgorithm - IndexOptionCallITMGreeksExpiryRegressionAlgorithm - IndexOptionCallOTMExpiryRegressionAlgorithm - IndexOptionShortCallOTMExpiryRegressionAlgorithm - Allows additional contributions from option after expiry - MACDTrendAlgorithm - Removes contribution when SPY is not invested for over one month - UniverseSelectionRegressionAlgorithm - Allows additional contributions from delisted GOOAV replacing GOOG (new symbols) * Adds Lowest Capacity Asset to Regression Tests * Normalize expected value -0, because -0 is also written to file if updated * Write Symbol.Value for lowestCapacitySymbol or empty string for empty Symbol * Update Regressions * Update 'Lowest Capacity Asset' to Symbol.ID Co-authored-by: Jared Broad <jaredbroad@gmail.com> Co-authored-by: Martin-Molinero <martin@quantconnect.com> Co-authored-by: Colton Sellers <Colton.R.Sellers@gmail.com>	2021-05-13 20:25:19 -03:00
Martin-Molinero	83f9499b4a	Option Margin Strategies (#5511) ... * Refactor HasSufficientBuyingPowerForOrder implementations Adds Sufficient and Insufficient helper methods to HashSufficientbuyingPowerForOrderParameters enabling syntax like: return paraeeters.Sufficient() returnparameters.Insufficient(reason) The next change will add the initial margin required which will simply require updating both of these helper methods to accept the value. * IBuyingPowerModel: Add margin functions Maintenance/Initial/ForOrder These were originally hidden in an effort to only expose what's necessary for the engine to perform its work. Additionally, we encapsulated all of the method arguments into parameters classes to prevent having to break anyone in the future. Not including these foundational methods turns out to be an oversight. These methods are not required by the engine, but rather by other models. Another possible solution here is to add an additional abstraction and include these methods on this new abstraction. BuyingPowerModel would then explicitly implement these methods and models that depend on them would require two code paths, one for when the buying power model implements this interface and another for when it doesn't. Tests were additionally updated to remove test model implementations created for the sole purpose of exposing these private methods. * Add ConstantBuyingPowerModel Provides an implementation of IBuyingPowerModel that returns the same constant value * Update BuyingPowerModelPythonWrapper to use reflection for method names Having a bunch of hard-coded strings is a sure fire way for someone to overlook when changing methods. This change ensures that noone needs to remember that this code exists :) Cleans up the syntax around verifying a python object implements a particular C# interface via the ValidateImplementationOf<T> method by having it return a value since the only use cases are in constructors when setting the models. I was initially going to update ALL python wrappers to validate the passed in models, but such a change could break many things that are 'working' right now. Such an effort should be saved for its own dedicated PR. * Add Parameters/Result types for new buying power model methods * Support computing maintenance margin for arbitrary quantities The existing GetMaintenanceMargin function assumes that we're only interested in the maintenance margin for the entirety of the provided security's holdings. This makes it impossible to perform what-if analysis or to even ask how much maintenance margin is devoted to a particular subset of the security's holdings. This change adds the quantity to the MaintenanceMarginParameters class. Futures and Options models also depend on holdings cost and holdings value, so they have also been added to the parameters type. Finally, static factory methods were added to improve discernment of intent: ForCurrentHoldings provides the existing behavior and then ForQuantityAtCurrentPrice to support what-if scenarios where we're looking for the change in maintenance margin if we were to execute an order for the securiy at the current time step. Obviously a constructor is provided to set all of the values explicitly, using any price metric the caller desires. * Address review - Fix BPM xml documentation - Fix python unit tests and PythonWrapper validate method * Add SecurityHolding.QuantityChanged event Adding event handlers will allow us to orchestrate complex events from distant parts of the codebase through wiring them up. If we continue down this path, it will move us away from the current, very 'mechanical' data flows expressed in LEAN and towards a more modern, event processing based system. This is but a baby step in that direction and the initial use case is using this QuantityChanged event to trigger resolution of the algoritm's positions groups. This is part of an effort to improve the fidelity of options margin modeling where we'll model an OptionStrategy as an IPositionGroup. This will allow us to compute the margin requirements of an OptionStrategy as a unit instead of computing margin of each security individually in isolation. See #4065 * PortfolioManager: Group fields and remove unused field This codebase generally places fields as the first members, but this class had some fields at the top, then some properties, and then some more fields. This change brings all the fields together at the top of the file and also removes pointless comments placed directly above some of the fields. Additionally, an unused field was removed. * Remove unused _currencyConverter from Security Looks like at some point the only code using this member variable was removed and the necessary clean up was overlooked. * Add Parse.Enum functions * Support disabling regression algorithms by language via config.json Adds 'regression-test-languages' to config.json and filters regerssion algorithms to run based on this value. When cycling on a particular feature, it's nice to be able to run the entire regression set while ignoring the python algorithms. Once the C# algorithms are all passing, one can then go back and run C# and Python in a final run, since 99% of feature work doesn't impact python specifically. * Implement IComparable in SecurityIdentitfier This can be used to deterministically sort securities and symbols * Add .editorconfig to enforce common formatting for json/sh files * Fix typo in IBuyingPowerModel.GetBuyingPower xml docs * Add ListEquals/GetListHashCode and OrderDirection.Closes(PositionSide) ListEquals and GetListHashCode are designed to be used together as they complement each other according to C#'s requirements for Equals and GetHashCode functions. PositionSide.ToOrderDirection() extension simply converts a PositionSide to its logical equivalent OrderDirection. Long->Buy, Short->Sell, None->Hold OrderDirection.Closes(PositionSide) determines if a particular OrderDirection would have the effect of reducing a position's absolute size. This function greatly improves the readability of buying power functions that must provide adjustments when an order/contemplated trade reduces/closes an existing position. OrderDirection.Buy.Closes(PositionSide.Short) OrderDirection.Sell.Closes(PositionSide.Long) All other combinations return false Adds ToArray/ToImmutableArray convenience functions that combine a call to Select followed by To(Immutable)Array all in one function call. * Add decimal.DiscretelyRoundBy extension method Supports rounding a decimal value by an arbitrarily chosen maximum precision, or 'quanta' * Update FutureMarginBuyingPowerModelTests to respect the security's lot size * Add core position group classes and abstractions * Add initial/maintenance margin support, buying power model consistency tests * Add SufficientBuyingPower and GetReservedBuyingPower to position group model Includes update to BrokerageTransactionHandler to use position group BPM for sufficient buying power checks. * Resolve position groups on each fill We need to update the state of our position groups on each fill so that we can properly handle multiple orders within the same time step. We also limit the number of positions sent into the resolver by removing securities without any holdings. * fixup! Add SufficientBuyingPower and GetReservedBuyingPower to position group model * Add GetMaximumLotsFor{Target|Delta}BuyingPower Instead of computing order quantity, these functions compute the maximum number of position group lots, which is the position group quantity, and is guaranteed to be a whole number, for the provided target/delta buying power parameters. The SecurityPositionGroupBuyingPowerModel delegates to the security's IBuyingPowerModel by applying a scaling factor equal to the security's lot size. This change also updates references to IBuyingPowerModel.GetMaximum... to use the new position group model methods. * Convert remaining IBuyingPowerModel call sites to position groups * Rename PositionManasger.CreateDefaultGroup -> GetOrCreateDefaultGroup Better describes its behavior * Add Position Groups readme.md * Add Option Strategy BuyingPowerModel - Adding CompositePrositionGroupResolver and OptionStrategyPositionGroupResolver - Adding OptionStrategyPositionGroupBuyingPowerModel handling option strategies based on IBs margin table. Adding regression algorithms - Few changes so that option strategies executed by multiple orders are detected - Adjust OptionStrategyDefinitionMatch to include equity legs in the matching result - Minor tweaks fixing previous rebase - Minor fixes for existing option strategies definitions, adding new missing strategies. - Fixing minor bugs in option strategy matcher. Adding more unit tests * Address self reviews - Fixing bug in 'PositionGroupCollection' - Few minor simplificaitons - Adding BasicTemplateOptionEquityStrategyAlgorithm * Address reviews - Improve regression algorithms margin remaining and used assert logic to be exact. Taking into account spread and fees Co-authored-by: Michael Handschuh <mhandschuh@gmail.com>	2021-04-30 18:45:27 -03:00