62 Commits

Author SHA1 Message Date
Gerardo Salazar 254d0896f1 Replaces Microsoft.Extensions.CommandLineUtils with McMaster CLI utils (#5255)
* Replaces Microsoft.Extensions.CommandLineUtils with McMaster CLI utils

  * Updates ValueTuple to 5.0.0 for compatibility with package.

* Retrigger build

* Retrigger build
2021-02-03 19:56:14 -03:00
Gerardo Salazar 115dcab789 Removes app.config and sets automatic binding redirects (#5248)
* Some app.config files were kept to either enable features
    that are only enable-able via the config files, or binding redirects
    for DLLs that are not packaged with NuGet (i.e. VisualStudio
    package, required to run tests successfully @ 15.0.0.0)
2021-02-03 11:45:29 -03:00
Gerardo Salazar fe74d037c6 Updates NodaTime to latest version (3.0.5) (#5237)
* Updates NodaTime to version 3.0.5

  * Updates code to ensure compatibility with new NodaTime version
  * Updates System.Runtime.CompilerServices.Unsafe to 5.0.0
    - Required by NodaTime

* Adds comments explaining changes in NodaTime
2021-02-01 13:06:56 -03:00
Colton Sellers 472896c2d0 Update JSON Library (#5218)
* Update NewtonSoft.Json from 10.0.3 to 12.0.3

* Remove JsonSerializer.Populate(), values are already populated
2021-01-28 19:24:49 -03:00
Colton Sellers a5eaa43e35 Remove F# and VB Projects (#5223)
* Remove F# and VB projects

* Remove FSharp.Core package

* Readd FSharp to engine

Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
2021-01-27 11:31:49 -03:00
Jared 1ef92b3eca Update Crisis.cs 2021-01-25 10:47:15 -08:00
Gerardo Salazar 6ab40c102b Only report daily point-in-time portfolios instead of every trade (#5214)
* Only report daily point-in-time portfolios instead of every trade

* Allow for cash holdings to be visible in point-in-time portfolio output
2021-01-22 17:00:09 -08:00
Gerardo Salazar 41417593aa Writes point-in-time portfolios to disk (#5213)
* Writes point-in-time portfolios to disk

* Adds optional argument to Report constructor in ReportGenerator
2021-01-22 15:17:19 -08:00
Gerardo Salazar 79c544d3a2 Reduces output log size and warnings emitted when building with mono's msbuild (#5200) 2021-01-21 11:09:16 -03:00
Gerardo Salazar 35393b66a3 Updates report generator template.crisis.html (#5202) 2021-01-20 18:01:44 -08:00
Colton Sellers f2fd10d9d2 Build Configuration Hotfix (#5186)
* Reflect properties prior to migration onto projects

* Do not prefer 32bit

* Reinstate SelectedOptimization var
2021-01-19 09:38:16 -03:00
Colton Sellers a2a874e333 CSProj Update (#5145)
* Migrate to newer CSProj format; build succesful

Rebase onto master

* Maintain binaries directory

* Reinstate FSharp default condition

* Remove reference to packages.config

* Test project fixes

* Remove nuget.config and "Solution Items"

* Remove repetitive assembly info

* Reinstate default compiles and cleanup redundant settings

* Reinstate any specific settings that defaults are unclear for

* Reinstate Framework.nuspec

* Make test internal classes public for composer use; undo assembly change

Rebase onto master part 2

* Address review; restore some settings

* Restore RootNamespace and AssemblyName attributes

* Use NugetPackageRoot instead of NugetPackageFolders

* Reinstate "RestorePackages" setting

* Transfer compilied Python files to launcher and tests bin

* Remove conflicting settings

* Fix WebSocketSharpFork references

* Fix FSharp Core reference

* Upgrade TestPlatform.ObjectModel to 16.8.3, and redirect V11 binding

* Add Mono.Cecil package

* Address review
2021-01-14 12:55:09 -08:00
Gerardo Salazar 4134b05bfd Fixes options order crash in ReportGenerator/PortfolioLooper (#4992) 2020-12-07 12:39:53 -03:00
Gerardo Salazar 43c6d5cc5a Adds extra simplified history request method in PortfoliioLooper (#5003) 2020-12-06 15:13:32 -08:00
Colton Sellers 041f1d9db5 Limit Futures Resolutions in BaseData (#4979)
* Limit futures support resolutions

* Fix broken tests

* Address review
2020-12-03 21:50:17 -03:00
Martin-Molinero c7ccd60bf2 Fix unit test stack overflow (#4803)
- PortfolioLooper: implement IDisposable and handle the clean up of
  resources. Remove unused methods.
- BaseResultHandler will reset Console on exit
2020-10-01 14:49:43 -03:00
Gerardo Salazar 40c3062348 Improves Report Generator stability and fixes various bugs (#4759)
* Improves stability and fixes various bugs

  * Adds unit tests covering changes
  * Adds COVID-19 crisis plots
  * Adjusts styling of crisis plots for more pleasant viewing
  * Fixes bug where null BacktestResult caused application to crash
  * Order JSON bug fixes and stability improvements
  * MaxDrawdownReportElement now produces results for Live
  * Replaced Estimated Capacity w/ Days Live
  * Added Live marker to sharpe ratio
  * Added support for MOO and MOC orders in PortfolioLooper

* Address review: adds new unit tests and cleans up code

  * Bug fix: use LastFillTime instead of Order.Time for MOO and MOC

* Address review: Fixes tests and cleans up code
2020-09-29 10:03:26 -03:00
Adalyat Nazirov 1e3a1e3c43 Historical data requests start & time fix (#4733)
* regression tests

* fix: apply the same time convertion to history request time as for data time

* ver2

* fixup

* unit tests

* do not need this conversion because RoundDownInTimeZone returns in proper TZ

* comment

* requested changes

* refactoring

* more refactoring

* fix existing test: should return Sunday if open

* more symbols

* fix existing tests: submit new btcusd data

* fix

* add Cfd symbol
2020-09-24 14:51:35 -03:00
Martin-Molinero f4ed48fce2 Always use AlgorithmHandler.DataProvider (#4658)
- `UniverseSelection` and `Research` will always use
  `AlgorithmHandler.DataProvider` instance instead of
  `DefaultDataProvider`
- Remove Compression at test/app.config since the dll isn't required
- Add missing license header
2020-08-27 16:07:56 -03:00
Alexandre Catarino 68455fe19c AnyCPU Prefer 64-bit for Report Project
All projects that depends on Python.Runtime.dll need to be compiled in 64-bit.
2020-07-29 12:41:44 +01:00
Martin Molinero bcc67d2457 DataPermissionManager is used by history provider
- DataPermissionManager will be used by the history provider
- Moving interfaces from Engine to Common
2020-06-12 12:51:14 -03:00
Martin Molinero 452bf27bd9 Adding new DataPermissionManager
- Adding new DataPermissionManager that will own the existing
  datachannelProvider. Will assert configurations before added to the
  data feed. Adding unit tests
2020-06-12 12:34:10 -03:00
Stefano Raggi cfb3329f33 Update System.Net.Http to latest version
- also removed unused references
2020-05-22 22:55:18 +02:00
Martin-Molinero 1d0d4f4d7b Add assembly descriptions (#4442)
Add assembly descriptions
2020-05-21 09:35:12 -07:00
Gerardo Salazar 1910e8e233 Fixes issue in Report project where decimal.MaxValue made Json.NET deserialization fail 2020-05-19 17:17:35 -07:00
Martin Molinero 891cf4d69b Update to .Net 4.6.2 2020-05-15 17:32:46 -03:00
Gerardo Salazar 581eafb551 Address review - remove unused code in OrderTypeNormalizingJsonConverter 2020-04-15 09:59:21 -07:00
Gerardo Salazar 558779949d Address review - trim unecessary code and ignore case on Enum parse 2020-04-14 11:08:40 -07:00
Gerardo Salazar 093ddc848d Fixes issue when parsing LiveResult JSON with string OrderType values 2020-04-10 17:24:20 -07:00
Gerardo Salazar bd62a76a35 Fixes calculation of Cumulative Returns
* Updates outdated documentation
2020-04-06 10:45:52 -07:00
AlexCatarino 72f0f44f60 Updates Pythonnet Version
From 1.0.5.29 to 1.0.5.30
Ref.: https://github.com/QuantConnect/pythonnet/pull/42
2020-04-01 16:15:05 +01:00
Gerardo Salazar 208e6eb03e Address review - revert change to backtest sharpe if live not found 2020-03-26 12:17:03 -07:00
Gerardo Salazar e5ed489e0b Fixes issue where PortfolioLooper would crash generating certain reports
* Updates SharpeRatioReportElement calculation
2020-03-26 11:50:08 -07:00
Martin-Molinero 78fb93a64b Merge branch 'master' into bug-report-generator-add-null-handling-for-valuetype-jsonconverter 2020-03-18 17:06:19 -03:00
Gerardo Salazar c9e6d52b83 Address review - adds unit tests for NullResultValueTypeJsonConverter
* Downgrades Json.NET to 10.0.3 for project compatibility
* Cleans up unused imports and unused code
2020-03-12 15:34:40 -07:00
Gerardo Salazar 77411a0b09 Fixes issue where setting leverage on cash accounts results in error
* Adds new unit tests
2020-03-12 10:42:30 -07:00
Gerardo Salazar 2868973a56 Fixes issue where null Series values would default to 0
* Adds a new JsonConverter implementation that handles null
  values in the ChartPoint JSON representation. It skips any
  value that is found to be "null" or unparsable
2020-03-09 12:10:23 -07:00
Jared c3407b3e8c Merge pull request #4088 from gsalaz98/bug-4081-embed-stylesheet-in-report-output
Embeds report stylesheet in the output file.
2020-02-11 17:11:48 -08:00
Gerardo Salazar d3a34dcd70 Fixes issue where report creator could not be ran in Mac OSX
* Adds `PythonInitializer.SetPythonPathEnvironmentVariable(...?)` method
2020-02-11 15:01:47 -08:00
Gerardo Salazar 2bce084546 Embeds report stylesheet in the output file.
This is done to make the HTML for the report a standalone page
without requiring the user to provide the *.css file along with
their report
2020-02-10 17:27:23 -08:00
Gerardo Salazar 5d663e8944 Fixes various issues
* Fixes issue with how cumulative percent change was calculated
* Reworks PercentChange extension method
* Fixes PortfolioLooper leverage calculation
* Disable page 2 of reports
* Fix issue where missing values produced misaligned shape in
AnnualReturnsReportElement.cs
2019-12-31 17:37:19 -08:00
Gerardo Salazar 1c4935fc60 Address review - increase performance and refactor
* Deletes NullAlphaHandler, NullLeanManager, NullSynchronizer
* Calculate the backtest and live PointInTimePortfolios only once now
* Refactor Metrics calculations
* Add missing license headers to some files
* Reverts accessibility of AddToUserDefinedAlgorithm to private
* Other misc. fixes and cleanup
2019-12-23 14:13:28 -08:00
Gerardo Salazar 53653fe6ed Address review - Revert version changes to sln file
* Fixes comments on a few report elements
* Fixes wrong name of a report element "psr kpi" -> "ir kpi"
2019-12-19 11:14:24 -08:00
Gerardo Salazar e7ce60e700 Fix failing tests
* Move config.json to config.example.json to fix tests
2019-12-19 10:11:47 -08:00
Gerardo Salazar e2c75fa5fa Address review - delete python report creator
* Move PortfolioLooper classes to their own files
* Remove VisualStudioPlugin project
* Add SharedAssemblyInfo
* Add new crisis events
2019-12-18 18:02:04 -08:00
Gerardo Salazar eb6e13d91f Fixes many issues and refactors some of the report creator
* Can handle null Result packets
* Created utility files
* Added various helper methods to PortfolioLooper
* Fixes build issue by removing System.Collections.Immutable
* Updates plots to show "Insufficient data" when it can't be created
* Hides empty crisis page
* Fixes wkhtmltopdf display bug
* Removes Calculations.cs
* Modifies accessibility of AddToUserDefinedUniverse in QCAlgorithm
* Add null value handling in OrderJsonConverter
* Various bug fixes
* Fixes broken ReportChartTests.py
* Adds leverage to PointInTimePortfolio
2019-12-18 16:10:56 -08:00
Gerardo Salazar 98680be625 Revert PSR report to use backtest result PSR statistic instead 2019-12-18 16:08:41 -08:00
Gerardo Salazar d3528c2ea2 Polish asset allocation and exposure charts 2019-12-18 16:08:41 -08:00
Gerardo Salazar 55d802a3b6 Implements support for FX pairs that require currency conversion
* Fixes bugs in various plots
2019-12-18 16:08:40 -08:00
Gerardo Salazar 9a2f20493a Finish implementing all graphs, fix bugs in various graphs
* Adds Asset allocation chart
* Fixes issue in monthly returns
* Fixes issue with matplotlib tick lines not being consistent
* Style plots correctly
2019-12-18 16:08:40 -08:00