11373 Commits

Author SHA1 Message Date
Ronit Jain fd20b5377d use research-object-store-name key from config while creating object store for research notebooks (#6355)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
13985
2022-05-26 18:12:13 -03:00
Ricardo Andrés Marino Rojas e78c3e1eb7 Solve bug when plotting Python indicators (#6347)
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* First commit

* Add unit test

* Change implementation

* Add unit tests

* Nit change

* nit change

* Remove unnecessary methods

* Add more unit tests

* Revert "Add more unit tests"

This reverts commit 1ba2ab7454efafba7c38034a15df3f8e97bc7146.

* Add more unit tests

* Add more unit tests

* Improve Implementation

* Change unit tests

* Remove unit tests

Remove unit tests from AlgorithmRegisterIndicatorTests.cs
13982
2022-05-26 13:03:42 -03:00
Martin-Molinero 0fbbc0e612 Revert "Coarse fine flag improvement (#6349)" (#6353)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
This reverts commit fb90f118c9.
13975 13981
2022-05-25 16:51:33 -03:00
Martin-Molinero fb90f118c9 Coarse fine flag improvement (#6349)
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Coarse fine flag improvement

- Coarse will check global data folder for fine existance if it's
  different than the given path to check

* Update readme.md
13972 13973
2022-05-24 19:46:37 -03:00
Derek Melchin d7558406c8 Set default constructor values to match those in Python (#6348)
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
The Python implementation of this Alpha model sets some default values for `lookback` and `resolution`.
https://github.com/QuantConnect/Lean/blob/aaba566954e995053eb97656b05e06a3984fc9fb/Algorithm.Framework/Alphas/PearsonCorrelationPairsTradingAlphaModel.py#L23-L24
13965
2022-05-23 21:31:48 -03:00
Martin-Molinero 00dd3dbd2c Bump to pythonNet 2.0.15 (#6342)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
13953 13954 13955 13956 13957 13958 13959 13960 13961 13962 13963 13964
2022-05-18 13:09:45 -03:00
Martin-Molinero cb2062debd Expand GetSecondUnevenWait usages (#6340)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Reduce Live CPU usage

* Address selfreview
13944 13945 13946 13952
2022-05-16 20:12:22 -03:00
Martin-Molinero 4b86c78df0 Add unit test showcasing feature (#6339)
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
13934 13935 13936 13937 13940
2022-05-13 20:21:08 -03:00
Jhonathan Abreu 17d57cb578 True Strength Index indicator (#6332)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* TrueStrengthIndex indicator

* TrueStrengthIndex indicator signal line

* Address change requests
13932
2022-05-13 15:55:28 -03:00
Martin-Molinero 284b26a9bd Performance improvements and fixes (#6330)
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Reuse GUID

* Reduce Lean task usage

* Reduce CPU usage

* Address reviews
13929 13930 13931
2022-05-13 15:04:09 -03:00
Martin-Molinero 0bc087954e Fix for arm image research (#6333)
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
13920 13927
2022-05-12 12:42:38 -03:00
Martin-Molinero f5dd997ca0 Minor fix for FuncPeriodSpecification (#6334)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
- Minor fix for FuncPeriodSpecification so it always uses the same
  DateTime to assert the given function. Improve documentation and
  exception message being thrown
13919
2022-05-12 12:37:08 -03:00
Martin-Molinero 33616a44b0 Avoid coding with exceptions (#6327)
Research Regression Tests / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
- Avoid relying on exception throwing for coding logic.
13897 13898 13899 13907 13909 13912
2022-05-09 10:34:50 -03:00
Derek Melchin 9bd6b46160 Fix CustomIndicatorAlgorithm (#6324)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
13896
2022-05-09 10:19:31 -03:00
Martin-Molinero eb995b86ea Update to pythonNet 2.0.14 (#6322)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Update to pythonNet 2.0.14

* Add unit test reproducing issue
13894 13895
2022-05-06 17:29:55 -03:00
Martin-Molinero 59a3912f68 Update recyclable memory nuget (#6321)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
13889 13893
2022-05-06 11:04:19 -03:00
Martin-Molinero 1be6cccbd4 Update readme.md
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
13886 13887 13888
2022-05-05 14:45:46 -03:00
Martin-Molinero a658beb31e Update readme.md 2022-05-05 13:03:17 -03:00
Martin-Molinero 8cf6e073af Update readme.md
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
13883 13884
2022-05-04 16:43:01 -03:00
Martin-Molinero 2f39ac7d83 Fix research test setup (#6318)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
13880 13881 13882
2022-05-03 18:55:48 -03:00
Martin-Molinero ea25e76faa Update readme.md
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
13874 13875 13876 13877 13878 13879
2022-05-03 12:18:55 -03:00
Martin-Molinero b7a21ce4be Update to net6 (#6311)
* Update to net6

* Bump pythonNet to 2.0.13
2022-05-03 11:45:55 -03:00
Martin-Molinero b9d3d99917 Bump pythonNet version 2.0.12 (#6310)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Updates after pythonNet rebase

* Bump pythonNet version 2.0.12

* Fix exception types being thrown
13865 13866 13868
2022-05-02 14:38:50 -03:00
Martin-Molinero 64125668db Catch expected test exception (#6317)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
13863 13864
2022-05-02 12:44:18 -03:00
Martin-Molinero 06228a8de8 Improve python stack trace parsing (#6316)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
- Improve python stack trace parsing removing base Lean path directory.
  Adding unit test
13862
2022-05-02 11:42:36 -03:00
Martin-Molinero 813412afb2 Persist and order runtime statistics (#6314)
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
13861
2022-04-29 20:59:40 -03:00
Ricardo Andrés Marino Rojas e0d29e1da7 Charge correct fees for Coinbase Pro stable pairs (#6312)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* First commit

* Improve implementation

* Improve implementation
13853 13854
2022-04-29 16:29:21 -03:00
Ronit Jain 41b7ff58cf consider null cases for cloud brokerageData (#6308)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
13843 13844 13845 13852
2022-04-28 13:42:11 -03:00
Ricardo Andrés Marino Rojas 6d181cc452 Fix bug with SetBenchmark() using custom data (#6304)
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* First commit

* Solve the easy case

* Solve bugs

* Solve bugs

* Requested changes

* Requested changes
13837 13838 13839 13840 13841
2022-04-27 13:58:10 -03:00
Ronit Jain b8c8460c7a Update Tradier sandbox config as string with backwards compatibility for bool (#6306)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* add new config

* make case in-sensitive

* use string.IsnullOrEmpty
13836
2022-04-27 13:58:00 -03:00
Louis Szeto 9fe018390e Update OrderResponseErrorCode.cs (#6303)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
13834
2022-04-26 10:36:02 -03:00
Nicholas Konovalenko 427f2a70fe Relative Moving Average Indicator (#6297)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* RelativeMovingAverage Indicator #5958

* RelativeMovingAverage #5958

Creation of the RelativeMovingAverage (RMA) indicator, based on the following equation: https://www.hybrid-solutions.com/plugins/client-vtl-plugins/free/rma.html

* Address self review

* Fix unit test

Co-authored-by: Martin-Molinero <martin@quantconnect.com>
13833
2022-04-25 13:13:20 -03:00
code-review-doctor 32f49f1f92 Fix issue probably-meant-fstring found at https://codereview.doctor (#6301)
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
13831
2022-04-25 10:48:58 -03:00
Martin-Molinero b3c2303111 Zip data cache provider improvements (#6296)
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
- Throw on failure to store. Add unit test
- Fix handle leak
13825 13827 13830 13829
2022-04-22 13:52:30 -03:00
Martin-Molinero fc008fe906 Update readme.md
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
13821
2022-04-21 16:48:12 -03:00
Martin-Molinero bbcf5d71a2 Update readme.md
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
13819 13820
2022-04-20 12:48:25 -03:00
Martin-Molinero 482d86a44a Update readme.md 2022-04-20 12:42:00 -03:00
Martin-Molinero 6eab53f619 Update readme.md
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
13816
2022-04-19 15:04:29 -03:00
Ricardo Andrés Marino Rojas f617d25af9 Add missing StableCoins pairs in Crypto Exchanges (#6259)
Research Regression Tests / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Add missing stablecoins

* Fix bugs

* Remove MIMUSD stablecoin pair

That pair is already in the SPDB

* Add more stablecoins pairs

- Add SUSD and IDRT

* Fix bug

* Requested changes

The algorithm posted in the GH was failing because when finding a conversion between currencies BTC to USD, it wasn't taking into account BTCUSDT and that USD = USDT because is a stablecoin

* Solve bugs

* Nit changes and more tests

* Requested changes

* Nit changes

* Requested changes

* Nit change
13791 13792 13793 13794 13796 13797 13815 13790 13795
2022-04-12 18:10:37 -03:00
Martin-Molinero a8e104f696 Allow LeanDataWriter to merge existing ticks if desired (#6284)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Allow DataWriter to merge existing ticks if desired

- Optionally allow lean data writer to merge new ticks with existing
- Adjust ZipStreamWriter
- Fix bug in compression lib that was leaving files open. Reproduced by
  added tests.

* Address reviews

- Define new WritePolicy to configure the behavior of the LeanDataWriter
  regarding how it should handle writing to a file: merge, overwrite,
  append
13779 13782 13783 13784 13786 13787 13788 13789
2022-04-08 18:20:23 -03:00
Ronit Jain d1ff914e5a fix docs (#6285)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
13778
2022-04-08 17:44:01 -03:00
Martin-Molinero 574d685647 Update readme.md
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
13768 13774
2022-04-07 15:55:51 -03:00
Martin-Molinero fbd12c7eb1 Update readme.md 2022-04-07 15:29:26 -03:00
Ronit Jain 49562c712f Extract IB brokerage files and dependencies (#6283)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* make public safe to expose test properties

* extract ib files

* remove dependencies

* refactor to use ib reference as string

* remove un-used dependencies

* remove redundant refrences
13763
2022-04-07 14:48:10 -03:00
maciek231 73fa0461ed Added checking if algorithm is stopped in initialize method (#6282)
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Added checking if algorithm is stopped in initialize method

* Quit on initialize adjusment

- Minor adjustments to solution. Adding more regression algorithms

Co-authored-by: Martin-Molinero <martin@quantconnect.com>
13760 13761 13759
2022-04-06 19:56:18 -03:00
Martin-Molinero 6cf537b26f Tradier handle unsupported order durations (#6281)
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
- Tradier will correctly handle closed orders with unsupported order
  durations. Adding unit test
13754 13756 13758
2022-04-04 18:36:22 -03:00
quantify-cflynn a374ce9b6e Update Tick.cs Time parsing (#6280)
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Update Tick.cs Time parsing

* Adjust equity tick millisecond read

* Fix tick sub millisecond precision

- DateTime.AddMilliseconds will rount to the nearest integer. So instead
  use AddTicks

* Avoid sporadic test failure

Co-authored-by: Martin-Molinero <martin@quantconnect.com>
13753
2022-04-04 17:36:57 -03:00
Ronit Jain ad34429014 Refactor changes required for brokerages extraction (#6279)
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* set price currency for open orders from brokerage setup handler, remove setters from brokerage

* order already has price currency being set by brokerage transcation handler

* remove as overwritten by BrokerageSetupHandler.GetOpenOrders

* refactor because can't use internal setters in private repos

* refactor, use ctor to set attributes

* remove redundant broker dependency

(cherry picked from commit 57b071eb174ca9fe857021ebffa7a546834e86f7)

* check limit price for limit order instead for checking price

* add price agrument for MarketOrder

* remove, not required anymore

* AddUnrequestedSecurity should not return null

* assert string in not null cases
13752
2022-04-04 17:01:36 -03:00
Martin-Molinero cc1c305432 Update readme.md
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
13748 13749
2022-04-01 20:09:46 -03:00
Martin-Molinero caaa506c56 Update readme.md
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
13747
2022-04-01 18:45:14 -03:00