The second and third parameter are `fastPeriod` and `slowPeriod`, but we had `slowPeriod` and `fastPeriod`, which is inconsistent with the class contructor and other indicators with `fastPeriod` and `slowPeriod` parameters.
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- Make sure calling CSharp methods, fields, properties releases the GIL,
this was not hapenning for fiels & properties, adding unit test
reproducing the issue
* Initial boilerplate code
* Fix build failure
* Initial iteration for the code for Derivative Oscillator code
* Add foundation for unit tests
* Add reset method for test
* Add test case
* fixed test cases, all tests pass
* Put placeholder for IsReady change
Not implemented, as test cases fail when change is uncommented
* Update documentation and change class name
* Change names for Derivative Oscillator to more meaningful
* Add DO extension to create the indicator
* Provide variable definitions with var, replace old test file with new
* Use chaining for indicators creation
* Add test based on external data
* Change test file
* Fix WarmUp test + alphabetical order + rename indicator class
* Make all tests run except for external data tests
* Fixed warmup period and fixed the ResetsProperly test case
* Removed unused directives
* Add output directory for Derivative Oscillator test
* Minor tweaks
---------
Co-authored-by: HaentjeGH <l.m.j.haenen@student.tue.nl>
Co-authored-by: ivkozlov <ivkozlov@ozon.ru>
Co-authored-by: DanielVanRijswijk <d.j.v.Rijswijk@student.tue.nl>
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* Improve python exception message for cases when derived class uses member names already defined in base C# classes
* Update pythonnet version to 2.0.33
* Update error message
* Pythonnet version bump to 2.0.34. Minor unit test fix
* Enhance pythonnet overload tests
---------
Co-authored-by: Jared <jaredbroad@gmail.com>
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* feat: support snake-case style Python QCAlgorithm implementations
* feat: add unit tests and minor fixes
* feat: implement new BasePythonWrapper class for python wrappers.
Used to cache methods and contains invoke functionality
* feat: make python wrappers implement the new base class for pep8 style support
* feat: keep overriden methods in Algorithm Python Wrapper
* feat: add unit tests for custom models algorithms with PEP8 style
* Bump pythonnet version to 2.0.30
* fix bugs and address peer review
* Address peer review
* Minor revert
* feat: StubsIgnoreAttribute for ignoring members or classes by the stubs generator
* Minor fixes
* Minor fix
* Minor fix
* Bump pythonnet version to 2.0.31
* Added Greeks.Lambda_ alias of Lambda for python compatibility.
Remove unused method
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* Add support for auxiliary data history request
- Add support for split/dividends/margin interest history requests.
Adding regression algorithms
* Expand auxiliary history regression tests
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* Minor api improvements
- Adding Universe.Selected to hold the current set of selected symbols.
Adding regression tests
- Adjusting TimeRules and DateRules to fallback to the MHDB if the
security hasn't been added. Updating existing regression tests
* Expand regression test assertion
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* Adding new algorithm data handling options
- Adding new QCAlgorithm data handling method options to override.
Adding Py/C# regression tests
- Removing old OnData Type specific invoker methods
* Address reviews. Remove old OnData C# only methods
* Add Scheduled Universe Selection
- Adding `UniverseSettings.Schedule` that will allow users to
specify a custom selection schedule which is independent of the
underlying data frequency
- Adding unit and regression tests
* Add live trading schedule time shift
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* Refactor universe historical data source
- Add new universe history API methods
- Refactor QuantBook UniverseHistory to use the universe selection
itself instead of a given func
- Refactor and rename fundamental types
- Refactor AddUniverse API to handle universe collection data which
holds another type internally, like fundamental
* Fix minor bug causing ApiDataProvider not to serve Bitfinex universe data
* Further improvements to add universe API
* Handle no selection function
* Allow mirror contract and smoothing IV
* Python wrapper on smoothing IV
* helper method update
* Add forward tree model
* modify and add unit tests and data
* address peer review
* address peer review
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* Implement VaR in PortfolioStatistics
* Added ValueAtRisk indicator
* Refactored ValueAtRiskTests
* Added returns column to test data
* Change indicator helper method name
* Addressed comments
* Chande Variable Index Dynamic Average (VIDYA) Indicator
* Improvements
* Improvements
* Final Changes
* Editted, Retested
* Comments
* Minor Corrections
* Updated Datetime Format of test data to US Standards
---------
Co-authored-by: Pronoy Chowdhury <rokstarr.dbz@outlook.com>
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* 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
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* 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
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* Implement backtest self-naming and self-tagging
* Minor unit test fix
* Minor api changes
* Minor changes
* Send packet messages when algorithm's name or tags are updated
* Minor fixes
* Address peer review
* Backtest name and tags API calls
Plus, first version of CI for API tests
* Add endpoint to update a backtest set of tags
* Minor GH actions change
* Address peer review
* Add algorithm naming and tagging unit tests
* Minor backtest API changes
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* Add IV indicator
* Fix bug
* Add QCAlgorithm helper method
* Add unit tests
* Add OptionPricingModelType, as option for greeks & IV estimation
* Nit, and fix bug
* Address peer review
* Fix bug
* Fix bug on CRR
* Ensure test indicator initiate correctly
* Address 2nd review
* Check for FOPs and index options as well
* Add comparison with QuantLib
* CRR not follow BSM
* minor bug fix
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* Plotting Limits Handling Improvements
- Improve the handling and enforcement of plotting limits
- Increase local default limits
* Minor plotting test fix
* Implement risk free interest rate as an algorithm model
* Use risk free insterest rate model in Sharpe Ratio indicator
* Address peer review
Also added python wrapper
* Take pyobject as interest rate model in Sharpe Ratio indicator
* Minor fix
* Minor fix
* Address peer review
Ricardo Andrés Marino Rojas