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* Invalidate option strategies orders when short selling over margin
When shorting an option strategy with margin requirements that cannot be
met, the order should be invalidated. The buying power model is now able
to detect said situation and result in unssuficient buying power.
The OptionsMarginModel now uses the parameters instance values instead
of the security holdings to compute margin requirements. This fixes the
situation when calculation buying power for a first time position with
no holdings.
* Add and fix unit tests
* Update regression algorithms
* Peer review
* Updates Regression Algorithm to Assert the Number of Insights
* Updates HistoricalReturnsAlphaModel to Cancel Insights Not Emit Flat
We expect fewer insights after this change, but no changes to any regression algorithm.
* Updates Regression Algorithm
Assert the new expected number of generated insights.
* Use InsightCollection Clear Method
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Replaces old `TrailingStopRiskFrameworkAlgorithm` for `TrailingStopRiskFrameworkRegressionAlgorithm` that inherits from `BaseFrameworkRegressionAlgorithm` as a member of the framework regression tests.
* Update regression test
* Update model to expire insights
* Avoid remove insights
* Update regression test
* Use InsightManager Cancel to Expire All Insights
* Update CompositeRiskManagementModelFrameworkAlgorithm
This regression also depends on `MaximumUnrealizedProfitPercentPerSecurity` and `MaximumDrawdownPercentPerSecurity` but `MaximumDrawdownPercentPerSecurity` doesn't close positions.
---------
Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
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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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* 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>
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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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* 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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* 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
* 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
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* 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
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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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* 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
* 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`
* 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 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
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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
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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
* 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
Jhonathan Abreu