Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
* Fix LocalMarketHours.GetMarketClose to get the actual next market close time with extended market hours
The method was not properly considering gaps between regular hours close and extended market open
* Revert some changes to fix errors
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
- Fill model will take into account internal configurations, this is
specially relevant for continuous future mapped contracts. Updating
regression algorithms and unit tests.
- Allowing internal configurations to update trade builder information
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Remove suppport for market orders and MOO orders for futures
* Add regression algorithm to assert that limit orders are filled on after hours for futures
* Remove suppport for market orders and MOO orders for futures in DefaultBrokerageModel
* Update regression algorithms stats
* Fixed regression algorithm and clean up
* Add unit tests
* Fix regression algorithms
* Address changes request
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Respect warmup resolution given
- The data feed will respect the warmup resolution given and override
the resolution used by the algorithm when adding a subscription.
Updating regression algorithm to keep previous statistics. Adding new
regression algorithm asserting the desired behavior
* Testing improvements
- Add more unit tests and regresion test
- Add missing data for crypto
- Fix bug with FFed data crossing after the end time of the warmup
request
* Add more Warmup resolution regression algorithms
- Adding more warmup resolution regression algorithms, using
Settings.WarmupResolution and an option selection case
* Add more warmup regression tests
- Adding more warmup regression tests.
- Will no longer skip universe selection subscriptions from warmup
resolution enforcement. Updating regression algorithms data points
* Fix bug with data rounding
- Fix data rounding bug when warmup resolution is set to a different
value than the original configuration. Updating regression algorithms
to assert the expected behavior
* Address reviews
- Revert regression algorithms changes to use Resolution during warmup.
Updating their stats.
- Adding new regression algorithms asserting the behavior warming up
using a timespan and no warmup resolution
- Fix bug where data used to warmup the 'normal' enumerator will make it
through into the warmup time span. Updating tests
* Address reviews
- Add missing comments, explaning warmup algorithms time span
calculations.
- Revert changes in existing `WarmupOptionTimeSpanRegressionAlgorithm`
to reduce diff to minimum
- Adding new warmup unit tests asseting algorithm warmup start time, for
different combinations of bar count, timespan, resolution
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
* Any change
* Add more unit tests
* Nit changes
* Changes requested
* Fix bugs and requested changes
* Requested changes
* More changes
* Check ongoing backtest orders
* Read ongoing backtest does not fail
* nit change
* Fixes for standarized API orders response
- Fixes for a standarized API read orders reponse
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Minor improvements
- Avoid division by zero error in backtesting result handler. Race
condition where the SetAlgorithm implementation would still be running
and we try to loop through the update method
- Improvement nullreference exception message
- Cleanup resolution to timespan extension method
* Address reviews
- Cleanup data config fill forward conditional statement for tick
resolution
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Fix live future and option universe selection daily resolution
- Adding unit test reproducing issue for option and future universe
chain using daily resolution, since was rounding down in UTC TZ the
date might not change and it would re emit the same data point
* Address reviews
- Add more test cases
- Adding locks around RegisteredSecurityDataTypesProvider to allow it to
be used by multiple threads at the same time without exploding
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Minor fixes for mapped futures contract
- Future security was never able to be non tradable
- Skip remove future contracts from live holdings. Adding unit test
reproducing issue and regression algorithm
* Fix removal of continuous futures
- The canonical continuous future would leave behind an OpenInterest
subscription when removed because of a different in the way the
configurations were built, this will now be centralized in a single
method. Adding unit tests reproducing issue
- FillForwarding setting of the continuous future was not being
respected. Updating algorithm reproducing the issue to assert the
behavior failing in master
* Address reviews
- Minor refactors addressing reviews
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Fix result handler live holdings
- Live result handler live holdings will include future assets
associated with continuous futures. Adding unit tests
* Fixed for live holdings price rounding
- Live holdings will use the SPDB minimum price variation for rounding.
Adding unit tests
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
- Similar to the OptionChainUniverse, the future chain universe should
also add it's contracts using the raw data normalization mode. Adding
regression algorithm reproducing issue
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
- Replace logic to convert TimeSpan based PeriodConsolidator into count
based, by an override of the 'potentialStartTime' in the case we could
be falling into a look ahead consolidated bar end time
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
- Adding OpenInterestAnnual where the contract maps when any of the back month
contracts of the next year have a higher volume that the current front month.
- Add support for backwards compatible data mapping mode additions
- Updating ES map and factor files. Adding a little daily data too
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
- During warmup period the algorithms initial time might not be a rounded date
value, so it's important to take into account hours/minutes. Adding
regression algorithm reproducing and asserting issue
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Period timespan consolidation improvements
- If user is trying to consolidate a period providing data of a bigger
period we will now throw an exception. Adding tests
- If both consolidated and given data share the same period, gently
adjust the consolidator into a data count of 1. Adding tests
- Fixing bug in QuoteBarConsolidator period double accounting. Adding unit tests
* Add Period and Count regression algorithm
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Fix QuoteBar NonTimeBased Consolidator Period
- Fix QuoteBar non timebased consolidator period, that was accounting
twice for the initial bar period. Updating unit tests
* Improve QuoteBarConsolidator assertion
- Assert quote bar consolidated time and endtime in unit tests
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
- Add error log at OptionSymbol.IsOptionContractExpired in the case we
detect an unexpected expiration time. That could be related to
Symbol.ID.Date being incorrect
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Fix option price and greeks always beign zero on the expiration date
* Fix option price and greeks always beign zero on the expiration date
* Updated documentation
* Style and performace changes
* Address changes request
* Fix QL.Settings.includeReferenceDateEvents not being set on every thread
* Updated code documentation
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Add indicator for allowed option styles to QL option price models
* Add and update option price model tests
* Update option price models methods sumary to indicate allowed option styles
* Add regression algorithms for option price models for different option styles
* Update OptionPriceModel regression algorithms to use Lean local data
* Add Python regression algorithms for option price models for different option styles
* Update OptionPriceModel regression algorithms to assert that greeks are valid
* Address changes request
* Address changes request
* Update OptionPriceModel regression algorithms to check both call and put contracts
* Update OptionPriceModel regression algorithms to use correct test data
* Update OptionPriceModel regression algorithms to throw in OnData
* Address changes request
* Update OptionPriceModel regression algorithms to assert greeks are not all zero
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* 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
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Since there is `UpdateStopPrice`, `UpdateLimitPrice`, `UpdateQuantity` and `UpdateTag` method to make it easier to update the `OrderTicket`, we include `UpdateTriggerPrice` to cover the `LimitIfTouched` case.
Also, updated the docs or the arguments for these methods.
Updates LimitIfTouchedRegressionAlgorithm:
- Adds `UpdateTriggerPrice` call that rounds down the `TriggerPrice`.
Martin-Molinero