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* Normalize universe data frames
Universe and (generically BaseDataCollection) data frames are not normalize and unpacked into a data frame, instead of just creating data frames with the universe lists within it
* Fix unit tests and algorithms to expecte new universe dataframe format
* Fixes
* Add PandasConverter.DataFrameGenerator class
* Pandas data frame generator class fixes
* Add comments
* Housekeeping
* Add attributes to mark classes and properties for pandas processing
* Improve pandas properties expanding
Allow and handle duplicate names
* Use PandasData generalization for Lean common data types
* Add points time as column when converting base data collections to data frames
* Cleanup and minor changes
* Minor change
* Pandas data to get type members on demand
* Move Pandas helper classes to their own files
* Minor changes
* Add flatten argument to python history api
This allows users to decide whether they want fully expanded dataframes for universe and other collection data types. Else, master behavior is kept
* Adding missing changes to last commit
* Update Pythonnet version to 2.0.40
* Add flattent argument to algorithm's OptionChain api
* Minor changes
* Housekeeping
* Minor changes
* Bug fix skipping data collection data points
* Add comment
* Set correct exchange time to OptionUniverse instances
* Address peer review and cleanup
* Cleanup
* Minor changes
* Fix pandas converter to handle list of data with different symbols
* Properly convert list of data into dataframe
Take into consideration data for multiple symbols in the same list
* Cleanup
* Index dataframes by symbol object instead of SID string
* Add symbol equality operator to compare against object
* Exclude "ID" from option chain dataframe
* Minor fix
* Add greeks columns directly in option chain dataframe.
Also add pass-through properties for greek values in OptionUniverse
* Some cleanup
* Minor fix
* Add new QCAlgorithm.OptionChains() method
- Use OptionChains as output
- Add DataFrame to OptionChain and OptionChains
- Rename Greeks classes
- Add ISymbolProvider for classes that have a symbol (IBaseData, OptionContract)
* Unify QCAlgorithmOptionChain API
Also refactor OptionContract to handle: (1) Actual market data and option price model data, and (2) OptionUniverse data
* Pass symbol properties to OptionUniverse option chain from algorithm
* Format OptionContract for dataframe
* Minor fix
* Add multiple option chains api regression algorithms and other minor changes
* Address peer review
Add NullGreeks class: keep ModeledGreeks as internal as possible
* Minor fix and add PandasConverter unit tests
* Peer review: Non-thread-safe Lazy for Python
* Handle Greeks unwrapping by PandasData
* PandasData cleanup
* Add data and other minor changes
* Unit test fix
* Update Pythonnet to 2.0.39
* Cleanup
* PandasData handling children class members
Address peer review
* Fix: indexing symbol conversion in pandas mapper
* Fix pandas mapper to convert string keys to symbol only when necessary
* Cleanup
* Cleanup
* Add PandasColumn python class to handle proper indexing
This allows propery hash and equality between Symbols, C# strings and Python strings
* Minor fixes
* Symbol cache improvements
* Minor fix for cache miss
* Revert PandasMapper reserved names and improvements
* Minor fix
* Revert reserved names
* Minor fix for Symbol equality operators
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* Enhance command support
- Enhance command support, adding link helper methods. Adding and
expanding new tests
- Minor improvement for command str representation
* Minor test fix
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* Option universe improvements
- Improvement for resolution handling of option universes, affecting
performance in live mode. Adding regression algorithm
* Minor fix for research test
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* Add new QCAlgorithm.OptionChain method to get full data option chain
* Add extension method to get canonical symbol
* Support future options in new OptionChain method
* Replace option chain provider with OptionChain method in some regression algorithms
* Add new regression algorithms for OptionChain method
* Replace option chain provider with OptionChain method in some regression algorithms
* Minor
* Cleanup
* Minor changes in regression algorithms
* Minor adjustments
* Adds Overload to AddIndexOption
Simplify usage. We don't need to create/add the underlying explicitly, see AddIndexOption(string, Resolution, string, bool) overload.
* Addresses Peer-Review
- Default market is `null` instead of `Market.USA` allowing for `BrokerageModel` setup.
- `AddIndexOption` and `AddIndexOptionContract` methods now return `indexOption` objects.
* Fixes Logic Bug
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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
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* Minor api improvements
- Adding Universe.Selected to hold the current set of selected symbols.
Adding regression tests
- Adjusting TimeRules and DateRules to fallback to the MHDB if the
security hasn't been added. Updating existing regression tests
* Expand regression test assertion
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* Adding new algorithm data handling options
- Adding new QCAlgorithm data handling method options to override.
Adding Py/C# regression tests
- Removing old OnData Type specific invoker methods
* Address reviews. Remove old OnData C# only methods
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* Improve consolidator scan
- Improve consolidator scan to be triggered even if no data is present.
Adding new regression test, updating existing
* Adding more tests & minor tweaks
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* Implement backtest self-naming and self-tagging
* Minor unit test fix
* Minor api changes
* Minor changes
* Send packet messages when algorithm's name or tags are updated
* Minor fixes
* Address peer review
* Backtest name and tags API calls
Plus, first version of CI for API tests
* Add endpoint to update a backtest set of tags
* Minor GH actions change
* Address peer review
* Add algorithm naming and tagging unit tests
* Minor backtest API changes
* Implement risk free interest rate as an algorithm model
* Use risk free insterest rate model in Sharpe Ratio indicator
* Address peer review
Also added python wrapper
* Take pyobject as interest rate model in Sharpe Ratio indicator
* Minor fix
* Minor fix
* Address peer review
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* Shortable modeling improvements
- Do not limit live trading because of shortable model, will send
algorithm warning
- Add Interactive brokers shortable provider
- Minor LocalDiskShortableProvider API changes
* Fix shorted order update
- Fix shorted order update. Updating regression algorithm
* Minor improvement
* Address reviews
* Async universe selection
- Add support for async universe selection, which will happen ahead of
time in the data stack for a performance improvement
* Thrown if using Coarse+Fine Asynchronous Universe selectioon
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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
* Changed argument exceptions so that they used the nameof() operator for parameter names
* Update IQSocket.cs
---------
Co-authored-by: John Doe <john@doe>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* 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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* 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
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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
* Minor fix CrunchDao Symbology
- Minor fix for CrunchDao Symbology. Updating existing tests
* Add missing symbol mapping
- Add IAlgorithm.Ticker(Symbol) functionality which will return the
latest ticker for the requested symbol at the current algorithm time
- SignalExporters will use Ticker to get the current symbol ticker
* Rename SecId GetTicker to Ticker
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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
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* Implement ShortableProviderPythonWrapper.cs
- Modify AllShortableSymbolsCoarseSelectionRegressionAlgorithm.cs and ShortableProviderOrdersRejectedRegressionAlgorithm.cs to use ShortableProvider from Security and not from the Brokerage model
- Add SetShortableProvider() overload method in Security.cs to set a custom shortable provider from Python
- Remove AllShortableSymbols() method from LocalDiskShortableProvider.cs
- Remove DefaultShortableProvider class
- Add regresion algorithms in C# to cover the changes done
* Implement ShortableProviderPythonWrapper.cs
- Modify AllShortableSymbolsCoarseSelectionRegressionAlgorithm.cs and ShortableProviderOrdersRejectedRegressionAlgorithm.cs to use ShortableProvider from Security and not from the Brokerage model
- Add SetShortableProvider() overload method in Security.cs to set a custom shortable provider from Python
- Remove AllShortableSymbols() method from LocalDiskShortableProvider.cs
- Remove DefaultShortableProvider class
- Add regresion algorithms in C# to cover the changes done
* Solve bugs and nit change
* Address review
---------
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Add fillForward parameters to every History method
* Remove conflicting Python history method
* Undo removing conflicting Python history method
* Minor changes
* Minor changes
* Minor changes
* Add fillForward and extendedMarket parameters to history request factory
* Minor changes
* Minor changes
* Minor changes
* Minor changes
* Minor unit tests changes
* Rename fillForward parameter in History API
New name if fillDataForward as in the Add*Security API to standarize
parameters naming
* Rename fillForward parameter
Using the shorter fillForward in every API
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* Add Collective2SignalExportClass
Add SignalExportTarget interface
* Collective2SignalExport test working
Add SignalExportManager
Add draft of CrunchDAOSignalExport
* Modify SignalExportManager
Instantiate SignalExportManager in QCAlgorithm constructor
Draft of CrunchDAOSignalExport
* Improve SignalExportManager
- Add regression tests SignalExportDemonstrationAlgorithm in C# and
Python
* Improve SignalExportDemonstrationAlgorithm
Address requested changes in Collective2SignalExport, SignalExportManger and SignalExportTargetTests.cs
* Add CrunchDAOSignalExport.cs
Add CrunchDAOSignalExport unit tests in SignalExportTargetTests.cs
* Add NumeraiSignalExport.cs
Modify SignalExportDemonstrationAlgorithm.cs to test NumeraiSignalExport
Add unit test in SignalExportTargetTests to test NumeraiSignalExport
* Address required changes
- Add BaseSignalExport.cs
- Add SignalExportParameters.cs
- Add PortfolioSignalExportDemonstrationAlgorithm.cs/py
- Improve Error handling in SignalExport provider classes
- Collective2SignalExport now gets the correct number of shares for each holding
- SignalExportManager now computes the correct holding percentage of each portfolio target
- SignalExportManager now takes into account if the algorithm is in live mode
- Demonstration algorithms now are more simple
* Address last required changes
- PortfolioSignalExportDemonstrationAlgorithm.cs/py now inherits from SignalExportDemonstrationAlgorithm.cs/py
- Add more unit tests to assert SignalExportManager gets the correct percentage quantity for each holding
- Change Collective2SignalExport, CrunchDAOSignalExport and NumeraiSignalExport Send() method to return true if there was no error while sending the signals and false otherwise
- Nit changes
* Remove exceptions thrown
- Add more unit tests and more test cases
- Enhance BaseSignalExport.Dispose() method
* Add Collective2SignalExportClass
Add SignalExportTarget interface
* Collective2SignalExport test working
Add SignalExportManager
Add draft of CrunchDAOSignalExport
* Modify SignalExportManager
Instantiate SignalExportManager in QCAlgorithm constructor
Draft of CrunchDAOSignalExport
* Improve SignalExportManager
- Add regression tests SignalExportDemonstrationAlgorithm in C# and
Python
* Improve SignalExportDemonstrationAlgorithm
Address requested changes in Collective2SignalExport, SignalExportManger and SignalExportTargetTests.cs
* Add CrunchDAOSignalExport.cs
Add CrunchDAOSignalExport unit tests in SignalExportTargetTests.cs
* Add NumeraiSignalExport.cs
Modify SignalExportDemonstrationAlgorithm.cs to test NumeraiSignalExport
Add unit test in SignalExportTargetTests to test NumeraiSignalExport
* Address required changes
- Add BaseSignalExport.cs
- Add SignalExportParameters.cs
- Add PortfolioSignalExportDemonstrationAlgorithm.cs/py
- Improve Error handling in SignalExport provider classes
- Collective2SignalExport now gets the correct number of shares for each holding
- SignalExportManager now computes the correct holding percentage of each portfolio target
- SignalExportManager now takes into account if the algorithm is in live mode
- Demonstration algorithms now are more simple
* Address last required changes
- PortfolioSignalExportDemonstrationAlgorithm.cs/py now inherits from SignalExportDemonstrationAlgorithm.cs/py
- Add more unit tests to assert SignalExportManager gets the correct percentage quantity for each holding
- Change Collective2SignalExport, CrunchDAOSignalExport and NumeraiSignalExport Send() method to return true if there was no error while sending the signals and false otherwise
- Nit changes
* Remove exceptions thrown
- Add more unit tests and more test cases
- Enhance BaseSignalExport.Dispose() method
* Fix failing regression tests
* Fix failing unit tests
* Nit changes
* Nit change
* Nit change
* Fix failing unit tests
* Changes required
- Break regression algos `SignalExportDemonstrationAlgorithm.cs/py` nad `PortfolioSignalExportDemonstrationAlgorithm.cs/`y` into three ones, one for each signal export provider
- Change SignalExportManager constructor to receive current algorithm as a parameter
- Fix bug in `SignalExportManager.GetPortfolioTargets()`, now it computes the correct percentage for each holding
- Make `BaseSignalExport.DefaultAllowedSecurityTypes` overrdible
- Handle case were `Collective2SignalExport.ConvertPercentageToQuantity()` returns null
- Clean unnecessary code in `Collective2SignalExport()`, `CrunchDAOSignalExport()` and `NumeraiSignalExport()`
* Nit change
* Nit change
* Minor tweaks after review
* Remove indexes from signal exports
* Required changes
- Change EMA indicators period from 200, 300 to 10,100 in regression algorithms
- Remove Indices from regression algorithms
- Add more XML documentation to regression algorithms
- Change `Log.Error` to `_algorithm.Error` in Signal export providers. Besides, fix error message format
- Change default value for `platformId` parameter in `Collective2SignalExport.cs` constructor
- Solve small bugs in SignalExportProvider when verificating the amount of porfolio targets is greater than zero and each portfolio target is allowed
- Handle case when `PortfolioTarget.Percent()` returns null in `Collective2SignalExport.ConvertPercentageToQuantity()`
- Handle error format message from Collective2 API
- Check every ticker signal is between 0 and 1 (inclusive) in `CrunchDAOSignalExport.cs`
- Modifiy `NumeraiSignalExport.cs` constructor to take into account filename given in the arguments
- Fix small bug with the return value of `ConvertTargetsToNumerai()` method in `NumeraiSignalExport.cs`
- Modify `SignalExportManager.cs` to return true when the algorithm being ran is not in live mode
- Remove indices from CrunchDAO unit tests
* Enhance ´CrunchDAOSignalExport.cs´ implementation
---------
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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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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* Expand Index option support
- Adjust APIs so that the same underlying can be used
for different options, adding support for SPX weekly options. Adding
regression tests
* Fix IndexOption.IsStandard
* Add IndexOption test
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* WIP
* Add base currency cash
* Symbol properties and data processing
* Add basic template algorithm
* Add hourly crypto future algorithm
* Minor fixes after live trading testing
* CoinApiDataQueueHandler CryptoFuture support
* Address reviews
* Fix regression algorithms after update
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* Normalize time in universe behavior
- Normalize Option & Future chain universe behavior regarding their
assets time in universe. They will now respect the universe settings
time in universe value. Adding new regression algorithms asserting the
behavior
* Address reviews & cleanup
Jhonathan Abreu