88b97bd8e4
Adds overload to ScheduleManager.On method that accepts a PyObject parameter
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Adding an overload to `ScheduleManager.On` method that accepts a `PyObject` parameter enables python algorithm to pass a method as parameter directly.
- Fixes `ScheduleEventsAlgorithm` to show the new feature in action.
2018-05-07 12:05:00 +01:00
61b5859446
Implements SectorExposureRiskFrameworkAlgorithm
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This algorithm and its regression test are meant to test the `MaximumSectorExposureRiskManagementModel`.
2018-05-03 21:53:14 +01:00
d878857e50
Merge pull request #1938 from StefanoRaggi/feature-1093-ib-time-in-force-day
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Add TimeInForce.Day support in backtesting and IB brokerage
2018-05-03 14:33:40 -04:00
4eb896bbee
Merge pull request #1946 from jingwu74/master
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Fix issue of no traded options in OptionChainProviderAlgorithm
2018-05-02 20:36:55 -04:00
c25afbad29
Add fill/update/cancel times to order object
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LastFillTime is updated on each partial/fill order event
LastUpdateTime is updated on each submitted order event w/ update count > 0
CancelTime is updated on canceled order events
Also fixes bug in regression algorithm where it used Time instead of UtcTime
for creating the SubmitOrderRequest object.
2018-05-02 14:16:33 -04:00
7569467f45
fix bugs of no traded options
2018-05-01 15:34:40 -04:00
2d19ab7ead
Review TimeInForce handler interface
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- removed IAlgorithm dependency from time in force handlers
- renamed GoodTilCancelled to GoodTilCanceled
- added GTC time in force in regression algorithms
- inlined initialization of time in force handler dictionary
2018-05-01 20:53:43 +02:00
38ac2c5d72
Add TimeInForceAlgorithm regression tests
2018-04-30 20:18:18 +02:00
11489b3edf
Modifies BasicTemplateFrameworkAlgorithm
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- Use `MaximumDrawdownPercentPerSecurity` as `RiskManagementModel`.
- Modifies regression test to reflect risk model choice
- Use SetXXX to set models in python version
2018-04-27 23:08:53 +01:00
991b15a6d1
Adds python version of PairsTradingAlphaModelFrameworkAlgorithm
2018-04-25 13:45:44 +01:00
0c8119de8a
Merge pull request #1889 from AlexCatarino/feature-1884-python-execution-models
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Adds python version of execution model examples
2018-04-19 13:24:27 -04:00
4722e1cab5
Adds python version of execution models regression algorithms
2018-04-19 12:53:29 +01:00
c4cde0e06d
Adds python version of CompositeAlphaModelFrameworkAlgorithm
2018-04-19 11:32:33 +01:00
b0265ba7f5
Adds support to python selectors in Renko Consolidators
2018-04-16 14:39:25 +01:00
35e8e0891e
Fixes RenkoConsolidator for python
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- Missing `event` keyword prevented pythonnet to recognize `DataConsolidated` as a event handler.
- Adds python version of `RenkoConsolidatorAlgorithm`.
2018-04-16 13:39:16 +01:00
eb9e15c507
Merge pull request #1866 from jingwu74/master
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Use available resolution in options and futures algorithms
2018-04-13 15:58:56 -04:00
4c98817c9e
change the benchmark setting
2018-04-12 18:33:01 -04:00
699bfe0812
Merge pull request #1861 from StefanoRaggi/bug-1820-crypto-basic-template
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Update BasicTemplateCryptoAlgorithm to include crypto specific features
2018-04-12 17:05:07 -04:00
4c86c5f3df
change the resolution of option history request to minute
2018-04-12 16:54:57 -04:00
955366ee48
change the resolution to minute for futures history request
2018-04-12 15:39:59 -04:00
41d539140f
Fixes MeanVarianceOptimizationAlgorithm
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Passes the selector method directly to the algorithm. Also, use `self.SetXXX` (closes #1856 ) for setting all the models.
2018-04-12 19:32:55 +01:00
db1149b169
Adds python version of ScheduledUniverseSelectionModelRegressionAlgorithm
2018-04-12 17:09:54 +01:00
b2027c9022
Update BasicTemplateCryptoAlgorithm to include crypto specific features
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Fixes #1820
2018-04-12 11:04:49 +02:00
61dce36ff9
Fixes readme
2018-04-09 19:04:11 +01:00
248926c644
Updates macOS installation instructions
2018-04-09 18:59:59 +01:00
a4db921b87
Updates pythonnet
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Rebase with pythonnet/master
2018-04-09 18:59:59 +01:00
f32f351a4d
Merge pull request #1832 from AlexCatarino/feature-1798-adds-meanvariancemodel
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Implements MeanVarianceOptimizationAlgorithm
2018-04-08 20:27:17 -04:00
35edb6f802
Updates to use "UniverseSelection" property
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The old name "PortfolioSelection" still on the example code. Updated to UniverseSelection
2018-04-08 20:21:48 -04:00
59e6451caf
Update to consistently use properties setters
2018-04-08 20:17:12 -04:00
1d6e21af2c
Use CoarseFundamentalUniverseSelectionModel in MeanVarianceOptimizationAlgorithm
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With this universe selection model, we can show the consequences of a security removal from the universe
2018-04-06 19:46:19 +01:00
133d2cd461
Implements peer-review requests
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1. `HistoricalReturnsAlphaModel`:
1. Adds lookback period for return calculation
2. Adds return-depend direction to insights
3. Refactors indicator history warm-up
2. `MeanVarianceOptimizationPortfolioConstructionModel`:
1. Adds lookback period for return calculation
2. Adds exception for null magnitude
3. Refactors indicator history warm-up
3. Other minor fixes:
1. Default target return was 2 instead of 0.02 (2%)
2. Proper removal of consolidator subscriptions
2018-04-06 00:28:05 +01:00
92238a02fc
Implements MeanVarianceOptimizationAlgorithm
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This framework algorithm alpha model is HistoricalReturnsAlphaModel and the portfolio construction model is MeanVarianceOptimizationPortfolioConstructionModel.
This examples implements an algorithm that rebalances the portfolio according to modern portfolio theory.
2018-04-06 00:28:05 +01:00
b1ac56d63c
Fix capitalization of QC acronyms
2018-03-29 15:30:05 -04:00
c5704a1cd4
Rename SimplePortfolioConstructionModel -> EqualWeightingPortoflioConstructionModel
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The simple name was too simple and too vague. Equal weighting nicely
describes the purpose and intent of this model
2018-03-26 17:33:13 -04:00
b22f8f3cbf
Merge pull request #1773 from Jay-Jay-D/bug-1772-Intrinio-error-too-many-requests
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Intrinio error fixed, Python port and regression test added
2018-03-26 12:11:06 -04:00
b2b541483f
Intrinio template modified, C# regression test added
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Intrinio Python port added
Python regression test added
RateGate implemented in static IntrinioConfig
Clean stuff
Intrinio C# regression test pass
Intrinio working, Python port, C# regression test
2018-03-26 09:41:10 -03:00
543698f1f9
Updates installation instructions of python support on Linux
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By default, miniconda is installed in the users' home directory, therefore the instalation instructions were changed to keep it simple.
2018-03-26 12:33:30 +01:00
e4f4943ec6
Update FractionalQuantityRegressionAlgorithm.py
2018-03-23 09:38:39 -03:00
10f81cbe3f
Merge pull request #1744 from jingwu74/master
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Add Python Example of DisplacedMovingAverageRibbon Algorithm
2018-03-22 09:48:09 -04:00
0c9ad729b3
add project file of DisplacedMovingAverageRibbon.py
2018-03-21 18:27:41 -04:00
5d02f3dc20
add python aexample of DisplacedMovingAverageRibbon algorithm
2018-03-21 18:26:59 -04:00
eaabaef7f9
Fixes python version of BasicTemplateFrameworkAlgorithm
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Renames AlphaType for `InsightType` and `AlphaDirection` for `InsightDirection`, since these `enum` were renamed in a previsous commit.
Adds this algorithm to regression tests.
2018-03-17 19:52:24 +00:00
8cc38591c1
reformat code
2018-03-16 09:43:55 -04:00
764c7e467a
fixed bug with porting from python2 to python3
2018-03-15 17:18:40 -04:00
75c5902f89
add CustomDataIndicatorExtensions Algorithm
2018-03-15 17:11:55 -04:00
88bd9c882f
Merge pull request #1681 from StefanoRaggi/bug-1680-cash-model-use-quotes
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Increase accuracy of order quantity calculation in CashBuyingPowerModel
2018-03-12 13:18:24 -04:00
9eb0999802
Removes installation instructions for macOS
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Replaces the installation instructions for macOS to directions to github issue in pythonnet
2018-03-09 23:29:54 +00:00
444a50d977
Improves Algorithm.Python ReadMe
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Simplifies ReadMe.
Adds the information about rebuilding LEAN to get the right
Python.Runtime.dll version in the bin folder.
2018-03-09 23:17:17 +00:00
66822fb95c
Simplify log statement in BasicTemplateCryptoAlgorithm.py
2018-03-09 17:36:32 +01:00
1fcb4a6b96
Increase accuracy of order quantity calculation in CashBuyingPowerModel
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Fixes #1680
2018-03-09 16:08:21 +01:00
AlexCatarino