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- Remove thread in charge of sorting and updating the queues weight.
This will be handled by each worker thread instead. Avoid cases where
the work count is so high that the sorting thread in master would not
be able to update all the weights, causing data to be enqueued beyond
the max prefetch limit. Adding benchmark algorithm reproducing issue
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* Add new Python QCAlgorithm.History() method with all parameters and type
* Add regression algorithms
* Using all parameters in History()
* Use private methods to reuse History() code
* Use private methods to reuse History() code
* Add unit tests for QCAlgorithm.Python.History()
* Add unit tests for QCAlgorithm.Python.History()
* Add unit tests for QCAlgorithm.Python.History()
* Add unit tests for QCAlgorithm.Python.History()
* Add unit tests for QCAlgorithm.Python.History()
* Add unit tests for QCAlgorithm.Python.History()
* Asserting history count
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* Period timespan consolidation improvements
- If user is trying to consolidate a period providing data of a bigger
period we will now throw an exception. Adding tests
- If both consolidated and given data share the same period, gently
adjust the consolidator into a data count of 1. Adding tests
- Fixing bug in QuoteBarConsolidator period double accounting. Adding unit tests
* Add Period and Count regression algorithm
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* Add indicator for allowed option styles to QL option price models
* Add and update option price model tests
* Update option price models methods sumary to indicate allowed option styles
* Add regression algorithms for option price models for different option styles
* Update OptionPriceModel regression algorithms to use Lean local data
* Add Python regression algorithms for option price models for different option styles
* Update OptionPriceModel regression algorithms to assert that greeks are valid
* Address changes request
* Address changes request
* Update OptionPriceModel regression algorithms to check both call and put contracts
* Update OptionPriceModel regression algorithms to use correct test data
* Update OptionPriceModel regression algorithms to throw in OnData
* Address changes request
* Update OptionPriceModel regression algorithms to assert greeks are not all zero
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Since there is `UpdateStopPrice`, `UpdateLimitPrice`, `UpdateQuantity` and `UpdateTag` method to make it easier to update the `OrderTicket`, we include `UpdateTriggerPrice` to cover the `LimitIfTouched` case.
Also, updated the docs or the arguments for these methods.
Updates LimitIfTouchedRegressionAlgorithm:
- Adds `UpdateTriggerPrice` call that rounds down the `TriggerPrice`.
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* Add missing stablecoins
* Fix bugs
* Remove MIMUSD stablecoin pair
That pair is already in the SPDB
* Add more stablecoins pairs
- Add SUSD and IDRT
* Fix bug
* Requested changes
The algorithm posted in the GH was failing because when finding a conversion between currencies BTC to USD, it wasn't taking into account BTCUSDT and that USD = USDT because is a stablecoin
* Solve bugs
* Nit changes and more tests
* Requested changes
* Nit changes
* Requested changes
* Nit change
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* Added checking if algorithm is stopped in initialize method
* Quit on initialize adjusment
- Minor adjustments to solution. Adding more regression algorithms
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Add requested History overload
* Add more regression tests
* Revert "Add more regression tests"
This reverts commit 71b279e917629c3d5ed577e39aec74149b052afb.
* Add more regression tests
* add data count properties
* 'add history count property
* assert data counts
* update missing override
* consider override/virtual cases
* implement data count
* add message handler for regression tests
* use regression test message handler
* set algorithm manager for regression test message handler
* update data count
* check if stats are present, check if algo manager is not null
* update
* add c# algo
* make same as c# algo
* use new line
* logic shifted to RegressionTestMessageHandler
* cleanup
* auto cleanup
* skip non deterministic data count
* change data count
* use inheritance
* improve stats
* update couht
* add sma indicator to c# and customSMA to python
* call base method before executing further
* skip test
* revert to original
* add duplicate sma
* skip regression test
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`WarmUpIndicator` for Python indicators doesn't return the indicator anymore after #6027. So all overloads should return `void`.
Fixes `SmaCrossUniverseSelectionAlgorithm` [C# and Py].
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`CashBuyingPowerModel`, which reflected on `AlphaStreamBrokerageModel`, a margin-only brokerage.
It also didn't consider the account type, so `InteractiveBrokersBrokerageModel` was using the margin model even if `AccountType.Cash` was selected.
Removes `GetBuyingPowerModel` method from other Brokerage Models when their cases are covered by `DefaultBrokerageModel`
Fixes some typoes in `TradierBrokerageModel`
Fixes unit and regression tests. For the regression tests, we have explicitly set the brokerage model.
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* Adding unit tests reproducing issue.
* Fix a couple of minor bugs
- IsMarketOpen will work correctly when used with daily and hourly
resolution.
- slice.Get will work correctly with python custom data
- ExtendedDictionary will be able to dinamically access methods,
required for python and private C# data types
* Refactor solution. Add more tests
* Remove unrequired import statement
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* Use GC server mode for tests
* Fix daily auxiliary data points emission time
- Due to fillforwarding, in some cases with daily resolution symbol
change events (generically any auxiliary data) would arrive late.
Updating regression test to reproduce the issue. Adding unit test
- Some refactoring and logging improvements
* Address reviews
* Remove old xml docs param
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* Refactor `GetFilePath()`
Add also useful methods to use with this one
* Nit changes
* Requested changes
* Requested changes
* Restore SaveString()
* Nit changes
* Address self review
* Test improvements
* Adjust example KerasNeuralNetworkAlgorithm
* Minor tweak for KerasNeuralNetworkAlgorithm.py
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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- GetLastKnownPrices will no longer guess which resolution to use but
rely on other methods implementation/
- Updating basic template future algorithms to warmup contracts and
assert it
- Minor improvements for FunSecurityInitializer and FuncSecuritySeeder
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* add data
(cherry picked from commit 814011d89e5316d150f88ffca5f48d8d5f0ea7d9)
* update market hours for index
(cherry picked from commit edac40732c120eb84d27de00594b59eebb4983f5)
* add index algorithms
(cherry picked from commit b22d27b4fa98172c435f7c26de4a3a297c49a6b7)
* update statistics
* add cash
* Add india market
* add leverage for index
* can subscribe to index
* update format
* fix wrong cash
* fix ticker names
* update data
* update ticker and stats
* update docs
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* Add india market data
* use local data for algo
* Add India market regression algo
* update india market data
* Update readme
* add python algo for BasicTemplateIndiaAlgorithm
* Add India data regression python algo
* data india data files
* update tickers
* Fix algo template
* remove data
* fix stats
* update stats
* remove unused data
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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
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* Fixes for FutureOptions support in LeanData
* Add CreateCanonicalOption() utility function for Symbol.cs
* Add aggregated Futures/FuturesOptions data to Lean
* Add FutureOptions regressions for daily/hourly data
* Allow Futures to be added with low resolution
* Add Future regressions using hour/daily data
* Nit - Python Class names
* Add reviews
* Add alias into CreateCanonicalOption
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* Move processing of delistings to Brokerage
* Deal with case that exchange is not open on OptionSymbol.ID.Date
* Refactor solution to use DelistingNotification event
* Adjust some regression expected liquidation time
* Mark some todos on deprecated functions
* Update expected liqudation time for Py regressions
* Update regressions that have been validated
* Use HandlePositionAssigned for assignment orders
* Update regressions
* Update some missed unit tests; remove one that is already covered by regression
* Cleanup deprecated backend functions
* nit - small cleanup adjustment
* Post rebase fix
* Address review
* Minor tweak to py regression
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* Create generic writing for LeanDataWriter, + notes on todos
* Make Options Daily/Hourly data store by year
* Refactor Generic Write
* Permit hour and daily resolutions for options
* Refactor writer to merge when needed with other files
* Cleanup redundancies, run write tasks in parallel
* Make needed classes/vars available
* Update tests to reflect new naming convention for daily hourly options data
* Add Byte[] overloads for ZipData functions in compression
* Implemented Store() for ZipDataCacheProvider
* Have LeanDataWriter use a DataCacheProvider
* ZipDataCacheProvider cleanup
* ZipDataCacheProvider tweaks, doesn't support storing non-zips
* Test adjustments
* Update LeanDataWriter to use Write instead of SaveDailyHourly/SaveMinuteSecond
* Implement tests to verify DownloadAndSave behavior
* Nit cleanup on DownloadAndSave tests
* Fix for options daily/hourly underlying equity subscription read
* Add daily/hourly options data and regressions
* Add missing open interest for hourly
* Fix writing of OpenInterest Daily/Hourly data
* Update data
* Fix Date typo in regression
* Use daily algorithm to test delisting
* Revisions part 1
* Expand test for DataCacheProviders; refactor DiskDataCacheProvider
* nit - test adjustments
* ZipDataCacheProvider test setup refactor
* Adjust multithreaded read/write test; fixes for ZipDataCacheProvider
* Move DiskDataCacheProvider to its own file and add write test
* Remove _appendToZips; always overwrite entry or create zip
* Add mapping regression for daily options
* nit - add license to regression
* Fix Tick write case where more than one data point for a DateTime
* Fix data issue
* Address review
* Tweaks for tests
* Stop Store() early if no entry name is given
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* Implement IIndicatorWarmUpPeriodProvider
- Implement IIndicatorWarmUpPeriodProvider in PythonIndicator.cs
- Make a unit test to check whether the WarmUpPeriod is working as expected
- Make a regression test to check the new feature at a system level
* Nit change
* Change Period parameter for WarmUpPeriod parameter
- Change regression test to check if the new parameter keep backwards compatibility with indicators that do not set WarmUpPeriod
* Documentation change
* Fix tests bugs
- In CommonIndicatorTests.cs before finish the test it checks the period.value with the number of samples but for default the period.value was set to -1
* Change names
* Change WarmUp and RegisterIndicator methods
- Lean WarmUp indicator skip custom python indicators that don't define WarmUpPeriod parameter
* Call WarmUpIndicator manually
- Add a new "bridge" method called WarmUpIndicator in QCAlgorithm.Python.cs to set up everything to call WarmUpIndicator in QCAlgorithm.Indicators.cs
- Change the regression algorithm to warm up the indicators manually
* Remove unnecessary code and add more tests
* Nit change
* Revert "Nit change"
This reverts commit da411f59c9e4295d75a11c6c581f615a938dd2c6.
* Fix bugs
* Try fix bugs
* Add C# regression test
- More nit changes
- Fix bugs
* Requested changes
* Remove unnecessary code
* Requested changes
* Nit changes
- Add new Python class to check a custom indicator, which doesn't inherits from PythonIndicator, warms up properly
* Reduce redundant code
* Fix bug and add more unit and regression tests
* - Add more unit tests
* Nit change
* Test cleanup
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Implement IIndicatorWarmUpPeriodProvider
- Implement IIndicatorWarmUpPeriodProvider in PythonIndicator.cs
- Make a unit test to check whether the WarmUpPeriod is working as expected
- Make a regression test to check the new feature at a system level
* Nit change
* Change Period parameter for WarmUpPeriod parameter
- Change regression test to check if the new parameter keep backwards compatibility with indicators that do not set WarmUpPeriod
* Documentation change
* Fix tests bugs
- In CommonIndicatorTests.cs before finish the test it checks the period.value with the number of samples but for default the period.value was set to -1
* Change names
* Change WarmUp and RegisterIndicator methods
- Lean WarmUp indicator skip custom python indicators that don't define WarmUpPeriod parameter
* Call WarmUpIndicator manually
- Add a new "bridge" method called WarmUpIndicator in QCAlgorithm.Python.cs to set up everything to call WarmUpIndicator in QCAlgorithm.Indicators.cs
- Change the regression algorithm to warm up the indicators manually
* Remove unnecessary code and add more tests
* Nit change
* Revert "Nit change"
This reverts commit da411f59c9e4295d75a11c6c581f615a938dd2c6.
* Fix bugs
* Try fix bugs
* Add C# regression test
- More nit changes
- Fix bugs
* Requested changes
* Remove unnecessary code
* Requested changes
* Nit changes
- Add new Python class to check a custom indicator, which doesn't inherits from PythonIndicator, warms up properly
* Reduce redundant code
Martin-Molinero