github-featured/quantconnect--lean
2
0
Fork 0
Code Issues Pull Requests Deployments Models Agent Notes Packages Projects Releases Wiki Activity
11,883 Commits 16 Branches 4,269 Tags
c33ce2f8c3096e11340d8eecc4b596986595a9f2
Commit Graph

8 Commits

Author SHA1 Message Date
Martin-Molinero c33ce2f8c3 MHDB Merge Common Holidays, LateOpens & EarlyCloses (#7278) 
* MHDB will merge common entry

- The MHDB will merge the market and security common entry holidays,
  early closes and late opens

* Normalize & reuse future US holidays

- Normalize & reuse future US holidays

* Update existing unit tests expected stats
 2023-05-30 11:54:28 -03:00
Martin-Molinero b5ced1635e Chain Providers will filter expired (#7267)
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
- Future and option chain providers will always filter expired contracts
  from their result. Update existing tests
 2023-05-23 18:33:07 -03:00
Jhonathan Abreu 0b81cf0218 Add dataMappingMode parameter to History methods (#7204)
Regression Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* Add dataMappingMode parameter to every history api method overload

* Minor unit tests fixes

* Update regression algorithm stats

* Minor changes

* Minor changes
 2023-04-21 17:24:14 -03:00
Martin-Molinero bbbab6d9a8 Refactor alpha statistics phase I (#7055)
Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Refactor alpha statistics

- Refactor alpha statistics, cleaning up and simplifying no longer required calculations and scoring
- Adding new InsightEvaluator abstraction, adding C# & PY regression
  algorithms

* Optimization backtest result json converter update

* Address reviews

- Remove IAlphaHandler, move insight storage responsability to IResultHandler
  and centralizing insight collection on the QCAlgorithm.Insights to be
  reused by the framework models
- Fix portfolio turnover single day backtests and duplicate time
  sampling handling. Updating regression algorithms

* Add InsightCollection tests and minor fixes

* Adding more & improved tests
 2023-03-10 13:12:23 -03:00
Martin-Molinero c4433098c3 Refactor Framework Statistics (#7041) 
* Refactor framework statistics

* Further insight chart cleanup
 2023-03-03 19:40:29 -03:00
Martin-Molinero 6563d6e394 Use any resolution for chain provider (#6860)
Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* 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
 2023-01-16 16:10:07 -03:00
Jhonathan Abreu 539011274c Support extended market hours for futures (#6522)
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Support extended market hours in AddFuture()

* Support extended market hours in AddFutureContract()

* Add C# regression algorithm

* Add Python regression algorithm

* Add regression algorithm for future contracts

* Add regression algorithm checking market hour ranges

* Fixed future regression algorithms to use extended market hours

* Fixed future regression algorithms to use extended market hours

* Fixed future regression algorithms to use extended market hours

* Fixed AddFutureOptionContractFromFutureChainRegressionAlgorithm to use extended market hours

* Update future market hours to include extended in market hours database

* Fixed AddFutureOptionContractDataStreamingRegressionAlgorithm to use extended market hours

* Fixed AddFutureOptionContractFromFutureChainRegressionAlgorithm to use extended market hours

* Fixed AddFutureContractWithContinuousRegressionAlgorithm to use extended market hours

* Fixed BasicTemplateContinuousFutureAlgorithm to use extended market hours

* Fixed BasicTemplateFuturesAlgorithm to use extended market hours

* Fix BasicTemplateFuturesDailyAlgorithm to use extended market hours

* Fixed BasicTemplateFuturesFrameworkAlgorithm to use extended market hours

* Fixed BasicTemplateFuturesHistoryAlgorithm to use extended market hours

* Fixed ContinuousBackMonthRawFutureRegressionAlgorithm to use extended market hours

* Fixed ContinuousFutureBackMonthRegressionAlgorithm to use extended market hours

* Fixed ContinuousFutureHistoryRegressionAlgorithm to use extended market hours

* Fixed ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm to use extended market hours

* Fixed ContinuousFutureRegressionAlgorithm to use extended market hours

* Fixed DelistedFutureLiquidateRegressionAlgorithm to use extended market hours

* Fixed AutomaticIndicatorWarmupDataTypeRegressionAlgorithm to use extended market hours

* Fixed ConsolidateRegressionAlgorithm to use extended market hours

* Fixed DelistingFutureOptionRegressionAlgorithm to use extended market hours

* Fixed EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm to use extended market hours

* Fixed FutureContractsExtendedMarketHoursRegressionAlgorithm to use extended market hours

* Fixed FutureMarketOpenAndCloseRegressionAlgorithm to use extended market hours

* Fixed FutureMarketOpenConsolidatorRegressionAlgorithm to use extended market hours

* Fixed FutureOptionBuySellCallIntradayRegressionAlgorithm to use extended market hours

* Fixed FutureOptionCallITMExpiryRegressionAlgorithm to use extended market hours

* Fixed FutureOptionCallITMGreeksExpiryRegressionAlgorithm to use extended market hours

* Fixed FutureOptionCallOTMExpiryRegressionAlgorithm to use extended market hours

* Fixed FutureOptionDailyRegressionAlgorithm to use extended market hours

* Fixed FutureOptionHourlyRegressionAlgorithm to use extended market hours

* Fixed FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm to use extended market hours

* Fixed FutureOptionPutITMExpiryRegressionAlgorithm to use extended market hours

* Fixed FutureOptionPutOTMExpiryRegressionAlgorithm to use extended market hours

* Fixed FutureOptionShortCallITMExpiryRegressionAlgorithm to use extended market hours

* Fixed FutureOptionShortCallOTMExpiryRegressionAlgorithm to use extended market hours

* Fixed FutureOptionShortPutITMExpiryRegressionAlgorithm to use extended market hours

* Fixed FutureOptionShortPutOTMExpiryRegressionAlgorithm to use extended market hours

* Fixed FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm to use extended market hours

* Fixed FuturesExpiredContractRegression to use extended market hours

* Fixed FutureSharingTickerRegressionAlgorithm to use extended market hours

* Fixed HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm to use extended market hours

* Fixed HistoryWithDifferentDataMappingModeRegressionAlgorithm to use extended market hours

* Fixed HistoryWithDifferentDataNormalizationModeRegressionAlgorithm to use extended market hours

* Fixed LimitOrdersAreFilledAfterHoursForFuturesRegressionAlgorithm to use extended market hours

* Fixed OpenInterestFuturesRegressionAlgorithm to use extended market hours

* Fixed RegisterIndicatorRegressionAlgorithm to use extended market hours

* Fixed SetHoldingsFutureRegressionAlgorithm to use extended market hours

* Fixed WarmupFutureRegressionAlgorithm to use extended market hours

* Fixed AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm to use extended market hours

* Fixed AlgorithmHistoryTests to use extended market hours for futures

* Fixed AlgorithmTradingTests to use extended market hours for futures

* Fixed BrokerageSetupHandlerTests to use extended market hours for futures

* Fixed TimeRulesTests to use extended market hours for futures

* Fixed FutureOptionMarginBuyingPowerModelTests to use extended market hours for futures

* Fixed FutureMarginBuyingPowerModelTests to use extended market hours for futures

* Fixed FileSystemDataFeedTests to use extended market hours for futures

* Fixed QuantBookHistoryTests to use extended market hours for futures

* Split BasicTemplateContinuousFutureAlgorithm to have an extended market version

* Fixed FutureMarketOpenAndCloseRegressionAlgorithm to use extended market hours

* Split BasicTemplateFuturesAlgorithm to have an extended market version

* Split BasicTemplateFuturesAlgorithm to have an extended market version

* Split BasicTemplateFuturesFrameworkAlgorithm to have an extended market version

* Split BasicTemplateFuturesHistoryAlgorithm to have an extended market version

* Revert AddFutureContractWithContinuousRegressionAlgorithm

* Revert AddFutureOptionContractDataStreamingRegressionAlgorithm and added data

* Revert AddFutureOptionContractFromFutureChainRegressionAlgorithm

* Revert AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm

* Revert ConsolidateRegressionAlgorithm

* Revert Algorithm.CSharp/ContinuousBackMonthRawFutureRegressionAlgorithm.cs

* Revert ContinuousFutureBackMonthRegressionAlgorithm

* Revert ContinuousFutureHistoryRegressionAlgorithm

* Revert ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm

* Revert ContinuousFutureRegressionAlgorithm

* Revert Algorithm.CSharp/DelistedFutureLiquidateRegressionAlgorithm.cs

* Revert EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm

* Split FutureMarketOpenAndCloseRegressionAlgorithm to have an extended market version

* Split FutureMarketOpenConsolidatorRegressionAlgorithm to have an extended market version

* Revert FutureOptionBuySellCallIntradayRegressionAlgorithm

* Revert FutureOptionCallITMExpiryRegressionAlgorithm

* Revert FutureOptionDailyRegressionAlgorithm

* Revert FutureOptionPutITMExpiryRegressionAlgorithm

* Revert FutureSharingTickerRegressionAlgorithm

* Revert FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm

* Revert FuturesExpiredContractRegression

* Revert HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm

* Revert HistoryWithDifferentDataMappingModeRegressionAlgorithm

* Revert HistoryWithDifferentDataNormalizationModeRegressionAlgorithm

* Revert OpenInterestFuturesRegressionAlgorithm

* Revert RegisterIndicatorRegressionAlgorithm

* Revert SetHoldingsFutureRegressionAlgorithm

* Revert WarmupFutureRegressionAlgorithm

* Revert AutomaticIndicatorWarmupDataTypeRegressionAlgorithm

* Some cleanup

* Address changes request

* Address changes request

* Add more Class III Milk data to fix DelistingFutureOptionDailyRegressionAlgorithm
 2022-08-18 10:56:44 -03:00
Jhonathan Abreu 9128ce1260 Add data normalization mode parameter to QCAlgorithm.History() (#6435)
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Add data normalization mode parameter to big History() methods

* Add C# regression algorithm

* Add Python regression algorithm
 2022-06-23 17:02:50 -03:00