Commit Graph

3 Commits

Author SHA1 Message Date
Martin-Molinero bbbab6d9a8 Refactor alpha statistics phase I (#7055)
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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
2023-03-10 13:12:23 -03:00
Martin-Molinero c4433098c3 Refactor Framework Statistics (#7041)
* Refactor framework statistics

* Further insight chart cleanup
2023-03-03 19:40:29 -03:00
Alexandre Catarino 3aabb11315 Allows Market-On-Close Orders Outside Buffer Period (#6769)
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* Allows Market-On-Close Orders Outside Buffer Period

Market-On-Close orders can be submitted before and after the buffer period from 15:45 to 16:00 (Tested with TWS) meaning that we can submit MOC when the market is closed and, consequently, use daily resolution data.

* Adds Regression Test with Extended Market Hours

- Removes `nextMarketClose > Time` condition since it's unnecessary. If the algorithm Time is greater than the close of that day, `nextMarektClose` refers to the next day.

* Updates Unit Test

Updates `OrderQuantityConversionTest` because the MOC orders are submitted. They are placed at 7 pm and invalid before this pull request.

* Updates Summary of new Regression Tests
2022-12-08 19:46:58 -03:00