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* Downloader data provider fixes
- Fix stored data time zone, which is expected in data time zone
- Minor logging improvements
- LeanData Parse handles etf universes path. Adding unit test
- LeanDataWrite will only map if there's something to map to
* Fix download data provider synchronization
* Synchronization improvements after more testing
- KeyStringSynchronizer will handle reentrancy. Adding unit tests
- Define a unique Synchronizare for downloading data, since not related
to disk reading & writting
* LeanDataWriter can handle mapping
- Adjust LeanDataWrite so that it can handle symbol mapping if required.
Adding unit tests
* Fix Lean Data path parsing
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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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* 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
* 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>
* 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
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* CryptoFutures adjustments
- Address reviews of CryptoFutures:
- Add new Slice MarginInterestRates collection
- Add new regression tests asserting funding rate application behaves
the same no matter the resolution
- Add auxiliary data by type into the security cache
- Revert BuyingPowerModel changes
* Make interest rate application time deterministic
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* WIP
* Add base currency cash
* Symbol properties and data processing
* Add basic template algorithm
* Add hourly crypto future algorithm
* Minor fixes after live trading testing
* CoinApiDataQueueHandler CryptoFuture support
* Address reviews
* Fix regression algorithms after update
* Using IV to calculate Greeks, and remove single-step stochastic approximation
* Correct calculation for theta, vega, rho
* Add calculation from Black Calculator and peer review
* Address peer review and added unit test
* Update some tests and correct vega/eho
* Fix Unit Test and Improve Comments
Fixes `IndexOptionCallITMGreeksExpiryRegressionAlgorithm` since `Vega` was really non-zero.
* Fix regression test and add IV calculation
* refactor and bug fixing on peer review
* refactor and bug fixing on peer review
* for rerun test
* add warning on IV estimation not coveraged and edit speed unit test to not exceed 2s per 1000 iteration
* update logging
* update logging and description
* Add default option pricing models and unit tests
* address review
* Added Fed interest rate as risk-free rate with unit tests and set as default for option greeks calculation, added regression algorithms, addressed peer review
* refactor structure of interest rate
* Skip Saturday and Sunday
* regression test fix
* peer review
* Fixes Interest Rate Provider Logic
* Minor tweaks
* Fix start date
* Minor test tweak
* Update interest rates
* Fix unit tests
* Add minor log
Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Data monitor (FIRST TEST)
* Calculate data request frequency in data monitor
* Detecting universe data usage in data monitor
* Json data monitor report generation
* Data monitor refactor
* Log and store data monitor report
* Data monitor report tests
* Clean up
* Clean up
* Address changes request
* Address changes request
* Wire data monitor only for backtest, not for live or research
* Minor tweaks
* Some minor tweaks
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Memory Related Performance improvements
- Make sure we cleanup & dipose of python related objects during pandas
data generation.
- Disable memoizing enumerable use while creating pandas data frames,
since we do not require it
- Reduce unrequired object creations
- Replace concurrentCollections for ordinary locks
* Decimal parsing typo fix
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* Normalize time in universe behavior
- Normalize Option & Future chain universe behavior regarding their
assets time in universe. They will now respect the universe settings
time in universe value. Adding new regression algorithms asserting the
behavior
* Address reviews & cleanup
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* Fixes PythonData.EndTime
The `EndTime` property of `PythonData` didn't override the base implementation in `BaseData`. Therefore `EndTime` was always set as `Time`.
Fixes Regression Tests
- The C# version of `Bitcoin` class needs to implement `EndTime`-
- Fixes regression tests
* Minor tweaks and rebase
- Add support for python data types just setting EndTime. Adding unit
tests for PythonData
- Fix for DynamicData EndTime property being fetched. Updating unit
tests
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Dynamically set wait time on WS error
- Dynamically adjust wait time on websocket error
* Avoid subscribing multiple times to message events
- Avoid websocket subscription multiple times to message events during
disconnection/connection cycle
* Add Dispose Brokerage WebSocket Subscription Manager
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* Minor improvements
- Avoid division by zero error in backtesting result handler. Race
condition where the SetAlgorithm implementation would still be running
and we try to loop through the update method
- Improvement nullreference exception message
- Cleanup resolution to timespan extension method
* Address reviews
- Cleanup data config fill forward conditional statement for tick
resolution
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* Minor fixes for mapped futures contract
- Future security was never able to be non tradable
- Skip remove future contracts from live holdings. Adding unit test
reproducing issue and regression algorithm
* Fix removal of continuous futures
- The canonical continuous future would leave behind an OpenInterest
subscription when removed because of a different in the way the
configurations were built, this will now be centralized in a single
method. Adding unit tests reproducing issue
- FillForwarding setting of the continuous future was not being
respected. Updating algorithm reproducing the issue to assert the
behavior failing in master
* Address reviews
- Minor refactors addressing reviews
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* Fix result handler live holdings
- Live result handler live holdings will include future assets
associated with continuous futures. Adding unit tests
* Fixed for live holdings price rounding
- Live holdings will use the SPDB minimum price variation for rounding.
Adding unit tests
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- Similar to the OptionChainUniverse, the future chain universe should
also add it's contracts using the raw data normalization mode. Adding
regression algorithm reproducing issue
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- Replace logic to convert TimeSpan based PeriodConsolidator into count
based, by an override of the 'potentialStartTime' in the case we could
be falling into a look ahead consolidated bar end time
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- Adding OpenInterestAnnual where the contract maps when any of the back month
contracts of the next year have a higher volume that the current front month.
- Add support for backwards compatible data mapping mode additions
- Updating ES map and factor files. Adding a little daily data too
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* Period timespan consolidation improvements
- If user is trying to consolidate a period providing data of a bigger
period we will now throw an exception. Adding tests
- If both consolidated and given data share the same period, gently
adjust the consolidator into a data count of 1. Adding tests
- Fixing bug in QuoteBarConsolidator period double accounting. Adding unit tests
* Add Period and Count regression algorithm
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* Fix QuoteBar NonTimeBased Consolidator Period
- Fix QuoteBar non timebased consolidator period, that was accounting
twice for the initial bar period. Updating unit tests
* Improve QuoteBarConsolidator assertion
- Assert quote bar consolidated time and endtime in unit tests
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* Live T-1 selection warmup
- Only use BaseDataCollection class
- Reuse collection enumerator
- Remove FuturesChainUniverseSubscriptionEnumeratorFactory
- Universe selection will use Cache providers
- Add null reference check
- Add more tests
- Fixes for warmup fill forwarding. Add more tests
* Address reviews. Add missing comments
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- Minor fix for FuncPeriodSpecification so it always uses the same
DateTime to assert the given function. Improve documentation and
exception message being thrown
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* Allow DataWriter to merge existing ticks if desired
- Optionally allow lean data writer to merge new ticks with existing
- Adjust ZipStreamWriter
- Fix bug in compression lib that was leaving files open. Reproduced by
added tests.
* Address reviews
- Define new WritePolicy to configure the behavior of the LeanDataWriter
regarding how it should handle writing to a file: merge, overwrite,
append
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* Update Tick.cs Time parsing
* Adjust equity tick millisecond read
* Fix tick sub millisecond precision
- DateTime.AddMilliseconds will rount to the nearest integer. So instead
use AddTicks
* Avoid sporadic test failure
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* remove un-used
* use utc time for slice sync
* use utc time
* refactor
* add regression test
* use utc time
* use utc time
* make utctime required parameter
* add utcTime in slice creation
* assert warm up complete
* check if algorithm is still warmingup
* use exchange tz
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* initial commit
* get history from data providers
* merge history from history providers
* merge slice
* Add merge function in slice
* Update test
* merge aux data
* add data points in _data
* append new data points in original list
* Add test suite for HistoryProviderManager
* reduce complexity
* setup once
* add fake history provider
* doesn't count aux data
* add tests for options
* style changes
* add custom data
* merge rawDataList
* use array of history providers
* optimize
* fix formatting error
* add comment
* add tests
* simplify
* use list
* use abstraction
* split tests
* add test
* use abstraction to create generic enumertor class
* refactor
* accept list of type T
* sync history slices
* use SubscriptionDataReaderHistoryProvider for live
* rename test file
* return empty
* add tests
* cleanup
* address reviews
* optimize
* Fix method definition
* use initial time for basedata
* refactor
* re-use collection
* inherit HistoryProviderBase
* always return HistoryProviderManager
* add tests
* update rawDataList
* reset composer
* consider null elements
* add tests for binary search method
* Follow lean coding style
* revert
* remove binary search method
* convert to field
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* Adding unit tests reproducing issue.
* Fix a couple of minor bugs
- IsMarketOpen will work correctly when used with daily and hourly
resolution.
- slice.Get will work correctly with python custom data
- ExtendedDictionary will be able to dinamically access methods,
required for python and private C# data types
* Refactor solution. Add more tests
* Remove unrequired import statement
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* Use GC server mode for tests
* Fix daily auxiliary data points emission time
- Due to fillforwarding, in some cases with daily resolution symbol
change events (generically any auxiliary data) would arrive late.
Updating regression test to reproduce the issue. Adding unit test
- Some refactoring and logging improvements
* Address reviews
* Remove old xml docs param
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* Add support for live price scaling
- Add support for live trading price scaling for continuous futures.
Adding unit tests
* Move live price scale application. Updating unit tests
- Live trading application of price scaling will happen before fill
forwarding and updating securities real time price. Updating unit
tests to reproduce issue
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* replace to local functions as they are more performant
* fix random generator upper bound
Next() includes minValue, but not maxValue, so we increment it +1
* introduce abstract layers
* refactoring
* fix tets
* adapt tests
* fixup
* implement blackschole price model for options
* use risk free rate
* use ql price model
* wip
* change interface
* fix
* tidy up the code
* wip
* iterate groupped symbols
* wip
* wip
* fix
* allow symbol of different types
* improve settings
* wip
* iterate full range
* fix issue with negative option
* fix
* fixup
* use StandardDeviationOfReturnsVolatilityModel
* re-use existing tick types per security type
* parametrize underlying security type
* use default option style
* dynamic option price model
* fix enumeration
* test
* fix unit tests
* refactor code
* remove unused file
* minor tweaks and refactoring
* rename symbol generator class
* fix interface
* add comments
* more comments and unit tests
* more tests
* add disclaimer
* more tests
* more comments and tests
* split tests into different files
* tidy up the code
* tidy up the code; more tests
* refactor TickGenerator => use security price directly on each iteration
* remove dupe; reuse main constructor
* use SecurityManager, refactor code
* bugfix: save ticks in history array
* check volatility warm up & tests
* more unit tests
* describe volatility period span in settings
* rename command line option
* Minor adjusments. Address review
- Use Lean log handler instead of writting directly to console
- Rename BlackShcolesPriceGenerator to generically OptionPriceModelPriceGenerator
- Minor format clean up & standarization
- Add support for specifying the option chain size
* Rename TickGenerator private fields
* Fix unit tests
* fix tests class name
* Support tickers being specified
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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- Zip entries will be sourced from cache provider
- Option underlying will use SubscriptionDataSource to fetch it's data.
Fixing bug where it would let through an old data point, or miss
sending data through.
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* Do not send internal SecurityChanges to Algorithm
- Will not send internal security changes to the Algorithm by default.
Following custom security changes filter pattern. Updating regression
algorithms to assert behavior.
- The universe member will know wether it was added with internal
configurations or not
* Address reviews use a separate collection for internals
* Refactor solution. Adding security changes constructor class
Martin-Molinero