Commit Graph

6 Commits

Author SHA1 Message Date
Martin-Molinero 7879795207 Enable daily precise end time by default (#8254)
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* Default daily precise end times

- Enable by default daily precise end times. Updating stats
- Minor fix for algorithm manager consolidator updates, adding new regression test
  asserting behavior and updating others
- Minor fix for SubscriptionData creator avoid round down on warmup if
  not appropiate
- Adjust consolidators to emit on daily strict end times if requested
  daily resolution and setting enabled
- Updating regression algorithms

* Skip daily data on extended market hours

* Some cleanup and self review

* Revert unrequired change
2024-08-14 12:49:56 -03:00
Martin-Molinero 53c2a214a1 Improve indicator warmup (#8192)
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* Improve indicator warmup

- Allow indicator warmup to handle multiple symbols, used for option
  greeks. Adding regression test
- Improve indicator history to handle specific T types. Adding unit test
- Remove period, and historical underlying volatility, from IV so
  simplify warmup behavior

* Address review, fix minor issues
2024-07-11 16:16:49 -03:00
Louis Szeto fa886eba79 pep8 conversion of python algos #12 (#7954)
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* pep8 conversion

* PEP8 updates/fixes

* Update pythonnet version to 2.0.35

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Co-authored-by: Jhonathan Abreu <jdabreu25@gmail.com>
2024-04-19 16:55:48 -04:00
Louis Szeto 08a3de9e2d pep8 conversion of python algos #13 (#7955)
* t status
pep8 conversion

* Minor tweaks and rebase

* Various minor fixes

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Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
2024-04-19 16:14:12 -03:00
Ricardo Andrés Marino Rojas ead2efe6b9 Add Starting and Ending KPI's (#7811)
* First draft of the solution

* Add missing changes

* Remove the new KPI's from report

* Fix bugs

* nit change

* Add improvements

* Fix regression tests

* Solve bugs in the regression algos

* Fix regression tests bugs

* Expand unit tests and add minor changes
2024-03-25 15:40:38 -03:00
Louis Szeto c049a35121 Add Option Gamma, Vega, Theta, Rho Indicator (#7830)
* Add gamma indicator

* add helper method

* add unit tests

* add in regression tests

* Address peer review

* add vega indicator

* add theta and rho indicators

* Address peer review, refactor
2024-03-11 10:32:36 -03:00