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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>
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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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* 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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* IsOption uses underlyings holidays
- Option assets will use underlyings holidays, early closes and late
opens if their own are not defined
* Update regression algorithms
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* 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.
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* 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`
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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>
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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
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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
* 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
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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
Martin-Molinero