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* initial commit
* get history from data providers
* merge history from history providers
* merge slice
* Add merge function in slice
* Update test
* merge aux data
* add data points in _data
* append new data points in original list
* Add test suite for HistoryProviderManager
* reduce complexity
* setup once
* add fake history provider
* doesn't count aux data
* add tests for options
* style changes
* add custom data
* merge rawDataList
* use array of history providers
* optimize
* fix formatting error
* add comment
* add tests
* simplify
* use list
* use abstraction
* split tests
* add test
* use abstraction to create generic enumertor class
* refactor
* accept list of type T
* sync history slices
* use SubscriptionDataReaderHistoryProvider for live
* rename test file
* return empty
* add tests
* cleanup
* address reviews
* optimize
* Fix method definition
* use initial time for basedata
* refactor
* re-use collection
* inherit HistoryProviderBase
* always return HistoryProviderManager
* add tests
* update rawDataList
* reset composer
* consider null elements
* add tests for binary search method
* Follow lean coding style
* revert
* remove binary search method
* convert to field
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* Update MHDB and SPDB
Update MHDB and SPDB with micro futures
* Fix bugs
* Add more FutureExpiryFunctions
* Requested changes
* Nit changes
* Nit changes
- Fix some future values in SPDB
- Test LastFriday() method
- Apparently Micro CHF/USD Futures(MSF) refers to the micro of Swiss Franc Futures (6S). The same happens with Micro JPY/USD (MJY) Futures and Japanese Yen Futures (6J)
* Fix bugs
* Micro futures MultipleFactor
* Fix some futures MultipleFactor
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* Adding unit tests reproducing issue.
* Fix a couple of minor bugs
- IsMarketOpen will work correctly when used with daily and hourly
resolution.
- slice.Get will work correctly with python custom data
- ExtendedDictionary will be able to dinamically access methods,
required for python and private C# data types
* Refactor solution. Add more tests
* Remove unrequired import statement
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* WIP
* Fix fees in base currency not being subtracted
- Fix fees in base currency not being subtracted from the quote currency
for crypto cash accounts. Updating regression tests to assert
portfolio, cashbook state and holdings state.
* Fix unit test race condition
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* Use GC server mode for tests
* Fix daily auxiliary data points emission time
- Due to fillforwarding, in some cases with daily resolution symbol
change events (generically any auxiliary data) would arrive late.
Updating regression test to reproduce the issue. Adding unit test
- Some refactoring and logging improvements
* Address reviews
* Remove old xml docs param
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* change BinanceBrokerageModel
* supply spot vs margin endpoint as parameter
* wip
* send margin order for margin account
* "NEW" means that the order has been accepted by the Binance engine.
* fix cash balance
* use JsonConverters for account parsing
* unit tests
* fixup
* lazy connect
* fix connection
* allow api client to be null if DQH only
* make method private
* more unit tests
* fix Dispose
* fix tests
* fix IsConnected condition
* run test as additional
* add some comments
* improve unit tests
* improve null checks
* tidy up the code
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* Refactor `GetFilePath()`
Add also useful methods to use with this one
* Nit changes
* Requested changes
* Requested changes
* Restore SaveString()
* Nit changes
* Address self review
* Test improvements
* Adjust example KerasNeuralNetworkAlgorithm
* Minor tweak for KerasNeuralNetworkAlgorithm.py
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Binance fees deducted from fill quantity accordengly
- For Binance cash accounts while buying, if fees are from the base
currency of leans virtual position, we need to deduct the fee from the
fill quantity, else we can end with a position bigger that it actually
is and not be able to liquidate
* Refactor solution
- Refactor solution into a more generic approach solving fees in base
currency at the BrokerageTransactionHandler level, covering all
brokerages that require it. Adding regression algorithm reproducing
issue.
- Update Bitfinex and Binance fee models to correctly reflact reality
* Log fill quantity adjusment once
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* Add support for live price scaling
- Add support for live trading price scaling for continuous futures.
Adding unit tests
* Move live price scale application. Updating unit tests
- Live trading application of price scaling will happen before fill
forwarding and updating securities real time price. Updating unit
tests to reproduce issue
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* Always reuse aggregator instance if any
- When fetching a IDataAggregator instance from the composer, do not
enfore type name on existing instances
* Fix unit tests
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* add data
(cherry picked from commit 814011d89e5316d150f88ffca5f48d8d5f0ea7d9)
* update market hours for index
(cherry picked from commit edac40732c120eb84d27de00594b59eebb4983f5)
* add index algorithms
(cherry picked from commit b22d27b4fa98172c435f7c26de4a3a297c49a6b7)
* update statistics
* add cash
* Add india market
* add leverage for index
* can subscribe to index
* update format
* fix wrong cash
* fix ticker names
* update data
* update ticker and stats
* update docs
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* specify enpoint url of ftx api (can be FTX pr FTX.US)
* more metadata for ftxus
* tidy up code
* tests
* more tests
* fix tests
* fix us fee rates
* add account tier
* update symbol props
* typo
* typo-2
* update symbol properties
* use FTXUS fee model
* minor tweaks
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* replace to local functions as they are more performant
* fix random generator upper bound
Next() includes minValue, but not maxValue, so we increment it +1
* introduce abstract layers
* refactoring
* fix tets
* adapt tests
* fixup
* implement blackschole price model for options
* use risk free rate
* use ql price model
* wip
* change interface
* fix
* tidy up the code
* wip
* iterate groupped symbols
* wip
* wip
* fix
* allow symbol of different types
* improve settings
* wip
* iterate full range
* fix issue with negative option
* fix
* fixup
* use StandardDeviationOfReturnsVolatilityModel
* re-use existing tick types per security type
* parametrize underlying security type
* use default option style
* dynamic option price model
* fix enumeration
* test
* fix unit tests
* refactor code
* remove unused file
* minor tweaks and refactoring
* rename symbol generator class
* fix interface
* add comments
* more comments and unit tests
* more tests
* add disclaimer
* more tests
* more comments and tests
* split tests into different files
* tidy up the code
* tidy up the code; more tests
* refactor TickGenerator => use security price directly on each iteration
* remove dupe; reuse main constructor
* use SecurityManager, refactor code
* bugfix: save ticks in history array
* check volatility warm up & tests
* more unit tests
* describe volatility period span in settings
* rename command line option
* Minor adjusments. Address review
- Use Lean log handler instead of writting directly to console
- Rename BlackShcolesPriceGenerator to generically OptionPriceModelPriceGenerator
- Minor format clean up & standarization
- Add support for specifying the option chain size
* Rename TickGenerator private fields
* Fix unit tests
* fix tests class name
* Support tickers being specified
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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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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* Move Optimizer-related DTOs and JSON converters into Common/Optimizer
* Add REST methods for Optimization
* Move OptimizationStatus into Common
* Change optimizationId parameter type to string
* Update Optimization and add lightweight optimization object
* Rename lightweight optimization to BaseOptimization and remove unneccessary properties
* Remove snapshotId from Optimization, add ParameterSet to Backtest
* Add missing IApi.cs method signatures
* Move ParameterSet into Common
* Replace Backtest with OptimizationBacktest
* Update UpdateOptimization to not include null or empty name and layout params in the request
* Change Objective targetTemplate regex pattern from ['(.+)'] to (.+) to prevent escaping target strings without whitespace
* Return Estimate object when calling EstimateOptimization
* Use DefaultNamingStrategy when serializing constraint operators
* Revert "Change Objective targetTemplate regex pattern from ['(.+)'] to (.+) to prevent escaping target strings without whitespace"
This reverts commit fbe7de0fd77dccc62e8c52c42a4ec9c18347acb2.
* Update Api method signatures
* Add unit tests
* Fix XML comment referring to the old class name
* Fix XML summary for OptimizationResponseWrapper
* Address review feedback
- Remove unused testOrganizationId
- Change NodeType from string to NodeType enum
- Clarify unit types for Estimate time and balance
- Simplify JsonConverter classes
* Add accessors to Common/Api classes
* Define performance metrics names in PerformanceMetrics class
* Remove unnecessary branching logic from GetSeriesValues method
* Add crefs and examples to XML comments in the Api class
* Revert "Change NodeType from string to NodeType enum"
* Remove layout param from UpdateOptimization method
* Backtest property ParameterSet should be of type ParameterSet
* Add asserts for deserialization in OptimizationBacktestJsonConverterTests
* Replace the three target-related properties with Criterion
* Add serialization and deserialization tests for Optimization
* Remove Optimization Serialization test
* Add EstimateDeserialization test
* Add asserts for integration tests
* Address self review
* Revert test case
* Update Nodes.cs
* Update Nodes.cs
* Set Aborted status when Optimization fails to start
* Add ParameterSetJsonConverter and ParameterSetJsonConverterTests
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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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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* GH-6115: adjust dates
* fix
* use another approach
* Add lean data writter multiple days data unit test
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* CompositeDataQueueHandler handles duplicate configs
- CompositeDataQueueHandler will handle duplicate subscriptions sharing
the same config. Adding unit tests
* Refactor bug solution after review
- LiveSubscriptionEnumerator will not long perform any symbol mapping
but will just trigger a new subscription call when remapped.
- CompositeDHQ will handling symbol mapping and keep track of these
mapped configs to trigger unsubscribe accordengly. Adding unit tests
* Adjust solution after review
- To avoid breaking uniqueness of SubscriptionDataConfig will be adding
a private `mapped` property that will change equality of mapped
configs to avoid them clashing. Adding unit tests
* Rename IDQH subscription extension methods
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* Minor performance improvements
* CompositeDataQueueHandler is UniverseProvider
- CompositeDataQueueHandler implements the UniverseProvider interface.
Adding unit tests
* initial commit
* Follow IDQH implementation
* Expect a list of data handlers from LiveNodePacket
* Return null if can not subscribe
* refctor to add check for subscription
* initialze null
* Add tests
* Check subscribe retuns null/not-null
* cleanup
* Read all required IDQH credentails to job
* Use CDQH to handle all IDQH instances
* constructor abstraction to call from setjob
* use flag
* remove redundant because derived will call initialize on it
* abstract and initialize from setjob
* handle null enumerators
* get creds from data handlers
* handle single data handler value from data-queue-handler
* Fix to support a json array
* Fix missed constructor call
* change access modifier to access from Tests files
* Add test to get brokerageFactory from dataQueueHandler
* Fix init flag to handle all conditions
* Add docs
* initialize from setjob
* Check if websocket open before using
* change defination of initialzie to include tradier
* clean up
* change defination
* fix wrong api key name
* return empty enumerator
* check websocket open before sending request
* check connection before subscribing
* fix to include more cases
* check websocket open before sending request
* Minor refactoring
* reafctor and use IsConnected
* remove unused
* clean up
* Fix test cases
* reverse change
* include config changes
* connect to websocket from setjob
* check websocket connection from setjob
* clean up
* include condition for IDQH that are not brokerage
* Address review
* Add market check condition before subscribe
* Remove deprecated
* Minor fix for deserializing data queue handler
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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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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* Give `code()` more time per iteration
* Another proposed solution
* Revert "Another proposed solution"
This reverts commit 29bf5a7554363afb27affb28730c6be1e2a54807.
* Add an AutoResetEvent field in `TimeConsumer()`
* Avoid change TimeMonitor implementation
* Remove changes in `TimeConsumer.cs`
* Requested changes
* Avoid re-implementation
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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
Ronit Jain