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* Fix minor race condition in brokerage message handler
- Fix race condition where a message could be enqueued and
wait for a new call, not being processed ASAP
* Reduce BrokerageTransactionHandler logs
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* Fix coarse universe generator on single processor
* Make sure MaxDegreeOfParallelism value is not less than 1
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Add BrokerageConcurrentMessageHandler
- Add Brokerage helper `BrokerageConcurrentMessageHandler` class to lock message stream
while executing an action, for example placing an order, adding unit tests.
- Binance will use new message handler
* Fix unit test
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* Implement solution with lightest changes possible
* Update regressions v1
* Adjust AlgorithmTradingTests
* Adjust PatternDayTradingMarginBuyingPowerModel tests
* Drop need to loop twice
* Adjust last unit test, with calculations included
* nit - comment fix
* Break out adjustment calculation to static function; add unit test
* Update Py regression
* Upgrade adjustment calculation to be smart enough to get us to target always
* nit - cleanup GetAmountToOrder
* Add license to test
* nit - comment fix
* cleanup GetAmountToOrder further
* Add additional test cases
* added symbolData class to store exchange and token values of tickers
* support for India Market
(cherry picked from commit 5f629dcb9e72426dc7b560e782cb1fae72861574)
* removed local vscode workspace file
* support for india market instead of nse and other exchanges
* changed hardcoded india values to Market.India
* changed zerodha getcash fromm available to net
* addded edge case handoing with expections
* support for market info (nse, bse) for india market
* exchange info for EmitQuoteTick
* basic testing with c#
* c# algo
* c# testing
* live orders during market open success
* support orderproperties for exchange value for order placement
* added exceptional handling cases
* fix xml descriptions for the files
* fix zerodha-product-type in DefaultOrderProperties
* add basic template for india market
* fix orderProperites for default values
* fix for local data, python implementation not available
* fix access modifiers of SymbolData
* fix variable name case
* fix single check for exchange, call to base
* fix styling, redundent code and access modifers
* fix non static not callable from static
* fix static
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* Adjust AlgoSeek Futures price multipliers to quote prices in USD
* Revert changes to AUP scaling
* After a second review, seems that this contract isn't scaled.
The contract multiplier differs from the NYMEX Aluminum Index's
contract multiplier, and so does the minimum price variation.
The minimum price fluctuation seems consistent with CME's
quoted prices, which also claims the contract is quoted in USD.
* Fix futures contract multipliers for some scaled contracts
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- Add new CompositeDataProvider that will wrap multiple instance. Allows
using for example the ApiDataProvider and a DownloaderDataProvider.
- Adjusting ProductJsonConverter after recent Modules addition
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* Add new DownloaderDataProvider
- Moving LeanDataWrite and IDataDownloader to common project
- Add new BaseDataDownloaderDataProvider with concurrency helper method
- Add new DownloaderDataProvider which will use a IDataDownloader or
IBrokerage implementation as data source
* Add support for downloading symbol chains data
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The Kraken allow queries from pairs of format XBTUSD and XXBTZUSD but it will only return data with the XXBTZUSD causing errors when XBTUSD ticker is specified.
This commit adds a more meaningful error when KDL is called with XBTUSD format.
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* Update IBAutomater to v2.0.39
* Downgrade IB logging level from Detail (5) to Information (4)
- The online documentation warns of performance overhead when setting logLevel=5
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* Apply fix for both start and end month cases
* Add unit tests for both cases
* Fix weekstart/weekend for same issue; add unit tests
* nit - rename tests
* Adjust logic
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* Update charts that are not empty and not default values
* Testing
* Filter final results
* Explicitly filter alpha charts if not needed
* Use filtered charts for Live results handler
* Refactor solution to manage alpha charts internally by creator
* nit comment fixes
* Implement drawdown as default chart
* Implement Capacity Estimate for backtest default chart
* Add default values to QC.Plotting
* Adjust drawdown calculation
* Only sample "Capacity" once a day
* Implement Volume chart
* Nit fixes
* Volume Chart adjustments and fixes
* Rename to "Assets Sales Volume"
* Implement Exposure Sampling
* Store algorithm currency symbol, round capacity to nearest 1k
* Add new plots to default charts
* nit change name
* Address reviews
* Reduce duplication and clean up exposure sampling
* Address reviews
* Improve sample exposure
* Address review
* Only enumerate holdings once
* nit - comments
* Post rebase fix
* Don't need to round anymore
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* SymbolJsonConverter improvements
- SymbolJsonConverter will be able to deserialize symbols expressed in
user friendly format. Adding unit test
- Adding a couple of helper methods, removing duplicated code
* Fix FOPs expiration year parsing
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* Add IResultHandler.BrokerageMessage
- Result handlers can receive notifications for brokerage message events
* Make LiveTradingResultHandler.RuntimeError virtual
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- Reduce thread contention in coinApi DQH by taking a lock per symbol
versus a global lock.
- Improve tick creating by reducing object being wasted on empty
constructor
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* Updates Equity Market Data
* Updates Unit Tests
* Updates Regression Tests
In this commit we include regression tests with small changes (slightly different CAGR, Alpha, etc, but same number of trades) due to the data update.
* Updates Regression Tests 2
The following regression tests were adapt because of verification of hard-coded market data values:
- `AdjustedVolumeRegressionAlgorithm`
- `HistoryWithSymbolChangesRegressionAlgorithm`
- `OptionRenameRegressionAlgorithm`
- `RawDataRegressionAlgorithm`
- `SwitchDataModeRegressionAlgorithm`
The following regression tests have more trades since adjusted prices allowed more 1-2 shares trades that were rounded down to zero before:
- `AddUniverseSelectionModelCoarseAlgorithm` 23 -> 35
- `MeanVarianceOptimizationFrameworkAlgorithm` 12 -> 14
- `PortfolioRebalanceOnDateRulesRegressionAlgorithm` 298 -> 324
- `PortfolioRebalanceOnInsightChangesRegressionAlgorithm` 83 -> 86
- `ScheduledUniverseSelectionModelRegressionAlgorithm` 86 -> 90
- `SectorExposureRiskFrameworkAlgorithm` 17 -> 22
- `SetHoldingsMultipleTargetsRegressionAlgorithm` 8 -> 9
- `StandardDeviationExecutionModelRegressionAlgorithm` 196 -> 199
- `UniverseUnchangedRegressionAlgorithm` 11 -> 17
- `VolumeWeightedAveragePriceExecutionModelRegressionAlgorithm` 237 -> 238
Especial cases:
- `BlackLittermanPortfolioOptimizationFrameworkAlgorithm` 18 -> 17
- BLM model sensibility
- `OptionChainedAndUniverseSelectionRegressionAlgorithm`
The following regression tests have different Capacity because of different volume from lowest capacity asset, except:
- `OptionEquityCoveredCallRegressionAlgorithm` New lowest capacity asset is underlying
- `OptionEquityCoveredPutRegressionAlgorithm` New lowest capacity asset is underlying
* Revert File Update for SPWR and SPWRA
* Fix Regression Tests
Temporarily removes python regression test for `MeanVarianceOptimizationFrameworkAlgorithm` as the `MeanVarianceOptimizationPortfolioConstructionModel` for each version are yeilding different results. If we use C# version in `MeanVarianceOptimizationPortfolioConstructionModel.py`, the results match.
* Changes Optimization Method in MinimumVariancePortfolioOptimizer [Py]
Uses `trust-constr` method.
See https://docs.scipy.org/doc/scipy/reference/generated/scipy.optimize.minimize.html
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* Use Python algorithms directly in their location; also refactor pythonpath additions to one method
* Update VSCode Launch options
* Drop issue these changes fixes
* Use AddRange
Stefano Raggi