a0491a9b74
python-additional-paths config file setting (#6667 )
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* Add python-additional-paths setting in config file
* Configure python additional paths in JobQueue instead of PythonInitializer
2022-09-30 16:52:17 -03:00
abeb841a0c
Adds Additional Condition to Parse SecurityIdentifier Properties ( #6658 )
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* Adds Additional Condition to Parse SecurityIdentifier Properties
A string can pass the previous conditions and create an invalid `SecurityIdentifier` (e.g. "Sharpe ration"). If it is invalid, the Market is not supported (e.g. "378").
* Adds Unit Test to Pandas Indexing
* Log Only Once if TryParseProperties Cannot Parse
Use cache to increase speed and remove redundant logging
2022-09-29 10:13:45 -03:00
783805ccf9
Allow running start from python ( #6662 )
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* Allow running start from python
- Allow running start.py from python as well as IPython, so C# can be
called. Adding unit test
* Address review
2022-09-28 12:57:47 -03:00
848d812bf2
Fixes Buying Power Model Selection for Cash Account ( #6652 )
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`DefaultBrokerageModel` was selecting `CashBuyingPowerModel` for securities not supported by this model as it only supports Crypto and Forex.
2022-09-26 12:50:08 -03:00
96b07e6916
Add PyObject overload to ETFConstituentsUniverseSelectionModel ( #6616 )
2022-09-26 12:47:25 -03:00
7796868da7
Fix research image typo ( #6650 )
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Fix research image typo
2022-09-22 10:58:23 -03:00
108bfa6c0a
Enable debugging worker threads ( #6647 )
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- Enable debugging worker threads in python
2022-09-21 16:29:37 -03:00
7f44c3d605
Update readme.md
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2022-09-19 19:34:02 -03:00
59eae963be
Fix order cancel using order ticket ( #6640 )
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- If cancel request failed, allow user to retry. Adding unit test
reproducing the issue
2022-09-19 18:36:51 -03:00
c48979e986
Remove alpha stream from docker image ( #6638 )
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2022-09-19 17:48:07 -03:00
e54fe3ae95
Pin clr loader version ( #6641 )
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2022-09-19 17:04:24 -03:00
ee685ea045
Add new python libraries to foundation ( #6629 )
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2022-09-19 13:20:54 -03:00
11f13be75b
docs(VixDualThrustAlpha): readability improvements ( #6632 )
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* docs(VIXDualThrustAlpha): `determine` fixup
Signed-off-by: Ryan Russell <git@ryanrussell.org >
* docs(VixDualThrustAlpha): `unsubscribe` fixup
Signed-off-by: Ryan Russell <git@ryanrussell.org >
Signed-off-by: Ryan Russell <git@ryanrussell.org >
2022-09-19 13:17:18 -03:00
188506b5da
docs(ShareClassMeanReversionAlpha): dollar-neutral fixup ( #6631 )
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Signed-off-by: Ryan Russell <git@ryanrussell.org >
Signed-off-by: Ryan Russell <git@ryanrussell.org >
2022-09-19 13:17:10 -03:00
ca83e8443f
docs(BasicTemplateIndiaIndexAlgorithm): readability fixups ( #6633 )
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* docs(BasicTemplateIndia): `Prperties` -> `Properties`
Signed-off-by: Ryan Russell <git@ryanrussell.org >
* docs: `Intialization` -> `Initialization`
Signed-off-by: Ryan Russell <git@ryanrussell.org >
Signed-off-by: Ryan Russell <git@ryanrussell.org >
2022-09-19 13:16:54 -03:00
ac0cdb20f5
docs: formatted readability fix ( #6627 )
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Signed-off-by: Ryan Russell <git@ryanrussell.org >
Signed-off-by: Ryan Russell <git@ryanrussell.org >
2022-09-16 17:32:44 -03:00
a131a4849a
docs: automatic readability fixes ( #6626 )
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Signed-off-by: Ryan Russell <git@ryanrussell.org >
Signed-off-by: Ryan Russell <git@ryanrussell.org >
2022-09-16 17:32:28 -03:00
31b603593d
Get history for a specific bar type in Python ( #6611 )
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* Get history of a given bar type in python
* Separate GetDataFrame in sub methods to avoid dynamic type resolution
* Housekeeping and unit tests update
* Use all requests in python type method history method
* Address changes request
* Reverted some requested changes
2022-09-13 10:26:47 -03:00
f62f110b1b
Handle non-unique multi-index error in history dataframe creation ( #6617 )
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* Handle non-unique multi-index error for Ticks in data frame creation
* Update unit tests
* Update unit tests and add comments
* Add regression algorithm
2022-09-08 19:40:57 -03:00
ede2991823
Add ETF universe selection model and example algos ( #6604 )
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* Add ETF universe selection model and example algos
* Address review
* address peer review
2022-09-07 21:32:51 -03:00
3b65f4b9a1
Fix micro crude oil future expiration ( #6614 )
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* Fix micro crude oil future expiration
- Fix micro crude oil future expiration. Adding unit test
* Add MicroCL for ExpiriesPriorMonth
2022-09-07 21:06:28 -03:00
f755b91158
Fixes PythonData.EndTime ( #6602 )
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* Fixes PythonData.EndTime
The `EndTime` property of `PythonData` didn't override the base implementation in `BaseData`. Therefore `EndTime` was always set as `Time`.
Fixes Regression Tests
- The C# version of `Bitcoin` class needs to implement `EndTime`-
- Fixes regression tests
* Minor tweaks and rebase
- Add support for python data types just setting EndTime. Adding unit
tests for PythonData
- Fix for DynamicData EndTime property being fetched. Updating unit
tests
Co-authored-by: Martin-Molinero <martin@quantconnect.com >
2022-09-07 14:53:05 -03:00
7d1cd79618
Fix warmup live time zone ( #6612 )
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- Fix live trading warmup timezone issue. Adding unit test
- Adding useful configuration values to main config.json
2022-09-02 18:30:46 -03:00
a0ba23a7f0
Update readme.md
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2022-09-02 17:24:35 -03:00
4415468d96
Update CME futures market hours ( #6607 )
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* Update CME futures market hours
* Update regression algorithms stats
* Update regression algorithms stats
* Update expected values in unit tests
* Additional mhdb updates
* Update mhdb
2022-09-02 12:33:50 -03:00
dff92ac85e
Fix BlackLittermanPortfolioConstructionModel ( #6603 )
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* Remove redundant dimension that throw error
* Fix bug
* Fix bug
* Add dimension test
* Fix test and bug
* Fix python bug
* Address peer review
* Update python workflow
* Update python and test
2022-09-01 16:43:23 -03:00
dc4a903727
Fix ObjectStore limits enforcement ( #6609 )
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- Fix object store limits enforcement. Adding unit tests
2022-09-01 13:52:11 -03:00
5e7651f699
Update dotnet interactive ( #6608 )
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2022-09-01 12:43:02 -03:00
fcd48ecdbb
Object Store Improvements ( #6605 )
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- Fix for cache behavior, finer grained writting and loading
- Add Keys and Clear to the object store API. Adding tests
2022-08-31 20:50:00 -03:00
8e8aa74fb0
Add project id to algorithm ( #6600 )
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- Add projectId for algorithm usage
2022-08-30 20:56:28 -03:00
548a6998e3
Report generation with non-default algorithm settings ( #6589 )
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* Add algorithm settings to backtest results
* Use algorithm result settings in report generation
* Add unit tests
* Housekeeping
* Changes for live result report
* Housekeeping
* Housekeeping
* Housekeeping
* Add unit tests
2022-08-30 19:23:25 -03:00
9a062e4b5d
Include trades and quotes in tick history request ( #6595 )
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* Include both quotes and trades in Tick history request
* Regression algorithm
* Housekeeping
* Housekeeping
2022-08-30 19:03:11 -03:00
82f2aa7a63
Parsing all currencies in a number with currency ( #6599 )
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* Correctly stripping out currency symbol from numbers with currency
* Fixes
2022-08-30 19:02:21 -03:00
46aa62bd0c
Improve object store key support ( #6598 )
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2022-08-30 18:18:50 -03:00
250230e79f
Global object store ( #6594 )
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* Refactor object store
* Address reviews
* Simplify implementation
- Remove base64 encoding
- Refactor object store api to allow a single path argument
* Fix bug
* Adjust storage controls
* Fix unit tests
2022-08-30 16:40:01 -03:00
0be339d75f
Update python install instructions ( #6590 )
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2022-08-26 18:51:32 -03:00
3eb2b94070
Minor logging improvements ( #6588 )
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- Add virtual env name in init log
- Log account type with cashbook
- Consolidate job handlers log. Adding DataProvider
2022-08-26 14:18:28 -03:00
b655bd776e
Addition of Risk Parity Portfolio Construction Model ( #6577 )
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* /
* Models
* Models
* Partial test
* Complete test and fix bug
* Address peer review
* Address review and fix bugs
* Fix regression result
* Fix regression result
2022-08-26 12:23:31 -03:00
2bc41e0e32
Websocket improvements ( #6585 )
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* Dynamically set wait time on WS error
- Dynamically adjust wait time on websocket error
* Avoid subscribing multiple times to message events
- Avoid websocket subscription multiple times to message events during
disconnection/connection cycle
* Add Dispose Brokerage WebSocket Subscription Manager
2022-08-26 10:53:28 -03:00
d6d3514ae2
Live warmup resolution check ( #6586 )
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- Add check for live warmup history request, making sure there is at
least room for a single bar between start and end. Avoid sending
start==end when rouded down by the resolution causing some history
providers to fail
2022-08-26 10:50:02 -03:00
575f17c6ec
Order command improvements ( #6584 )
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- Create SubmitOrderRequest method in algorithm API to reduce
duplication of code and responsability.
- Add order command tests for different failure and success cases
- Fix null reference exception in equity fill model, when there is no
data for an asset.
2022-08-25 15:53:11 -03:00
3c6ae2f1e7
Fix report's exposure plot colors and other bugs ( #6580 )
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* Use correct colors in report's exposure plot
* Add 12 month rolling sharpe to report plot
* Housekeeping
* Fix failing unit tests
2022-08-25 12:28:22 -03:00
19f3d8b305
Fix python memory leak ( #6579 )
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* Fix python memory leak
- Fix python memory leak. Adding unit test
* Update pythonnet to 2.0.17
2022-08-24 18:24:07 -03:00
475f295ce0
Support market orders for futures and FOPs on extended hours ( #6575 )
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* Allow market orders for futures and FOPs on extended market hours
* Update regression algorithms stats
* Add futures fill model to allow extended market hours
* Add unit tests
* Update regression algorithms stats
* Update regression algorithms stats
* Housekeeping
2022-08-24 11:04:52 -03:00
7fdedbe98f
Rename python environments ( #6572 )
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* Rename python environments
* Rename to Foundation-Py/C#-Default
2022-08-23 19:06:19 -03:00
24605c6788
Add missing PY.GIL when shutting down ( #6571 )
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2022-08-23 17:40:20 -03:00
c8a80e361c
Update readme.md
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2022-08-23 15:53:29 -03:00
dc7b2faa6b
Fix launcher potential null reference ( #6567 )
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- Fix launcher potential null reference if the job is null
2022-08-22 19:03:32 -03:00
9cd38a388b
chore(.NET 6): Update references from dotnet 5 to dotnet 6 #6560 ( #6565 )
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* docs(dotnet6): `dotnet 5` -> `dotnet 6`
Signed-off-by: Ryan Russell <git@ryanrussell.org >
* `.Net 5` -> `.Net 6`
Signed-off-by: Ryan Russell <git@ryanrussell.org >
Signed-off-by: Ryan Russell <git@ryanrussell.org >
2022-08-22 17:51:24 -03:00
04723df362
Fix ARM foundation image ( #6566 )
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- Remove unsupported libraries
2022-08-22 17:50:11 -03:00
Jhonathan Abreu