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* Add Bybit brokerage model regression algorithm
* Add BibytFutures brokerage model name and Bybit backtesting regression algorithms
* Add Bybit margin calculations unit tests
* Minor changes in data
* Unify Bybit Spot and Futures brokerage model into one class
* Add new Bybit configurations
* Revert config change
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* New Fundamental Data
* Minor CIK lookup fix
* Handle live mode & delete unexisting properties
* Minor coarse fundamental adjustment
* Add fundamental history support
* Fix unit tests
* Performance improvements
* Fixes
* Minor regression algorithm fix
* Improvements. Add FundamentalUniverseSelectionModel
* Change default values
* Fix unit test
* Minor tweaks
* Fix unit test
* Minor error handling improvement
* Fix rebase
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* Add ClrBubbleExceptionInterpreter
* Add ClrBubbledExceptionInterpreter tests
* Bump pythonnet version to 2.0.23
* Minor changes
* Minor change
* Minor fix
* Fix failing unit tests
* Set default always open market hours entry for base security without subscription
Also return proper matching subscription for custom data symbols wihtout subscription.
* Minor changes
* Minor change
* Adds `SimpleCustomFillModel` to `CustomModelsAlgorithm`
The simple fill model shows how to implement a simpler version of the most popular order fills: Market, Stop Market and Limit.
This model was tested on QuantConnect Cloud, and will serve as additonal example, since we don't have an example that does not reuse the method of the base class.
* Handles Tick Resolution Case
Tick-resolution data doesn't have TradeBar. We can use the security price, since it represents a trade (`TickTrade`).
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* Support sourcing custom data from ObjectStore
* Add Python regression algorithm
* Wire engine to pass ObjectStore down to the stream readers
* Minor changes
* Minor unit tests fixes
* Remove unused SetupHandlerParameters.ObjectStore
* Minor changes
* Minor changes
* Support single-file zipped data to be sourced from object store
* Assert object store custom data history requests in regression algorithms
* Add custom object store data live data feed unit test
* Add multi-file object store custom data regression algorithms
* Minor fix
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Calling UniverseDefinition.ETF("TICKER",...) in Python was resolving the UserDefinition.ETF(Symbol...) overload due to Symbol's implicit string operator, causing the symbol to be wrongly created.
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* Changes up to the date
* Revert "Changes up to the date"
This reverts commit 45dc9756bc616a7ec389425a2eda89614eb01ac7.
* First attempt to solve bug
* Improve solution
* Add unit tests
* Fix bugs and add regression tests
* Solve bugs
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* Deprecates IAlgorithmSettings.DataSubscriptionLimit
We will let the brokerage check and notify users that they have subscribed to datafeeds beyond their quota.
* Removes Unit Test
Also remove usage in `EmptyEquityAndOptions400Benchmark`.
* Removed platformId support from C2.
Modernized C2 API calls to APIv4.
Added C2 rate limiters (RateGate).
Added response logging so users can easily debug their code.
Added a few symbols for the demo.
* Address requested changes
* Address requested changes
---------
Co-authored-by: Francis Gingras <francis@collective2.com>
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* Add support for Combo Orders with Fill Model
- Override ComboMarketFill, ComboLimitFill, ComboLegLimitFill in
FillModelPythonWrapper.cs
- Modify FillModel.Fill() to use Python Fill model if it exists when the
order is COMBO
- Add regression algorithm ComboOrdersFillModelAlgorithm.py
* Add regression algorithm
* Add regression algos
* Fix bug
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* Candlestick charts base implementation
* Series and Candlestick series json serialization
* Some cleanup
* Add AddPlot method for candlestick series to QCAlgorithm
* Remove Values property from ISeriesPoint
* Add candlestick QCAlgorithm.Plot trade bar methods
* Implement candlestick series re-sampling
* Add more SeriesSampler unit tests
* Add examples of candlestick charts usage to exisiting charting algorithm
* Address peer review
* Address peer review
* Derive Candlestick from Bar
* Sampler changes
* Add new series types from the cloud
* Add more candlestick series sampler tests
* Minor cleanup
* Minor changes
* Add trailing stop orders base implementation
* Handle trailing stop order prices rounding
* Implement trailing stop orders fill logic
* Minor fill model changes
* Add ApplySplit to fill model interface for models that might need to be aware of splits.
Filling trailing stop orders require keeping track of min/max prices, which need to be split adjusted.
* Add brokerage order updated event for communicating certain order types prices changes
* Add order update event args class for brokerage side order updates
* Revert IFillModel.ApplySplit
* Add trailing stop orders regression algorithm
* Updated order ticket demo algorithm to include trailing stop orders
* Some cleanup
* Support trailing stop orders in IB brokerage model
* Some cleanup
* Fix failing tests
* Fix failing regression algorithm
* Address peer review
* Add trailing stop price calculation unit tests
* Minor changes
* Minor change
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* Implement RangeConsolidator
It turned out that the behavior of RangeConsolidator was similar to
ClassicRenkoConsolidator. Then, some of the ClassicRenkoConsolidator
methods, were abstracted to new class called BaseTimelessConsolidator.cs,
from which both RangeConsolidator and ClassicRenkoConsolidator could
inherit, therefore resusing code. The following tasks were done:
- Create RangeConsolidator.cs
- Create RangeBar.cs
- Create BaseTimelessConsolidator.cs
- Create RangeConsolidatorTests.cs
- Modify ClassicRenkoConsolidator.cs
* Allow intermediate/Phantom RangeBar's
- Enhance unit tests
- Nit changes
- Allow intermediate/Phantom RangeBar's on RangeConsolidator
* Nit changes
* Create ClassicRangeConsolidator and more changes
- Add regression tests
- Enhance unit tests
* Address required changes
* Address requested changes
* Address requested changes
* Add regression tests with Tick Resolution
* Address required changes
* Increase Range for RangeConsolidatorWithTickAlgo
* Add more unit tests and solve bugs
* Nit change
* Add security dynamic properties unit and regression tests.
These assert that dynamic properties that are instances of python classes that inherit c# classes keep their python object references.
* Minor change
* Bump pythonnet version to 2.0.21
* Fix security dynamic properties cast from PyObject
* Minor change
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* Address JB comment
* Remove repeated fields in BaseRenkoBar
- Add new unit test to all indicators that inherit from
IndicatorBase<TradeBar>. This test asserts the indicators can receive
RenkoBar's as input
* Add Regression test and improve unit tests
- Change `Volume` property from `RenkoBar.cs` since RenkoBar's don't
have Volume. Now it throws an error when accessed
* Address required changes
* Add Python regression test and enhance unit tests
* Enhance unit and regression tests
* Assert indicator current value at the end
* Allow more indicators to use Renko/VolumeRenkoBar
* Fix Security.IsMarketOpen for cases outside regular MH and last bar
* Minor changes
* Move bar check of IsMarketOpen into FillModel
* Minor changes
* Minor changes
* Minor changes
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* Dynamic security properties for quick objects storage
* Documentation and other minor changes
* Add Security indexer to access custom properties
* Address peer review
* Minor changes
* Improve regression algorithms
* Bumped pythonnet to version 2.0.19
* Bumped pythonnet to version 2.0.20
* Address peer review
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* Fix bug
The algorithm `CustomPartialFillModelAlgorithm.cs` was not working as
expected with short orders because in its Fill model, the variable
`absoluteRemaining` instead of decrease was being increased since
the `FillQuantity` in each call to this method was negative. Therefore
when this amount was substracted to `absoluteRemaining`, instead of
substract, it was added. Hence the method created more partial orders
than expected, specifically: 580 short orders for SPY with Quantity -10.
* Fix `CustomPartialFillModelAlgorithm.py`
* Address required changes
* Nit change
* Address required changes
* Make statistics available at runtime to algorithms
* Re-calculate statistics on every call
* Housekeeping
* Add regression algorithms
* Address peer review
* Support for custom summary statistics at runtime
* Minor changes
* Address peer review
* Address peer review
* Minor changes
* Minor changes
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* Implement indicator history through a rolling window
* Minor changes and extend unit tests
* Add regression algorithms
* Minor changes
* Update regression algorithms examples
* Move resizing logic from IndicatorBase to RollingWindow
* Add unit tests and other minor changes
* Minor fix
* Add unit tests and other minor changes
* Add unit test
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* Add ShortButterflyCall and ShortButterflyPut strategies helper factory methods
* Reduce duplication by adding the base OptionStrategyFactoryMethodsBaseAlgorithm algorithm class
* Housekeeping
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* Account for premium in option strategies margin
* Minor fixes
* Add OptionInitialMargin class to separate strategies margin and premium
* Minor fix
* Minor fix
* Cleanup, docs and other minor changes
* Minor changes
* Minor changes
* Minor changes
* Address peer review
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* Add SetAccountCurrency overload
- Add SetAccountCurrencyOverload to allow the user to set also account
currency quantity
- Add regression and unit tests to cover the changes
* Add regression algos
* Simplifiy SetAccountCurrency implementation
* Minor changes
* Minor changes
* Add support for Null SecurityPositionGroupModel
- Add support for algorithms to set the null security position group
model which will not group securities together but rather return the
single group buying power model. Adding regression algorithms
* Add Null Margin python regression & cleanup
- Add python regression algorithm & minor regression algorithms clean up
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* Implement Trailing FreePortfolioValue
- Implement Trailing FreePortfolioValue by default, users will be able
to set it to a fixed number if desired. Adding regression algorithm
- Setting the default 'MinimumOrderMarginPortfolioPercentage' from 0 to
0.1% of the TPV to avoud tiny trades by default
* Update existing regression algorithms
* Address reviews
- Send warning message to the user if a trade does not happen due to the
default setting of the minimum order margin percentage value
* Address reivews
* Rename TotalPortfolioValueLessFreeBuffer
* Update new regression algorithm
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* Solve bug and add regression test
The bug was raised because, when trying to use C#
MeanVarianceOptimizationPortfolioConstructionModel from a Python
algorithm, there wasn't a constructor that accepted a portfolio optimizer
as a PyObject. Additionally, there wasn't also a Python Wrapper to wrapp
that portfolio optimizer.
- Add PortfolioOptimizerPythonWrapper.cs
- Add constructor in
MeanVarianceOptimizationPortfolioConstructionModel.cs that accepts
portfolio optimizer as a PyObject
- Add regression algorithms to cover the changes
* Improve constructor overload implementation
* Change implementation to follow API pattern
* Enhance implementation and add unit tests
* Enhance implementation and add more unit tests
* Enhance implementation
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* Implement Unregister helper method
- Implement Unregister helper method, each indicator which hold a
reference to the consolidators updating it. Adding regression
algorithms
* Fix for QuantBook indicators
* Address reviews
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* Add forward data only fill model example
- Add forward data only custom fill model C# & PY example.
- Minor adjustment for 'MarketOrderFillTimeout' to be zero always in
backtesting
* Address reviews
Louis Szeto