* Fix MACD WarmUpPeriod and Updating
* Add System to use Math library
* Fix WarmUpPeriod math and add tests
* Fix SchaffTrendCycle Indicator WarmUpPeriod
* Ensure fastPeriod < slowPeriod
* Minor tweaks
- Remove unrequired Math.Max operation
- Remove unrequired changes in solution file
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Update RandomDataGeneratorProgram.cs
Replaced AddMonths(6) with a Datetime value half way between settings.Start and settings.End.
* Update RandomDataGeneratorProgram.cs
* Update to bug-5030-CFDdatanotoworking
* Added midpoint unit test
* Minor test assert improvement
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* LeanDataReader future option data
- The LeanDataReader will be able to read an entire zip of future and
option data, currently it's just returning the first entry in the zip
file. Adding unit tests
* Fix added unit test data path
* Universe dispose and removal
- Fix bug where in some cases the disposed universe would not get removed
from UniverseManager not allowing new universes to get added correctly,
using the same symbol. Adding regression test
- Fix bug where in some cases selected symbols would not get removed
when the parent universe would get disposed of.
- Minor normalization on UniverseSelection call
* Address review
- Add status plots for the added regression test
* Adding regression algorithm reproducing issue 3914
* change filename template. add fillforward resolution suffix
* replicate GH issue 5116 on master
it's easy to reproduce on FXCM market by using data resolution different from fillforward resolution.
in this cases daily vs hour/minute were added
* change priorities of Time & EndTime values.
it's necessary to calculate EndTime properly, and then we can align Time to it.
potential end time should be also calculated using ptoper TZ. Because of we store open hours without TZ movement TZ in market-hours it's necessary to reapply TZ
fix tests
* Miss 2AM bar on Sunday of DST; FF 2AM bar on Sunday ST
* use UTC TimeZone as baseline during comparison
* Refactors Market Fill Model
Create `GetBidPrice` and `GetAskPrice` methods to request the most suitable price to fill market orders.
Fix unit tests to show that new implementation prevents using non-market data to fill the order.
* Addresses Peer Review …
Modifies EquityTickQuoteAdjustedModeRegressionAlgorithm to reflect changes in the market fill method. The previous implementation only looks for the last tick when it should look for the last tick of quote type, so current implementation is an improvement.
* Fixes for IB malformed symbols
- Add handling for IB future malformed symbols. Adding unit test
- Fix IB option malformed symbols which had more whitespaces than
expected. Adding unit test
* Address review
* Adds data parsing for malformed option contracts in IBBrokerage
* Some contracts come in malformed from IB when downloading our
account holdings. We attempt to detect whenever this happens with
our options Symbols and try to recover the contract.
* Addresses review and fixes bug
* Uses contract currency for the new contract created from the
malformed contract.
* Bug fix: Sets ibSymbol to new Symbol of the contract once the
malformed contract has been parsed.
* Adds support for Futures and FOPs
* Refactoring code and cleanup
* Addresses review: code cleanup and refactoring
* Addresses review: remove redundant logging of contract in log statement
* Silence DotNet in building stubs
* Reapply silence to stub publishing
* Have QuantBook store and restore initial LogHandler
* Add assembly action to maintain LogHandler
* Allow AlgorithmRunner to use ConsoleLogHandler
* Use MaintainLogHandlerAttribute to provide current test logger
* Refactor LogHandler creation
* 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>
Derek Melchin