* Make sure continuous futures universe selection is performed right away on the start of the algorithm.
This ensures the Future.Mapped is not null
* Minor changes
* Minor fixes
* Update regression algorithms stats
* Add DC futures map file
* Update DC futures map file
* Update regression algorithms stats
* Include ETFs for immediate universe selection
* Include Coarse Fundamentals for immediate universe selection
* Include Futures Chain Universe for immediate selection
* Add Option Chain Universe test
* Include custom universes for immediate selection
* Minor updates
* Include constituents universes for immediate selection
* Minor update
* Minor changes, docs and stats updates
* Minor changes
* Minor changes and clean up
* Minor regression algorithm stat update
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
API Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
* Improve consolidator scan
- Improve consolidator scan to be triggered even if no data is present.
Adding new regression test, updating existing
* Adding more tests & minor tweaks
* Delay security removal when there are pending settlements
* Add unit test
* Minor fixes
* Minor fix
* Replace HasUnsettledFunds method with UnsettledCash in ISettlementModel
* Minor fix
* Minor fix
* Address peer review
Replace ISettlementModel UnsettledCash property with GetUnsettledCash method that returns a CashAmount instead of a decimal to include the currency
* Minor fix
* Address peer review
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* Portfolio state chart
- Cleanup and renames
- Add series.IndexName. Uodating unit tests
- Add Chart.LegendDisabled. Adding new unit tests
- Add ChartPoint.Tooltip. Updating unit tests
- Minor compression tweak. Adding unit test
- Add ChartJsonConverter. Adding unit tests
* Minor chart serialization order tweak
* Refactor portfolio state sampling and storing
* Move PortfolioMargin into a lean side chart
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* Replace currency string formatting with Lean currency symbols.
Also clean up orders tags from having redundant information.
* Setting default order tag only after price currency is properly set
* Minor fixes and new unit tests
* Minor fixes
* Handle/filter brokerage side orders
* Add unit tests
* Minor fix
* Add unrequested security for new brokerage-side orders
* Add unit test for algorithms overriding the brokerage message handler
* Add unit test for python algorithm overriding the brokerage message handler
* Minor change
* Address peer review
* feat: new `TradingDaysPerYear` prop in IAlgorithmSettings
* feat: getTradingDayPerYear by BrokerageModel
feat: init algo tradingDaysPerYear in brokerage|BacktestingSetupHandler
refactor: nullable `TradingDayPerYear`
* remove: hardcoded value:252 in statistics
* test: `algorithm.Settings.TradingDaysPerYear` for different brokerage
fix: tests calculation of `AnnualPerformance()`
* fix: Report generator by tradingDayPerYear
* fix: hardcoded value in PortfolioStatisticsTests
* fix: tradingDayPerYear in AnnualPerformanceTest
remove: extra spacing
* feat: backwards compatibility for TradingDaysPerYear
* feat: several UTest for AlgoSetting's TradingDaysPerYear prop
* fix: existed algo + test
* feat: regression algo with checking of tradingDayPerYear in OnEndOfAlgorithm()
* refactor: GetBrokerageTradingDayPerYear -> SetBrokerage... in BaseSetupHandler
refactor: carry out tradingDayPerYear at the top level and pass variable
* remove: default valuine in test param
remove: extra comment.
* fix: missed init TradingDaysPerYear in report.portfolioAlgo
fix: hardcoded value to tradingDaysPerYear
* fix: nullable TradingDaysPerYear in AlgorithmConfiguration
feat: UTest for PortfolioLooperAlgo
feat: add advanced description
* feat: test PortfolioStatistics with different tradingDaysPerYear
* revert: PortfolioLooper with TradingDaysPerYear implementation
* revert: nullable TradingDaysPerYear in AlgoConfiguration
remove: SetBrokerageTradingDayPerYear in BaseResultHandler
* style: remove empty row
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* feat: stopMarketFill in FutureFillModel + test
* feat: futureStopMarket RegressionAlgo on PY|C#
* feature: add validation of market time in utest
* feature: validate exchange hours when order filled in regression algos
* feat: validation of StopMarket Type
fix: styling format in PY
* fix: validation on ExtendedMarketHours in FutureFillMode
feature: validate that all stop orders was completed in algos
* fix: validation: asset.Subscription -> ConfigProvider.GetSubscriptionData
fix:style: missed braces
* fix: asset.IsInternalFeed() -> general includeInternalConfigs flag
remove: extra login in algo
* feat: write comment why we use includeInternalConfigs in true
remove: extra log in PY version of algo
Regression Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* Add Sortino ratio to statistics and report
* Adds Sortino Ratio to Report Key Statistics
* Addresses Peer-Review
Reuse `SharpeRatioReportElement` and change the template.
* Reuse Calculations Across Statistics and PortfolioStatistics
* Adds Sortino Ratio to Regression Algorithms
* Removes Sortino Ratio from Optimization Result Table
---------
Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
* Index.IsTradable Can Be Set
Indices are not tradable. LEAN will not set it to `true`, but the users can for backtesting.
* Adds Regression Tests
* Revert Changes to ProcessSecurityChanges
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* Update Future-cme-[*] and Future-cme-ES
Acoording to `pandas_market_calendars` there were some dates in
Future-cme-[*] who wasn't early_closes, so they needed to be removed
from there. On the other hand, the early closes list of Future-cme-ES were
shifted by 1 hour according to CME webpage. Besides, there were some
missing dates.
* Update CME Future entries in MHDB
* Rebase
* nit change
* Fix unit tests
* Resume after early close/halts
* Add missing dates in MHDB and fix bugs in it
* Fix bug, add more unit tests and add docs
* fix regression algos
* address required changes
* Update failing regression test stats
After debugging the tests it was found they were failing due to the last
change on SecurityExchangeHours.IsOpen(). That method wasn't taking into
account that even if there is a late open after an early close if the
timespan is after the early close but before the late open, the market
is still close.
* enhance solution
* Update and fix bugs in MHDB
* Address required changes and update stats
* Update stats after rebase
* Nit change
* Missing update to regression test
* Use MHDB instead of USHoliday for Expiration Dates
VIX expiry function now relies completely on MHDB. However, it had to be
created an entry in MHDB for VIX since there wasn't one for it. CBOE
webpage only provided 2023 holidays so only those dates were considered
in the Holidays entry in MHDB. Therefore, some unit tests failed so it
was necessary to change also the VIX entry in FuturesExpiryFunctionsTestData.xml.
* Remove Global.cs/USHolidays class
* Use a lazy implementation
* First draft of the solution
* Use MHDB in FuturesExpiryFunctions.cs
* Remove unused class and fix indentation errors
* Fix indentation errors
* Nit changes
* Merge branches 7501 and 7506
* Merge changes in 7501 and 7506
In order to check compatibility between those branches, a new branch
was created out of branch 7501 and then it was merged with branch 7506.
2 regression tests and 8 unit tests failed, the regression tests failed on
the DataPoint stats. On the other hand, the unit tests failed since the
default parameter UseEquityHoliday was removed from
FuturesExpirtyUtilityFunctions.AddBusinessDays() and from other methods in
the same class too.
* Add missing changes
* Remove repeated good fridays
* Address minor review
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* feat: ETFConstituentsModel overloading constructor
* test
* feat: new constructor of ETFConstituentsUniverse
test: support all constructor on c#
* feat: cached symbol in ETFConstituentsUniverse.py
test: validate getting symbol from cahed collection
* remove: extra ctor in ETFConstituentsUniverseSelectionModel
* refactor: add miss condition secType in py
refactor: rename out existTicker -> Symbol
refacotr: rewrite test
* feat: new ETFConstituentsFrameworkAlgos
* refactor: more neat ETFConstituentsAlgos
* fix: CompositeUniverse to SetUniverse
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* Add new Order.PriceAdjustmentMode property
* Minor fix and unit test
* Minor fix and regression algorithms' stats update
* Unit test fixes
* Minor fix
* Set order price adjustment mode to raw always for live trading
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* 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
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
- 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
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* correlation as lean indicator #6983
* correlation as lean indicator #6983, added SPY QQQ test and Spearman test
* correlation as lean indicator #6983
* correlation as lean indicator #6983, fixes after review
* correlation as lean indicator #6983, fixes after review
* correlation as lean indicator #6983, fixes after review
* correlation as lean indicator #6983, added AcceptsQuoteBarsAsInput Test
* Minor review changes
---------
Co-authored-by: Grzegorz Wodnicki <info@funchips.co.uk>
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* 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
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* Add Bybit brokerage model regression algorithm
* Add BibytFutures brokerage model name and Bybit backtesting regression algorithms
* Add Bybit margin calculations unit tests
* Minor changes in data
* Unify Bybit Spot and Futures brokerage model into one class
* Add new Bybit configurations
* Revert config change
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* 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
Adds a new constructor overload that matches the pattern in Lean: Symbol, Symbol, other types.
Adds a new constructor that infers the indicator name: "B(period)".
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
* Add ClrBubbleExceptionInterpreter
* Add ClrBubbledExceptionInterpreter tests
* Bump pythonnet version to 2.0.23
* Minor changes
* Minor change
* Minor fix
* Fix failing unit tests
* Set default always open market hours entry for base security without subscription
Also return proper matching subscription for custom data symbols wihtout subscription.
* Minor changes
* Minor change
* Adds `SimpleCustomFillModel` to `CustomModelsAlgorithm`
The simple fill model shows how to implement a simpler version of the most popular order fills: Market, Stop Market and Limit.
This model was tested on QuantConnect Cloud, and will serve as additonal example, since we don't have an example that does not reuse the method of the base class.
* Handles Tick Resolution Case
Tick-resolution data doesn't have TradeBar. We can use the security price, since it represents a trade (`TickTrade`).
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* 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
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Calling UniverseDefinition.ETF("TICKER",...) in Python was resolving the UserDefinition.ETF(Symbol...) overload due to Symbol's implicit string operator, causing the symbol to be wrongly created.
Jhonathan Abreu