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* Shortable modeling improvements
- Do not limit live trading because of shortable model, will send
algorithm warning
- Add Interactive brokers shortable provider
- Minor LocalDiskShortableProvider API changes
* Fix shorted order update
- Fix shorted order update. Updating regression algorithm
* Minor improvement
* Address reviews
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- Once a security has been delisted or no longer selected by any
universe it will be remove from the main algorithm securities
collection but kept in the new Complete collection, this improves
performance in long running backtests where security collection can
get enumerated in different cases
- Minor refactor for security exchange local time to avoid having to set
it explicitly
* Store traded securities subscription data configs to disk
* Delegate traded subscriptions storage to the data monitor
* Add unit tests
* Address peer review
* Minor changes
* Async universe selection
- Add support for async universe selection, which will happen ahead of
time in the data stack for a performance improvement
* Thrown if using Coarse+Fine Asynchronous Universe selectioon
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* New Fundamental Data
* Minor CIK lookup fix
* Handle live mode & delete unexisting properties
* Minor coarse fundamental adjustment
* Add fundamental history support
* Fix unit tests
* Performance improvements
* Fixes
* Minor regression algorithm fix
* Improvements. Add FundamentalUniverseSelectionModel
* Change default values
* Fix unit test
* Minor tweaks
* Fix unit test
* Minor error handling improvement
* Fix rebase
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* Support sourcing custom data from ObjectStore
* Add Python regression algorithm
* Wire engine to pass ObjectStore down to the stream readers
* Minor changes
* Minor unit tests fixes
* Remove unused SetupHandlerParameters.ObjectStore
* Minor changes
* Minor changes
* Support single-file zipped data to be sourced from object store
* Assert object store custom data history requests in regression algorithms
* Add custom object store data live data feed unit test
* Add multi-file object store custom data regression algorithms
* Minor fix
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* Changes up to the date
* Revert "Changes up to the date"
This reverts commit 45dc9756bc616a7ec389425a2eda89614eb01ac7.
* First attempt to solve bug
* Improve solution
* Add unit tests
* Fix bugs and add regression tests
* Solve bugs
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* Candlestick charts base implementation
* Series and Candlestick series json serialization
* Some cleanup
* Add AddPlot method for candlestick series to QCAlgorithm
* Remove Values property from ISeriesPoint
* Add candlestick QCAlgorithm.Plot trade bar methods
* Implement candlestick series re-sampling
* Add more SeriesSampler unit tests
* Add examples of candlestick charts usage to exisiting charting algorithm
* Address peer review
* Address peer review
* Derive Candlestick from Bar
* Sampler changes
* Add new series types from the cloud
* Add more candlestick series sampler tests
* Minor cleanup
* Minor changes
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* Implement RangeConsolidator
It turned out that the behavior of RangeConsolidator was similar to
ClassicRenkoConsolidator. Then, some of the ClassicRenkoConsolidator
methods, were abstracted to new class called BaseTimelessConsolidator.cs,
from which both RangeConsolidator and ClassicRenkoConsolidator could
inherit, therefore resusing code. The following tasks were done:
- Create RangeConsolidator.cs
- Create RangeBar.cs
- Create BaseTimelessConsolidator.cs
- Create RangeConsolidatorTests.cs
- Modify ClassicRenkoConsolidator.cs
* Allow intermediate/Phantom RangeBar's
- Enhance unit tests
- Nit changes
- Allow intermediate/Phantom RangeBar's on RangeConsolidator
* Nit changes
* Create ClassicRangeConsolidator and more changes
- Add regression tests
- Enhance unit tests
* Address required changes
* Address requested changes
* Address requested changes
* Add regression tests with Tick Resolution
* Address required changes
* Increase Range for RangeConsolidatorWithTickAlgo
* Add more unit tests and solve bugs
* Nit change
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- Always respect the minimum time in universe even if we haven't gotten
any data point yet. This is specially useful for live trading options
which are illiquid
* Changed argument exceptions so that they used the nameof() operator for parameter names
* Update IQSocket.cs
---------
Co-authored-by: John Doe <john@doe>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Contract chain selection improvements
- Adjust contract chain selection behavior for futures and options so we
are sure to use the correct local time when filtering expirations.
Adding unit test reproducing issue
* Update futures regression algorithms
* Address reviews
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* Fix contract security filter universe
- Fix for contract security filter universe which would would use .Time
to filter expirations which could be yesterdays time at midnight
localtime. Adding unit tests reproducing issue
* Update regression algorithms
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* Address JB comment
* Remove repeated fields in BaseRenkoBar
- Add new unit test to all indicators that inherit from
IndicatorBase<TradeBar>. This test asserts the indicators can receive
RenkoBar's as input
* Add Regression test and improve unit tests
- Change `Volume` property from `RenkoBar.cs` since RenkoBar's don't
have Volume. Now it throws an error when accessed
* Address required changes
* Add Python regression test and enhance unit tests
* Enhance unit and regression tests
* Assert indicator current value at the end
* Allow more indicators to use Renko/VolumeRenkoBar
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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
Martin-Molinero