Commit Graph

2 Commits

Author SHA1 Message Date
Gerardo Salazar a4d49c05ca Adds ETF(...) to UniverseDefinitions (#5873)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Adds ETF(...) to UniverseDefinitions

  * Adds ETF constituents universe framework regression algorithm
    for C#/Python

* Address review: adds test cases for ticker/Symbol ETF universe additions

  * Fixes bug where null Market would result in null dereference exception

* Address review: add missing Index tests

* Address review: don't hardcode market when creating constituent universe

  * Uses Brokerage Model's default markets collection to determine
    the market for the given security type

* Address review: restore QC500 and DollarVolume.Top(...)

  * Restores algorithms related to both helper universe
    definition methods

* Address review: remove copy to output directory for python algos

* Add example algorithms for ETF constituent universes using custom RSI alpha model

* Address review: adjust algorithm to use cache + algo RSI & clean up code

* Address review: make ETF Constituent RSI Alpha Model algo a regression test

* Address review: increase trade count and remove single trade logic
2021-08-25 11:22:31 -03:00
Gerardo Salazar cd9e451ead Adds Support for ETF Constituent Universes (#5862)
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* Adds support for ETF constituent universes

  * Adds filtering for universe data if it doesn't match the
    universe subscription type

  * Update mapping for ALL underlying Symbols if
    `Symbol.UpdateMappedSymbol(...)` is called. Required to support
    constituent ETF universes that might have mapping events

  * Delistings of composite constituent universe Symbol will result in
    removal of universe securities.

  * Added regression algorithms for ETF constituent mappings (C#/Python),
    along with data required to run locally

  * Refactor universe delistings in SubscriptionSynchronizer -
    big thank you to @Martin-Molinero :)

* Address review: update regression algorithms and add explanatory comments

* Address review: add additional checks to delisting regression algorithms

  * Adds new regression algorithm testing the addition of a universe
    without calling AddEquity() and asserts same behavior
2021-08-17 19:54:29 -03:00