Commit Graph

14 Commits

Author SHA1 Message Date
Martin Molinero fe78801fca Add future 'EnableIntradayMargins'
- Add `FutureMarginModel.EnableIntradayMargins` false by default to
avoid margin calls with SetHoldings usage
- Updating regression tests
2020-02-04 18:41:15 -03:00
AlexCatarino 9172bf0ed2 Addresses Peer-Review
The `AlphaStreamsBrokerageModel` was unnecesarily duplicating the `GetBuyingPowerModel` from the base class. Missing docs were added.
2020-01-21 15:52:54 +00:00
AlexCatarino 63bd501306 Adds InitialMarginRequirement and MaintenanceMarginRequirement Properties to FutureMarginModel
These properties expose the current margin requirements that can be used to compute the number of contracts manually.
2020-01-20 22:49:03 +00:00
Stefano Raggi 5ddcf12428 Remove order event logging in BasicTemplateFuturesAlgorithm
Regression run time is now about 50% less
2019-03-14 12:03:41 +01:00
Michael Handschuh fdc866fda0 Reverting 'Merge pull request #2483 python-history-provider'
We didn't experience the expected performance improvements. Locally under
unit test there was aboout an order of magnitude throughput increase, but
when run against the history benchmark, this new approach was 60% slower.
We're reverting this for now to perform further analysis and better
understand the performance profiling of the python history stack.
2018-09-18 18:37:23 -04:00
AlexCatarino 3e4a71cd50 Creates QCAlgorithm.py: a bridge between C# QCAlgorithm and python algorithms 2018-09-17 19:05:48 +01:00
Stefano Raggi 7bd2a2049c Fix BasicTemplateFuturesAlgorithm C#/Python difference 2018-07-19 00:57:34 +02:00
Juan José D'Ambrosio ae99f7b9a1 Add Python version
Add comments to `IRegressionAlgorithmDefinition` members.
2018-07-17 18:01:53 -03:00
Michael Handschuh 18a559943e Upgrade LEAN Python to 3.6 from 2.7
- Adds log to display the python version the algorithm is using.
- Fixes python algorithms that were failing because of small subtleties
like leading zeroes.
- Updates pythonnet with a version compiled with python 3.6 flags

- Changes in DockerfileFoundation: we now use miniconda to manage the python
environment.
- Took the opportunity to add NTLK (#1349), Tensorforce (#1369) and
PyTorch/Pyro (#1385).
- Changes readme in Algorithm.Python to show steps to install miniconda
2018-02-23 15:09:06 -05:00
Stefano Raggi a39e6a8e28 Revert "Merge pull request #1526 from AlexCatarino/python3"
This reverts commit 2e523992d0, reversing
changes made to fa48fc23ea.
2018-02-14 16:03:12 +01:00
AlexCatarino 84282503d0 Fixes python algorithm to be python 3 compliant 2018-02-13 13:00:50 +00:00
Jared Broad 244ac0b72a Fix regression test and tag python algorithms 2017-09-20 20:06:48 -04:00
AlexCatarino 7bb331dfad Updates Futures and Options template python algorithms
Updates BasicTemplateFuturesAlgorithm.py andBasicTemplateOptionsAlgorithm.py to use python datetime/timedelta instead of C# DateTime/TimeSpan.
2017-05-26 01:17:35 +01:00
AlexCatarino 41e7ad047a Adds python basic templates for options and futures 2017-05-10 13:32:36 +01:00