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* Overload PandasConverter.GetIndicatorDataFrame to accept a Python dict
* Shared implementation code for PandasConverter.GetIndicatorDataFrame overloads
* Added documentation for private shared methods used by PandasConverter.GetIndicatorDataFrame
* Added unit tests for PandasConverter.GetIndicatorDataFrame
* Added unit tests for PandasConverter.GetIndicatorDataFrame Dictionary overload
* Address change requests
* Address change requests
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- Minor fix for FuncPeriodSpecification so it always uses the same
DateTime to assert the given function. Improve documentation and
exception message being thrown
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* 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
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* 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
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* 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>
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* 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
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- Fully reset the security cache when it's finally removed from the algorithm.
Adding regression algorithm reproducing issue
- Updating regression algorithms which would trade based on data
previously available
* add data count properties
* 'add history count property
* assert data counts
* update missing override
* consider override/virtual cases
* implement data count
* add message handler for regression tests
* use regression test message handler
* set algorithm manager for regression test message handler
* update data count
* check if stats are present, check if algo manager is not null
* update
* add c# algo
* make same as c# algo
* use new line
* logic shifted to RegressionTestMessageHandler
* cleanup
* auto cleanup
* skip non deterministic data count
* change data count
* use inheritance
* improve stats
* update couht
* add sma indicator to c# and customSMA to python
* call base method before executing further
* skip test
* revert to original
* add duplicate sma
* skip regression test
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* Make continuous futures untradable
- To match live trading behavior. Adjust continuous futures securities
to be untradable
* Set ContinuousFuture as non tradable
- Set continuous futures as non tradable. Update regression algorithms
- Fixes for symbol capacity calculation
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* 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>
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* Deprecate breakpoints
Drop Watchlist
Remove breakpoints from lean
Prep install of NetCoreDbg
Cleanup
* Install NetCoreDbg
* Update Research Images with Newer Jupyter
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* 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
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* 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
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* 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
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`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.
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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>
Jhonathan Abreu