* 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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* 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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* 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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* 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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* 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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* 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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* 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
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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
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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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* 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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* 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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* Python research import improvements
- Improve start.py for research env
- Remove unrequired imports
* Centralize algorithm imports
* Add regression test GH action
* Unit test python import clean up
* Join research and main imports
* More python import clean up
* Fix failing skipped regression algorithm
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* Adds VIXCentral Contango data
* Refactor cached alternative data in live mode to
use web endpoint if the data is not available locally
* Remove fallback to cache bucket for CBOE/FRED/EIA/VIXCentralContango
* Address review: force VIX as ticker for all VIXCentralContango data
* Use DataProvider for fetching Shortable and FutureMargins files
* Use data provider for AllShortableSymbols
* Refactor of NeedToDownload logic
* Adjustments
* nit - cleanup
* Expand test cases
* Create the directory if it doesn't exist
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- Ensure data is downloaded only once with the ApiDataProvider. Adding
unit test
- Log invalid securityType ApiDataProvider requests once
- Assert Factor file and map file providers are compatible with the
ApiDataProvider
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* Use lean data key as param for request
* key -> filePath rename and some cleanup
* Refactor
* Add Organizations Endpoints
* Add some organization api wrapper objects
* Address namespace issue
* Reorganize Api Test into seperate files using one ApiTestBase
* Add Organization tests
* Use capitalized "API" test namespace to reduce amount of file changes
* Add License to test base
* Update /data endpoint functions and response objects
* Update ApiDataProvider Logic
* Handle deserialization of organization products
* Simplify converter
* Only throw for equity requests when not subscribed to map/factor files
* Add missing header
* Make arguement exception
* Api adjustments
* Add Zip factor and map file providers
- Common project will now reference Compression project and not the other way
round.
- Adding Zip FactorFile and MapFile providers
* Refactor FactorFileProvider to use DataProvider to fetch files
* Use resulting MinimumDate in construction of FactorFile
* Nit FactorFile comments and arrangement
* Refactor MapFileProviders to use DataProvider for fetching files
* Refactor ZipFileProvider
* Clean up
* Refactor Backtesting Future/Option chain providers to use dataprovider
* Fixes for data/ endpoints and test adjustments
* Response objects adjustments/cleanups
* ApiDateProvider fixes and testing
* Add LocalZipFactorFileTests
* Update ApiDataProvider download test to verify stream is not null
* Implement posting of agreement summary and signed time
* Mark all Api related tests as explicit and document details on running
* Clarify default token on ApiTestBase
* Adjust summary
* Update Api responses for QCC, except org products which are sold in USD
* Implement cache expiration for zip MapFile and FactorFiles. Adding unit tests
* Fix multiple markets for ZipFactorFile provider
* Use Symbol as cache key
* Api.cs review
* Dispose of factorFileStream after reading
* Use zip.EntryFileNames
* Address a few reviews
* Few more fixes
* Address Api Review
* Add Job Org id to config
* Minor tweaks
* Compare with invariant culture
* Fixes Option Universe selection
* ZipEntryNameSubscriptionDataSourceReader will use IDataProvider
* Fix research
* Fix null reference exception
* Make duplicate log debug
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Attempt to remove SecurityInitializer from UniverseSelection stack entirely
* Fix broken Python Universe Selection model
* Remove mistake change (meant for another branch)
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* FOPs margin as a curve
- Adjust FOPs margin requirement so that it behaves like an 'S' curve
for the contract strike, around the underlying price and it's margin requirement.
Based on IB behavior. Adding unit tests for different future contracts
- Improve a couple of unit test cleanup
* Add ES Short Call unit test
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* Adds filtering of negative ticks in CoinAPI converter
* Tick data will remain the same, only aggregated data
will have changes reflected in its output as a result
* Adds suspicious tick filtering to ticks
* Address review: Add Crypto Trade Tick suspicious test case
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* Apply changes from #2146 on current master
Credit for most of these changes goes to https://github.com/viliwonka.
Rebasing three years of changes didn't go so well, so I manually
applied the changes in #2146 on the current master branch.
This commit attempts to represent the changes in #2146 as closely as
possible, no cleanup has been performed yet. Despite this, some changes
were inevitable because part of #2146 has been implemented another way
in the past three years.
* Clean up
* Process review comments
* Add tests
* symbol -> potentialConversionRateSymbol
* Ensure regression tests run/get data
* Fix broken test
* Process review comments
* Process review comments
* Simplify currency conversion logic
* Performance improvement, doc updates and test rename
* Rebase fixes
* Remove obsolete properties
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Minor tweaks
- Add AccountCurrency and symbol for live result packet
- Improve performance of Tick clone and reading
* Reduce unit test from 9s to 500ms
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* Fix FutureOptionMarginModel Margin Requirements
- Fixes FuturesOptionsMarginModel margin requirements being zero due to
underlying being null on model creation. Adding unit test
* Address reviews
- SecurityService will set underlying when creating a new security when
provided
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* Adds processed data directory to read price data from
* Make coarse universe generator look at data directory before failing to find daily data
* Set coarse generator output of missing daily file to debug log
* Add CoarseUniverseGenerator logs
* Fixes 100 nanosecond increment lookahead bias when parsing large numbers
* Whenever we parse a number that is has precision greater than
DateTime ticks (sub-100 nanoseconds), if we have nanoseconds
between [0, 1000), excluding numbers divisible by 100,
we will have leftover nanoseconds between [0, 100) nanoseconds, but
they won't be factored in to the DateTime calculation, since casting
to `long` only takes the integer component of the number, so we lose
the extra nanoseconds that came with the decimal, and time is set to
the "floored" value without those nanoseconds.
Since .NET `DateTime` type has a limitation of only being able
to represent time in increments of 100 nanoseconds, by not
considering the sub-100 nanoseconds, we introduce a look-ahead
bias of at most 100 nanoseconds/1 tick
* Misc adjustment to make method use `decimal` instead of `double`
for increased precision when parsing large numbers
* Changes CoinAPI data converter to support processing raw files in original directory structure and file name
* Removes Market requirement from CoinAPI data converter
* Remove timeout on decompression of raw AlgoSeek futures data
* Updates SEC downloader to use HttpClient where requests were failing
* For some unknown reason, valid requests to a valid URL were
failing when using WebClient. Changing our requester to
HttpClient fixes the issue, and enables us to leverage
async capabilities where applicable.
* Added fault tolerance to index file downloads, including a
rate limit in case we've been rate limited
* Further refactoring; catches 429 errors, adds missing rategate calls
* Replace all usage of WebClient, force retry for all failures
* Adds optional config value for Benzinga News API key in downloader
* Modifies Estimize Downloader api config name and fixes directory not found bug
* Refactor Estimize to speed up processing time
* Adds ticker limits if desired
* Misc. bug fixes, performance improvements, code cleanup
* Remove debug log statements leftover from previous commit
* Add support for non-tick Index resolutions in LeanDataWriter
* Empty commit
* Empty commit
* Empty commit
* Empty commit
* Empty commit
* Empty commit
* Lower requests/second for SEC downloader, add missing rategate call
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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- Fix FOPs maintenance margin requirements since they were relaying on
the underlyings holdings cost to return 0 in some cases. Updating unit
tests
- Fix Option exercise order being rejected because of margin not
available, will now take into account the margin used by the option
itself. Adding unit test
Gerardo Salazar