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- Remove thread in charge of sorting and updating the queues weight.
This will be handled by each worker thread instead. Avoid cases where
the work count is so high that the sorting thread in master would not
be able to update all the weights, causing data to be enqueued beyond
the max prefetch limit. Adding benchmark algorithm reproducing issue
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- Smaller live warmup history requests, will keep track of the last point
we got from the file based enumerator and start our history enumeration from this point
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* Live T-1 selection warmup
- Only use BaseDataCollection class
- Reuse collection enumerator
- Remove FuturesChainUniverseSubscriptionEnumeratorFactory
- Universe selection will use Cache providers
- Add null reference check
- Add more tests
- Fixes for warmup fill forwarding. Add more tests
* Address reviews. Add missing comments
* Refactor chain providers
- ChainProviders will use quote, open interest and trade information,
which ever is first. Updating regression algorithm changing contract
being added.
- Add base BacktestingChainProvider for shared logic, reducing
duplication.
- ChainProviders will now use the given IDataCacheProvider and
IMapFileProvider
- If Providers are called for a date the exchange is closed they will
search for the previous available date where the exchange is open.
Adding unit tests.
* Address reviews. Logging improvements
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* Warmup minor fixes
- Result handler fix
- Centralize and normalize status update during warmup
* Address reviews
* Minor adjustments
* Add console message during warmup period
* Fix warmup percentage update
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* 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
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* 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>
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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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* 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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- The BrokerTransactionHandler will also adjust virtual positions for
margin accounts when fees are in base currency and the asset is a
crypto or forex pair. Adding new regression tests reproducing issue
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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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* 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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* 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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* 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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- 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
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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
Martin-Molinero