3507c91640
Fix future daily price scale factor update ( #6963 )
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* Fix future daily price scale factor update
- Fix future daily price scale factor update which was happening 1 day
late due to data and exchange time zone differences.
Adding regression algorithm reproducing and asserting it.
* Address review
2023-02-14 20:09:59 -03:00
ebb31d0fb4
Unsettled cash conversion rate update ( #6961 )
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* Update unsettled cashbook cash conversion rates
Also moved conversion rate holding from Cash to the CurrencyConversion
instance
* Minor fixes
* Peer review
* Minor fixes
* Minor fixes
* Minor fixes
2023-02-14 18:19:25 -03:00
dcd60d0551
Add support for HTML reports conversion to PDF ( #6960 )
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* add wkhtmltopdf to lean image
* convert html to pdf
* avoid black stripts at bottom of each page
* address reviews
* address review
* address reviews
* self review
* address review
2023-02-14 15:50:19 -03:00
dc2c68c754
Fix security cache reset ( #6959 )
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* Fix security cache reset
- Fix security cache reset so it only happens when no universe has it as
a member. Adding regression algorithm reproducing issue
* Avoid non deterministic FillForward behavior
2023-02-14 12:09:27 -03:00
2791765c94
Make Consolidate Calendar overload with tick type public ( #6957 )
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2023-02-13 16:01:30 -03:00
f270f25eca
Fix default future chain universe selection ( #6958 )
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* Fix default future chain universe selection
- Fix default future chain universe selection that should always return
empty, no selection. In some cases it would allos some contracts
though. Adding regression algorithm reproducing issue.
* Address review
2023-02-13 15:56:48 -03:00
8235de42a0
Minor debugging improvements ( #6954 )
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* Minor debugging improvements
- Improve exception message if user provides empty/null ticker
- Log margin information on algorithn initialization
- Add unit test asserting option strategy position groups resolve
correctly for existing holdings
* Symbol Lazy SecurityDefinitionSymbolResolver
- Symbol will have a lazy SecurityDefinitionSymbolResolver instance
resolution
2023-02-13 10:49:10 -03:00
c2e21df18b
Fix combo order prechecks ( #6953 )
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- Apply combo order prechecks before submitting orders. Adding unit test
2023-02-10 19:11:45 -03:00
35dfcd73ab
Index options MHDB review ( #6890 )
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* Index options MHDB review
* Update MHDB
* Update regression algorithms stats
* Update regression algorithms stats
* Add index and index options holidays
* Peer review
* Update algorithms stats
2023-02-10 14:37:44 -03:00
3783900eef
Move Brokerages namespace's messages to Messages folder ( #6915 )
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2023-02-10 13:49:15 -03:00
9fea859323
Symbol to industry-standard security identifier conversion ( #6893 )
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* Implement SecurityDefinitionSymbolResolver backwards conversion (symbol -> standard id)
* Peer review
* Peer review
* Peer review
2023-02-10 13:12:13 -03:00
6e2744af7c
Move Securities namespace's messages to Messages folder ( #6922 )
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* Move Securities namespace's messages to Messages folder
* Rebase related fixes
---------
Co-authored-by: Martin-Molinero <martin@quantconnect.com >
2023-02-10 11:31:11 -03:00
962b91fc12
Fix Messages namespace collision
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2023-02-10 10:50:03 -03:00
cf00d3c9f3
OptionStrategies for put calendar spread index weeklies example ( #6951 )
2023-02-10 10:44:47 -03:00
8af5c8b6f2
OptionStrategies for put butterfly index weeklies example ( #6950 )
2023-02-10 10:42:40 -03:00
1fcef8c024
OptionStrategies for Index Option Call Butterfly (#6949 )
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* OptionStrategies for call butterfly index weeklies example
* fix typo
2023-02-10 10:42:07 -03:00
a912638496
Move QuantConnect namespace's messages to Messages folder ( #6924 )
2023-02-10 10:41:05 -03:00
5611b5508a
Binance crypto futures fee models ( #6874 )
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* Add Binance Futures and Binance Coin Futures fee models
* Add unit tests
* Add unit tests
* Minor changes
* Peer review
* Peer review
2023-02-09 19:25:27 -03:00
b3bd15d3c2
Move Notifications, Optimizer and Python namespaces' messages to Messages folder ( #6931 )
2023-02-09 19:23:39 -03:00
25ab8bdacc
Move small namespaces' messages to 'Messages' folder ( #6930 )
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* Move Benchmarks, Exceptions and Indicators namespaces' messages to Messages folder
* Move Command namespace's messages to Messages folder
2023-02-09 19:17:40 -03:00
38c5ef3e2b
Add CME Ether futures to symbols database ( #6884 )
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* Add Ether futures to symbols database
* Change ETH futures exchange time zone to US/Central
* Add new contracts FuturesExpiryFuntions
* Remove BTIC Micro BTC and BTIC Micro Ether securities
* Add Ether futures IB fees and price multiplier entry
* Update Ethereum price multiplier
2023-02-09 18:42:19 -03:00
194f01e621
Move Algorithm namespace's messages to Messages folder ( #6916 )
2023-02-09 18:35:29 -03:00
61b5231c50
Research GetOptionHistory Weekly Index Improvement ( #6946 )
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- Improve research GetOptionHistory weekly index option support. Adding
unit test
2023-02-09 18:35:20 -03:00
4a06fcdda0
OptionStrategies for Index Option Bull Put Spread (#6945 )
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2023-02-09 16:10:14 -03:00
8325fd18ca
OptionStrategies for Index Option Bull Call Spread (#6944 )
2023-02-09 16:07:43 -03:00
2bc8783082
OptionStrategies for Index Option Bear Put Spread (#6943 )
2023-02-09 16:07:00 -03:00
0d9f011758
OptionStrategies for Index Option Bear Call Spread (#6942 )
2023-02-09 16:06:12 -03:00
6dfc6c710c
Add algorithm parameters to result ( #6878 )
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* Add algorithm parameters to result's AlgorithmConfiguration
* Peer review
2023-02-09 12:55:30 -03:00
e30232e21b
Portfolio.UnsettledCashBook update when quote currency is not the account currency (#6871 )
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* Tracking unsettled cash for non-USD account currency
* Add unit tests
* Peer review
* Move and rename CashBook.UpdateType to Globals
2023-02-09 12:53:52 -03:00
8730eeb8a9
Volume Renko Consolidator & Bar ( #6888 )
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* Volume Renko Consolidator & Bar
* address peer review
* Minor fix on tests
---------
Co-authored-by: LouisSzeto <hke0073@hotmail.com >
2023-02-09 10:46:02 -03:00
914485c595
Rename SubscriptionRequest.TradableDates to TradableDatesInDataTimeZone for clarity ( #6892 )
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Usages were reviewed to make sure all of them expect it to be in data
time zone instead of exchange time zone
2023-02-08 20:28:37 -03:00
02f085ee9e
Validate date on security identifier generation ( #6897 )
2023-02-08 20:26:37 -03:00
f4cf7b6733
Fix SPXW option strategies ( #6939 )
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- Fix SPXW option strategies. Adding regression algorithm
2023-02-08 20:24:30 -03:00
d427970762
Check minimum Forex limits in IB Brokerage Model ( #6881 )
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* Checking both min and max forex order size limits in IB brokerage model
Also updated the limits table
* Address peer review
2023-02-08 16:40:18 -03:00
66ff14b3bd
Patch for missing tick data in history call ( #6932 )
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* Patch for missing tick data in history call
* Update TODO comment to include info on the proposed solution
2023-02-06 13:50:59 -08:00
a7a4af6b70
Add Security.SetMarginInterestRateModel methods and its python wrapper ( #6879 )
2023-02-06 07:57:55 -08:00
b1a6aa686c
Replace Nodes Endpoint in SDK ( #6899 )
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* Adds `project/nodes` Endpoint to SDK
* Removes `nodes` Endpoint from SDK
* Fixes Documentation for `ProjectNodesResponse`
2023-02-05 09:35:11 -08:00
14b10f5e81
Add example of bull/bear call spread using index option ( #6889 )
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* Add example of bear call spread using index option
* consistency
* Add bull call spread
* peer review
* peer review
* address peer review
* bug fix
* fix filter
* Address peer review
2023-02-02 13:01:47 -08:00
4d85f27f00
Add bull/bear put spread sample algorithms for index weeklies ( #6914 )
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* bear put spread
* bull put spread
2023-02-02 12:34:26 -08:00
c2efa65048
Add Call/Put Butterfly sample algorithms for index weeklies ( #6913 )
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* Add index weeklies' Call/Put Butterfly sample algo
* Address peer review
2023-02-02 12:34:04 -08:00
75eaf21e43
Add example algo of call & put calendar spread with SPXW ( #6907 )
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* Add example algo of call calendar spread with SPXW
* Add similar example for put calendar spread
* Refine
* consistency
* address peer review
* fix bug
* bug fix
* update
* Improved efficiency
* Address peer review
2023-02-02 12:33:17 -08:00
72a6ea9d31
Add SPXW Iron Condor example algorithm ( #6880 )
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* Add SPXW Iron Condor example algorithm
* review
* peer review
* Address peer review
2023-02-02 12:26:34 -08:00
2b9662c12e
Fix quote tick python consolidate call ( #6876 )
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2023-01-26 18:22:34 -08:00
98314d98ed
User-facing messages organization (first phase) ( #6912 )
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* Move user-facing order-related messsages to the Messages class
* Group Messages by class
* Move more orders messages
* Minor changes and docs
2023-01-26 16:14:57 -08:00
a860cfc32f
Combo orders reduced size validation ( #6864 )
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* Combo order legs ratio validation
* Minor changes and unit tests
* Minor changes
* Minor changes
* Minor changes
* Minor changes
2023-01-16 21:11:08 -03:00
6563d6e394
Use any resolution for chain provider ( #6860 )
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* Use any resolution for chain provider
- Use any data resolution available to source symbols for the file based
chain provider. Adding unit test
* Fix selection timezone bug
- Fix universe selection timezone bug. Updating regression algorithms
2023-01-16 16:10:07 -03:00
11cc062628
Combo limit orders price calculation ( #6858 )
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* Fix limit price calculation for combo limit orders fills
* Update regression algorithms
* Address reviews
* Fix thread race condition
Co-authored-by: Jhonathan Abreu <jdabreu25@gmail.com >
2023-01-13 18:02:25 -03:00
e8b95b80e1
Polygon Handles Data Subscriptions with One Security Type ( #6855 )
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* Handles Data Subscriptions with One Security Type
Polygon sells data subscriptions for security types separately, so we should not test whether the users have all three subscriptions, Equity, Forex, and Crypto. Users just need the type they will use.
Adds new crypto markets, and unit tests for them. Adapt unit test.
* Fixes ToolBox Downloader
Adds `--api-key` argument.
Closes #6687
* Address reviews
Co-authored-by: Martin-Molinero <martin@quantconnect.com >
2023-01-12 17:37:29 -03:00
a52822853d
Expand Index option support ( #6849 )
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* Expand Index option support
- Adjust APIs so that the same underlying can be used
for different options, adding support for SPX weekly options. Adding
regression tests
* Fix IndexOption.IsStandard
* Add IndexOption test
2023-01-12 16:39:02 -03:00
73e46cc9ae
TensorFlow Placeholder Fix ( #6852 )
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Fixed this error from happening when running this code:
tf.placeholder() is not compatible with eager execution.
at placeholder
raise RuntimeError("tf.placeholder() is not compatible with "
in array_ops.py: line 3341
at NetTrain
xs = tf.compat.v1.placeholder(tf.float32 in /QuantConnect/backtesting/./cache/algorithm/project/main.py: line 57
2023-01-11 11:18:47 -03:00
Martin-Molinero