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4 Commits

Author SHA1 Message Date
Colton Sellers 5bf72d2432 Adjust Volume for Splits (#5525)
Build & Test Lean / build (push) Has been cancelled
* Adjust TradeBar volume for splits

* Refactor solution to centralized function `Scale`

* Expand BaseData scale/adjust/normalize tests to assert volume behavior

* Add regression algorithm

* Update regression statistics

* Address review

* NOP to trigger cloud build

* adjust QuoteBar ask and bid size

* adjust broken regression

* Update tests to include QuoteBar adjustments

* nit cleanup

* Adjust Quote Tick bid and ask sizes

* Round volume and size values to nearest int in scale()

* nit

* Adjust regressions
 2021-05-17 16:47:44 -03:00
Alexandre Catarino 58793acae8 Removes Assets that Are Not Invested and Not Tradable From Capacity Calculations (#5515)
Build & Test Lean / build (push) Has been cancelled
* Add property for capacity. Remove unused variable

* Move SymbolCapacity and CapacityEstimate to common, passed through Symbol to runtime statistics

* Add null checks

* Remove uninvested and untradable assets from capacty calculations

* Add SymbolCapacity influential period

* Updates Regression Tests

- DelistingEventsAlgorithm
  - Allows additional contributions from delisted AAA.1

- DelistingFutureOptionRegressionAlgorithm
  - Removes DC01H12 contributions one month later

- FutureOptionBuySellCallIntradayRegressionAlgorithm
  - Allows additional contributions from future after expiry replacing the contribution of the next contract option

- DelistedFutureLiquidateRegressionAlgorithm
- FutureOptionCallITMExpiryRegressionAlgorithm
- FutureOptionCallITMGreeksExpiryRegressionAlgorithm
- FutureOptionPutITMExpiryRegressionAlgorithm
- FutureOptionShortCallITMExpiryRegressionAlgorithm
- FutureOptionShortPutITMExpiryRegressionAlgorithm
- FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm
  - Allows additional contributions from future after expiry

- FutureOptionCallOTMExpiryRegressionAlgorithm
- FutureOptionPutOTMExpiryRegressionAlgorithm
- FutureOptionShortPutOTMExpiryRegressionAlgorithm
- IndexOptionCallITMGreeksExpiryRegressionAlgorithm
- IndexOptionCallOTMExpiryRegressionAlgorithm
- IndexOptionShortCallOTMExpiryRegressionAlgorithm
  - Allows additional contributions from option after expiry

- MACDTrendAlgorithm
  - Removes contribution when SPY is not invested for over one month

- UniverseSelectionRegressionAlgorithm
  - Allows additional contributions from delisted GOOAV replacing GOOG (new symbols)

* Adds Lowest Capacity Asset to Regression Tests

* Normalize expected value -0, because -0 is also written to file if updated

* Write Symbol.Value for lowestCapacitySymbol or  empty string for empty Symbol

* Update Regressions

* Update 'Lowest Capacity Asset' to Symbol.ID

Co-authored-by: Jared Broad <jaredbroad@gmail.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
Co-authored-by: Colton Sellers <Colton.R.Sellers@gmail.com>
 2021-05-13 20:25:19 -03:00
Colton Sellers 019ac01a4c Reset SubmissionTimeBuffer to default value for other regressions (#5522)
Build & Test Lean / build (push) Has been cancelled
 2021-05-05 11:17:13 -03:00
Colton Sellers 7ddee34e86 Configurable MarketOnCloseOrder Buffer (#5516)
Build & Test Lean / build (push) Has been cancelled
* Create a configurable SubmissionTimeBuffer for MarketClose orders.

* Nit error spacing

* Add Py and C# regression
 2021-05-03 18:08:27 -03:00