GetSymbolsFromPyObject now returns IEnumerable<Symbol> and throws if its argument is not Symbol or Symbol[] object and if the Symbol has not been added to the Securities object.
When creating a CRL type in runtime to represent a python custom data class, we need define `DynamicData` as its parent class so that it passes the `IsAssignableFrom` condition in `SubscriptionManager.AddConsolidator`
The check for Lean indicators was testing for `Indicator`, `BarIndicator` and `TradeBarIndicator` types where it should check for `IndicatorBase<T>` which includes `WindowIndicator<T>`.
In order to access the custom data classes, the module containing them was added to the ObjectActivator. This was unnecessary if it wasn't a custom data algorithm.
Also, this operation would not be taken into account if the custom data class were defined after the algorithm was created: this is the case for QuantBook.
We refactor how custom data is handled: a new class was added to provide a instance creation factory that creates an instance of each python custom type.
For cases where implicit conversion to decimal from indicator was not properly handled by pythonnet, we expliticly get `Current.Value` and redirect to `Plot(string,decimal)` overload.
We enable Logging and Debug methods to accept python objects to avoid the need of calling the str method.
Those objects are safely converted into string objects.
It was not possible to add a security based on its historical data, since we needed to add the security before requesting its security data. Universe Selection algorithms are an example of such usage.
Add MarketHoursDatabase.SetEntry and SetEntryAlwaysOpen. This allows runtime modification of the
market hours database which is necessary for correct custom data time zone handling.
Extracts complicate ternary logic into its own method and make it human readable.
Set the market hours entry for custom data universe subscriptions defaulting to the security's time zone.
If we make a prediction for 1 day in the future, we actually mean 1 trading day.
This change updates the alpha analysis logic to take into account the security's
market hours.
In this PR we are disabling the default security seeding (automatically getting the last price for a security when added to the algorithm) for a couple reasons, both when using large universes:
- In live trading, these history requests are sent to a history server, potentially causing timeouts
- In backtesting, depending on the algorithm this could also cause slowdowns up to 30%
Unlike other methods used to add securities to the algorithm that return a Security or a derived object, AddData was returning void. This commit change it to return Security for consistency.
Creates a class that wraps a PyObject that represents a ISecurityInitializer object for the case where we use a class to initialize securities
Adds SetSecurityInitializer method that accepts a PyObject that may represent a method, a function or class that is used to initialize securities
ToFunc method is used to convert a PyObject that represents a method into a System.Func. Since this method will be used across different classes, we are moving it to PythonUtil class.
Adds support for fee, fill and slippage custom modelling.
Adds CustomModelsAlgorithm to showcase the new feature
Modifies C# version of CustomModelsAlgorithm to match existing data in github
In python algorithm using Universe Selection, the selector method should return a List<Symbol>. To make it more pythonic, we allow returning python list. The conversion is, then, performed in C# side.
Previously Tick resolution subscriptions only received ticks with TickType.Trade, now TickType.Quote and TickType.OpenInterest are received as well.
This PR replaces PR #1065
History requests should not return a dictionary with a dataframe, but a multi-index dataframe.
It is more common to work with multi-index dataframes rather than multi-column.
Implements Quandl support for Python.
It was not possible to derive from Quandl in order to select the column. If the data did not have "close", it would thrown an exception since it would look for this work in a dictionary.
It is now possible to select the column.
See example QuandFuturesDataAlgorithm.py
Adds overloads to Plot and PlotIndicator to handle calls from python.
Adds CustomChartingAlgorithm and changes MACDTrendAlgorithm to showcase the feature
* Fixes 5 warnings with code CD1572
* Adds the Xml Comment parameter and implements the missing selector parameter
* Fixes rest of the 13 warnings with code CS1572
AlexCatarino