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384 Commits

Author SHA1 Message Date
Michael 975c2845c3 Merge pull request #2246 from QuantConnect/feature-2245-updates-pythonnet 
Update pythonnet version to v1.0.5.8
* Includes fix for date time UTC bug
 2018-07-18 11:26:19 -04:00
Michael 3bf8cd228b Merge pull request #2259 from AlexCatarino/master 
Fixes typo in PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm.py
 2018-07-18 10:55:17 -04:00
AlexCatarino 6fcb381c46 Fixes typo in PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm.py 
The lookback period for one year should be 252, since one year has 252 trading days.
 2018-07-17 22:18:17 +01:00
Juan José D'Ambrosio ae99f7b9a1 Add Python version 
Add comments to `IRegressionAlgorithmDefinition` members.
 2018-07-17 18:01:53 -03:00
AlexCatarino 8e3b7153b2 Rebase with pythonnet/master and fix datetime UTC bug 
Updates pythonnet with pythonnet/master and fix datetime issue ([65ac279](https://github.com/QuantConnect/pythonnet/commit/65ac279a03dbded39fe3e28bb79c233f0c970f6f)).
 2018-07-16 11:52:54 +01:00
AlexCatarino 12dda21727 Adds setup.py script that handles pythonnet installation in Lean 2018-07-12 17:14:03 +01:00
AlexCatarino 0a6488ba5b Removes PairsTradingAlphaModelFrameworkAlgorithm 
This algorithm uses the `BasePairsTradingAlphaModel` that should only be used as a base class, since it doesn't have a method to select the pairs.
 2018-07-11 23:40:30 +01:00
AlexCatarino c59ff47ed7 Refactors PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm 
- Moves `PearsonCorrelationPairsTradingAlphaModel` class to its own file in order to make it available as a framework model.
- Follows existing pattern design that alpha models receive a lookback and a `Resolution` object.
- Algorithm implements `IRegressionAlgorithmDefinition`.
 2018-07-11 23:40:30 +01:00
AlexCatarino 6121236f20 Implements PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm 
This algorithm is an example on how to extend the `BasePairsTradingAlphaModel` to select a pair to trade based on pearson correlation.
 2018-07-11 23:40:29 +01:00
AlexCatarino 6dbe83d0be Renames PairsTradingAlphaModel 
- Since it will be used as a base class for other pairs trading models, it was ranamed as BasePairsTradingAlphaModel

- Use a tuple of symbols are key of BasePairsTradingAlphaModel._pairs dictionary.
 2018-07-11 23:40:29 +01:00
AlexCatarino e815fe8cba Refactors PairsTradingAlphaModel 
Instead of using a single, pre-defined, pair set in the class constructor, the pair is defined when securities are changed, therefore depending on the universe selection model.
 2018-07-11 23:40:29 +01:00
Stefano Raggi 3e3b6eea20 Fix Python version of FractionalQuantityRegressionAlgorithm 2018-07-11 17:18:13 +02:00
Michael e4fbed8816 Merge pull request #2218 from jingwu74/master 
Remove semicolons in python algorithms
 2018-07-06 12:42:43 -04:00
Jing Wu 084cd294b0 Remove semicolon in python algrotihms 2018-07-06 11:05:16 -04:00
Michael Handschuh b783e98d91 Dont chain algorithm indicator helper methods 
Chaining these is a bad pattern and should not be used in any of our
sample code.
 2018-07-06 05:28:17 -04:00
AlexCatarino 6676098c9c Implements python version of BasicTemplateOptionsFrameworkAlgorithm 2018-07-05 20:59:08 +01:00
Stefano Raggi 18b8b7c971 Fixed Python imports causing failures when running all regressions at once 2018-07-03 21:03:35 +02:00
Stefano Raggi 56399d8edb Fix bug in CustomDataRegressionAlgorithm (Python) 2018-07-03 20:52:41 +02:00
Stefano Raggi 96fd5b7167 Simplify date comparison in CoarseFineFundamentalRegressionAlgorithm 2018-07-03 15:00:25 +02:00
Stefano Raggi 53800c102e Remove semicolons from Python statements 2018-07-03 00:59:50 +02:00
Stefano Raggi e95863a919 Update Python comparisons to None to use "is None" instead of equality 2018-07-03 00:55:35 +02:00
Stefano Raggi 7a9fc44ccd Update Python regression tests to match C# equivalents 2018-07-02 23:50:51 +02:00
Michael 8ec32c58af Merge pull request #2176 from AlexCatarino/bug-2030-download-method-ambiguous-call 
Fixes ambigous call bug for Download method
 2018-07-02 11:18:10 -04:00
Jared 23068997e7 Merge pull request #2171 from jingwu74/master 
Renamed HistoryAndWarmupRegressionAlgorithm
 2018-06-29 09:42:35 -04:00
Jared 40aef2a017 Merge pull request #2139 from gurusawhney/edit-algorithm.python-readme 
Added note to readme to emphasize building entire solution for python
 2018-06-28 17:15:29 -04:00
AlexCatarino 5533fb9eb1 Fixes typo in symbolic link command 2018-06-28 21:57:47 +01:00
AlexCatarino 292951e029 Adds examples of Download method in C# and python algorithms 2018-06-28 19:01:30 +01:00
Jing Wu 15e67b4ddd Renamed IndicatorWarmupRegressionAlgorithm 2018-06-28 11:56:23 -04:00
Jing Wu 891cd5952a Renamed HistoryAndWarmupRegressionAlgorithm 2018-06-27 17:42:35 -04:00
Martin Molinero 1605870c2b New a check to avoid adding the same option contract multiple times 2018-06-25 14:02:14 -03:00
gurusawhney d3c48295f9 Edited the hotkey issue in the readme 2018-06-20 16:58:36 -04:00
gurusawhney 72e7efab3c Reviewed comments and added another note regarding the specific python environment 2018-06-19 15:26:14 -04:00
gurusawhney 19548af7c8 Added note to readme to emphasize building entire solution for python 2018-06-19 00:00:19 -04:00
Jared 90ee6aae44 Update QuandlImporterAlgorithm.py 2018-06-14 17:51:14 -04:00
Stefano Raggi be47d60fa7 Fix CustomDataRegressionAlgorithm failing test 2018-06-14 11:44:28 +02:00
AlexCatarino 06fa8b065a Showcases Consolidate method feature in DataConsolidationAlgorithm 2018-06-12 13:17:50 -04:00
Michael Handschuh bb21171943 Implements python Consolidate API 
Collapse QuoteBar to TradeBar if trade bar handler specified
 2018-06-12 13:17:49 -04:00
Michael 560b0d70c6 Merge pull request #2057 from QuantConnect/bug-2055-coarse-add-price-split-factors 
Add price and split factors to CoarseFundamental class
 2018-06-05 13:03:04 -04:00
Jared f248772a54 Merge pull request #2070 from jingwu74/master 
Fixing AddData() syntax in python algorithm
 2018-06-04 17:46:40 -04:00
Jing Wu d03c7d69ec Fixing the error in AddData() 2018-06-04 10:11:44 -04:00
Stefano Raggi 2ff5650b4a Add price and split factors to CoarseFundamental class 2018-06-01 12:19:06 +02:00
Michael d2ac77b037 Merge pull request #2032 from StefanoRaggi/feature-1093-timeinforce-gtd 
Add TimeInForce.GoodTilDate (GTD) support in backtesting and IB brokerage
 2018-05-30 14:36:10 -05:00
Jared b808e57765 Merge pull request #2024 from AlexCatarino/bug-2023-fixes-equalweightingportfolioconstructionmodel 
Fixes EqualWeightingPortfolioConstructionModel logic
 2018-05-30 14:14:38 -04:00
Stefano Raggi 8613deb3ef Minor refactor 
- Added TimeInForce.GoodTilDate static method
- Made GoodTilDateTimeInForce.Expiry readonly
 2018-05-30 18:25:52 +02:00
Stefano Raggi 1fea8b8bb0 Added more orders in TimeInForceAlgorithm regression 2018-05-30 11:58:51 +02:00
Stefano Raggi 4b2cc4388d Add GTD sample code in TimeInForceAlgorithm 2018-05-30 10:00:12 +02:00
AlexCatarino 75e4001b56 Add python demonstration of porting old algorithm to framework 2018-05-29 22:42:45 +01:00
Jared f0a3196b00 Merge pull request #2041 from jingwu74/master 
Adding Benchmark algorithms
 2018-05-29 17:38:55 -04:00
Jing Wu 6045aa0579 minor change 2018-05-29 17:36:11 -04:00
AlexCatarino 595700e340 Fixes EqualWeightingPortfolioConstructionModel logic 
`EqualEeightingPortfolioConstructionModel` (C# and Python) allocates all cash to the stocks who have insights in universe.
- Fixes regression tests to reflect the model logic change
- Fixes imports in python algorithms to use python models when available
 2018-05-28 12:47:06 +01:00