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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
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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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* 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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* 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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* 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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* 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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- Fill model will take into account internal configurations, this is
specially relevant for continuous future mapped contracts. Updating
regression algorithms and unit tests.
- Allowing internal configurations to update trade builder information
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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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* 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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* WIP
* Fix fees in base currency not being subtracted
- Fix fees in base currency not being subtracted from the quote currency
for crypto cash accounts. Updating regression tests to assert
portfolio, cashbook state and holdings state.
* Fix unit test race condition
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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
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* Move processing of delistings to Brokerage
* Deal with case that exchange is not open on OptionSymbol.ID.Date
* Refactor solution to use DelistingNotification event
* Adjust some regression expected liquidation time
* Mark some todos on deprecated functions
* Update expected liqudation time for Py regressions
* Update regressions that have been validated
* Use HandlePositionAssigned for assignment orders
* Update regressions
* Update some missed unit tests; remove one that is already covered by regression
* Cleanup deprecated backend functions
* nit - small cleanup adjustment
* Post rebase fix
* Address review
* Minor tweak to py regression
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* Lean exchanges improvements
- Adding new Exchange class to avoid exchange code clash.
Adding and updating unit test
* Add Market for MapFile API
* Self review
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* Rename Renko to ClassicRenko
* Rename WickedRenko to Renko
* Adjust tests and usages
* Backwards support WickedRenkoConsolidator
* Renames for consistency
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* Add basic template Atreyu algorithm
- Add C# and Python basic template atreyu algorithm. Show casing how to
specify exchange to execute in different ways.
- Adjust trading API to allow specifying order properties to use
* Lean Exchange improvements
- Rename PrimaryExchange to Exchange
- OrderPropeties will use Exchange enum instead of string
- Adding BSE exchange value
* Regression tests fixes
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* WIP removal of custom data references & tests updates
* Regression algos updated and python algorithms moved to DataSource repos
* Fixes failing unit tests
* Add "LiveDataTypes" field to LiveNodePacket
* Adds Initialize() to IDataChannelProvider
* Adds new extension method to convert
HistoryRequest -> SubscriptionDataConfig
* Address review: Add protobuf definitions for Iconic data types
* Address review: re-adds DynamicSecurityDataAlgorithm as regression algo
* Small adjustments to variable naming and documentation
* Move test files to respective DataSource repos
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* Updates Equity Market Data
* Updates Unit Tests
* Updates Regression Tests
In this commit we include regression tests with small changes (slightly different CAGR, Alpha, etc, but same number of trades) due to the data update.
* Updates Regression Tests 2
The following regression tests were adapt because of verification of hard-coded market data values:
- `AdjustedVolumeRegressionAlgorithm`
- `HistoryWithSymbolChangesRegressionAlgorithm`
- `OptionRenameRegressionAlgorithm`
- `RawDataRegressionAlgorithm`
- `SwitchDataModeRegressionAlgorithm`
The following regression tests have more trades since adjusted prices allowed more 1-2 shares trades that were rounded down to zero before:
- `AddUniverseSelectionModelCoarseAlgorithm` 23 -> 35
- `MeanVarianceOptimizationFrameworkAlgorithm` 12 -> 14
- `PortfolioRebalanceOnDateRulesRegressionAlgorithm` 298 -> 324
- `PortfolioRebalanceOnInsightChangesRegressionAlgorithm` 83 -> 86
- `ScheduledUniverseSelectionModelRegressionAlgorithm` 86 -> 90
- `SectorExposureRiskFrameworkAlgorithm` 17 -> 22
- `SetHoldingsMultipleTargetsRegressionAlgorithm` 8 -> 9
- `StandardDeviationExecutionModelRegressionAlgorithm` 196 -> 199
- `UniverseUnchangedRegressionAlgorithm` 11 -> 17
- `VolumeWeightedAveragePriceExecutionModelRegressionAlgorithm` 237 -> 238
Especial cases:
- `BlackLittermanPortfolioOptimizationFrameworkAlgorithm` 18 -> 17
- BLM model sensibility
- `OptionChainedAndUniverseSelectionRegressionAlgorithm`
The following regression tests have different Capacity because of different volume from lowest capacity asset, except:
- `OptionEquityCoveredCallRegressionAlgorithm` New lowest capacity asset is underlying
- `OptionEquityCoveredPutRegressionAlgorithm` New lowest capacity asset is underlying
* Revert File Update for SPWR and SPWRA
* Fix Regression Tests
Temporarily removes python regression test for `MeanVarianceOptimizationFrameworkAlgorithm` as the `MeanVarianceOptimizationPortfolioConstructionModel` for each version are yeilding different results. If we use C# version in `MeanVarianceOptimizationPortfolioConstructionModel.py`, the results match.
* Changes Optimization Method in MinimumVariancePortfolioOptimizer [Py]
Uses `trust-constr` method.
See https://docs.scipy.org/doc/scipy/reference/generated/scipy.optimize.minimize.html
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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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* Adds VIXCentral Contango data
* Refactor cached alternative data in live mode to
use web endpoint if the data is not available locally
* Remove fallback to cache bucket for CBOE/FRED/EIA/VIXCentralContango
* Address review: force VIX as ticker for all VIXCentralContango data
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* Use lean data key as param for request
* key -> filePath rename and some cleanup
* Refactor
* Add Organizations Endpoints
* Add some organization api wrapper objects
* Address namespace issue
* Reorganize Api Test into seperate files using one ApiTestBase
* Add Organization tests
* Use capitalized "API" test namespace to reduce amount of file changes
* Add License to test base
* Update /data endpoint functions and response objects
* Update ApiDataProvider Logic
* Handle deserialization of organization products
* Simplify converter
* Only throw for equity requests when not subscribed to map/factor files
* Add missing header
* Make arguement exception
* Api adjustments
* Add Zip factor and map file providers
- Common project will now reference Compression project and not the other way
round.
- Adding Zip FactorFile and MapFile providers
* Refactor FactorFileProvider to use DataProvider to fetch files
* Use resulting MinimumDate in construction of FactorFile
* Nit FactorFile comments and arrangement
* Refactor MapFileProviders to use DataProvider for fetching files
* Refactor ZipFileProvider
* Clean up
* Refactor Backtesting Future/Option chain providers to use dataprovider
* Fixes for data/ endpoints and test adjustments
* Response objects adjustments/cleanups
* ApiDateProvider fixes and testing
* Add LocalZipFactorFileTests
* Update ApiDataProvider download test to verify stream is not null
* Implement posting of agreement summary and signed time
* Mark all Api related tests as explicit and document details on running
* Clarify default token on ApiTestBase
* Adjust summary
* Update Api responses for QCC, except org products which are sold in USD
* Implement cache expiration for zip MapFile and FactorFiles. Adding unit tests
* Fix multiple markets for ZipFactorFile provider
* Use Symbol as cache key
* Api.cs review
* Dispose of factorFileStream after reading
* Use zip.EntryFileNames
* Address a few reviews
* Few more fixes
* Address Api Review
* Add Job Org id to config
* Minor tweaks
* Compare with invariant culture
* Fixes Option Universe selection
* ZipEntryNameSubscriptionDataSourceReader will use IDataProvider
* Fix research
* Fix null reference exception
* Make duplicate log debug
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Add unit test
* Make test cover issue case
* Filter out times before startTimeUtc
* Refactor solution, fixes missing first date
* Fix case where none is expected
* Cleanup tests, add TriggerTimesNone
* Drop unused imports
* Add missing dipose call
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Set _lastEmit before emitting, otherwise _workingBar is always null
* Aggregate bars if the data endTime is past lastEmit
* Add unit test
* Address Review
* Clean up unit tests
* Refactor solution to set consistent _lastEmit behaviour
* Add another unit test
* Make fixture non-parallelizable
* Undo last change, and adjust breaking test directly
* Reconcile duplicated code
* Add License header
* CS0219 Fixes: Value assigned, but never used
* CA1507: Use nameof in place of string literals
* CS0108 : Hides Inherited Member; Use new keyword to overwrite formally
* CS0114: Hides inherited member; use override keyword
* CS0168: Variable is declared but never used
* Tests CS1062; using obsolete implicit Symbol -> String; fix via .ToString()
* CS0472: Non Nullable Obj getting Null Checked
* CS0067 Member not used; ignore all cases for future use
* CS00162 : Unreachable code; either removed or ignored for debugging and test cases
* CS0169 Remove non-used fields; ignore those that may be used in future
* CS0414; Field is assigned but never used.
* CS0618; Obsolete properties and members; Only fixes simple ones, rest will have to broken up
* CS0649; Field never assigned too
* CS0659 & CS0661 ; Overwrite operators and equals but not hashcode; I don't really override it but just call base
* Small comment fix
* Cleanup pragma statement
* Adjust delisting liquidation time
- Adjust delisting liquidation time to 15 min before market closes.
Adding unit tests. Updating existing.
- Handle `Statistics.CompoundingAnnualPerformance` invalid calculation
to avoid exception.
- AlgorithmManager will not handle delisting events in live trading
- Fix bug where due to a split driven liquidation matching delisting
date a position in the option would remain open. Reproduced by
`BasicTemplateOptionsFrameworkAlgorithm`
* Address review
- Address review add documentation on delisting offset span
* Add main exchange to map file
minimum minimorum test
* Add MainExchange to MapFilRow IEquatable implementation
Also write CSV line correctly
* Normalize exchanges
Also add small test form MapFileRow
* Exchange name normalization
- Exchange name normalization.
- Tick will protobuf `ExchangeCode` which will set existing `Exchange`
* Include single character exchange code
* Encode exchange as byte, Include exchange name as Enum
* Update MapFileRow.cs to accept a byte instead a string for primary exchange
* Fix issues in encoding exchanges map
* Fix broken MapFile tests
* Rename Main Exchange property in MapFileRow
* Use BATS instead of BATSZ
* Add primary exchange from map file
* Move MapFilePrimaryExchangeProvider to its own file
* Implement Char for primary exchange in map files
* Fix broken tests after implementing char exchange into map file
* Add a new constructor for MapFileRow
it accepts a PrimaryExxchange object as parameter
* Fix broken test
WIP
* Address review
WIP
* Handles unexpected encoded exchanges
* Keep addressing review
* Address review
* Fix broken tests
Make PrimaryExchange as default even if the IPrimaryExchangeProvider is not instantiated
* Revert breaking change.
* Add a check that resolved map file actually have content
The issue that leads to this change was caused by a map file resolved to APC in the CoarseFundamentalTop3Algorithm.
The resolver returns a not-null MapFile, but it is empty.
To my best understand, the MapFile Resolver should return only existing map files in the map_files folder. But the LocalMapFileProvider returned a map file with a permtick that doesn't exist in the file system as CSV.
* Set PrimaryExchange.UNKNOWN as default
* Address review couple minor bugs
- Use SID market instead of USA
- Default ticke exchange is UNKNOWN
* Update map files with latest format and latest info
This include:
- VXX, it was delisted, then VXXB appears and later it chnages from VXXB -> VXX
- AAA delisting and a new listing with ticker AAA
- FOXA ticker changue to TFCFA and later it was delisted
* Update test after updating latest map files
* Fix bug with factor files after updating map files
* Fix bug with factor files after updating map files
and revert statistics in regression tests
* Update OrderHash in regression test
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Creates IShortableProvider interface + interface impls
* This is the foundational work for the addition of the shortable stocks
feature for backtesting and live trading. Note that the QCAlgorithm
API and the backend transaction handling will be implemented
separately.
* temp; work on preorder checks
* improve checks
* tmep
* Enforces ETB checks at BrokerageTransactionHandler
* Adds ETB Shortable Provider to QCAlgorithm and IAlgorithm
* Removes ETB check from PreOrderChecksImpl
* Removes outdated test, new test to come soon for relevant class
* Work in progress commit, pushing for review.
* Adds new regression algorithm (WIP)
* Enhances ShortableProviderOrdersRejectedRegressionAlgorithm
* Adds new methods to QCAlgorithm
* Move IShortableProvider to have BrokerageModel own it
* Comments updates
* Adds new properties to Equity Security for shortable
* Fixes bug where retrieving open order quantities would aggregate the
submitted order quantity rather than the remaining order quantity for
open orders.
* Fixes bug where quantity of zero would result in a
false positive in QCAlgorithm.Shortable(...)
* Code refactoring and comments updates
Co-authored-by: Jared <jaredbroad@gmail.com>
* Reduce Travis setup verbosity
* Introduce ConsoleErrorLogHandler
* Change Console.WriteLine to Log statements
* Quiet wget
* Route build stubs stdout to null
* Fix Quantbook history test
* Silence stub packages directly
* Use parameterized log-handler for testing
* Rename AssemblyInitialize Setup
* Fix AlgorithmRunner file logging
* Drop all overriden LogHandlers in tests
* Change to OneTimeSetup to maintain LogHandlers
* Permit any ILogHandler to be defined in params
* Fix for AlgorithmRunner Handlers V2
Ricardo Andrés Marino Rojas