* Updates CPU performance metrics gathering for project modernization
* PerformanceCounters are not supported cross-platform in
.NET Core/5.0, which requires the use of an alternative method
in the gathering of performance metrics. Since no exposed .NET API
exists to gather these metrics without blocking, a new thread is
created to block the time necessary for the CPU performance to be
calculated.
* Address review: remove ResetEvent and make CpuPercent atomic
* Dispose of CpuPerformance instance before exiting Lean
* Minor tweak for Task and comment
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* 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)
* fix
* Minor tweaks adding unit tests
* Address reviews
- BrokerageSetupHandler will use UniverseSettings.Resolution as default
resolution
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Atreyu Brokerage initial setup, and changes required for integration with main Atreyu project
* Address reviews
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
Bitfinex exchange may return us an empty result - if we request data for a small time interval during which no trades occurred - for example 1 minute interval - can happen even with most liquid pairs, like "ETHUSD" - would be good to have some time margin for such scenario. and pump more data to warm up conversion rates
* Cleans history for ArimaIndicator/TimeSeriesIndicator.
-- removes commits from a tracked, already merged branch
-- removes artifacts from debugging sessions
* Removes AR/MA method as a user-specifiable method.
-- Prevents need to reference dll for MathNet in Tests (and potentially elsewhere).
-- Wrapper can be implemented around this functionality.
* Removes AR/MA method as a user-specifiable method.
-- Prevents need to reference dll for MathNet in Tests (and potentially elsewhere).
-- Wrapper can be implemented around this functionality.
* Better adherence to established code style
* Makes _intercept = true by default in constructor where it is not parameter
* WIP -- addressing reviews
* Passing tests following prior refactor
* Rearranged code, access modifiers adjusted
* Fixed indexing of _mafits, adds example algorithm
* Adds regression algo in python + addresses some refactors
* Addresses review
* Adds regression stats
* Fixes missing value signs
* Removes redundant code
* style changes
* style changes
* style: "err" -> "error"
* Minor tweaks
* Fixes python arima regression test
* Refactors AutoregressiveIntegratedMovingAverageTests.cs
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Fix IB future chain being started at reset hours
- Fix IB future chain being started at reset hours. Adding unit test
* Refactor CanAdvanceTime into CanPerformSelection
* Migrate TradeConditionFlags and QuoteConditionFlags to Lean
* Address revirew
Implement flag systems using long, this allows us to declare up to 64 flags
* 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
* Updates and adds new Python packages to DockerfileLeanFoundation
* Remove torch-geometric packages due to import issues
Torch geometric packages installed from pip as they are here result in an error saying to install the CUDA version of the packages. When the CUDA version is installed, we get a symbol error when attempting to link the `_version.so` shared object.
* Add notification targets and events to live packet
- Add notification targets and events to live packet. Adding unit tests
* Add project name to job packet
* Add ShortToString and WebNotification Header
- Adding ShortToString implemnetation of OrderEvent and Insight
- Add Web notification headers
* Add more unit tests
* Revert json lower case fields
* Include MortgageRateVolatilityAlpha and fixes
* Include PlaceHolder PythonAlgorithm.cs
* Delete BinanceUtil
* Remove unused Regression Algorithms
* Minor tweaks
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Upgrade IBAutomater to v1.0.40
* Fix FinancialAdvisor account id check
- The Ixxxxxx account code is the Master Account for Fully Disclosed Brokers and this account is not tradable. Proprietary accounts for Brokers/Dealers used for proprietary trading have the Uxxxxxx account code.
* Update IBAutomater to v1.0.42
* Update IBAutomater to v1.0.43
* Log server version in ConnectAck handler
* Adjust delisting liquidation time
- Adjust delisting liquidation time to 15 min before market closes.
Adding unit tests. Updating existing.
- Handle `Statistics.CompoundingAnnualPerformance` invalid calculation
to avoid exception.
- AlgorithmManager will not handle delisting events in live trading
- Fix bug where due to a split driven liquidation matching delisting
date a position in the option would remain open. Reproduced by
`BasicTemplateOptionsFrameworkAlgorithm`
* Address review
- Address review add documentation on delisting offset span
* Fix Symbol Alias
- Fix Symbol Alias being wrong in some cases for futures and options
* Add test cases
* Address review
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Add main exchange to map file
minimum minimorum test
* Add MainExchange to MapFilRow IEquatable implementation
Also write CSV line correctly
* Normalize exchanges
Also add small test form MapFileRow
* Exchange name normalization
- Exchange name normalization.
- Tick will protobuf `ExchangeCode` which will set existing `Exchange`
* Include single character exchange code
* Encode exchange as byte, Include exchange name as Enum
* Update MapFileRow.cs to accept a byte instead a string for primary exchange
* Fix issues in encoding exchanges map
* Fix broken MapFile tests
* Rename Main Exchange property in MapFileRow
* Use BATS instead of BATSZ
* Add primary exchange from map file
* Move MapFilePrimaryExchangeProvider to its own file
* Implement Char for primary exchange in map files
* Fix broken tests after implementing char exchange into map file
* Add a new constructor for MapFileRow
it accepts a PrimaryExxchange object as parameter
* Fix broken test
WIP
* Address review
WIP
* Handles unexpected encoded exchanges
* Keep addressing review
* Address review
* Fix broken tests
Make PrimaryExchange as default even if the IPrimaryExchangeProvider is not instantiated
* Revert breaking change.
* Add a check that resolved map file actually have content
The issue that leads to this change was caused by a map file resolved to APC in the CoarseFundamentalTop3Algorithm.
The resolver returns a not-null MapFile, but it is empty.
To my best understand, the MapFile Resolver should return only existing map files in the map_files folder. But the LocalMapFileProvider returned a map file with a permtick that doesn't exist in the file system as CSV.
* Set PrimaryExchange.UNKNOWN as default
* Address review couple minor bugs
- Use SID market instead of USA
- Default ticke exchange is UNKNOWN
* Update map files with latest format and latest info
This include:
- VXX, it was delisted, then VXXB appears and later it chnages from VXXB -> VXX
- AAA delisting and a new listing with ticker AAA
- FOXA ticker changue to TFCFA and later it was delisted
* Update test after updating latest map files
* Fix bug with factor files after updating map files
* Fix bug with factor files after updating map files
and revert statistics in regression tests
* Update OrderHash in regression test
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
Stefano Raggi