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* Add new QCAlgorithm.OptionChain method to get full data option chain
* Add extension method to get canonical symbol
* Support future options in new OptionChain method
* Replace option chain provider with OptionChain method in some regression algorithms
* Add new regression algorithms for OptionChain method
* Replace option chain provider with OptionChain method in some regression algorithms
* Minor
* Cleanup
* Minor changes in regression algorithms
* Minor adjustments
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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
* Fix CA1819 and CA1002 warnings
Changed the type of Languages statistic in regression tests from
Language[] to List<Language>. By doing that, the warning CA1819 was
removed but then the warning CA1002 was raised. However, this warning
was expected to be excluded from QuantConnect.Algorithm.CSharp.
* Improve implementation
* Simplify code
* Fix bugs
* 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
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* Add Sortino ratio to statistics and report
* Adds Sortino Ratio to Report Key Statistics
* Addresses Peer-Review
Reuse `SharpeRatioReportElement` and change the template.
* Reuse Calculations Across Statistics and PortfolioStatistics
* Adds Sortino Ratio to Regression Algorithms
* Removes Sortino Ratio from Optimization Result Table
---------
Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
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* Add new Order.PriceAdjustmentMode property
* Minor fix and unit test
* Minor fix and regression algorithms' stats update
* Unit test fixes
* Minor fix
* Set order price adjustment mode to raw always for live trading
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* 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
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* 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
* add data count properties
* 'add history count property
* assert data counts
* update missing override
* consider override/virtual cases
* implement data count
* add message handler for regression tests
* use regression test message handler
* set algorithm manager for regression test message handler
* update data count
* check if stats are present, check if algo manager is not null
* update
* add c# algo
* make same as c# algo
* use new line
* logic shifted to RegressionTestMessageHandler
* cleanup
* auto cleanup
* skip non deterministic data count
* change data count
* use inheritance
* improve stats
* update couht
* add sma indicator to c# and customSMA to python
* call base method before executing further
* skip test
* revert to original
* add duplicate sma
* skip regression test
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* Fixes for FutureOptions support in LeanData
* Add CreateCanonicalOption() utility function for Symbol.cs
* Add aggregated Futures/FuturesOptions data to Lean
* Add FutureOptions regressions for daily/hourly data
* Allow Futures to be added with low resolution
* Add Future regressions using hour/daily data
* Nit - Python Class names
* Add reviews
* Add alias into CreateCanonicalOption
Jhonathan Abreu