35 Commits

Author	SHA1	Message	Date
Jhonathan Abreu	a565dfa6f0	Wait for fresh data before filling market orders on stale data (#9563) ... * 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.	2026-07-01 11:22:50 -04:00
Martin-Molinero	27de93f78f	Market orders wait for fresh data instead of filling on stale prices (#9535) ... * 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>	2026-06-18 11:59:19 -03:00
Jhonathan Abreu	16fdf61903	Track securities addition and removal notifications (#9097) ... * Track security addition and removal sent notifications * Minor regression algorithm fixes * Fix regression algorithms data points count * Add description to new regression algorithms * Simplify tracking removal notifications * Cleanup	2025-11-28 10:37:31 -04:00
JosueNina	7008d17714	Add MaxDrawdownRecovery metric (#8865) ... * 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>	2025-07-17 16:32:23 -03:00
Ricardo Andrés Marino Rojas	980cdeaa75	Remove fill warnings from order tags (#8668) ... * Remove warnings from tags and tests * Fix bugs * fix bugs * Revert wrong updates in some stats * Fix bugs	2025-04-03 17:49:21 -03:00
Jhonathan Abreu	69d2f5ae82	Futures and Future Options file-based universes (#8480) ... * 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	2025-03-25 16:22:38 -04:00
Ricardo Andrés Marino Rojas	50f887ca64	Fix delisting time handling in SubscriptionDataReader (#8470) ... The delisting time is handled by the DateChangeTimeKeeper now, so there is no need for the SubscriptionDataReader to do any special logic for it. This was preventing the new tradable date events to be emitted after the delisting date in some cases, like when the day after delisting is not tradable Co-authored-by: Jhonathan Abreu <jdabreu25@gmail.com>	2025-01-13 10:22:14 -04:00
Martin-Molinero	0b1b72e921	Fix for multiple market closes in date (#8509) ... - Fixes related to support assets with multiple daily market closes. Adding unit and regression tests	2025-01-09 12:56:37 -03:00
Jhonathan Abreu	ec428c5f6c	Daily options contracts valid open interest values (#8450) ... * 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	2024-12-12 14:50:59 -03:00
Jhonathan Abreu	d416580456	Adjust lower-resolution fill-forwarded strict end-timed daily bars (#8412) ... * Adjust lower-resolution fill-forwarded daily bars when strict end times is enabled This allows to get fill-forwarded bars with unchanged time stamps * Minor fixes * Minor test data changes * Fixes and comments * Address peer review and add some fixes * Minor fix and add regression algorithm * Minor fix	2024-11-29 09:52:01 -04:00
Jhonathan Abreu	7eea365aa1	Let delistings through for internal subscriptions (#8398) ... * 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	2024-11-25 11:41:02 -03:00
Jhonathan Abreu	f2100adb46	Fix price shifts around futures rollover date (#8371) ... * 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	2024-10-21 09:38:00 -03:00
Martin-Molinero	7879795207	Enable daily precise end time by default (#8254) ... * 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	2024-08-14 12:49:56 -03:00
Martin-Molinero	6c30157fab	Remove universe selection on extended market dates (#8160) ... - 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	2024-07-08 11:58:50 -03:00
Ricardo Andrés Marino Rojas	a2b420cb0a	Fix warnings part 8 (#8113) ... * 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	2024-06-28 10:10:30 -03:00
Ricardo Andrés Marino Rojas	cce8945fe8	Api Clean up, Documentation and Standarization part two (#7964) ... * Add improvements * Add improvments and unit tests * Add XML comments * Nit changes * Add unit tests for OrderJsonConverter * Improve unit tests * Address requested changes * Fix bugs * Fix bugs * Fix bugs and self-review * Fix bugs * Address requested changes * Fix unit test bug * Fix bugs * Improve unit tests * Solve bugs	2024-04-26 13:17:34 -03:00
Ricardo Andrés Marino Rojas	ead2efe6b9	Add Starting and Ending KPI's (#7811) ... * 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	2024-03-25 15:40:38 -03:00
Martin-Molinero	feff802479	Standardize trade count statistic (#7827) ... * Standarize trade count statistic * Rename 'Total Trades' to 'Total Orders'	2024-03-06 14:52:34 -03:00
Jhonathan Abreu	09db45c91d	Universes immediate selection (#7785) ... * 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	2024-02-21 08:59:58 -04:00
Derek Melchin	eefa74baaa	Add Sortino ratio to statistics and report (#6698) ... * 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>	2023-12-12 21:06:13 -03:00
Ricardo Andrés Marino Rojas	dcb5f8ee4e	Merge branches 7501 and 7506 (#7605) ... * 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>	2023-12-04 18:09:57 -03:00
Jhonathan Abreu	314a334e88	Price adjustment mode Order property (#7582) ... * 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	2023-11-17 16:09:03 -04:00
Ricardo Andrés Marino Rojas	b4bad69772	Dynamically Adjust Risk Free Rate of Return (#7489) ... * First attempt to solve the bug * Enhance implementation * Enhance implementation * Simplify implementation * Rebase regression stats * Solve unit test bugs * Review * Update Rolling.Sharpe() method * Update regression stats * Update unit tests * Update missing regression algos * Update Rolling.cs --------- Co-authored-by: Martin Molinero <martin.molinero1@gmail.com> Co-authored-by: Martin-Molinero <martin@quantconnect.com>	2023-10-02 13:42:28 -03:00
Martin-Molinero	3a3dbe29ea	Bug chain selection improvements (#7376) ... * 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	2023-07-13 20:34:45 -03:00
Martin-Molinero	28fe8a1e7c	Fix contract security filter universe (#7374) ... * 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	2023-07-12 20:46:17 -03:00
Martin-Molinero	73c71c6913	Add missing GC future auxiliary data (#7312) ... * Add missing GC future auxiliary data - For improved testing add missing GC comex future auxiliary data. Updating regression tests * Update regression algorithm expected data points	2023-06-09 19:43:34 -03:00
Martin-Molinero	c33ce2f8c3	MHDB Merge Common Holidays, LateOpens & EarlyCloses (#7278) ... * 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	2023-05-30 11:54:28 -03:00
Martin-Molinero	b5ced1635e	Chain Providers will filter expired (#7267) ... - Future and option chain providers will always filter expired contracts from their result. Update existing tests	2023-05-23 18:33:07 -03:00
Jhonathan Abreu	0b81cf0218	Add dataMappingMode parameter to History methods (#7204) ... * Add dataMappingMode parameter to every history api method overload * Minor unit tests fixes * Update regression algorithm stats * Minor changes * Minor changes	2023-04-21 17:24:14 -03:00
Martin-Molinero	bbbab6d9a8	Refactor alpha statistics phase I (#7055) ... * 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	2023-03-10 13:12:23 -03:00
Martin-Molinero	c4433098c3	Refactor Framework Statistics (#7041) ... * Refactor framework statistics * Further insight chart cleanup	2023-03-03 19:40:29 -03:00
Martin-Molinero	6563d6e394	Use any resolution for chain provider (#6860) ... * 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	2023-01-16 16:10:07 -03:00
Jhonathan Abreu	475f295ce0	Support market orders for futures and FOPs on extended hours (#6575) ... * 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	8e35155c40	Fix IB futures commission fees (#6557) ... * Adapted futures commission fees for IB * Unit tests * Some cleanup * Fix exchange fees * Update regression algorithms stats * Update unit tests	2022-08-18 18:35:49 -03:00
Jhonathan Abreu	539011274c	Support extended market hours for futures (#6522) ... * 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