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* - Update symbol-properties-database.csv, SymbolPropertiesDatabase.cs and SymbolProperties.cs with a new column for MinimumOrderSize parameter for Crypto type
- Change CanSubmitOrder() method implementation in GDAXBrokerageModel.cs to get the MinimumOrderSize from the security SymbolProperties directly
- Add CanSubmitOrder() method in Binance, Bitfinex and Kraken Brokerages models
- Add tests to check if CanSubmitOrder() method is working as expected in Binance, Bitfinex, Kraken and GDAX brokerages models
- Add tests to check if MinimumOrderSize parameter is loading correctly from symbol-properties-database.csv
* Revert "- Update symbol-properties-database.csv, SymbolPropertiesDatabase.cs and SymbolProperties.cs with a new column for MinimumOrderSize parameter for Crypto type"
This reverts commit e0fd66a5fa5215a6fccb98b64d4e3bf709007fdf.
* Revert "Revert "- Update symbol-properties-database.csv, SymbolPropertiesDatabase.cs and SymbolProperties.cs with a new column for MinimumOrderSize parameter for Crypto type""
This reverts commit b0f37935fc334ba8ff3b8ab09b7d979e4e731526.
* Requested changes in Crypto brokerage models
- Remove unnecessary commas in symbols-properties-database.csv
- Add TestHelpers class to reuse GetSecurity() method
- Add IsValidOrderSize() method in DefaultBrokerageModel class
- Remove unnecessary classes for brokerage models test helpers
* Nit change
- Remove unnecessary attribute from DefaultBrokerageModel.cs
* Nit change
* Nit changes and Regression test
- Add Bitfinex BTCUSD hourly data for 2 days
- Add regression test BuyBTCWithLessThanOneDollarAlgorithm.cs to test that the order size is taking into account when placing or updating an order
- Nit changes
* Change CanUpdateOrder() implementation
- CanUpdateOrder() now checks if the requested quantity value is valid
* Requested Changes
- Change regression algorithm BuyBTCWithLessThanOneDollar.cs name and implementation
* Nit changes
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* Add BaseDataCollectionAggregatorReader
- Add enumerable for BaseDataCollection
- Add BaseDataCollectionAggregatorReader
- Clean up CollectionSubscriptionDataSourceReader
* Address reviews
- Add new FileFormat that will be handled by the new Reader
- Adding unit tests for the new BaseDataCollectionAggregatorReader
- Some DataSourceReader duplication cleaning up
* Minor adjustment after some live trading tests
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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
Stefano Raggi