* The test didn't take into account that the contract expiring on
December would mean that there would temporarily be no Dec. FOP
contract. We fix this by looking for the Mar. contract instead
if the december contract has expired.
* added test covering minValue / maxValue issue with JsonRoundingConverter
* change namespaces
* JsonRoundingConverter fix decimal.Min and MaxValues (cannot deserialize)
* remove dependency on 3rd party library
* c# 6 compatible code (remove pattern matching)
* Fixes BacktestResultPacket deserializing
- Serializing decimals as strings to avoid precision loss, since json
convert will use floating point precision. Updating unit tests.
- Fix logging unit test failing to delete file being used.
Co-authored-by: Mark Virchenko <mark.virchenko@calienteam.com>
* test
* wip
* Revert "Fix duplicated history entries when contains daylight saving time change (#4700)"
Use proper rounding down
* regression test
* remove unused parameters
* more tests
* fix name and comment
* improve regression test
* more tests: oanda market hours
* re-apply Exchange TZ to bar EndTime
* fix expected results
* we can't substract minute because it can harm algorithm on minute resolution; so we could use tick?
* rename prop: conflict with QCAlgorithm.StartDate
* do not log messages to pass travis ci log limit
* assign loghandler in AlgorithmSetupHandler
* reference to PR for more description
* due to https://github.com/QuantConnect/Lean/pull/5039 we don't need to override it manually
* Adding Api.ReadBacktest optional getCharts
- Optionally allow users not to fetch backtest charts when reading a
backtest, it can be slow
* Fix null reference for deleted/cancelled backtests
* Get Leaky bucket config settings once
* Reduce Travis setup verbosity
* Introduce ConsoleErrorLogHandler
* Change Console.WriteLine to Log statements
* Quiet wget
* Route build stubs stdout to null
* Fix Quantbook history test
* Silence stub packages directly
* Use parameterized log-handler for testing
* Rename AssemblyInitialize Setup
* Fix AlgorithmRunner file logging
* Drop all overriden LogHandlers in tests
* Change to OneTimeSetup to maintain LogHandlers
* Permit any ILogHandler to be defined in params
* Fix for AlgorithmRunner Handlers V2
This layer is designated for common settings that enforce your team preferences for the current solution.
Since we don't have specific resharper settings we want to share within the team we ignore this file
* Adds DeM indicator
* Added reference to param movingaverage type
* Fixed variable declarations
* Added nameless initialize
* Missing DeM "type" args added
* Missing DeM "type" args added
* refactor
* Undid _previousInput → protected
* Demarker symbol: DeM →DEM
* Symbol change: DeM → DEM
* Updated symbols
TestDivByZero originally had dem as cmf.
* Symbol: DeM →DEM
Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
- Adding optimization Id to backtests packets
- SeriesSampler will allow truncating the samples
- Removing OptimizationEstimate, simplifying getting estimate and
runtime stats separatly
* Fixes intraday delistings not occurring for Futures and FOPs
* Previously, we would wait until the next market open to
liquidate futures and futures options contracts. Since these
contracts can not be traded at the next market open and require
intraday delisting, changes were made to liquidate at the first
available place where we know the market is open. This means
we now liquidate futures and FOPs intraday as a market order.
* Maintains backwards compatability with equities and equity options
delisting behavior
* Addresses review: adds additional protections for ProcessDelistedSymbols
* We choose to adjust the delisting date to the next market open only
if the market is not open at the current time, otherwise the time
would have been adjusted to the market open of the next trading day
* Addresses review: reverts changes and fixes error message in regression algo
* Adds Futures Options History Research Support
* Address review: make canonical future throw when calling GetOptionHistory
* Improve error message, recommending users to user FutureChainProvider
* Adds the awesome oscillator.
* added missing type hint for AO
* cleaned initializations
* refactor in call for AO(fast,slow,type)
* added missing type parameter for AO
* Changes AO sub-indicators to public.
Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
* Fixed Python runtime issue that was occurring when trying to generate reports locally on OSX/mono, but assume the issue impacts all configurations.
* Move Python.Runtime config to common
* Remove duplicate files
* Update readme
* Typo
* Change destination in build directory
Co-authored-by: Charles Naccio <cnaccio@gmail.com>
* Added CMF indicator
CMF is a volume-weighted average of accumulation and distribution over a period.
* Added initializer for CMF
Registration for ChaikinMoneyFlow implemented.
* Added CMF tests.
* Added CMF tests.
* spy_cmf.txt changed to external indicator data.
* Implement suggestions of @AlexCatarino
* added sum terms as subindicators.
* added sum terms as subindicators.
* Removal of vestigial rolling window
* Minor nit changes
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* WIP Backtest adjustments
* Workaround awaiting changes
* Adjustments to API Changes
* Nit fix
* Custom Newtonsoft Deserializer for AlphaRuntimeStatistics
* Workaround Travis build error
* Drop AlphaRuntimeStatistics converter; use Decimal converter
* Use StringDecimalJsonConverter
* Undo set properties
* Add more members to de-serializer class
Adalyat Nazirov