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* Fix bug and add unit tests
The bug was raised because rounding the first point inserted in the
RenkoConsolidator didn't get the closest y-multiple of the given number
x, where y is the bar-size. In order to compute the first y-multiple of
the given number x, we need to first compute x mod y := x - y*Floor(x/y),
once we get this number we divide it by y to know if we should round x
to minimum y-multiple greater than x, or should round x to the maximum
y-multiple smaller than x. If (x mod y)/y < 0.5 we round down, otherwise we round up (the amount (x mod y)/y is always less than one and higher than 0). See the Art of Computer Programming, Vol I. Donald E. Knuth.
- Add `GetClosestMultiple()` method in `RenkoConsolidator.cs`
- Add more unit tests
* Nit change
* Add XML docs
* Address required changes and add more unit tests
- Adjusting live stack to emit live auxiliary events based on factor files.
Updating existing tests
- Minor improvements for map & factor file provider daily refresh time.
Adding unit tests
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* Pandas frame include all ticks
- Pandas data framde history response will include all ticks. Updating
existing and adding new tests
* Python pandas converter performance improvement
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* Implement Unregister helper method
- Implement Unregister helper method, each indicator which hold a
reference to the consolidators updating it. Adding regression
algorithms
* Fix for QuantBook indicators
* Address reviews
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* Implement ShortableProviderPythonWrapper.cs
- Modify AllShortableSymbolsCoarseSelectionRegressionAlgorithm.cs and ShortableProviderOrdersRejectedRegressionAlgorithm.cs to use ShortableProvider from Security and not from the Brokerage model
- Add SetShortableProvider() overload method in Security.cs to set a custom shortable provider from Python
- Remove AllShortableSymbols() method from LocalDiskShortableProvider.cs
- Remove DefaultShortableProvider class
- Add regresion algorithms in C# to cover the changes done
* Implement ShortableProviderPythonWrapper.cs
- Modify AllShortableSymbolsCoarseSelectionRegressionAlgorithm.cs and ShortableProviderOrdersRejectedRegressionAlgorithm.cs to use ShortableProvider from Security and not from the Brokerage model
- Add SetShortableProvider() overload method in Security.cs to set a custom shortable provider from Python
- Remove AllShortableSymbols() method from LocalDiskShortableProvider.cs
- Remove DefaultShortableProvider class
- Add regresion algorithms in C# to cover the changes done
* Solve bugs and nit change
* Address review
---------
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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- Validate cache folder exists before using it
- Avoid duplication fetching factor & map files path
- Adding helper method to check if directory is empty. Adding unit tests
* Add extendedMarket parameter to every history api method overload
* Rename extendedMarketHours parameter
New name is extendedHours as in the History API to standarize parameters naming
* Update generic history overloads to use every matching subscription
* Update regression algorithms stats
* Centralize period-based history error for tick resolution
* Rename extended market hours parameter to extendedMarketHours
* Minor changes
* Minor changes
* Minor unit tests changes
* Minor unit tests changes
* Minor changes
* Minor unit tests changes
* Minor unit tests changes
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* Add fillForward parameters to every History method
* Remove conflicting Python history method
* Undo removing conflicting Python history method
* Minor changes
* Minor changes
* Minor changes
* Add fillForward and extendedMarket parameters to history request factory
* Minor changes
* Minor changes
* Minor changes
* Minor changes
* Minor unit tests changes
* Rename fillForward parameter in History API
New name if fillDataForward as in the Add*Security API to standarize
parameters naming
* Rename fillForward parameter
Using the shorter fillForward in every API
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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>
Ricardo Andrés Marino Rojas