* Foundation Update
* Adding more foundation packages
* Update existing libraries
* Further package updates
* Image cleanup
- Update base image to ubuntu 22.04
- Some clean up on dockerfile
- Remove ARM base image
* Test updates
- Minor docker file tweaks
- Update existing python environment tests
* Add more tests & fix Julia
* Remove jupyter-dash
* Remove R from foundation
* Remove Julia
* Remove Tensorforce
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Adds Regression Test
The new regression test asserts that the total trades is 2.
* Fixes Liquidate Existing Holdings Bug
Liquidate existing holdings before open new postions.
* Addresses Peer-Review
Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* IsOption uses underlyings holidays
- Option assets will use underlyings holidays, early closes and late
opens if their own are not defined
* Update regression algorithms
Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Adds Unit Tests
The `LimitFill` method should not fill using `QuoteBar` or `Tick` with `TickType.Quote` type.
Adds missing test for tick data (`TickType.Trade`).
* Fixes EquityFillModel.FillModel
Use `Tick` with `TickType.Trade` or `TradeBar` information to fill limit orders.
* Update Regression Test Expected Statistics
The regression tests changed because of different fills.
The `ExtendedMarketTradingRegressionAlgorithm` has different number of trades because of an extra fill on the 4th order generated by TradeBar with a Low lower than than the QuoteBar.Ask Low:
> 20230222 13:56:24.251 TRACE:: Log: Time: 10/10/2013 12:01:00 OrderID: 4 EventID: 2 Symbol: SPY Status: Filled Quantity: 10 FillQuantity: 10 FillPrice: 143.8998 USD
> asset.Cache.GetData<QuoteBar>().ToString()
"SPY: Bid: O: 144.2457 Bid: H: 144.2629 Bid: **L: 144.2457** Bid: C: 144.2629 Ask: O: 144.2543 Ask: H: 144.2889 Ask: **L: 144.2543** Ask: C: 144.2889 "
> asset.Cache.GetData<TradeBar>().ToString()
"SPY: O: 144.2543 H: 144.4532 **L: 143.4156** C: 144.2716 V: 75423"
* Improves Tick Resolution Unit Test
* Fixes Tick Resolution Case Handling
`master` only considers the latest trade, missing possible fills in the batch of trades.
* Adds Unit Test for Gap
See https://github.com/QuantConnect/Lean/issues/963
* Addresses Fill Optimistic Assumption
If we have a bar that gaps in our favor, we accept the limit price to avoid optimitic fills.
* Fixes Regression Tests
All regression tests with limit orders have worst performance after we remove the optimitic assumption, and use the limit price instead.
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* Updates the PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm
Change the `PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm` logic to show that it doesn't remove the consolidators used in the Alpha Model's indicators.
* Fixes `BasePairsTradingAlphaModel`
The `BasePairsTradingAlphaModel` will create indicators with class constructors and register them to consolidators that will be removed when the security is removed from the universe.
* Addresses Peer-Review
* Update Oanda's Forex and Metals CFDs trading hours in the MHDB
* Fix failing unit tests
* Update regression algorithm statistics
* Fix failing unit tests
* Minor changes
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
* Fix Issue #6937
Some brokerage models don't check the order type in `CanSubmitOrder`.
As a result, unimplemented order types don't cause `CanSubmitOrder`
to return false as it should.
This commit fixes these issues for:
* `FTXBrokerageModel.cs`
* `InteractiveBrokersBrokerageModel.cs`
* `SamcoBrokerageModel.cs`
* `TradierBrokerageModel.cs`
* `ZerodhaBrokerageModel.cs`
Brokerage implementations can be found at
https://github.com/orgs/QuantConnect/repositories. For example, the
Zerodha Brokerage implementation is available at
https://github.com/QuantConnect/Lean.Brokerages.Zerodha.
Signed-off-by: Abhishek Kumar <abhi.kr.2100@gmail.com>
* Use HashSet instead of an array
Checking if an object is contained within a HashSet is faster than
checking the same in an array.
Signed-off-by: Abhishek Kumar <abhi.kr.2100@gmail.com>
* Minor adjustments and normalization
* Add missing OptionExercise for IB
---------
Signed-off-by: Abhishek Kumar <abhi.kr.2100@gmail.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Fix live trading chart series index
- Fix Series loosing their index when handled by the
LiveTradingResultHandler
- Some clean up for Series.cs
* Fix SeriesSampler loosing Series settings
* Adds NullBuyingPowerModel
The `NullBuyingPowerModel` considers that we have sufficient buying power for all orders.
Adds example using a bull call spread since a equity buy and hold would not show the impact of this model in the position group buing power model.
* Define NullBuyingPowerModel.GetMaintenanceMargin
The `NullBuyingPowerModel.GetMaintenanceMargin` returns a `MaintenanceMargin` of zero. It means the total margin used is always zero and margin calls will not be triggered.
This feature is inspired on the `ConstantBuyingPowerModel`. We don't inherit from that class, because `ConstantBuyingPowerModel.GetInitialMarginRequirement` gives us very small initial margin that leads to a very large quantity if we use `SetHoldings` or `CalculateOrderQuantity`
Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
The calculations of `CloseTimeUtc` are correct and consistent: if the exchange is closed when the insight expires, `CloseTimeUtc` is the next open.
However, the definition of the `Period` was not consistent. Normally, it is defined by the different between `CloseTimeUtc` and `GeneratedTimeUtc`, but when we create an Insight with the Resolution and bar count overload, the period was defined by them:
```csharp
insight.Period = Resolution.ToTimeSpan().Multiply(BarCount);
```
which is incorrect, since it doesn't take the days the exchange is closed into account. The `ComputePeriod` method enforced consistency between the Resolution and bar Count overload and the `DateTime` overload, so the period for this overload was also incorrect.
* Custom data type history request in python
* Potential solutions
* Minor changes
* Use Slice.Get(Type) for getting python custom data history
* Minor changes
* Add unit tests
* Add unit tests
* Udpdate regression algorithms
* Peer review
* Peer review
* Add research regression tests
* Minor changes
* Minor changes
* Minor tweaks
---------
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* Fix index option data timezone
- Fix index option data timezone which was 1 hour late than expected
* Update existing index option tests
- Update existing index option tests.
- Disable index option daily resolution support
Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* 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
Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* 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
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* 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
Python Virtual Environments / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* 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
* 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
Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* 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
Louis Szeto