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- Zip entries will be sourced from cache provider
- Option underlying will use SubscriptionDataSource to fetch it's data.
Fixing bug where it would let through an old data point, or miss
sending data through.
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* Add india market data
* use local data for algo
* Add India market regression algo
* update india market data
* Update readme
* add python algo for BasicTemplateIndiaAlgorithm
* Add India data regression python algo
* data india data files
* update tickers
* Fix algo template
* remove data
* fix stats
* update stats
* remove unused data
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* Fix typo
* Fix TryGetValue to return false if key is not found
* Revert "Fix TryGetValue to return false if key is not found"
This reverts commit b85b7b579aa722e1fec2599afbeee61163334184.
* Update documentation for TryGetValue
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* Do not send internal SecurityChanges to Algorithm
- Will not send internal security changes to the Algorithm by default.
Following custom security changes filter pattern. Updating regression
algorithms to assert behavior.
- The universe member will know wether it was added with internal
configurations or not
* Address reviews use a separate collection for internals
* Refactor solution. Adding security changes constructor class
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* Handle security added and removed in the same loop
- Correctly handle adding and removing a security in the same loop.
Adding regression test
* Adding comments
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- Fix for adding continuous future and manually adding contract at the
same time. Continuous future was using the user defined universe
symbol and caused clashes. Adding regression test reproducing the issue.
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* Continuous Futures Refactor. Live Mappings
- Adding support for live mappings. LiveTradingDataFeed will handle any
symbol mapping at the configuration layer and resubscribe through the
IDQH
- Refactoring continuous futures adding ContinuousFutureUniverse that
will select the currently mapped security
* Minor fixes
- Remove addition of configurations in UniverseSelection step, leave
resposability for universe.
- LiveTradingDF future unit test will only assert slice data for non
internal feeds.
- ContinuousContractUniverse will respect internal option interest
subscription
* Address review
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* Activate Index and IndexOptions low res
* Add Index and IndexOption low res data
* Add IndexOption regressions
* Fix bug with IndexOption QuoteBar data not being scaled
* nit - update comment for _scaleFactor
* Update data and regressions to reflect fix in data
* Tweak regressions
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* Fixes for FutureOptions support in LeanData
* Add CreateCanonicalOption() utility function for Symbol.cs
* Add aggregated Futures/FuturesOptions data to Lean
* Add FutureOptions regressions for daily/hourly data
* Allow Futures to be added with low resolution
* Add Future regressions using hour/daily data
* Nit - Python Class names
* Add reviews
* Add alias into CreateCanonicalOption
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* Move processing of delistings to Brokerage
* Deal with case that exchange is not open on OptionSymbol.ID.Date
* Refactor solution to use DelistingNotification event
* Adjust some regression expected liquidation time
* Mark some todos on deprecated functions
* Update expected liqudation time for Py regressions
* Update regressions that have been validated
* Use HandlePositionAssigned for assignment orders
* Update regressions
* Update some missed unit tests; remove one that is already covered by regression
* Cleanup deprecated backend functions
* nit - small cleanup adjustment
* Post rebase fix
* Address review
* Minor tweak to py regression
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* First BetaIndicator prototype
- In construction
* Fist BetaIndicator version and unit tests
* More unit tests and regression test
* Nit change
* Requested changes
* Nit changes
* Requested changes
* Adjust beta formula slightly and nit changes
* Nit change
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- Add new CustomWeight PCM for alpha streams
- Add new AlphaStreams AlphaModule that will handle security additions
and removals, removing this logic from AlphaStreamsBasicTemplateAlgo
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* Create generic writing for LeanDataWriter, + notes on todos
* Make Options Daily/Hourly data store by year
* Refactor Generic Write
* Permit hour and daily resolutions for options
* Refactor writer to merge when needed with other files
* Cleanup redundancies, run write tasks in parallel
* Make needed classes/vars available
* Update tests to reflect new naming convention for daily hourly options data
* Add Byte[] overloads for ZipData functions in compression
* Implemented Store() for ZipDataCacheProvider
* Have LeanDataWriter use a DataCacheProvider
* ZipDataCacheProvider cleanup
* ZipDataCacheProvider tweaks, doesn't support storing non-zips
* Test adjustments
* Update LeanDataWriter to use Write instead of SaveDailyHourly/SaveMinuteSecond
* Implement tests to verify DownloadAndSave behavior
* Nit cleanup on DownloadAndSave tests
* Fix for options daily/hourly underlying equity subscription read
* Add daily/hourly options data and regressions
* Add missing open interest for hourly
* Fix writing of OpenInterest Daily/Hourly data
* Update data
* Fix Date typo in regression
* Use daily algorithm to test delisting
* Revisions part 1
* Expand test for DataCacheProviders; refactor DiskDataCacheProvider
* nit - test adjustments
* ZipDataCacheProvider test setup refactor
* Adjust multithreaded read/write test; fixes for ZipDataCacheProvider
* Move DiskDataCacheProvider to its own file and add write test
* Remove _appendToZips; always overwrite entry or create zip
* Add mapping regression for daily options
* nit - add license to regression
* Fix Tick write case where more than one data point for a DateTime
* Fix data issue
* Address review
* Tweaks for tests
* Stop Store() early if no entry name is given
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* Implement IIndicatorWarmUpPeriodProvider
- Implement IIndicatorWarmUpPeriodProvider in PythonIndicator.cs
- Make a unit test to check whether the WarmUpPeriod is working as expected
- Make a regression test to check the new feature at a system level
* Nit change
* Change Period parameter for WarmUpPeriod parameter
- Change regression test to check if the new parameter keep backwards compatibility with indicators that do not set WarmUpPeriod
* Documentation change
* Fix tests bugs
- In CommonIndicatorTests.cs before finish the test it checks the period.value with the number of samples but for default the period.value was set to -1
* Change names
* Change WarmUp and RegisterIndicator methods
- Lean WarmUp indicator skip custom python indicators that don't define WarmUpPeriod parameter
* Call WarmUpIndicator manually
- Add a new "bridge" method called WarmUpIndicator in QCAlgorithm.Python.cs to set up everything to call WarmUpIndicator in QCAlgorithm.Indicators.cs
- Change the regression algorithm to warm up the indicators manually
* Remove unnecessary code and add more tests
* Nit change
* Revert "Nit change"
This reverts commit da411f59c9e4295d75a11c6c581f615a938dd2c6.
* Fix bugs
* Try fix bugs
* Add C# regression test
- More nit changes
- Fix bugs
* Requested changes
* Remove unnecessary code
* Requested changes
* Nit changes
- Add new Python class to check a custom indicator, which doesn't inherits from PythonIndicator, warms up properly
* Reduce redundant code
* Fix bug and add more unit and regression tests
* - Add more unit tests
* Nit change
* Test cleanup
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Implement IIndicatorWarmUpPeriodProvider
- Implement IIndicatorWarmUpPeriodProvider in PythonIndicator.cs
- Make a unit test to check whether the WarmUpPeriod is working as expected
- Make a regression test to check the new feature at a system level
* Nit change
* Change Period parameter for WarmUpPeriod parameter
- Change regression test to check if the new parameter keep backwards compatibility with indicators that do not set WarmUpPeriod
* Documentation change
* Fix tests bugs
- In CommonIndicatorTests.cs before finish the test it checks the period.value with the number of samples but for default the period.value was set to -1
* Change names
* Change WarmUp and RegisterIndicator methods
- Lean WarmUp indicator skip custom python indicators that don't define WarmUpPeriod parameter
* Call WarmUpIndicator manually
- Add a new "bridge" method called WarmUpIndicator in QCAlgorithm.Python.cs to set up everything to call WarmUpIndicator in QCAlgorithm.Indicators.cs
- Change the regression algorithm to warm up the indicators manually
* Remove unnecessary code and add more tests
* Nit change
* Revert "Nit change"
This reverts commit da411f59c9e4295d75a11c6c581f615a938dd2c6.
* Fix bugs
* Try fix bugs
* Add C# regression test
- More nit changes
- Fix bugs
* Requested changes
* Remove unnecessary code
* Requested changes
* Nit changes
- Add new Python class to check a custom indicator, which doesn't inherits from PythonIndicator, warms up properly
* Reduce redundant code
* Refactor error message for reproducability
* WIP Refactor GetMaximumOrderQuantityForTargetBuyingPower
* Additional tweaks and tests
* Address shorted margin case
* Reinstate tests with new modified function
* Update regression
* Some cleanup
* Expand test set
* Refactor solution
* Address review
* Final adjustments and cleanup
* Expand error message for GetAmountToOrder for safety and reproducibility
* Address reviews
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* Implement scheduled event sampling solution
* Use UTC time, only update daily portfolio value once a day
* For daily resolutions sample chart always
* Cleanup
* Drop resample daily all together
* Force final sample
* Regression updates
* FIx LiveResultHandler to update portfolio and benchmark values outside of sampling event
* Name the daily sampling event
* Address review pt 1
* Drop force and use reference wrapper
* Adjust tests
* Fix warning for Benchmark Timezone Misalignment and also add test
* Fix for daily resolution orders and test adjustments
* Also warn on universe settings with daily resolution
* Update missed regression
* Fix reference wrapper use
* Update regression after rebase
* Add values back in for Daylight Algo
* Have statistics builder skip day 1 performance
* Regression adjustments
* Test adjustments
* Update regression unit test
* Adjust some regressions starts to show performance values
* Add hourly algorithm for beta comparison
* Address missing Python regression changes
* Remove null comment
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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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* 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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* 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>
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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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* 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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* 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
Ricardo Andrés Marino Rojas