Build & Test Lean / build (push) Has been cancelled
* Updates Fundamental Data
* Updates Regression Algorithms
- `CoarseFundamentalTop3Algorithm`
- New coarse has higher `DollarVolume` for `FB`
- `CoarseNoLookAheadBiasAlgorithm`
- Change from `SPY` update not included in #5493
- `SectorExposureRiskFrameworkAlgorithm`
- `HasFundamentalData` was false for `GOOG` on 20140401 and 20140402.
* Updates Unit Tests
Minor changes in expected values
* Updates Regression Tests
Should have been included in #5493:
- `OptionsExpiredContractRegression`
- `FuturesExpiredContractRegression`
* Adjusted Quantity By Lot Size in OrderTargetsByMarginImpact
`OrderTargetsByMarginImpact` didn't calculate the order value with the quantity adjusted by order size which less to values that did not reflect the actual order value.
It has a particular affect in `SectorExposureRiskFrameworkAlgorithm` where the Python and C# versions have the same orders but placed in a different sequence because of decimal/double precision.
* Reduce dictionary access x3 on OrderTargetsByMarginImpact
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Allow USDC in cashbook without USDC-USD pair
* Cover more stablecoin cases unique to our crypto brokers
* Add unit test
* Cleanup and expand test cases
* Add USDCEUR and USDCGBP to GDAX Symbols
* Add missing tickers to SPDB
* Cleanup test
* Fixes Double to Decimal Cast in GetAnnualPerformance
`GetAnnualPerformance` raises an exception if the `AnnualPerformance` calculation returns a double that cannot be cast to decimal (smaller than `decimal.MinValue` or bigger than `decimal.MaxValue`).
See `ProbabilisticSharpeRatio` where the same solution was applied.
* Updates SPY Market Data
SPY is a key asset since it is the default benchmark, and any change can lead to different `Alpha` and `Beta`
* Updates Unit Tests to Reflect Data Update
* Updates Regression Tests to Reflect Data Update I
Most of the regression tests change because of updated data (market and factors) of SPY (default benchmark) while the total trade remain the same.
* Updates Regression Tests to Reflect Data Update II
The following regression tests were changed to adapt to adjusted prices and keep the total trades:
- `BacktestingBrokerageRegressionAlgorithm`
- `LimitIfTouchedRegressionAlgorithm`
- `PortfolioRebalanceOnCustomFuncRegressionAlgorithm`
- `SetAccountCurrencySecurityMarginModelRegressionAlgorithm`
- `StopLossOnOrderEventRegressionAlgorithm`
- `TimeInForceAlgorithm`
The following regression tests have more trades since adjusted prices allowed more 1-2 shares trades that were rounded down to zero before:
- `FreePortfolioValueRegressionAlgorithm` 2 -> 3
- `PortfolioRebalanceOnDateRulesRegressionAlgorithm` 291 -> 298
- `TrailingStopRiskFrameworkAlgorithm` 5 -> 7
Especial cases:
- `AutoRegressiveIntegratedMovingAverageRegressionAlgorithm` 65 -> 52
- ARIMA model sensibility
- `BlackLittermanPortfolioOptimizationFrameworkAlgorithm` 18 -> 19
- BLM model sensibility
- `ExtendedMarketHoursHistoryRegressionAlgorithm` 20 -> 18
- Less minute bars before market opens
* Addresses Peer-Review
Fix `BacktestingBrokerageRegressionAlgorithm` to use `CalculateOrderQuantity` and round down `quantity` to an even number to pass a value assertion and update the expected value from 50 to 52.
The quantity calculated by `CalculateOrderQuantity` has changed from 50 to 53 because of factor file update.
* Add support for Index SecurityType 🚀 (#5364)
* Add Index SecurityType 🚀
* Extend SecurityIdentifier & Lean Data classes with Index support
* Add Index SecurityType 🚀
* Extend SecurityIdentifier & Lean Data classes with Index support
* Fixes
* Added index cross basic template demonstration
* WIP: Prototype index security type for LEAN as non tradable asset
* Re-adds Index entries to MHDB after rebase
* First steps to getting Index Options running
* Looks at any instance where we pattern match for an option type
and replaces it with a generic call to `.IsOption()` for easier
extensibility in the future for additional option security types
* Adds IndexOption security and misc. classes
* Misc. changes, mainly related to any sort of special casing of
equity options and made index options take the same path
* Enables index options data for backtesting
* Adds new index options market hours to MHDB
* Misc. bug fixes for index options
* WIP: add live support for index options and indexes
* Use OptionMarginModel for Index Options because they both use the
same calculation for margin requirements
* Fixes contract not found errors on SPX index options and SPX index in IB
* Turns out index options' last trading day is the day before expiry,
which IB was expecting the last trading day.
* Add index option test cases (temp)
* LiveOptionChainProvider fix, use Symbol vs. ticker
* Description updates to regression algorithms
* Fixes bug in live trading for indexes and index options
* Adds overridable minimum price variation symbol property
* Adds variable sized minimum price variation for index options
* Adjusts symbol properties for index options
* Misc. bug fixes
* Fixes option assignment simulation for European options
* Updates index options regression algorithms (WIP)
* Fixes bug where index option exercise would trade index underlying
* Fixes bugs where SecurityType.Index was getting flagged as tradable
* Regression algorithms updates and addresses review
* Misc. style fixes and refactoring + a few bug fixes
* Updates regression algorithms to run without runtime errors
* Adds data for regression algos
* Sets DefaultOptionStyle on Canonical and support index options
* Update regression algos statistics
* Removes bad line in regression algorithm causing build to fail
* Minor tweaks
* Address review add comment about quoteBar parse scale
Co-authored-by: Balamurali Pandranki <balamurali@live.com>
Co-authored-by: Jared Broad <jaredbroad@gmail.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.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>
* Fix delisted liquidation orders being cancelled
- Place delisted liquidation orders 10 min before market closes of 10
min before the end of the delisting warning date. Adding regression
test and unit tests. Updating existing tests.
* Fix failing python option unit tests
* Fix bug where positions would be open delisting liquidation
* Fix universe selection and delisting
- Delisting will happen ASAP for all types. Giving priority to close
positions on derivates first
- Fix bug in universe selection where OptionChain would remove
underlying even if holding a position in derivate.
- Updating regression tests statistics
* Add unit test, fix unit test expected stats
* Fixes ETB/shortable regression algorithms that were previously failing
* Addresses review and fixes bug
* Fixes bug where orders would be denied regardless of direction
whenever they exceeded the absolute value of the shortable quantity
* Updates regression algorithm + statistics + simplifies test
* Fixes python regression algorithm
* Addresses review: removes comments and unneeded imports
* Added missing early closes for 1999-2008
See GitHub issue for details
* Fix expected Treynor ratio for backtest in test suite
This backtest runs from 2008-10-10 to 2010-10-10 so it is affected by the early close date now recorded on 2008-12-24.
* Adds FuturesOptionsUnderlyingMapper
This adds a mapper for Futures options that have a different
contract month between the FOP and the underlying future, as is
observed in the contracts ZB, ZC, ZS, ZT, ZW, HG, SI, GC.
An example of this is GC (e.g. OGH21 -> GCJ21). Other contracts follow
different rules, which have been included as part of this commit.
* Adds unit tests for FuturesOptionsUnderlyingMapper
* Adds unit and regresssion tests for underlying Futures mapping for FOPs
* Addresses review and adds FuturesListings
* Removes dependency on IFuturesChainProvider in
FuturesOptionsUnderlyingMapper
* Fixes bugs related to FuturesOptionsUnderlyingMapper and incorrect
results
* Modifies misc. code to handle new results correctly from FOPs
underlying mapper
* Makes FOPs underlying mapper static, and makes other methods private
* Adds new tests for FuturesListings
* Addresses review: code cleanup
* Address review: Makes arrays to List in FuturesListing private methods
* 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
* 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
* Adds preliminary universe selection for Future Options
* Fixes scaling issues with Future Options
* Fixes scaling multiplying by 10000x instead of using _scaleFactor
* Fixes scaling for Tick
* Revert changes to Tick since it divides the scaling factor
* Changes stale method name to new method name after rebase
* Fixes selection bugs, adds new methods, and adds unit tests
* Fixes bug where Equity Symbol was created for an underlying
non-equity Symbol, resulting in equity data trying to be loaded
* Adds unit tests covering changes to Tick, QuoteBar, TradeBar and
LeanData
* Adds regression test for AddUniverseOption filter contract selection
for Future Options
* Addresses review - modifies the AddFutureOption signature
* Adds new AddUniverseOptions method overload
* Removes and adds a new unit test
* Misc. modifications to account for new changes
* Fixes bug where futures were loaded using default SID Date
* Refactors and removes unnecessary work
* Fixes regression algorithm, which previously made no trades
* Adds future option data
* Adds the corresponding underlying data, in this case, futures data
to enable usage of future options data
* Replaces data with new data (ES18Z20)
* Improves Future chain filtering and updates regression stats
* Add AddFutureOptionContract API
* Expands regression and unit tests to test in finer detail
* Adds Python regression algorithms for AddFutureOption[Contract] methods
* Adds new unit test for BacktestingOptionChainProvider
* Fixes bug with BacktesingOptionChainProvider where we
attempted to load the Trades option chain first, resulting
in breakage of backwards compatibility and limitation of the
option chain.
* Adds new regression algorithms (Py) to Algorithm.Python project
* Adds FutureOptionMarginBuyingPowerModel
* Modifies code paths used to select margin model
* Adds related unit tests for margin model
* Fixes issue with unit test and MHDB/SPDB lookup for Future Options
* Preliminary regression algorithm testing ITM call/put option buying
* Fixes bug where fee model used did not find non-US market
options fee model. We now use the futures fee model for future
options because IB charges the same commissions per contract
between futures and futures options
* Adds proper regression algorithm for ITM future options expiration
* Pushing broken algorithm for review
* Currently, algorithm does not fill forward, causing
a single future option to not get exercised when it is delisted.
* Adds FutureOptionPutITMExpiryRegressionAlgorithm
* Improves existing regression algorithm for call side
* Fixes bug in existing regression algorithm
* Adds AAPL daily data to advance enumerator for ^^^ fix
* Adds additional future option regression algorithms
* Adds Buy OTM expiration regression algorithms
* Adds Sell ITM/OTM expiration regression algorithms
* Adds missing Python regression algorithms
* Adds remaining Python regression algorithms and fixes issues
* Fixes naming issues and statistics
* Adds short option OTM regression algorithms (Py)
* Add license header and class comments to python algorithms
* Cleans up comments and docstrings
* Create Buy/Sell call intraday regression algo
* Redirects future options symbol properties to futures symbol properties
* Asserts exercise/assignment price and updates stats in regression algos
* Adds new unit test covering changes to SecurityService
* Adds comments and fixes failing test
* Partially fixes future option mis-calculated profit/loss
* Adjusts portfolio model to calculate FOP as a no upfront pay asset class
* Updates regression algorithm statistics
* Begin IB FOP support
* Initial support for FOP IB data streaming, live í¾
* Adds additional functionality to LiveOptionChainProvider
- Allows querying CME API to retrieve option chains for CME products
- Ultimately, it's also the groundwork for the CME
LiveFutureChainProvider
* Edits IDataQueueUniverseProvider interface to provide greater
control to implementors of it
* Misc. bug fixes required to get FOP data streaming through IB
* Adds comments, adds missing rategate call, and cleans up code
* Force exchange for FOP and Futures when no exchange is provided
* Fixes bug with Portfolio modeling across all asset classes
* Adds LiveOptionChainProvider tests for Future Options
* IB brokerage option symbol bug fixes and improvements
* Fixes contract multiplier lookup bug
* Fixes issue where we attempted to subscribe to IB data feed with canonical security
* Adds ES MHDB entry
* Reverts portfolio modeling changes for Futures Options
* Since IB eats into our account's cash balance when
a new FOP contract is purchased, we must model by applying funds
to our cash whenever a new purchase/sell occurs.
If we choose to model FOPs exactly as we do with futures, we
will end up with an invalid TotalPortfolioValue on algorithm
restart. By all means and purposes, FOPs are modeled exactly
the same as equity options with respect to the portfolio.
* Adds comments clarifying portfolio modeling and clarifies
existing portfolio modeling comments with additional context.
* Fixes IB symbol lookup for future options
* Fixes LiveOptionChainProvider looping 5 times per option chain
request, even on success
* Sets OptionChainedUniverseSelectionModel to produce a canonical
future/future option/option Symbol to avoid creating two Symbols
* Adds GLOBEX future option symbol mapping from future -> fop
* Fixes LiveOptionChainProvider loading wrong contract option chains
* Fixes loading of futures options ZIP files when backtesting
* Adds a string -> decimal JSON converter
* Additional fixes/refactoring to the LiveOptionChainProvider
* Adds tests for changes to Symbol and LeanData
* Reverts changes to IB-symbol-map
* Fixes Value for mapped future options tickers
* Fixes Symbol test
* Changes path of future options to future's expiry date
* Extra changes made to remove scaling from writing CSV
* Added method to map from FOP Globex -> FUT Globex
* Fixes MOO and MOC orders for future options
* Note: this order type might not be supported by IB or CME.
* Bug fixes and updates unit tests
* Update regression tests and data format
* Rebase changes
* 1. Multiple bug fixes for LiveOptionChainProvider, reverts IQFeed changes
2. Address review (partial): Code reuse and cleanup
1.
* Modifies check in
`AddFutureOptionShort(Call|Put)ITMExpiryRegressionAlgorithm`
to ensure no buys have negative quantity
* Code reuse changes in IB brokerage
* Bug fix in IB brokerage where we assigned the FOP expiry
as the futures expiry (requires verification)
* Doc changes and adds missing summaries/license banners
* Disposes of HTTP client resources in LiveOptionChainProvider
* Renames classes and adds FutureOption folder in Common/Securities
2.
* We revert back to the quotes API for the option chain,
since the settlement API sometimes had missing strikes.
* Fixes future option expiry being set as future's expiry
in LiveOptionChainProvider
* Fixes bug where wrong option chain was selected because of bad
expiry lookup in the futures expiries returned from CME
* Fixes multiple looping bug in LiveOptionChainProvider
* Adds strike price scaling for LiveOptionChainProvider
* Reverts IQFeed changes and simplifies interface upgrade changes
Some additional challenges we'll have to solve as part of FOPs:
- The `OptionSymbol.IsStandard` method makes the assumption that
weeklies contracts follow the pattern equities follows, which
does not apply to Futures Options
- The Subscription created in:
`OptionChainUniverseSubscriptionEnumeratorFactory`
...adds a Trade config. For illiquid contracts, this
will delay universe selection for the option symbol
until we get a trade. However, if we add a quote config,
the data would instead be loaded based on the first quote
we received from the brokerage.
But since we're currently using a trade config, illiquid
contracts won't start streaming data until it receives a trade.
NOTE: this commit is a WIP to addressing the reviews received in the PR,
but has been committed early for efficiency in the review process
* Fixes regression algorithms and misc. bugs
* Fixes map file lookup for non-equity options
* Adds extra assertion at end of algorithm to ensure no holdings are
left when the algorithm ends.
* Adds FutureOptionSymbol, allowing all contracts through as standard
* Changes SPDB to allow defaulting to underlying future symbol
properties if no entry is found for the given FOP
* Fixes calls to SPDB in SecurityService, IBBrokerage
* Reverts AAPL daily ZIP file to fix majority of regression algorithms
* Adds FOPs symbol properties
* Fixes existing symbol properties for a few futures
* Adds tests for changes to Symbol Properties Database
* Removes string SPDB lookup method
* Updates tests and misc callees of previous method
* Updates all regression tests to use data of already expired contracts
* Adds Futures Options Expiry Functions tests
* Adds required futures data for 2020-01-05
* Address review (partial): Expands test coverage and fixes tests
* Set option chain tests parallelism to fixture only
* Fixes broken test for contract month delta for FuturesOptionsExpiryFunctions
* Changes delisting date logic for Futures Options
* Address review: removes duplicate code, misc code fixes
* Bug fix in MarketHoursDatabase.GetDatabaseSymbolKey() where
we would use the underlying's Symbol for lookup in the MHDB
* Adds missing license banner
* Removes Futures Options entries from MHDB
* Adds new tests
* Adds SecurityType.FutureOption
* Converts any underlying comparisons and uses SecurityType directly
instead for FOP specific behavior
* Extra code modifications to acommodate new SecurityType
* Addresses review: fixes order fee bug on exercise
* Additional bug fixes and adding of SecurityType.FutureOption
* Updates regression algorithms OrderListHash
* Fixes various bugs in IB live implementation
* Fixes bug setting the right contract expiration date for FOP
generated by LiveOptionChainProvider
* Adds new function to FuturesOptionsExpiryFunctions
* Clarifies parameter names better in some functions/methods
* Fixes bugs in IB brokerage for FOPs
* Address review - code cleanup and refactor
* Remove MappingEventProvider, SplitEventProvider, and
DividendEventProvider for Futures Options in
CorporateEventEnumeratorFactory
* Address review: Use MHDB key resolver in SPDB
* Makes regression tests pass and adds comment for expiry issue
* Fixes MHDB lookup on string symbol method
* Adds Futures Options greeks regression algorithm (C# only)
* Adds explanitory comment on MHDB FOP lookup
* Remove python from FutureOptionCallITMGreeksExpiryRegressionAlgorithm
* Update crypto entries in SPBD
- Update values for GDAX and Bitfinex, with latest values from exchanges
- Update symbols with >3 letters
- [Fix] Remove same base-quote entries
* Update unit tests
Increment in precision given smaller lot sizes in SPDB crypto entries.
* Add GDAX symbol properties downloader (unit test)
* Update GDAX symbol properties database
* Add BrokerageSymbol to symbol properties database
* Update GDAX symbol properties
* Address review
- Rename BrokerageSymbol to MarketTicker
* Add GDAX symbol mapper
* Update GDAXBrokerage to use symbol mapper
* Fix GDAX brokerage unit tests
* Replace GDAXSymbolMapper with SymbolPropertiesDatabaseSymbolMapper
* Address review
- use Symbol key in dictionaries
* Rename BrokerageSymbol to MarketTicker
* Save GDAX history in the real ticker folder
* rename tickerMapper to symbolMapper
* fix gdaxdownloader help message
* Save GDAX history in the real ticker folder
* rename tickerMapper to symbolMapper
* fix gdaxdownloader help message
* use SymbolPropertiesDatabaseSymbolMapper
* address review
Co-authored-by: JJD <jjdambrosio@gmail.com>
Co-authored-by: Stefano Raggi <stefano.raggi67@gmail.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Update crypto entries in SPBD
- Update values for GDAX and Bitfinex, with latest values from exchanges
- Update symbols with >3 letters
- [Fix] Remove same base-quote entries
* Update unit tests
Increment in precision given smaller lot sizes in SPDB crypto entries.
* Add GDAX symbol properties downloader (unit test)
* Update GDAX symbol properties database
* Add BrokerageSymbol to symbol properties database
* Update GDAX symbol properties
* Address review
- Rename BrokerageSymbol to MarketTicker
* Add GDAX symbol mapper
* Update GDAXBrokerage to use symbol mapper
* Fix GDAX brokerage unit tests
* Replace GDAXSymbolMapper with SymbolPropertiesDatabaseSymbolMapper
* Address review
- use Symbol key in dictionaries
* Rename BrokerageSymbol to MarketTicker
* Update unit test
* Add Bitfinex symbol properties downloader (unit test)
* Add Bitfinex symbol market ticker to downloader
* Update Bitfinex symbol properties database
* Update BitfinexBrokerage to use SymbolPropertiesDatabaseSymbolMapper
* Remove Bitfinex test symbols from db
* Update Binance symbol properties database
* Update BinanceBrokerage to use SymbolPropertiesDatabaseSymbolMapper
* Add missing Binance test case
* Update symbol properties database
- gdax, bitfinex, binance
* Update CoinApi symbol mapper for new SPDB
* Exclude Bitfinex BCH pre-2018-fork in CoinApiSymbolMapper
* Remove unused properties
* Add CoinApi mappings
Co-authored-by: JJD <jjdambrosio@gmail.com>
* DividedEventProvider distribution computation
- Update regression algorithm which was using a different reference
price when calculating the dividend
- Adjust divided event provider to compute distribution using factor
file reference price, if not 0. Adding unit tests
- For equities, only emit auxiliary data points for
TradeBar configurations, not for QuoteBars, nor internal.
* Address reviews
- Split and Dividend event provider will throw an exception when there
is no reference price available. Updating `wm` factor file which was
missing references price and regression algorithms using WM.
- Updating unit tests asserting new exception
* Add underlying holdings to regression result handler details log
When debugging option exercise/assignment issues it's useful to see the
underlying holdings at the time the option contract fill event is processed.
Also adds the full symbol string to the top of the order event section.
The Symbol.Value was being logged via OrderEvent.ToString(), but it wasn't
the full SecurityIdentifier - by including the full SID string it makes it
easier to correlate fills over symbol rename boundaries.
* Fix automatic option assignment from market simulation
During the recent OptionExerciseOrder.Quantity refactor, this case was missed.
Additionally, it was realized that there were no regression tests covering the
automatic assignment via the market conditions simulation. This change introduces
a regression algorithm that covers the automatic assignment of put/call options.
* Update BasicOptionAssignmentSimulation._rand to be non-static
If this value is static then we reuse the same Random instance for ALL regression
tests, thereby defeating the purpose of using a well known seed number. This means
we get different results based on the order execution of preceding algorithms.
By making this an instance variable each algorithm will start with the same seed
value, ensuring consistent runs between regression tests, either run as a suite or
running a single algorithm in isolation.
* Do not update price scale for fillforward data
- Do no update price scale for fill forward data. FillForward data
should keep using the prev scale for which it was created. Adding unit tests
- When cloning do not lose IsFillForward flag state, affects
QuoteBars/Ticks, does not affect TradeBars since they perform a memberwise clone.
Adding unit tests
* Auxiliaries shouldn't really affect on applied price factor scale.
Despite we can receeive FillForward'ed data points, corresponding
Auxiliaries for them are not FillForward so we do meet the condition
and then refresh price factor. As a result all futher FF data points are scaled too.
* Regression algorithm to check that FillForward'ed data points arrived with last real price factor
* Add trade for regression algorithm
- Minot tweaks and adding trade for new regression algorithm.
- Updating AddOptionContractExpiresRegressionAlgorithm because it is
using the symbol for which new data was added.
Co-authored-by: Adalyat Nazirov <aenazirov@gmail.com>
* Binance Brokerage skeleton
* Market hours
* Implement Symbol Mapper
- known symbols available on /api/v1/exchangeInfo
- fiat currencies are pegged
* Implement GetCashBalance
* Implement GetAccountHoldings
- there are no pre-existing currency swaps
- cash balances are pulled and stored in the cashbook
* Implement GetOpenOrders
* Manage orders: PlaceOrder
* Manage orders: UpdateOrder
Update operation is not supported
* Manage orders: CancelOrder
* Messaging: order book
* Messaging: trades
* Messaging: combine streams
- connect to fake /ws/open channel on init
- case by channel name, but not event type
* Messaging: order depth updates
- ticker symbol is not enough as it pushes updates only once a second, this would be a very incomplete data stream
- fetch ticker snapshot if lastUpdateId == 0
- follow Binance instructions for keeping local orderbook fresh
* Messaging: user data streaming
- Request userDataStream endpoint to get listenKey
- keep listenkey alive
- handle order close event
- handle order fill event
* DataDownloader: get history
- we can aggregate minute candles for higher resolutions
* fix data stream
* Tests: FeeModel tests
* Tests: base brokerage tests
* Tests: download history
* Tests: symbol mapper
* Support StopLimit andd StopMarket orders
* StopMarket orders disabled
Take profit and Stop loss orders are not supported for any symbols (tested with BTCUSDT, ETHUSDT)
* Tests: StopLimit order
* Tests: crypto parsing
* Reissue user data listen key
* comment custom currency limitation
* rework websocket connections
* implement delayed subscription
* adapt ignore message
* add license banner
* use better suited exception type
* avoid message double parsing
* support custom fee values
* extract BinanceApiClient to manage the request/response between lean and binance
* use api events to invoke brokerage events
* do not allow to terminate session if it wasn't allocated.
* update binance exchange info
* tool to add or update binance exchange info
* ExchangeInfo basic test
* Rebase + Resharp
* Binance brokerage updates
- Fix sign bug in sell order fills
- Fix bug in GetHistory
- Remove duplicate symbol from symbol properties db
* Remove unused code
* Revert removal of account currency check
* Update symbols properties database
* Address review
* Address review
- Upgrade API endpoints from v1 to v3
- Updated sub/unsub for new subscription manager
- Subscribe best bid/ask quotes instead of full order book
- Added handling of websocket error messages
- Cleanup + refactor
* Update symbol properties database
* Remove list from symbol mapper
* Fix symbol mapper tests
* Address review
- Fix resubscribe after reconnect
- Fix quote tick edge case
* Fix EnsureCurrencyDataFeed for non-tradeable currencies
* Fix check in EnsureCurrencyDataFeed
* Reuse base class subscribe on reconnect
Co-authored-by: Adalyat Nazirov <aenazirov@gmail.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* 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
* Oanda default forex Market
- Use Oanda as default forex Market since it has more pairs.
- Remove FXCM data add Oanda equivalente data.
- Update unit and regression tests
* Address reviews
- Revert FXCM data removal
- Remove unrequired commented code
* Fix rebase
* Remove invalid symbols from symbol properties db
* Add SymbolPropertiesDatabase.GetSymbolPropertiesList
* Remove symbol list in BitfinexSymbolMapper
* In EnsureCurrencyDataFeed fetch symbols from symbol properties database
* Remove symbol list in OandaSymbolMapper
* Remove unused code
* Address review
- Remove StringComparer.OrdinalIgnoreCase usage
- Rename KnownSymbolStrings to KnownTickers
Colton Sellers