Commit Graph

1 Commits

Author SHA1 Message Date
Martin-Molinero 3410832ccf Alpha holdings state (#5770)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Alpha holdings state

- Alpha result packet will optionally provide the algorithms portfolio
  state

* Rename

* Convert AlphaStreamsPortfolio to data source

* Improvements on AlphaStreams algorithm

* Fix regression tests

* Add unit tests for EW AS PCM and fixing bugs

* Protobuf AlphaStreamsPortfoliot staState

- Protobuf AlphaStreamsPortfolioState. Adding unit tests
- Add variable TPV tests for EW ASPCM

* Add alpha license to Organization response

* Improvements EW AS PCM respects free portfolio value

* Fixes

- Update tests expected statistics results affected by MHDB custom data timezone fix
- Fix for Extensions.IsCustomDataType

* Fixed and adding more regression tests

- Adding support and regression test with alpha consumer with different account currency
- Adding support and regression test of a universe adding custom data
  types
- Add support and regression test for algorithm alpha consumer with existing holdings

* Add AlphaStreamsOrderEvent data type
2021-08-19 13:56:18 -03:00