* Foundation Update
* Adding more foundation packages
* Update existing libraries
* Further package updates
* Image cleanup
- Update base image to ubuntu 22.04
- Some clean up on dockerfile
- Remove ARM base image
* Test updates
- Minor docker file tweaks
- Update existing python environment tests
* Add more tests & fix Julia
* Remove jupyter-dash
* Remove R from foundation
* Remove Julia
* Remove Tensorforce
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* Adds Regression Test
The new regression test asserts that the total trades is 2.
* Fixes Liquidate Existing Holdings Bug
Liquidate existing holdings before open new postions.
* Addresses Peer-Review
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* IsOption uses underlyings holidays
- Option assets will use underlyings holidays, early closes and late
opens if their own are not defined
* Update regression algorithms
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* Adds Unit Tests
The `LimitFill` method should not fill using `QuoteBar` or `Tick` with `TickType.Quote` type.
Adds missing test for tick data (`TickType.Trade`).
* Fixes EquityFillModel.FillModel
Use `Tick` with `TickType.Trade` or `TradeBar` information to fill limit orders.
* Update Regression Test Expected Statistics
The regression tests changed because of different fills.
The `ExtendedMarketTradingRegressionAlgorithm` has different number of trades because of an extra fill on the 4th order generated by TradeBar with a Low lower than than the QuoteBar.Ask Low:
> 20230222 13:56:24.251 TRACE:: Log: Time: 10/10/2013 12:01:00 OrderID: 4 EventID: 2 Symbol: SPY Status: Filled Quantity: 10 FillQuantity: 10 FillPrice: 143.8998 USD
> asset.Cache.GetData<QuoteBar>().ToString()
"SPY: Bid: O: 144.2457 Bid: H: 144.2629 Bid: **L: 144.2457** Bid: C: 144.2629 Ask: O: 144.2543 Ask: H: 144.2889 Ask: **L: 144.2543** Ask: C: 144.2889 "
> asset.Cache.GetData<TradeBar>().ToString()
"SPY: O: 144.2543 H: 144.4532 **L: 143.4156** C: 144.2716 V: 75423"
* Improves Tick Resolution Unit Test
* Fixes Tick Resolution Case Handling
`master` only considers the latest trade, missing possible fills in the batch of trades.
* Adds Unit Test for Gap
See https://github.com/QuantConnect/Lean/issues/963
* Addresses Fill Optimistic Assumption
If we have a bar that gaps in our favor, we accept the limit price to avoid optimitic fills.
* Fixes Regression Tests
All regression tests with limit orders have worst performance after we remove the optimitic assumption, and use the limit price instead.
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* Updates the PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm
Change the `PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm` logic to show that it doesn't remove the consolidators used in the Alpha Model's indicators.
* Fixes `BasePairsTradingAlphaModel`
The `BasePairsTradingAlphaModel` will create indicators with class constructors and register them to consolidators that will be removed when the security is removed from the universe.
* Addresses Peer-Review
* Update Oanda's Forex and Metals CFDs trading hours in the MHDB
* Fix failing unit tests
* Update regression algorithm statistics
* Fix failing unit tests
* Minor changes
* Adds NullBuyingPowerModel
The `NullBuyingPowerModel` considers that we have sufficient buying power for all orders.
Adds example using a bull call spread since a equity buy and hold would not show the impact of this model in the position group buing power model.
* Define NullBuyingPowerModel.GetMaintenanceMargin
The `NullBuyingPowerModel.GetMaintenanceMargin` returns a `MaintenanceMargin` of zero. It means the total margin used is always zero and margin calls will not be triggered.
This feature is inspired on the `ConstantBuyingPowerModel`. We don't inherit from that class, because `ConstantBuyingPowerModel.GetInitialMarginRequirement` gives us very small initial margin that leads to a very large quantity if we use `SetHoldings` or `CalculateOrderQuantity`
* Custom data type history request in python
* Potential solutions
* Minor changes
* Use Slice.Get(Type) for getting python custom data history
* Minor changes
* Add unit tests
* Add unit tests
* Udpdate regression algorithms
* Peer review
* Peer review
* Add research regression tests
* Minor changes
* Minor changes
* Minor tweaks
---------
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Fix index option data timezone
- Fix index option data timezone which was 1 hour late than expected
* Update existing index option tests
- Update existing index option tests.
- Disable index option daily resolution support
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* Fix future daily price scale factor update
- Fix future daily price scale factor update which was happening 1 day
late due to data and exchange time zone differences.
Adding regression algorithm reproducing and asserting it.
* Address review
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* Update unsettled cashbook cash conversion rates
Also moved conversion rate holding from Cash to the CurrencyConversion
instance
* Minor fixes
* Peer review
* Minor fixes
* Minor fixes
* Minor fixes
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* Fix security cache reset
- Fix security cache reset so it only happens when no universe has it as
a member. Adding regression algorithm reproducing issue
* Avoid non deterministic FillForward behavior
* Fix default future chain universe selection
- Fix default future chain universe selection that should always return
empty, no selection. In some cases it would allos some contracts
though. Adding regression algorithm reproducing issue.
* Address review
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* Use any resolution for chain provider
- Use any data resolution available to source symbols for the file based
chain provider. Adding unit test
* Fix selection timezone bug
- Fix universe selection timezone bug. Updating regression algorithms
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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
* Feature combo orders
- Add support for combo orders
* Make fill model wait for all grouped orders to emit fills
* Add ComboFill to model multiple fills for combo orders
* Fill combo limit orders
Add some regression algorithms
* Add fill implementation for combo leg limit orders
* Add IFill as common interface for Fill and ComboFill
* Refactor combo orders removing IGroupOrder interface
Move the group order manager to the base Order class
* Update algorithms
* Handle combo order events atomically
* Refactor brokerage transaction event handler
* Refactor combo fill models
* Process fills in batch
* Combo orders fill model tests
* Combo leg limit orders algorithm
* Regression algorithms cleanup
* Fill and combo fill classes cleanup
* Housekeeping
* Refactor equity fill model to derive from base fill model
* Address review changes request
* Handling the new types of orders in the OrderJsonConverter
* Add regression algorithm to test combo orders update/cancel
* Add regression algorithm to test combo orders update/cancel
* Housekeeping
* Address review changes request
* Minor changes
* Security transaction handler method for setting order request id
* Extend public interface for placing combo orders
* Combo order tickets demo algorithm python version
* Tweaks and updates
* Minor fixes
* Minor changes
* Minor fixes
* Address reviews minor fixes
* Minor fixes
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* CryptoFutures adjustments
- Address reviews of CryptoFutures:
- Add new Slice MarginInterestRates collection
- Add new regression tests asserting funding rate application behaves
the same no matter the resolution
- Add auxiliary data by type into the security cache
- Revert BuyingPowerModel changes
* Make interest rate application time deterministic
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* Saves Dividend Payments to Security Holdings
Saves information about dividend payments to `SecurityHoldings`. This information will be used to factor in dividend payments to the `Profit` and `NetProfit`.
Adds `SecurityPortfolioManager.TotalNetProfit` to sum all the `SecurityHoldings.NetProfit`.
Adds regression and unit tests.
* Addresses Peer-Review
Improves Regression 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
Jhonathan Abreu