74fcb8da93
Fix invalid currency pairs in G10CurrencySelectionModel
2019-04-25 21:47:32 +02:00
fcf3558e94
Merge pull request #3122 from QuantConnect/feature-3117-update-pythonnet
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Updates pythonnet to 1.0.5.20
2019-04-24 09:14:20 -07:00
eb8f7dbc7f
Update PriceGapMeanReversionAlpha.py
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Stumbled upon minor code changes to improve cleanliness and one that affects function
2019-04-23 17:42:24 -07:00
c3de660551
Updates pythonnet to 1.0.5.20
2019-04-23 23:15:14 +01:00
04a529c758
Addresses Review
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- Removes `UniverseSettings.DataNormalizationMode` (it will ne addressed in a dedicated issue: https://github.com/QuantConnect/Lean/issues/3082 )
- Adds examples/tests for Tick resolution, Forex (QuoteBar data) and Custom data.
- Tick resolution is not allowed: logs a message
- Custom data example/test added in `CustomDataNiftyAlgorithm`
- Adds support for ATR and VWAP since they are, respectively, a bar and a trade bar indicator.
- Adds consolidators to handle difference between data resolution and indicator resolution.
2019-04-18 23:29:51 +01:00
3c019cdbda
Adds SmaCrossUniverseSelectionAlgorithm
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This algorithm is an example for WarmUpIndicator method usage
2019-04-18 23:29:51 +01:00
b7de35df78
Merge pull request #3100 from Martin-Molinero/performance-3096-add-stateful-stateless-coarse-universe-selection
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Adding new Coarse performance benchmarks
2019-04-18 14:31:18 -07:00
b5c216f7f3
Adding new Coarse performance benchmarks
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- Adding stateless and stateful coarse universe selection benchmarks.
Will be used to benchmark future performance improvement.
2019-04-18 12:47:49 -03:00
bd9f1c9154
Adds Regression Algorithm
2019-04-17 18:11:48 +01:00
b331fad160
Merge pull request #3043 from AlexCatarino/feature-3042-pyobject-scheduled-universe
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Adds Constructor Overload with PyObject to ScheduledUniverse
2019-04-10 16:49:03 -07:00
b366f5b2b5
Adds C# and Python examples
2019-04-09 17:59:46 +01:00
0202df35f4
Replaces Enum CalendarType for Static Class with the Same Name
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Replaces Enum `CalendarType` for static class with the same name. This class defines two properties (`Weekly` and `Monthly`) that can be used to define the previous calendar date (Monday or 1st of current month) which will correspont to the `Time` of a `IBaseData` object.
Refactor `PeriodCountConsolidatorBase` to define use `GetRoundedBarTime` based on a period specification that depends on the constructor overload: `integer`, `TimeSpan` or `Func<DateTime, CalendarInfo>`. The last one can be set with the `CalendarType` properties.
2019-04-08 22:10:04 +01:00
5314e7426d
Implements Calendar (Weekly/Monthly) Consolidator
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Implements consolidators that group bars by a calendar unit (week or month).
2019-04-08 22:10:04 +01:00
d32d1bc90d
Merge pull request #3066 from Martin-Molinero/feature-3065-adduniverseselectionmodel
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Implement AddUniverseSelectionModel
2019-04-08 14:00:11 -07:00
16124d17f7
Merge pull request #3059 from AlexCatarino/feature-3058-python-manual-universe-selection-model
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Implements the Python Version of ManualUniverseSelectionModel
2019-04-08 13:35:40 -07:00
91f19f781d
Implement AddUniverseSelectionModel
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- Implementing `QCAlgorithm.AddUniverseSelectionModel`
- Adding C#/Py regression algorithms using the new API
- Modifying `ManualUniverSelectionModels` symbol, adding hash of
the selected `Symbol.Values`
- Modifying `Coarse` and `Fine` symbol, adding random GUID
- Adding `NullUniverseSelectionModel`
2019-04-08 16:58:42 -03:00
dc4dd7dfcb
Required Changes after Classic/Framework Merge
2019-04-08 20:30:14 +01:00
4d108094e5
Implement QCAlgorithm.AddRiskManagement
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- Implemention `QCAlgorithm.AddRiskManagement`
- Adding Py/C# regression test algoririthms
- Moving `CompositeRiskManagementModel` from `Framework` to `Algorithm`
project
2019-04-08 10:53:06 -03:00
2801bc6218
Removes G10CurrencySelectionModel from Algorithm.Framework
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Removes `G10CurrencySelectionModel` from `Algorithm.Framework` and implement them in the `G10CurrencySelectionModelFrameworkAlgorithm`
Minor change in the Python version of `ManualUniverseSelectionModel` to improve exception messages.
2019-04-05 23:16:55 +01:00
a0dce83b72
Implements G10CurrencySelectionModel
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Implements `G10CurrencySelectionModel` as an example of a selection model with a fixed list of securities.
2019-04-05 23:16:46 +01:00
d9ee31c979
Merge pull request #3055 from QuantConnect/feature-3041-merge-framework-classic-algorithm
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Merge Framework, Bridge and Classic Algorithms
2019-04-05 14:54:31 -07:00
68d9f48c2d
Address reviews
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- Adding new `CompositeAlphaModel.AddAlphaModel()`
- Adding C#/Py regression algorithms using the new `QCAlgorith.AddAlphaModel()`
- Improving exception message
- Add python version of `QCAlgorith.AddAlphaModel()`
2019-04-05 18:34:18 -03:00
dbd27cca18
Merge pull request #3057 from simonsonjack/mortgage_alpha
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CSharp and Python versions of new alpha, MortgageRateVolatilityAlpha
2019-04-03 18:54:01 -07:00
e8bdf640e5
Use list comprehension to avoid looping and checking conditions unnecessarily
2019-04-03 18:02:45 -07:00
4bc7ec124c
Rebase - Improve exception message
2019-04-03 22:00:27 -03:00
cfa08a11fb
Address reviews
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- 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
19f1806ddc
Address review: readd Framework project
2019-04-03 21:55:43 -03:00
32ac3146b4
Merge Framework and Classic Algorithms
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- Merging Framework and Bridge algorithms into classic QCAlgorithm
class.
- Removing Framework project, VS17 and VS15
2019-04-03 21:54:32 -03:00
363c07fa23
Stylistic changes from alex and jared
2019-04-03 17:39:39 -07:00
6dd7a2d50f
Merge pull request #3028 from HalldorAndersen/patch-9
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New Universe Selection Model: Correlation breakdown
2019-04-03 16:09:45 -07:00
849d7080a1
CSharp and Python versions of new alpha, MortgageRateVolatilityAlpha
2019-04-03 15:52:30 -07:00
45eb639dfa
Adds Example Algorithm of Expiry Helper Class Usage in Alpha Models
2019-04-03 22:08:52 +01:00
da6519b9f4
Updates pythonnet to 1.0.5.19
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Updates PythonNet to 1.0.5.19
- Related https://github.com/QuantConnect/pythonnet/pull/28/
2019-04-02 17:17:40 +01:00
c3dc6dea0c
Update UncorrelatedUniverseSelectionFrameworkAlgorithm.py
2019-04-01 10:51:23 -07:00
ac30e127cf
Update UncorrelatedUniverseSelectionFrameworkAlgorithm.py
2019-04-01 10:40:26 -07:00
50f95aed00
Update UncorrelatedUniverseSelectionFrameworkAlgorithm.py
2019-04-01 10:35:49 -07:00
1fefb2d474
Update UncorrelatedUniverseSelectionFrameworkAlgorithm.py
2019-04-01 10:33:09 -07:00
a945e5dab7
Update QuantConnect.Algorithm.Python.csproj
2019-04-01 10:08:13 -07:00
f37c2944d1
Update and rename UncorrelatedFrameworkAlgorithm.py to UncorrelatedUniverseSelectionFrameworkAlgorithm.py
2019-04-01 10:00:43 -07:00
ba829a9c0e
Update UncorrelatedFrameworkAlgorithm.py
2019-04-01 09:59:07 -07:00
6d2460d8ed
Updates pythonnet to 1.0.5.18
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- Updates PythonNet to 1.0.5.18
- Cherry picks the memory leak fix from upstream/pythonnet
2019-03-28 00:47:38 +00:00
afd10768a6
Merge pull request #3002 from QuantConnect/bug-subscription-data-reader-time-zones
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Fix Time Zone Bug in SubscriptionDataReader
2019-03-27 08:06:17 -07:00
0e621e93db
Rename UncorrelatedToBenchmarkFrameworkAlgorithm.py to UncorrelatedFrameworkAlgorithm.py
2019-03-26 11:21:30 -07:00
c085e439a7
Rename UncorrelatedToSPYFrameworkAlgorithm.py to UncorrelatedToBenchmarkFrameworkAlgorithm.py
2019-03-26 10:17:42 -07:00
c69d00d76c
Update QuantConnect.Algorithm.Python.csproj
2019-03-26 10:15:37 -07:00
259560c4e3
Update UncorrelatedToSPYFrameworkAlgorithm.py
2019-03-26 10:02:17 -07:00
e7b2751388
Create UncorrelatedToSPYFrameworkAlgorithm.py
2019-03-25 17:06:35 -07:00
1194a04678
Update and rename Algorithm.Python/UncorrelatedToSpyUniverseSelectionModel.py to Algorithm.Framework/Selection/UncorrelatedToSpyUniverseSelectionModel.py
2019-03-25 16:40:27 -07:00
9ba0955ba0
Update UncorrelatedToSpyUniverseSelectionModel.py
2019-03-25 15:12:03 -07:00
ebbc74290c
Update UncorrelatedToSpyUniverseSelectionModel.py
2019-03-25 14:52:05 -07:00
Stefano Raggi