5 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	95739b8a58	Increase option strike digits precision to 6 (#9086) ... * Increase option strike digits precision to 6 - Increase option strike digits precision to 6. Adding unit test * test:fix: couple of build tests * fix:test: Asset CUSIP and OrderListHash in Regression Algorithms * test:fix: several regression algos * test:fix: old Symbol CUSIPs to new ones --------- Co-authored-by: Romazes <romazes20@gmail.com>	2025-11-18 16:23:29 -03:00
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