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* Remove OnEndOfAlgorithm and update expected trades
* Update models to cancel insights
* Update expected results
There are 3 trades instead of 2 because the PCM does a rebalance
* Remove `Remove` method call
* Update to use the new `Cancel` method
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If we use `.astimezone(dt.tzinfo)`, the new time was convering the timezone from local (e.g. PST) to GMT (dt.tzinfo). In this case, we only want to remove the timezone to enable the operation.
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* Renames and Updates BaseAlphaModelFrameworkRegressionAlgorithm
The `BaseFrameworkRegressionAlgorithm ` will be used for multiple framework regression tests
* Updates and Renames EmaCrossAlphaModelFrameworkAlgorithm
Adds "Regression" to inform that it's a regression algorithm.
* Updates and Renames MaximumPortfolioDrawdownFrameworkAlgorithm
Adds "Regression" to inform that it's a regression algorithm, and use the model name: `MaximumDrawdownPercentPortfolio`
* Adds New Regression Algorithms
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* Adds BaseAlphaModelFrameworkRegressionAlgorithm
`BaseAlphaModelFrameworkRegressionAlgorithm` will be used to validate Alpha Model regression algorithm with the same universe.
- HistoricalReturnsAlphaModelFrameworkAlgorithm
- EmaCrossAlphaModelFrameworkAlgorithm
- MacdAlphaModelFrameworkAlgorithm
- RsiAlphaModelFrameworkAlgorithm
- BasePairsTradingAlphaModelFrameworkAlgorithm
* Addresses Peer-Review
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* Fix fill quantity using group order quantity for combo orders
* Add Order's ComboQuantity property
* Add Order's ComboDirection property
* Minor changes and regression algorithms update
* Minor changes
* Update algorithms stats
* Minor changes and regression algorithms update
* Store the full quantity for each combo order leg in Quantity property instead of the ratio
* Minor changes and regression algorithms update
* A few fixes after pair programming
* Handle grouping position reduction
---------
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Improves MinimumVariancePortfolioOptimizer Values Handling
The C# version of the `MinimumVariancePortfolioOptimizer` generated NaN resulting in unit tests failing.
If the solver returns NaN for an item, we set it to zero. if all items are NaN or Zero, we return the initial guess, since the sum cannot be zero.
* Fixes `RiskParityPortfolioConstructionModelTests`
We need to add insights to insight manager before we call `CreateTargets`.
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* Adds Unit Test
Asserts that we can remove a consolidator that was previously added.
* AddConsolidator Method Only Wraps Non-C# Consolidators
This behavior was implemented in `QCAlgorithm.RegisterIndicator` to avoid wrapping an object unnecessarily.
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- Improve LeanData aggregation helper methods to use shared consolidator based implementation
- Adding Tick to tradeBar aggregation
- Adding more unit tests
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- Fix data-queue-handler configuration initialization using paper brokerage
- Fix for downloader data provider request times
- Fix null reference exception in live result handler if algorithm is
null
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* Asserts Number of Insights In One PCM Regression Test
If the `EqualWeightingPortfolioConstructionModel` interacts with the `QCAlgorithm.Insights`, the number of elements in the collection should not the sum of emitted insights.
* Refactor Portfolio Construction Models to Use Insight Manager
`PortfolioConstructionModel` will use `QCAlgorithm.Insights" instead of class property `InsightCollection` to manage the insights. It no longer adds insights to the collection, but it removes them if they expire or the securities are removed from the universe.
Updates PCMs that were affected by the change.
* Updates Unit Tests
We need to add the insights to the insight manager before we call `PortfolioConstruction.CreateTargets`
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* Minor IndexOption underlying TZ fix
- Fix for option universe chain underlying TZ which might not match the
options one, bug affected IndexOption specifically.
* Update affected regression tests
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* Performance Improvements
- Remove Immutable collection from position groups to improve
performance. Adding more tests
- Remove ConcurrentDictionary from PortfolioTargetCollection &
DataManager. Adding more tests
- Add Securities enumerator keys & values cache
* Add test for PortfolioTargetCollection remove by reference
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* Apply splits and dividends to volatility models
* Apply splits and dividends to volatility models using history requests
* Add new ScaleRaw data normalization mode
Handling the new mode in the price scale enumerator.
* DataNormalizationMode.ScaledRaw history requests
* Minor changes
* Minor changes
* Disable new normalization mode in AddSecurity methods and other minor changes
* Peer review
* Minor changes
* Peer review
* Minor changes
* Peer review
* Peer review
* Peer review
* Add scaled raw history regression algorithm
* Add more regression algorithms
* Add more regression algorithms
* Add Slice.TryGet unit tests
* Peer review
* Peer review
* Peer review
* Peer review
* Peer review
* Update algorithms stats
* Peer review
* Peer review
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* Adds Unit Test For Limit Price Above/Below Open
See `LimitOrderFillsAtOpenWithFavorableGap`
* Fixes Limit Price Above/Below Open
If we place a buy/sell limit order below/above the current market price in TWS it fills immediately, so we model this behavior by filling with the opening price of the first trade bar.
* Updates Regression Tests
The number of trades did not change as expected. The fills are better because orders are filling with the open price when the new condition is met.
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* Refactor alpha statistics
- Refactor alpha statistics, cleaning up and simplifying no longer required calculations and scoring
- Adding new InsightEvaluator abstraction, adding C# & PY regression
algorithms
* Optimization backtest result json converter update
* Address reviews
- Remove IAlphaHandler, move insight storage responsability to IResultHandler
and centralizing insight collection on the QCAlgorithm.Insights to be
reused by the framework models
- Fix portfolio turnover single day backtests and duplicate time
sampling handling. Updating regression algorithms
* Add InsightCollection tests and minor fixes
* Adding more & improved tests
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The `LimitFill`, `LimitIfTouchedFill` and `StopMaketFill` methods require `TradeBar` data to test price levels. We create a method to serve these methods as well other methods that will require this information.
Removes `Price > 0` check for `TradeType.Trade` data. Unecessary check, since a tick price cannot be less or equal to zero.
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* Adds Unit Tests for Stop Market Fill
These unit tests covers new scenarios:
- Cannot trigger on quote data (QuoteBar or TickRype.Quote);
- Adds missing test for tick data (TickType.Trade)
- Unfavorable gap (see QuantConnect#4545)
* Fixes EquityFillModel StopMarketFill
Use the entire tick history to find the trigger price
Fill price is the stop price, unless there is an unfavorable gap (see #4545).
* Update Regression Tests
All regression tests keep the total trades. The difference are due to the time that the stop market orders are triggered and the prices that are filled. The `StopLossOnOrderEventRegressionAlgorithm` and the `UpdateOrderRegressionAlgorithm` observe the unfavorable gap case.
* Addresses Peer-Review
* Updates Regression Test
New `OrderListHash` because of the change in the fill on open case message.
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* remove annualization
* Update python optimizer to best fit in convex problem
* rerun test
* test metric
* Add comment to explain using simple return
* Add unit test on PR
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* Removes PythonTools from Solution
Missing removal from #6967.
It results in a runtime error if we use dotnet to list the packages:
`dotnet list ../Lean/QuantConnect.Lean.sln package`
* Update QuantConnect.Lean.sln
---------
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* 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
Derek Melchin