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13 Commits

Author SHA1 Message Date
Derek Melchin 4d77431ae1 Refactor RsiAlphaModel (#7125)
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* Update regression tests to check consolidators are removed

* Update model

* Address review
 2023-03-28 16:07:08 -03:00
Martin-Molinero aaba566954 Alpha Streams Improvements. Python Imports (#5874)
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Build & Test Lean / build (push) Has been cancelled
* Order handling improvements

- Execution model will only trigger market order if they are above the
  minimum order margin portfolio percetage value
- SecurityCache.Reset is complete

* Python Import fixes

- Add regression test for ImmediateExecutionModel minimum order margin
  check
 2021-08-24 11:15:48 -03:00
Stefano Raggi 5c9b81cef1 Fix Python initialization and imports for multiple tests 2018-10-02 20:28:13 +02:00
AlexCatarino 340d1d81ff Adds key check after History requests in framework models … 
`RsiAlphaModel` and `BlackLittermanOptimizationPortfolioConstructionModel` didn't have a key check after a history request. If a history request retuns no data for a given symbol, trying to access the pandas dataframe results in a `KeyError`.
 2018-09-19 17:39:31 +01:00
AlexCatarino 8b8d2d2d6f Adds key check after History requests in framework models 
`RsiAlphaModel` and `BlackLittermanOptimizationPortfolioConstructionModel` didn't have a key check after a history request. If a history request retuns no data for a given symbol, trying to access the pandas dataframe results in a `KeyError`.
 2018-09-19 16:11:50 +01:00
AlexCatarino d4f67b212d Refactors RsiAlphaModel 
The model was assuming that we could only add elements to the dictionary field if there was data in the history request which is not required.
 2018-08-08 12:10:22 +01:00
AlexCatarino 48c87ffb93 Refactors RsiAlphaModel logic in OnSecuritiesChanged 
The history request to warm up the RSI indicator is performed before it is created.
 2018-08-07 20:53:17 +01:00
Stefano Raggi 089199dadf Fix Python version of RsiAlphaModel to be same as C# version 2018-08-03 20:37:50 +02:00
AlexCatarino 86e85163d8 Python alpha models subclass C# AlphaModel 2018-05-15 22:29:34 +01:00
AlexCatarino f3135b118e Adds Name attribute to python alpha models 
These `Name` values match those in C# alpha models.
 2018-04-19 18:04:01 +01:00
AlexCatarino dc273f3da9 Fixes RsiAlphaModel.py typo 
In the static method `Insight.Price`, `.Price` was missing.
 2018-04-18 20:12:52 +01:00
AlexCatarino 58493a2f21 Updates python version Lean AlphaModels to reflect API changes 
Refactors unit tests.
 2018-04-11 11:16:04 +01:00
AlexCatarino 191d92b7ea Adds python version of RsiAlphaModel 2018-04-11 11:07:51 +01:00