Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Added NYSELIFFE exchange support to Interactive Brokers brokerage.
* Fixed unit test AddSecurityWithSymbol by adding market hours for Equity-nyseliffe-[*], Index-nyseliffe-[*], Option-nyseliffe-[*].
* Added NYSELIFFE exchange support to Interactive Brokers brokerage.
* Fixed unit test AddSecurityWithSymbol by adding market hours for Equity-nyseliffe-[*], Index-nyseliffe-[*], Option-nyseliffe-[*].
* Added NYSELIFFE exchange support to Interactive Brokers brokerage.
* Fixed unit test AddSecurityWithSymbol by adding market hours for Equity-nyseliffe-[*], Index-nyseliffe-[*], Option-nyseliffe-[*].
* - Added NYSELIFFE futures to Futures.cs
- Added method GetGoodFriday() to calculate Good Friday to FuturesExpiryUtilityFunctions.cs.
- Added unit tests for GetGoodFriday().
- Added NYSELIFFE futures expiries to FuturesExpiryFunctions.cs which uses GetGoodFriday() instead of hardcoding the date of Good Friday in the market-hours-database.json.
- Added unit tests for NYSELIFFE futures expiry.
- Added NYSELIFFE to Exchange.cs
- Removed Equity-nyseliffe-[*] and Index-nyseliffe-[*] from market-hours-database.json
- Updated Option-nyseliffe-[*] to FutureOption-nyseliffe-[*] on market-hours-database.json
- Added the supported NYSELIFFE futureoptions to symbol-properties-database.csv.
* Removed blanks after India tuple
* Added the dates for 2022 and 2023 to the market-hours-database.json.
Removed "FutureOption-nyseliffe-[]" from market-hours-database.json.
Added to FuturesOptionsSymbolMappings.cs:
{ "YG", "OYG" },
{ "ZG", "OZG" },
{ "ZI", "OZI" }
* Minor tweaks for nyseliffe FOPs
Co-authored-by: Chris Coetzee <chris@polidata.ai>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Deprecate breakpoints
Drop Watchlist
Remove breakpoints from lean
Prep install of NetCoreDbg
Cleanup
* Install NetCoreDbg
* Update Research Images with Newer Jupyter
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Binance.US base changes
* biniance exchange info update
* Binance US uses same fee rates as main Binance
* binance us brokerage model tests
* use base implementation of GetBuyingPowerModel method
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* add gdax exchange info downloader
* add downloader method to program]
* fetch currency description
* change definition to include headers
* use extension method to make request
* remove log from test
* replace WebRequest
* cleanup
* use relevant name
* implement IExchangeInfoDownloader for bitfinex, initial commit
* add default values
* use default market value
* use correct attribute for lotsize
* don't skip missing values
* handle multiple downloaders
* add gdax and bitfinex exchange downloader
* follow LEAN data directory structure
* update SPDB
* order tickers
* order tickers
* add exchange info downloader test template
* delete files
* update SPDB
* use currency mapping
* update bitfinex symbols
* update currency mapping
* sort result after old currency symbols are used
* use market of the respective brokerage
* no more unknown symbol
* change minimum order size value
* direct conversion possible
* update bitfinex symbols
* change user-agent
* add test for indirect conversion
* update stats
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* remove un-used
* use utc time for slice sync
* use utc time
* refactor
* add regression test
* use utc time
* use utc time
* make utctime required parameter
* add utcTime in slice creation
* assert warm up complete
* check if algorithm is still warmingup
* use exchange tz
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
`CashBuyingPowerModel`, which reflected on `AlphaStreamBrokerageModel`, a margin-only brokerage.
It also didn't consider the account type, so `InteractiveBrokersBrokerageModel` was using the margin model even if `AccountType.Cash` was selected.
Removes `GetBuyingPowerModel` method from other Brokerage Models when their cases are covered by `DefaultBrokerageModel`
Fixes some typoes in `TradierBrokerageModel`
Fixes unit and regression tests. For the regression tests, we have explicitly set the brokerage model.
* extract binance brokerage
* remove binance tools from main toolbox app
* modify OrderTestParameters constructor
* fix BinanceBrokerage ref config.json
* update symbol properties
* move BinanceFeeModel tests to the right place
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* 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
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* 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
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* 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
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* 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
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* 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
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* 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
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* 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>
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* 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
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* 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
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* 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
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* 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
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* 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>
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
- 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.
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
- Live subscription enumerator will clone the underlying data set when
live mapping is being done. To avoid issues where IDQH implementations
could reuse a data point with same configurations. Adjusting unit test
to reproduce issue
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* 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>
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* 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
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* 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>
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* Align universe security and configuration TZ
- Make sure universe security and configuration tz are aligned always.
Adding unit test reproducing issue
* Address review UserDefinedUniverse will use UTC TZ
Ronit Jain