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* refactor(Algorithm): Correct `Intrinino` -> `Intrinio` references
Signed-off-by: Ryan Russell <git@ryanrussell.org>
* refactor(Algorithm): Update `evemts` -> `events`
Signed-off-by: Ryan Russell <git@ryanrussell.org>
* refactor(BubbleAlgorithm): readability improvements
Signed-off-by: Ryan Russell <git@ryanrussell.org>
* refactor(OrderTicketDemoAlgorithm): readability improvements
Signed-off-by: Ryan Russell <git@ryanrussell.org>
Signed-off-by: Ryan Russell <git@ryanrussell.org>
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* Fix KeyError when rendering exposure chart in report with some security types
* Update exposure chart colors and add unit tests
* Updated json test file
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* handle multiple command files
* remove default useage
* add tests for verify files are read in order
* add comment
* change reuslt file name
* add comment
* liquidate using given symbol values
* remove redundant
* accept ticker, market, security type to build symbol, to be used by CLI commands
* use null leverage
* symbol can be null if ticker, market, security type values are provided
* reject the default value of security type
* cleanup
* cleanup
* check if status is not invalid
* cleanup
* abstraction to remove duplication
* fix name
* address reviews
* use counter
* add test to validate symbol/ticker agrumnets
* remove hardcoded values
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* MRP
* Fix bug
* Rename
* Provide virtual `GetPriceRelative` function to override for any variants in future
* SymbolData class within model
* Address peer review
* fix bug
* revise unit test and fix bug in python model
* revise unit test and fix bug in model
* Revise regression statistics
* Revise regression statistics
* Revise regression statistics
* Revise regression statistics
* Revise regression statistics
* Address peer review
* Updated unit tests according to peer review
* Address peer review
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* 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
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* Add performance gh action
- Add new performance github action, running python and csharp benchmark
algorithms
- Adjusting algorithms length so they are not too long or too short
* Checkout master branch benchmark reference
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- 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
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* 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
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* 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
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* 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>
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* 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
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* 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
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* 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
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* 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
Ryan Russell