3 Commits

Author	SHA1	Message	Date
Martin-Molinero	de10a1d669	Remove securities from algorithm collection (#7573) ... - Once a security has been delisted or no longer selected by any universe it will be remove from the main algorithm securities collection but kept in the new Complete collection, this improves performance in long running backtests where security collection can get enumerated in different cases - Minor refactor for security exchange local time to avoid having to set it explicitly	2023-11-15 17:09:43 -03:00
Gerardo Salazar	a4d49c05ca	Adds ETF(...) to UniverseDefinitions (#5873) ... * Adds ETF(...) to UniverseDefinitions * Adds ETF constituents universe framework regression algorithm for C#/Python * Address review: adds test cases for ticker/Symbol ETF universe additions * Fixes bug where null Market would result in null dereference exception * Address review: add missing Index tests * Address review: don't hardcode market when creating constituent universe * Uses Brokerage Model's default markets collection to determine the market for the given security type * Address review: restore QC500 and DollarVolume.Top(...) * Restores algorithms related to both helper universe definition methods * Address review: remove copy to output directory for python algos * Add example algorithms for ETF constituent universes using custom RSI alpha model * Address review: adjust algorithm to use cache + algo RSI & clean up code * Address review: make ETF Constituent RSI Alpha Model algo a regression test * Address review: increase trade count and remove single trade logic	2021-08-25 11:22:31 -03:00
Gerardo Salazar	cd9e451ead	Adds Support for ETF Constituent Universes (#5862) ... * Adds support for ETF constituent universes * Adds filtering for universe data if it doesn't match the universe subscription type * Update mapping for ALL underlying Symbols if `Symbol.UpdateMappedSymbol(...)` is called. Required to support constituent ETF universes that might have mapping events * Delistings of composite constituent universe Symbol will result in removal of universe securities. * Added regression algorithms for ETF constituent mappings (C#/Python), along with data required to run locally * Refactor universe delistings in SubscriptionSynchronizer - big thank you to @Martin-Molinero :) * Address review: update regression algorithms and add explanatory comments * Address review: add additional checks to delisting regression algorithms * Adds new regression algorithm testing the addition of a universe without calling AddEquity() and asserts same behavior	2021-08-17 19:54:29 -03:00