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3 Commits

Author SHA1 Message Date
Jhonathan Abreu 4415468d96 Update CME futures market hours (#6607)
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* Update CME futures market hours

* Update regression algorithms stats

* Update regression algorithms stats

* Update expected values in unit tests

* Additional mhdb updates

* Update mhdb
 2022-09-02 12:33:50 -03:00
Jhonathan Abreu 539011274c Support extended market hours for futures (#6522)
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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
 2022-08-18 10:56:44 -03:00
Martin-Molinero 7540af454c Warmup resolution respected (#6467)
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* Respect warmup resolution given

- The data feed will respect the warmup resolution given and override
  the resolution used by the algorithm when adding a subscription.
  Updating regression algorithm to keep previous statistics. Adding new
  regression algorithm asserting the desired behavior

* Testing improvements

- Add more unit tests and regresion test
- Add missing data for crypto
- Fix bug with FFed data crossing after the end time of the warmup
  request

* Add more Warmup resolution regression algorithms

- Adding more warmup resolution regression algorithms, using
  Settings.WarmupResolution and an option selection case

* Add more warmup regression tests

- Adding more warmup regression tests.
- Will no longer skip universe selection subscriptions from warmup
  resolution enforcement. Updating regression algorithms data points

* Fix bug with data rounding

- Fix data rounding bug when warmup resolution is set to a different
  value than the original configuration. Updating regression algorithms
  to assert the expected behavior

* Address reviews

- Revert regression algorithms changes to use Resolution during warmup.
  Updating their stats.
- Adding new regression algorithms asserting the behavior warming up
  using a timespan and no warmup resolution
- Fix bug where data used to warmup the 'normal' enumerator will make it
  through into the warmup time span. Updating tests

* Address reviews

- Add missing comments, explaning warmup algorithms time span
  calculations.
- Revert changes in existing `WarmupOptionTimeSpanRegressionAlgorithm`
  to reduce diff to minimum
- Adding new warmup unit tests asseting algorithm warmup start time, for
  different combinations of bar count, timespan, resolution
 2022-07-15 13:05:06 -03:00