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Adds Warnings to MOO and MOO using Tick Data
These warnings are meant to let the user know that it was not possible to find ticks marked with the `OfficialOpen`, `OfficialClose`, `OpeningPrints` or `ClosingPrints` flags.
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* Fixes Market On Close Fill of Equity Fill Model
Only use trade data (`Tick` with `TickTrade` type or `TradeBar`) to get the closing price, since MOC is filled with the closing price.
- 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. All other changes are the consequence of using `TradeBar` instead of `QuoteBar`.
* Address Peer-Review
Fixes the logic with tick data: looking for the OfficalClose or ClosingPrints only apply if data from the extended market hours is included.
Adds additional logic to handle missing trade data.
* Refactors Timeout Logic and Adds It to MarketOnOpenFIll
-Refactors timeout logic to address peer-review and adds it to MOO fill too.
- Adds unit tests
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* Fix IB futures prices where PriceMagnifier != 1
* Fix deadlock in GetOpenOrdersInternal by moving ConvertOrder call out of event handler;
Minor refactor to combine NormalizePrice and ConvertPrice methods
* IB future and future options price magnifier
* Address review. IB API clean up
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Lean exchanges improvements
- Adding new Exchange class to avoid exchange code clash.
Adding and updating unit test
* Add Market for MapFile API
* Self review
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* Rename Renko to ClassicRenko
* Rename WickedRenko to Renko
* Adjust tests and usages
* Backwards support WickedRenkoConsolidator
* Renames for consistency
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* Refactor for two types in composite indicator
* Fixes for unit tests
* Non generic indicator base
* Further seperate non-generic indicator base and generic input base
* Adjustments
* Remove generic CompositeIndicator
* Add test suite
* Make each method an individual case
* Address review
* Testing cleanup
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* 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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* Add ValueAreaVolumePercentage Parameter
Remove hard coding of parameter and set it to optional parameter for the user.
* Update TimeProfile.cs to include valueAreaVolumePercentage parameter
* Update TimeProfile definition in QCAlgorithm.Indicators.cs
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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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* Fix zerodha async order event
consider fillQuantity as total filled quantity
cover edge case of fully filled
fix async events received from zerodha
indentation fix
* Fix coding style
* keep order in only CachedOrderIDs
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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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- After https://github.com/QuantConnect/Lean/pull/5872 trading API
changes numpy float64 was not converted correctly by pythonNet and
used an int. Reverting API changes and adding regression test. This
should be fixed at pythonNet layer
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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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* Order handling improvements
- Execution model will only trigger market order if they are above the
minimum order margin portfolio percetage value
- SecurityCache.Reset is complete
* Python Import fixes
- Add regression test for ImmediateExecutionModel minimum order margin
check
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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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* More logging for BinanceRestApiClient
* Changing LogLevel to Debug for history providers : Binance, Polygon
* Minor fixes
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
Martin-Molinero