This basic algorithm implements a `CustomPartialFillModel` class that chnages the behavior of the `FillModel.MarketFill` to simulate partially fill orders.
`BaseDictionary` is an abstract implementation of `IExtendedDictionary` keyed by `Symbol` that implements Python `dict` methods. `Slice`, `DataDictionary`, `SecurityManager`, and `SecurityPortfolioManager` derives from it in order to behave like Python `dict`.
- Fixes for C# RegisterIndicator API methods which were ignoring provided
type of T
- Fixes for Py RegisterIndicator API methods which was not using the
provided 'selector' method
- Adding C# and Py regression algorithm
Implements `PortfolioBias` in EWPCM, CWPCM and IWPCM. With this new feature, these PCM will ignore insights that do not respect the desired bias. E.g. for `PortfolioBias.Long`, on Insights with `InsightDirection.Up` will be converted into `PortfolioTarget.Quantity` greater than zero and other `InsightDirection` will result in `PortfolioTarget.Quantity` of zero.
- BacktestingResultHandler will send a maximum of 50 orders per update
packet and will check `LastFillTime` and `LastUpdateTime` too
- Fix invalid linked file
`AccumulativeInsightPortfolioRegressionAlgorithm`
- Renaming `PreSelected` to `Constituents`
- Adding base `ConstituentsUniverse`
- Adding Py and C# regression algorithm
- Fixing bug in `UniverseSelection`, it wasn't removing pending to be
removed securities unless the universe selection changed
- Adding test data
- Adds Python version of `TrainingInitializeRegressionAlgorithm`;
- Adds C# version of `TrainingExampleAlgorithm`;
- Removes `TrainingScheduledRegressionAlgorithm`.
- Adds PyObject overload to `ScheduleManager.TrainingNow` and `ScheduleManager.Training`
- Adds `QCAlgorithm.Train` helper method
- Adds Python algorithm showing how to use the helper method.
- Adding new `ConfidenceWeightedPortfolioConstructionModel` (C# / Py) that will
generate percent `Targets` based on the latest active `Insight` `Confidence` per
`Symbol`.
- Will ignore `Insights` that have no `Confidence`.(unit tested)
- If the sum of all the last active `Insight` per `Symbol` is bigger than 1, it
will factor down each target percent holdings proportionally so the sum is 1. (unit tested)
- Adding unit tests
- Adding a new regression test framework algorithm (C#/Py)
-**Note**: `ConfidenceWeightedPortfolioConstructionModel` inherits from the `InsightWeightingPortfolioConstructionModel`. Protect method `GetValue` was implemented in `IWPCM` to enable the choice of `Insight` member.
- Add `TiingoNews.HistoricalCrawlOffset`, timespan to add for
backtesting
- Rename: remove `Data` from `TiingoNewsData` and rename `TiingoDailyData` to `TiingoPrice`
Adds IRegisteredSecurityDataTypesProvider to track all the data types
registered in the algorithm. Using this data, we can detect if it's
possible that we'll eventually have a property of a certain type name.
For example, consider I wish to use security.Data.TradeBar but we haven't
received any trade bars yet. Before this change a KeyNotFoundException
would be raised, but since we can determine that we expect to have trade
bars, we can detect this and return an empty list when we haven't received
any data yet. This also removes the need to constantly do a HasData<T>()
check before accessing the dynamic members.
Closes#3620
* Added better documentation for AddData methods
* Added new regression algorithms for adding in OnSecuritiesChanged
* Changed regression algorithms to add data that exists
* Styling and logging fixes
* Deleted regression algorithms because they tested behavior similar to
other existing regression algorithms
* Fixed new bug in regression algorithm due to AddData changes
* Added unit tests for wrapt version and package existence
* Fix issue where data would be set to raw normalization mode
Martin Molinero