* Adds support for getting a Lean symbol based on FIGI, CUSIP, ISIN, SEDOL
* Address review: bug fixes for mapping, improve docs, cleanup & refactor
* Make LocalZipMapFileProvider and LocalZipFactorFileProvider only
initialize if they haven't been initialized yet.
* Address review: makes ISIN, SEDOL, CUSIP case-insensitive
* Cleans up map file provider in SecurityDefinitionSymbolResolver
* Modifies some test cases to test for case-insensitivity
* Add null check for SecurityDefinitions
* Fix unit tests
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Create Market Profile indicator.
* - Requested changes in MarketProfile indicator made it.
- TimeProfile and VolumeProfile created and tested.
- tp_datatest.csv and vp_datatest.csv extracted from https://github.com/bfolkens/py-market-profile
* Final potential Market Profile Indicator.
All unit test made it and the indicator is passing all of them
Test cases made it with python library from GH issue
* Code styling request changes
* Minor suggestions
* Minor renaming tweaks
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Few improvements
- Alpha Streams algorithm will add target securities right away
- If algorithm is warming up PortfolioTargetCollection will emit not
insight
- Fix local disk factor file provider to use local cache instead of data
folder
- EWAS PCM will not emit targets for securities which have not been
added by the algorithm yet, to avoid runtime exception
* Fix GetLastKnownPrice default order adding more unit tests
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As most brokers use separate exchange codes for CBOE and CFE, we added the new Market.CFE (previously Market.CBOE was used for both exchanges). This change also avoids hacky code in symbol mappers.
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* Alpha Streams improvements
- Warmup added securities so we can trigger an order right away
- Fix bug where AddSecurity returned a security which was not the one
being used
- Fix bug where EWAS PCM would remove from a dictionary while iterating
over it
* Fix unit tests
* Add QCAlgorithm.GetLastKnownPrices API
- Add new GetLastKnownPrices that will return the last known data point
for all subscribed data types.
- Fix for MHDB GetDataTimeZone which was using an invalid entry key
format for custom data.
- Fix for using GetLastKnownPrice/s to seed a security during creation,
when it's not added in the Algorithm.Securities collection
* Adding more unit tests for GetLastKnownPrice
* Address reviews
- Refactor GetLastKnownPrice/s to perform a single history request for
all data types
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* Adds ETF(...) to UniverseDefinitions
* Adds ETF constituents universe framework regression algorithm
for C#/Python
* Address review: adds test cases for ticker/Symbol ETF universe additions
* Fixes bug where null Market would result in null dereference exception
* Address review: add missing Index tests
* Address review: don't hardcode market when creating constituent universe
* Uses Brokerage Model's default markets collection to determine
the market for the given security type
* Address review: restore QC500 and DollarVolume.Top(...)
* Restores algorithms related to both helper universe
definition methods
* Address review: remove copy to output directory for python algos
* Add example algorithms for ETF constituent universes using custom RSI alpha model
* Address review: adjust algorithm to use cache + algo RSI & clean up code
* Address review: make ETF Constituent RSI Alpha Model algo a regression test
* Address review: increase trade count and remove single trade logic
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* Add basic template Atreyu algorithm
- Add C# and Python basic template atreyu algorithm. Show casing how to
specify exchange to execute in different ways.
- Adjust trading API to allow specifying order properties to use
* Lean Exchange improvements
- Rename PrimaryExchange to Exchange
- OrderPropeties will use Exchange enum instead of string
- Adding BSE exchange value
* Regression tests fixes
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* To fix the referenced issue
* Fixing up TrailingStopRiskManagementModel
* Fix-ups to address review
* Impl. tests + relevant improvements
* Minor logic improvement at first dictionary update
* Regression test small fix
* Adds explicit 'D' suffix for numbers in test case double arr
* Use integer values in test cases
* Removes failing testcases in MaximumDrawdownPercentPerSecurityTests (!) & renaming
* Revert "Removes failing testcases in MaximumDrawdownPercentPerSecurityTests (!) & renaming"
This reverts commit f9cd279f8cc5e9e1ede5b6f1eae5f4266b7dd295.
* Fix up for failing test cases
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* Alpha holdings state
- Alpha result packet will optionally provide the algorithms portfolio
state
* Rename
* Convert AlphaStreamsPortfolio to data source
* Improvements on AlphaStreams algorithm
* Fix regression tests
* Add unit tests for EW AS PCM and fixing bugs
* Protobuf AlphaStreamsPortfoliot staState
- Protobuf AlphaStreamsPortfolioState. Adding unit tests
- Add variable TPV tests for EW ASPCM
* Add alpha license to Organization response
* Improvements EW AS PCM respects free portfolio value
* Fixes
- Update tests expected statistics results affected by MHDB custom data timezone fix
- Fix for Extensions.IsCustomDataType
* Fixed and adding more regression tests
- Adding support and regression test with alpha consumer with different account currency
- Adding support and regression test of a universe adding custom data
types
- Add support and regression test for algorithm alpha consumer with existing holdings
* Add AlphaStreamsOrderEvent data type
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* Adds support for ETF constituent universes
* Adds filtering for universe data if it doesn't match the
universe subscription type
* Update mapping for ALL underlying Symbols if
`Symbol.UpdateMappedSymbol(...)` is called. Required to support
constituent ETF universes that might have mapping events
* Delistings of composite constituent universe Symbol will result in
removal of universe securities.
* Added regression algorithms for ETF constituent mappings (C#/Python),
along with data required to run locally
* Refactor universe delistings in SubscriptionSynchronizer -
big thank you to @Martin-Molinero :)
* Address review: update regression algorithms and add explanatory comments
* Address review: add additional checks to delisting regression algorithms
* Adds new regression algorithm testing the addition of a universe
without calling AddEquity() and asserts same behavior
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* Fix SubscriptionDataReader auxiliary data out of order
- Fix for SubscriptionDataReader emitting auxiliary data out of order
due to sparse that and enumerator refresh logic. Adding regression
algorithm
- Minor tweaks for unit tests failing on and off
* Fix for SDR internal subscriptions
- Fix for SubscriptionDataReader enumerator refresh for internal
subscriptions which were ignored. Adding regression test
- Updating custom data regression algorithms affected by the issue
- DropboxBaseDataUniverse was emitting a custom data point being end time
- UnlinkedTraderBarIconicType was emitting a single data point
of the underlying SPY minute data when if should of emitted
all data points
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* websocket-refactor for websocket message as text and binary
Initial commit
websocket support for text and binary messageData
code style fixes
test fix
* delete un-used file
* zerodha websocket textMessage parse
* messageData class abscration
* Empty
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Fix IB history requests
- Fix time zone bug causing incomplete results
- Use RegularTradingHours flag only for equities
- Second resolution data is now requested in 30 minute chunks (instead of 1 minute):
https://interactivebrokers.github.io/tws-api/historical_limitations.html
* Filter history result respecting market hours and IncludeExtendedMarketHours flag
* Add history unit tests
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* Improve python exception parsing
- Improve python exception parsing adding support for line shift. Adding
unit tests
* PythonException revert change
* Centralized and normalize algorithm runtime handling
* Adding support for C# line and file exception report
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* Fixes Market On Open Fill of Equity Fill Model
Only use trade data (Tick with Trade type or TradeBar) to get the open price, since MOO is filled with the opening action price. Ensure that this method doesn't use trade data from before the market opens for high-resolution data case.
Fix unit tests to show that the new implementation only fills with trade data from the current open market.
Change regression tests to reflect the bug fix.
In the `ExtendedMarketHoursHistoryRegressionAlgorithm`, MOO was filled with extended market hours.
* Fix Bug for Tick Resolution Case
For tick susbcription, the tick with the open price information is the the first valid (non-zero) tick of trade type from an open market.
Addresses peer-review by moving the if-condition for data belonging to the open market where the subscriscribed types are checked.
* Fix Bug for Low Resolution Edge Case
For the edge case where the order is placed after the trade bar is open, for example, order places at 1 pm with daily-resolution data. The fill model will not use the open of the bar that will close at midnight, since this value is prior to the order.
Adds unit test.
Change regression tests to reflect the bug fix.
In the `RegressionAlgorithm`, MOO was filled with open prior to the order. The algorithm now has one order less, since the last MOO would need to wait another day to be filled.
* Implements SaleCondition and Exchange Check For Tick
- Adds additional unit tests for MOO
* Fixes Regression Test in DataConsolidatorPythonWrapperTests
* Addresses Peer-Review
- Adds new unit test cases.
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* WIP removal of custom data references & tests updates
* Regression algos updated and python algorithms moved to DataSource repos
* Fixes failing unit tests
* Add "LiveDataTypes" field to LiveNodePacket
* Adds Initialize() to IDataChannelProvider
* Adds new extension method to convert
HistoryRequest -> SubscriptionDataConfig
* Address review: Add protobuf definitions for Iconic data types
* Address review: re-adds DynamicSecurityDataAlgorithm as regression algo
* Small adjustments to variable naming and documentation
* Move test files to respective DataSource repos
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* Refactor pandas mapper to support newer versions
* Clean up remapper
* Finalize deprecated tests and adjust those that should apply to new pandas
* Move mapper to its own file
* Add supporting Py tests and setup instructions
* Add license
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* Update BinanceBrokerage to handle more than 512 symbols
* Address review
- fetch symbol weights only if required
- remove code duplication
* Add rate limiting for new connections
* Update WebSocketMessage to include the websocket instance
* Handle resubscriptions on reconnect
* Address review
* Address review
* Remove unnecessary locking
* WebSocketClientWrapper updates
- remove allocation of receive buffer on each message
- add missing lock in Close method
- log message data when message type is Close
- fix race condition after unexpected websocket close
* Set WebSocketClientWrapper task to LongRunning
* Add missing check in GetHistory
* Fix exceptions with Binance downloader
- closes#5794
* Update Bitfinex symbols in symbol properties database
* Update BitfinexBrokerage to use BrokerageMultiWebSocketSubscriptionManager
* Address review
* Remove unnecessary locking
* Remove old channels on resubscription
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* logging and kite connection retry
(cherry picked from commit 9845a2d79e86c338093cadcae7f41b29d897c78c)
* changed thread.sleep time for kite connection retries
* websresponse retry on error - coding style change
* datetome parse to convert time in utc
* indentation code-style fix
* zerodhaDownloader support for dataTimeZone
* removed code redundancy for single conversion without hardcoded TZ
* removed hardcode dataTimeZone and code refactor
* returns exchange TZ to lean and data TZ to local disk from downloader
* Kite historical candle timestamp TZ conversion
* added unit test for kite historical candle
* access modifier correection
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* Filter out small orders based on Setting
- BuyingPowerModel will filter out small orders based on algorithm
setting, a % of PTV, instead of hard coded 1 share value. Addin unit
and regression tests
- Updating regression algorithms to use new setting, reduce order trades
* Update regression algorithms
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- TransactionHandler will see invalid OrderEvent for an order which
tries to short an non shortable asset. Adding unit test, updating
regression algorithm.
- Fix Api data price path normalization, found while testing with
shortable provider. Adding unit tests
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* Added Augen Price Spike Files
* AugenPriceSpike Update
Adjusted indicator calculations and added test data from Trading View
* Requested Changes
* Minor changes
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* Add reproducing unit test
* Apply fix to force adjustment if needed
* Adjust fee to correctly replicate original issue
* Adjust solution
* Update unit test to reflect the way this function is used
* nit - rename test
* Cleanup error message to improve reproducibility
* nit - Drop unneeded var
* Add in adjustment test cases as well, fixed
Martin-Molinero