Commit Graph

5 Commits

Author SHA1 Message Date
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
Louis Szeto 6d5f5dce58 pep8 conversion of python algorithms #4 (#7935)
* pep8 conversion

* PEP8 updates/fixes

* Minor update

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Co-authored-by: Jhonathan Abreu <jdabreu25@gmail.com>
2024-04-17 19:27:00 -03:00
Louis Szeto cece811cce Remove extra ; at Python files (#6248)
Regression Tests / build (push) Has been cancelled
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Research Regression Tests / build (push) Has been cancelled
Co-authored-by: LouisSzeto <hke0073@hotmail.com>
2022-03-10 11:09:33 -03:00
Martin-Molinero d1a35e6281 Continuous Futures Refactor. Live Mappings (#6076)
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* Continuous Futures Refactor. Live Mappings

- Adding support for live mappings. LiveTradingDataFeed will handle any
  symbol mapping at the configuration layer and resubscribe through the
  IDQH
- Refactoring continuous futures adding ContinuousFutureUniverse that
  will select the currently mapped security

* Minor fixes

- Remove addition of configurations in UniverseSelection step, leave
  resposability for universe.
- LiveTradingDF future unit test will only assert slice data for non
  internal feeds.
- ContinuousContractUniverse will respect internal option interest
  subscription

* Address review
2021-11-30 21:38:50 -03:00
Martin-Molinero b8b0d18993 Continuous futures (#6034)
* Continuous Future Contracts

* Mapping approach

* Tweaks WIP

* Live mapping

* Live mapping

- Add support for live mapping, refreshing mapfiles
- Fix future expiration functions
- Adding unit tests

* Update moq test package

* Continuous futures price scaling

* Refactor price factors scaling

* Factor file related renames

* Address reviews
2021-11-15 14:44:30 -03:00