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* Dynamic security properties for quick objects storage
* Documentation and other minor changes
* Add Security indexer to access custom properties
* Address peer review
* Minor changes
* Improve regression algorithms
* Bumped pythonnet to version 2.0.19
* Bumped pythonnet to version 2.0.20
* Address peer review
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* Implement indicator history through a rolling window
* Minor changes and extend unit tests
* Add regression algorithms
* Minor changes
* Update regression algorithms examples
* Move resizing logic from IndicatorBase to RollingWindow
* Add unit tests and other minor changes
* Minor fix
* Add unit tests and other minor changes
* Add unit test
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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
* 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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* 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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* Expand Index option support
- Adjust APIs so that the same underlying can be used
for different options, adding support for SPX weekly options. Adding
regression tests
* Fix IndexOption.IsStandard
* Add IndexOption test
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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>
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* Add python additional paths for research
* Delegate adding additional paths to pythonpath to PythonInitializer
* Add new way to keep algorithm location at the beginning of pythonpath
* Add switch to disable BeginAllowThreads in PythonInitializer
* Add switch to disable BeginAllowThreads in PythonInitializer
* Address changes request
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* Adds Support to Visual Studio Code Dev Container
Adds support and documentation to VSCode Dev Container.
* Address Peer Review
- Adds Dockerfile to install QuantConnect Stubs to enable Python autocomplete.
- Adds settings.json to enable Python autocomplete and LF line ending.
- Removes autobuilder task.
- Fixes Research Laucher
* Launcher and Task Impromevents
Fixes line endings issue
Fixes Launcher to point to right config.json file
Improve readme formatting
* Simplify Jupyter Notebook Deployment
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* Support extended market hours in AddFuture()
* Support extended market hours in AddFutureContract()
* Add C# regression algorithm
* Add Python regression algorithm
* Add regression algorithm for future contracts
* Add regression algorithm checking market hour ranges
* Fixed future regression algorithms to use extended market hours
* Fixed future regression algorithms to use extended market hours
* Fixed future regression algorithms to use extended market hours
* Fixed AddFutureOptionContractFromFutureChainRegressionAlgorithm to use extended market hours
* Update future market hours to include extended in market hours database
* Fixed AddFutureOptionContractDataStreamingRegressionAlgorithm to use extended market hours
* Fixed AddFutureOptionContractFromFutureChainRegressionAlgorithm to use extended market hours
* Fixed AddFutureContractWithContinuousRegressionAlgorithm to use extended market hours
* Fixed BasicTemplateContinuousFutureAlgorithm to use extended market hours
* Fixed BasicTemplateFuturesAlgorithm to use extended market hours
* Fix BasicTemplateFuturesDailyAlgorithm to use extended market hours
* Fixed BasicTemplateFuturesFrameworkAlgorithm to use extended market hours
* Fixed BasicTemplateFuturesHistoryAlgorithm to use extended market hours
* Fixed ContinuousBackMonthRawFutureRegressionAlgorithm to use extended market hours
* Fixed ContinuousFutureBackMonthRegressionAlgorithm to use extended market hours
* Fixed ContinuousFutureHistoryRegressionAlgorithm to use extended market hours
* Fixed ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm to use extended market hours
* Fixed ContinuousFutureRegressionAlgorithm to use extended market hours
* Fixed DelistedFutureLiquidateRegressionAlgorithm to use extended market hours
* Fixed AutomaticIndicatorWarmupDataTypeRegressionAlgorithm to use extended market hours
* Fixed ConsolidateRegressionAlgorithm to use extended market hours
* Fixed DelistingFutureOptionRegressionAlgorithm to use extended market hours
* Fixed EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm to use extended market hours
* Fixed FutureContractsExtendedMarketHoursRegressionAlgorithm to use extended market hours
* Fixed FutureMarketOpenAndCloseRegressionAlgorithm to use extended market hours
* Fixed FutureMarketOpenConsolidatorRegressionAlgorithm to use extended market hours
* Fixed FutureOptionBuySellCallIntradayRegressionAlgorithm to use extended market hours
* Fixed FutureOptionCallITMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionCallITMGreeksExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionCallOTMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionDailyRegressionAlgorithm to use extended market hours
* Fixed FutureOptionHourlyRegressionAlgorithm to use extended market hours
* Fixed FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm to use extended market hours
* Fixed FutureOptionPutITMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionPutOTMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionShortCallITMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionShortCallOTMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionShortPutITMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionShortPutOTMExpiryRegressionAlgorithm to use extended market hours
* Fixed FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm to use extended market hours
* Fixed FuturesExpiredContractRegression to use extended market hours
* Fixed FutureSharingTickerRegressionAlgorithm to use extended market hours
* Fixed HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm to use extended market hours
* Fixed HistoryWithDifferentDataMappingModeRegressionAlgorithm to use extended market hours
* Fixed HistoryWithDifferentDataNormalizationModeRegressionAlgorithm to use extended market hours
* Fixed LimitOrdersAreFilledAfterHoursForFuturesRegressionAlgorithm to use extended market hours
* Fixed OpenInterestFuturesRegressionAlgorithm to use extended market hours
* Fixed RegisterIndicatorRegressionAlgorithm to use extended market hours
* Fixed SetHoldingsFutureRegressionAlgorithm to use extended market hours
* Fixed WarmupFutureRegressionAlgorithm to use extended market hours
* Fixed AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm to use extended market hours
* Fixed AlgorithmHistoryTests to use extended market hours for futures
* Fixed AlgorithmTradingTests to use extended market hours for futures
* Fixed BrokerageSetupHandlerTests to use extended market hours for futures
* Fixed TimeRulesTests to use extended market hours for futures
* Fixed FutureOptionMarginBuyingPowerModelTests to use extended market hours for futures
* Fixed FutureMarginBuyingPowerModelTests to use extended market hours for futures
* Fixed FileSystemDataFeedTests to use extended market hours for futures
* Fixed QuantBookHistoryTests to use extended market hours for futures
* Split BasicTemplateContinuousFutureAlgorithm to have an extended market version
* Fixed FutureMarketOpenAndCloseRegressionAlgorithm to use extended market hours
* Split BasicTemplateFuturesAlgorithm to have an extended market version
* Split BasicTemplateFuturesAlgorithm to have an extended market version
* Split BasicTemplateFuturesFrameworkAlgorithm to have an extended market version
* Split BasicTemplateFuturesHistoryAlgorithm to have an extended market version
* Revert AddFutureContractWithContinuousRegressionAlgorithm
* Revert AddFutureOptionContractDataStreamingRegressionAlgorithm and added data
* Revert AddFutureOptionContractFromFutureChainRegressionAlgorithm
* Revert AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm
* Revert ConsolidateRegressionAlgorithm
* Revert Algorithm.CSharp/ContinuousBackMonthRawFutureRegressionAlgorithm.cs
* Revert ContinuousFutureBackMonthRegressionAlgorithm
* Revert ContinuousFutureHistoryRegressionAlgorithm
* Revert ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm
* Revert ContinuousFutureRegressionAlgorithm
* Revert Algorithm.CSharp/DelistedFutureLiquidateRegressionAlgorithm.cs
* Revert EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm
* Split FutureMarketOpenAndCloseRegressionAlgorithm to have an extended market version
* Split FutureMarketOpenConsolidatorRegressionAlgorithm to have an extended market version
* Revert FutureOptionBuySellCallIntradayRegressionAlgorithm
* Revert FutureOptionCallITMExpiryRegressionAlgorithm
* Revert FutureOptionDailyRegressionAlgorithm
* Revert FutureOptionPutITMExpiryRegressionAlgorithm
* Revert FutureSharingTickerRegressionAlgorithm
* Revert FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm
* Revert FuturesExpiredContractRegression
* Revert HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm
* Revert HistoryWithDifferentDataMappingModeRegressionAlgorithm
* Revert HistoryWithDifferentDataNormalizationModeRegressionAlgorithm
* Revert OpenInterestFuturesRegressionAlgorithm
* Revert RegisterIndicatorRegressionAlgorithm
* Revert SetHoldingsFutureRegressionAlgorithm
* Revert WarmupFutureRegressionAlgorithm
* Revert AutomaticIndicatorWarmupDataTypeRegressionAlgorithm
* Some cleanup
* Address changes request
* Address changes request
* Add more Class III Milk data to fix DelistingFutureOptionDailyRegressionAlgorithm
* Refactor chain providers
- ChainProviders will use quote, open interest and trade information,
which ever is first. Updating regression algorithm changing contract
being added.
- Add base BacktestingChainProvider for shared logic, reducing
duplication.
- ChainProviders will now use the given IDataCacheProvider and
IMapFileProvider
- If Providers are called for a date the exchange is closed they will
search for the previous available date where the exchange is open.
Adding unit tests.
* Address reviews. Logging improvements
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- Create Lean common engine initialization class, which will be called
by research and Lean launcher
- Fix backtest deserialization bug due to failing to handle decimal
value
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* Python research import improvements
- Improve start.py for research env
- Remove unrequired imports
* Centralize algorithm imports
* Add regression test GH action
* Unit test python import clean up
* Join research and main imports
* More python import clean up
* Fix failing skipped regression algorithm
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* Updates to default notebooks
* Update readme
* Notebook adjustments
* Drop launch script support
* Use our cwd if no QC dlls are in AppDomain directory
* Modify Intialize.csx to use parent directory only if QC files are detected there
* Clean up some details after testing
* Adjustments
* nit, NullOrWhiteSpace
Jhonathan Abreu