* Wait for first session bar before filling equity market orders at open
EquityFillModel.MarketFill could fill a market order placed right after
market open using data from the previous trading date, because the first
bar of the current session has not been emitted yet. ShouldWaitForFreshData
only covered hour/daily resolutions, so minute/second orders filled on stale
prices.
Add IsWithinFirstResolutionSpanAfterMarketOpen: when the order time is within
the lowest subscribed resolution span after the open and the price is stale,
wait for the first bar instead of filling on the previous date's price.
* Share opening-bar stale-fill wait across fill models
Move IsWithinFirstResolutionSpanAfterMarketOpen to the base FillModel and add
a ShouldWaitForFreshDataOnStale sibling helper that combines it with the
existing coarse-resolution ShouldWaitForFreshData check. The base FillModel,
FutureFillModel and EquityFillModel market fills now share this single wait
decision at their stale-data guards.
ShouldWaitForFreshData is intentionally left untouched at its GetMarketFillPrice
call site, which uses it to choose the bar open vs current price and is not
gated by staleness, so fill prices for finer resolutions are unchanged. The
opening-bar helper is guarded against always-open markets, which have no
session open to wait for.
* Add regression algorithm for stale fill at market open
Reproduces the opening-bar stale fill issue: a market order placed one second
after the open while subscribed to minute resolution. Without the fix the order
fills on the previous trading date's stale price; the algorithm asserts in
OnOrderEvent that a fill never happens within the first minute after the open,
so it errors without the fix and passes with it.
Uses SPY minute data over 2013-10-07 to 2013-10-11, which is available in the
repository Data folder.
* Add unit tests for stale fill wait at market open
Cover the opening-bar stale fill scenario directly at the fill model level:
a market order placed within the first bar after the session open, while only
the previous session's stale bar is available, must wait instead of filling on
the stale price, and fills once the first session bar arrives. EquityFillModel
also asserts the boundary (orders past the first bar still fill on stale data),
and FutureFillModel covers the shared base helper from the future path.
* Generalize stale market-order fill wait to any time of day
Replace the market-open-specific wait with a generic check: a market order
that would be filled on stale data waits for fresh data when the latest
available data is more than one subscribed resolution bar behind the current
time. This no longer considers the market open explicitly; it covers the
opening bar (the first session bar has not been emitted yet) and any intraday
data gap larger than the resolution.
ShouldWaitForFreshDataOnStale now takes the latest data end time and the
current time instead of the order time, and is shared by FillModel,
FutureFillModel and EquityFillModel. Coarse resolutions (hour/daily) still
always wait; tick never waits. Internal configurations are included when
sizing the resolution bar. EquityFillModel's best-effort price helpers now
report the stale data end time so the gap can be measured.
Tests: EquityFillModelTests and FutureFillModelTests cover the market-open and
mid-session stale cases (wait then fill on fresh data) plus the within-one-bar
boundary (fill on stale). The regression algorithm is generalized to assert no
fill happens on data staler than the resolution, with orders at the open and
mid-session. Pre-existing plumbing/data-selection tests that used degenerate
timestamps were given fresh timestamps so they still exercise their original
intent.
* Add sample data and adjust regression algorithms for stale-fill wait
Add minute/daily sample data so market orders that now wait for fresh data
can fill (ES futures gap days, TWX/GOOG equities and options, SPXW weeklies,
GC futures/options copy for 2020-01-06). Adjust a few regression algorithms
to the deferred-fill behavior: cap orders in the extended-market continuous
future test, ignore daily-resolution SPY in the automatic-seed data checks,
and refresh OptionAssignmentStatistics expected constants.
* Update regression expected statistics for stale-fill wait
Regenerate ExpectedStatistics, DataPoints and AlgorithmHistoryDataPoints for
the regression algorithms affected by the wait-for-fresh-data fill change and
the added sample data: futures/options fill-timing shifts, ES data-point count
increases, and GOOG 2015-12-28 outcome changes.
* Trim SPXW sample data to expiries within filter window
The two SPXW algorithms filter with Expiration(0,7), so contracts expiring
more than a week out are never subscribed. Drop those far-dated expiries from
the 2021-01-06/08 minute files (760KB->108KB and 776KB->108KB on the quote
files). Fills, DataPoints and statistics are unchanged; both regression tests
still pass.
* Trim ES minute and GOOG option sample data to order-fill minimum
The ES minute gap-day files source no order fills (daily-resolution algos fill
from es_daily); keep only the front contract used for execution and drop the
unused back-month contracts. Trim the GOOG 2015-12-28 option file (no fill
depends on it) to the morning chain window. Regenerate the back-month futures
statistics affected by the dropped back-month bars. Full CSharp regression
suite passes (722/722).
* Use SMA gap threshold in BasicTemplateContinuousFuture for C#/Python parity
At a fast/slow SMA cross the two averages can coincide to within rounding
noise, where the C# (decimal) and Python (double) comparisons disagree,
producing different orders between languages. Require a minimum gap before
acting on a cross so both languages stay in lockstep, and update the shared
expected statistics accordingly.
* Mirror order cap in Python algorithm and update future history counts
Apply the same pre-2013-11-12/3-order cap to the Python
BasicTemplateContinuousFutureWithExtendedMarket algorithm for C#/Python parity,
and update the QuantBook future-history expected counts to reflect the added ES
sample data.
* Use SMA gap threshold in BasicTemplateContinuousFutureWithExtendedMarket for C#/Python parity
This algorithm had the same fast/slow SMA cross divergence already fixed in
BasicTemplateContinuousFutureAlgorithm (ad8fc33): at the 2013-10-29 cross the two
averages coincide to within rounding noise (C# decimal diff -1e-25, Python double
diff exactly 0.0), so the raw `_fast > _slow` / `_fast < _slow` comparisons disagree
between languages. C# fired a liquidate+rebuild that Python skipped, producing 5
orders in C# vs 3 in Python. Require a minimum 0.001 gap before acting on a cross so
both languages stay in lockstep, and regenerate the shared expected statistics
(Total Orders 5 -> 3).
* Document SMA cross threshold as a C#/Python parity workaround
Add a short note before the fast/slow SMA comparisons in both continuous-future
template algorithms clarifying that the minimum-gap threshold exists only so the
C# and Python versions take the exact same trades on the limited sample data in
the repository, where decimal vs double rounding can disagree at a cross.
* Fetch subscription configs once per equity market fill
MarketFill resolved the subscription configs twice per fill: once via the
best-effort price helpers (GetSubscribedTypes) and again via
ShouldWaitForFreshDataOnStale. Fetch them once and thread them through both
paths via optional parameters, leaving existing callers unchanged.
* Measure stale-fill wait against order submission time
ShouldWaitForFreshDataOnStale compared the latest data end time against the
security current time. Compare against the order submission time instead so the
decision to wait for fresh data reflects how stale the data is relative to when
the order was placed. Realign the stale-price warning fill test accordingly.
* Fix stale market data in SendingNewOrderFromOnOrderEvent test
The market price tick was timestamped a day before the order submission time,
so under the order-time staleness check the market orders waited for fresh data
instead of filling. Use a reference time with the tick one minute before the
order so the data is fresh and the orders fill.
* Centralize internal-inclusive subscription config lookup in fill models
ShouldWaitForFreshDataOnStale re-resolved the subscription configs through
the ShouldWaitForFreshData call it makes first, and GetMarketFillPrice did
the same. Thread the already-fetched configs through ShouldWaitForFreshData
and GetMarketFillPrice so each market fill resolves them at most once.
Add a GetSubscriptionDataConfigs(Security) helper on the base FillModel that
returns the internal-inclusive configs, and route every fill-model call site
through it to remove the duplicated lookup and repeated comment.
* Avoid list allocation in ShouldWaitForFreshData
Replace the Where(...).ToList() + All(...) with a single foreach over the
subscription configs, short-circuiting on the first non-coarse resolution.
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* Market orders wait for fresh data instead of filling on stale prices
A market order would previously fill immediately on the most recent
available data even when that data was older than StalePriceTimeSpan
(default one hour), only attaching a warning. This is unrealistic for a
coarse resolution asset (hour/daily) where the latest bar is the stale
previous close when the order is placed mid-bar or via an intraday
scheduled event.
The default fill models (FillModel, EquityFillModel, FutureFillModel) now
wait for fresh data instead of filling on a stale price, but only for hour
and daily resolutions; the order fills when the next bar closes. For
minute/second/tick subscriptions the previous behavior is kept (fill on
the stale price with a warning), since stale data there is a genuine gap
rather than a bar still forming.
Adds HourResolutionMarketOrderStalePriceRegressionAlgorithm, updates the
FillOutsideHours daily expectation, and regenerates statistics for the
hour/daily algorithms whose fills change. FutureOptionDaily buys and
liquidates a day apart now (a same-day buy + liquidate cannot fill on
daily data once stale fills are disabled).
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
* Normalize and correct StalePriceTimeSpan XML docs
The interface and class docs now match and reflect the actual behavior:
the wait-for-fresh-data only applies to hour/daily resolutions, while
minute/second/tick subscriptions still fill on stale data with a warning.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
* Fill resting market orders at the bar open instead of the close
A hour/daily market order that was resting before the current bar opened
(it predates the bar - placed after the previous close or while waiting
for fresh data) now fills at the bar open, the price when trading resumed
(like a MarketOnOpen), instead of the bar close. Orders placed during the
bar still fill at the current/close price, so intraday mid-bar fills are
unchanged. Equity fills are unchanged (resting equity orders are already
converted to MarketOnOpen by QCAlgorithm.MarketOrder).
Adds the shared FillModel.GetMarketFillPrice helper used by the base
FillModel and FutureFillModel, a unit test, and regenerates statistics for
the affected daily/hour futures, index and crypto regression algorithms
(order counts unchanged, only fill prices).
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
* Add regression algorithm asserting resting market orders fill at the bar open
RestingMarketOrderFillsAtBarOpenRegressionAlgorithm buys a daily future on the
bar that delivers it (fills at that bar's close) and submits a liquidation while
the market is closed (overnight pulse, no fresh bar). The liquidation rests and
fills on a later bar at the bar open, not its close - asserting the new
GetMarketFillPrice behavior. The in-bar buy is asserted to fill at the close, for
contrast.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
* Carry the bar start time on Prices instead of re-reading the cache
Add Prices.Time (the bar start, mirroring BaseData.Time/EndTime), populated from
the source bar/tick in every GetPrices path. GetMarketFillPrice now uses
prices.Time directly instead of a second asset.Cache.GetData() lookup. Behavior
is unchanged (prices.Time equals the previously read cache time).
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
* Add regression algorithm asserting in-session hour orders fill at the latest close
HourMarketOrderFillsAtBarCloseRegressionAlgorithm submits an hour resolution
market order mid-bar (via an intraday scheduled event) while the market is open,
using the default one hour StalePriceTimeSpan. It asserts the order fills
immediately at the latest available bar's close - not waiting and not at the bar
open - since the latest bar is within the stale window. Guards the resting-order
open-fill behavior against affecting ordinary in-session fills.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
* Regenerate custom fill model algorithm statistics for the open-fill change
CustomModelsAlgorithm and CustomPartialFillModelAlgorithm subscribe SPY at hour
resolution and their custom fill models delegate to base.MarketFill, so resting
orders now fill at the bar open. Regenerate their statistics (C#/Python) and the
inline expected statistics of the PEP8StyleCustomModelsWork test.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
---------
Co-authored-by: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
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* Implement a prototype of the maximum recovery time function.
* Add unit test skeletons.
* Add failing test
* Issue #4581: Implement MaxDrawdownRecoveryTime.
* Issue 4581: Add DTO for Drawdown Percentage, Drawdown Enddate, and High Value
* Issue 4581: Fix bgu for when lDrawdowns list is empty.
* Issue 4581: Change names of tests. Change name of file.
* Issue 4581: Make adjustements to flow of adding drawdowns to lDrawdowns.
* Issue 4581: Add multiple unit tests.
* Issue #4581: Change name of unit test
* Issue #4581: Add to PerformanceMetrics
* Issue #4581: Add Maximum Drawdown Recovery to PortolioStatistics class.
* Issue #4581: Add to portolfio statistics class.
* Issue #4581: Add to statistics builder.
* Issue #4581: Add report key.
* Case #4581: Convert to decimal.
* Issue #4581: Correct comment.
* Issue #4581: Correct performance metrics view model string.
* Case #4581: Correct statistics builder view model string..again.
* Issue #4581: Placed DradownDradownDateHighValueDTO at the end of the file for simpler diff.
* Issue #4581: Add 2 new tests.
* Issue #4581: Change algorithm so that when multiple maximum drawdowns occur, the longest of all recoveries is reported.
* Issue #4581: Add unit test.
* Issue #4581: Remove reportkey. Change dto name.
* Issue #4581: Change summary.
* Issue #4581: Change comment.
* Add max drawdown recovery calculation with unit tests
* Update regression algorithms with the new metric
* Solve review comments
* Update regression algorithms
* Add TryGet to safely get the key: MaximumDrawdownRecovery
* Ignore MaximumDrawdownRecovery metric in OptimizationBacktest Json
* Revert changes in Messaging
* Update regression algorithms
* Add test case: TakesLongestRecoveryAmongMultipleDrawdowns
* Use integer days for MaximumDrawdownRecovery
* Add MaximumDrawdownRecoveryReportElement
* Use more explicit names
* Rename files and variables for consistency
* Update regression algorithms
---------
Co-authored-by: Alain Schaerer <aschaerer@pcatg.com>
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* Make FOPs selection universe file-based for backtesting
* Make FOPs option chains universe file based
* Make Future universe selection file-based like option universe
* Make Future universe selection file-based like option universe
* Abstraction cleanup
* Add FuturesChains API to QC algorithm
Also refactor future chain provider to use the new FutureUniverse instead of zip file names
* Update regression algorithms stats
* Refactor QuantBook option and future history to use new universes
* Fix failing tests
* Fix failing tests
* Fix failing tests
* Minor future chains unit test improvement
* Add futures chains DataFrame property
Also, remove IDerivativeSecurity interface from Future
* Add DataFrame property to FuturesChains class
* Add regression algorithms
* Add regression algorithms
* Replace QCAlgorithm.FutureChainProvider usages with new FuturesChain api
* Minor fixes
* Reduce number of universe files in repo
* Minor data fixes
* Regression algorithms updates
* Add implicit conversion from FuturesContract to Symbol
Modified algorithms to use futures contract objects directly instead of accessing their Symbol property.
Removed unnecessary import statements and redundant lines in various files.
* Improve resolution handling for history requests
* Changed _auxiliaryData field to lazily-initialized AuxiliaryData property
* Refactor data handling in BaseChain and TimeSliceFactory
- Added `AddData` method to `BaseChain` for adding market data
- Refactored `TimeSliceFactory` to use `BaseChain.AddData` method
* Remove specific constructors and indexers from Chain classes
Removed public indexers in `BaseChains` for getting or setting `BaseChain` instances by `ticker` or `Symbol`, which were used for Pythonnet compatibility.
* Remove chain cache logic from FuturesChainUniverse
* Refactor class and interface names for clarity
Renamed `FileBasedUniverse` to `BaseChainUniverseData` and
`IFileBasedUniverse` to `IChainUniverseData`.
* Add base class for options and futures contracts
- Introduced `BaseContract` as an abstract base class for contracts, consolidating common properties and methods.
- Removed ISymbolInterface
* Add minor fix for future options tickers parsing
Added tests
* Trigger Build
* Trigger Build
* Trigger Build
* Trigger Build
* Clean chain provider classes up
* Remove ZipEntryName other classes and unused code
Removed ZipEntryName class and references across various files.
Removed DataQueueFuturesChainUniverseDataCollectionEnumerator and DataQueueOptionChainUniverseDataCollectionEnumerator classes.
Removed OptionChainUniverseSubscriptionEnumeratorFactory class.
Removed unused code for handling OptionChainUniverse and FuturesChainUniverse in FileSystemDataFeed.cs and LiveTradingDataFeed.cs.
Removed several test files related to enumerator factories and universe data collection.
* Minor changes and cleanup
* Trigger Build
* Trigger Build
* Refactor FuturesContract data handling
Forward price data from bars and ticks stored in private fields for improved memory usage
* Fix: use universe data for market data in FuturesContract
* Update regression algorithms stats after rebase
Added HSI futures universe files
* Sort configs by internal flag
Internals go first
* Throw from option universe data filters for future options
Future options IV, Open interest and greeks are not supported for future options
* Minor changes
* Improve some regression algorithms
* Minor fix for failing unit tests
* Update FOPs universe file header
Removed greeks and IV columns.
Updated FOPs universe files: removed outdated columns.
* Minor unit test fix
* Trigger Build
* Trigger Build
* Trigger Build
* Trigger Build
* Trigger Build
* Trigger Build
* Trigger Build
* Trigger Build
* Trigger Build
* Trigger Build
* Trigger Build
* Trigger Build
* Trigger Build
* Minor fix
* Add history provider as constructor argument for chain providers
* Update new regression algorithms data points count
* Minor fix for FakeDataQueue
* Add initialize method to chain providers classes
* Minor changes
* Trigger Build
* Trigger Build
* Trigger Build
* Minor fix
* Minor fix
* Trigger Build
* Trigger Build
* Trigger Build
* Trigger Build
* Add logs to ProcessedDataProvider
* Removed test logs
* Minor fix
* Support downloading options and futures universe files from api data provider
* Fix for daily options open interest data to be added to contracts
* Cleanup
* Update regression algorithms stats
* Minor fix and cleanup
* Minor fix
* Minor fix
* Update regression algorithms data point count
* Address peer review
* Let delistings through for internal subscriptions
Without it, previously mapped continuous future contracts for which a position is open never received a delisting event for them to be liquidated and marked as non-tradable
* Update regression algorithm stats
* Revert/remove transaction handler initialization parameters DTO class
* Cleanup
* Test
* Fix price shift on continuous future rollover
* Keep track of both data and exchange time in subscription data reader
* Fix for daily and hourly resolutions.
Add daily and hour algorithms
* Fixes for emitting new exchange dates at the beginning and end when data is not available
* Cleanup
* Minor fix
* Minor fix: detect mapping in data reader after advancing time keeper
* Minor fix
* More fixes
* More fixes
* Fixes for universe files
* More fixes for daily resolution data
* Separate DateChangeTimeKeeper to its own file
* Add DateChangeTimeKeeper unit tests
* Minor fix
* Add more DateChangeTimeKeeper unit tests
* Address peer review
* Address peer review
* Address peer review
* Detect mappings using the config NewSymbol event
* DateChangeTimeKeeper performance improvement for time zone conversions
* Clean up date change time keeper
* Cleanup
* Minor regression algo update
* Cleanup
* Cleanup
* Fix perform universe selection on sundays for continuous futures with extended market hours
* Cleanup
* Address peer review
* More cleanup
* More cleanup
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* Default daily precise end times
- Enable by default daily precise end times. Updating stats
- Minor fix for algorithm manager consolidator updates, adding new regression test
asserting behavior and updating others
- Minor fix for SubscriptionData creator avoid round down on warmup if
not appropiate
- Adjust consolidators to emit on daily strict end times if requested
daily resolution and setting enabled
- Updating regression algorithms
* Skip daily data on extended market hours
* Some cleanup and self review
* Revert unrequired change
- Remove universe selection on dates with extended market hours only
- Updating regression algorithms
- Expand date & time rules API to support specifying whether extended
market hours only dates are desired or not
* Fix CA1819 and CA1002 warnings
Changed the type of Languages statistic in regression tests from
Language[] to List<Language>. By doing that, the warning CA1819 was
removed but then the warning CA1002 was raised. However, this warning
was expected to be excluded from QuantConnect.Algorithm.CSharp.
* Improve implementation
* Simplify code
* Fix bugs
* First draft of the solution
* Add missing changes
* Remove the new KPI's from report
* Fix bugs
* nit change
* Add improvements
* Fix regression tests
* Solve bugs in the regression algos
* Fix regression tests bugs
* Expand unit tests and add minor changes
* Make sure continuous futures universe selection is performed right away on the start of the algorithm.
This ensures the Future.Mapped is not null
* Minor changes
* Minor fixes
* Update regression algorithms stats
* Add DC futures map file
* Update DC futures map file
* Update regression algorithms stats
* Include ETFs for immediate universe selection
* Include Coarse Fundamentals for immediate universe selection
* Include Futures Chain Universe for immediate selection
* Add Option Chain Universe test
* Include custom universes for immediate selection
* Minor updates
* Include constituents universes for immediate selection
* Minor update
* Minor changes, docs and stats updates
* Minor changes
* Minor changes and clean up
* Minor regression algorithm stat update
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* Add Sortino ratio to statistics and report
* Adds Sortino Ratio to Report Key Statistics
* Addresses Peer-Review
Reuse `SharpeRatioReportElement` and change the template.
* Reuse Calculations Across Statistics and PortfolioStatistics
* Adds Sortino Ratio to Regression Algorithms
* Removes Sortino Ratio from Optimization Result Table
---------
Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
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* Update Future-cme-[*] and Future-cme-ES
Acoording to `pandas_market_calendars` there were some dates in
Future-cme-[*] who wasn't early_closes, so they needed to be removed
from there. On the other hand, the early closes list of Future-cme-ES were
shifted by 1 hour according to CME webpage. Besides, there were some
missing dates.
* Update CME Future entries in MHDB
* Rebase
* nit change
* Fix unit tests
* Resume after early close/halts
* Add missing dates in MHDB and fix bugs in it
* Fix bug, add more unit tests and add docs
* fix regression algos
* address required changes
* Update failing regression test stats
After debugging the tests it was found they were failing due to the last
change on SecurityExchangeHours.IsOpen(). That method wasn't taking into
account that even if there is a late open after an early close if the
timespan is after the early close but before the late open, the market
is still close.
* enhance solution
* Update and fix bugs in MHDB
* Address required changes and update stats
* Update stats after rebase
* Nit change
* Missing update to regression test
* Use MHDB instead of USHoliday for Expiration Dates
VIX expiry function now relies completely on MHDB. However, it had to be
created an entry in MHDB for VIX since there wasn't one for it. CBOE
webpage only provided 2023 holidays so only those dates were considered
in the Holidays entry in MHDB. Therefore, some unit tests failed so it
was necessary to change also the VIX entry in FuturesExpiryFunctionsTestData.xml.
* Remove Global.cs/USHolidays class
* Use a lazy implementation
* First draft of the solution
* Use MHDB in FuturesExpiryFunctions.cs
* Remove unused class and fix indentation errors
* Fix indentation errors
* Nit changes
* Merge branches 7501 and 7506
* Merge changes in 7501 and 7506
In order to check compatibility between those branches, a new branch
was created out of branch 7501 and then it was merged with branch 7506.
2 regression tests and 8 unit tests failed, the regression tests failed on
the DataPoint stats. On the other hand, the unit tests failed since the
default parameter UseEquityHoliday was removed from
FuturesExpirtyUtilityFunctions.AddBusinessDays() and from other methods in
the same class too.
* Add missing changes
* Remove repeated good fridays
* Address minor review
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* Add new Order.PriceAdjustmentMode property
* Minor fix and unit test
* Minor fix and regression algorithms' stats update
* Unit test fixes
* Minor fix
* Set order price adjustment mode to raw always for live trading
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* Contract chain selection improvements
- Adjust contract chain selection behavior for futures and options so we
are sure to use the correct local time when filtering expirations.
Adding unit test reproducing issue
* Update futures regression algorithms
* Address reviews
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* Fix contract security filter universe
- Fix for contract security filter universe which would would use .Time
to filter expirations which could be yesterdays time at midnight
localtime. Adding unit tests reproducing issue
* Update regression algorithms
* MHDB will merge common entry
- The MHDB will merge the market and security common entry holidays,
early closes and late opens
* Normalize & reuse future US holidays
- Normalize & reuse future US holidays
* Update existing unit tests expected stats
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* Add dataMappingMode parameter to every history api method overload
* Minor unit tests fixes
* Update regression algorithm stats
* Minor changes
* Minor changes
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* Refactor alpha statistics
- Refactor alpha statistics, cleaning up and simplifying no longer required calculations and scoring
- Adding new InsightEvaluator abstraction, adding C# & PY regression
algorithms
* Optimization backtest result json converter update
* Address reviews
- Remove IAlphaHandler, move insight storage responsability to IResultHandler
and centralizing insight collection on the QCAlgorithm.Insights to be
reused by the framework models
- Fix portfolio turnover single day backtests and duplicate time
sampling handling. Updating regression algorithms
* Add InsightCollection tests and minor fixes
* Adding more & improved tests
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* Use any resolution for chain provider
- Use any data resolution available to source symbols for the file based
chain provider. Adding unit test
* Fix selection timezone bug
- Fix universe selection timezone bug. Updating regression algorithms
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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
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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
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- Adding OpenInterestAnnual where the contract maps when any of the back month
contracts of the next year have a higher volume that the current front month.
- Add support for backwards compatible data mapping mode additions
- Updating ES map and factor files. Adding a little daily data too
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* Live T-1 selection warmup
- Only use BaseDataCollection class
- Reuse collection enumerator
- Remove FuturesChainUniverseSubscriptionEnumeratorFactory
- Universe selection will use Cache providers
- Add null reference check
- Add more tests
- Fixes for warmup fill forwarding. Add more tests
* Address reviews. Add missing comments
* 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
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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
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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
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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
Jhonathan Abreu