- Remove universe selection on dates with extended market hours only
- Updating regression algorithms
- Expand date & time rules API to support specifying whether extended
market hours only dates are desired or not
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* Fix half of the CA1051 warnings
This warning is about not declaring visible instance fields. There are
something about 500 warnings in the solution, mostly in the QuantConnect and QuantConnect.Algorithm.CSharp projects. I aim to fix one of them in this PR and the other half of them in a second one. To fix it, I'm changing the visible instancce fields for properties.
* fix bugs
* Addressing minor reviews
* More minor fixes
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Add indicator helper methods for base Algorithm
- Add indicator helper methods for base algorithm. Adding new unit tests
* Expand indicators helper methods
- Expand indicators helper methods, adding support for C# and custom
indicators too. Adding unit tests
- Expand indicators helper methods to support multiple symbols as input.
Adding unit tests
- Improve conversion of symbol enumerable from python to C# adding unit
tests
* Address reviews
- Keep old QB.Indicator methods for backwards compatibility
- Rename new API to IndicatorHistory, matching
FutureHistory/OptionHistory
- Add new regression algorithms
- Minor improvement to DynamicData so it supports snake name access
* Fix CA1819 and CA1002 warnings
Changed the type of Languages statistic in regression tests from
Language[] to List<Language>. By doing that, the warning CA1819 was
removed but then the warning CA1002 was raised. However, this warning
was expected to be excluded from QuantConnect.Algorithm.CSharp.
* Improve implementation
* Simplify code
* Fix bugs
* Define Iron Butterfly and its buying power model
* Add unit tests
* Add regression test
* Address peer review
* Add short iron butterfly and short iron condor
* Add unit tests on short strategies
* add regression algorithms
* Invert direction of iron butterfly
* feat: TryCrossPositionOrder
feat: helper methods to CrossPosition
* refactor: get rid CrossOrder +UTests
* feat: test simulator of cross zero orders request
* remove: callback from TryCrossPositionOrder
rename: TryCrossPositionOrder -> TryCrossZeroPositionOrder
feat: handle event of CrossZeroOrder
feat: new prop in CrossZeroOrderRequest
test:feat: write working test imitate of CrossZeroOrdering and assert different params
* feat: temp collection to keep CrossZeroOrder with Lean
* refactor: flag which indicate should we place crossZero order with LeanEvent or not
* refactor: change access modifier
* fix: CrossZero tests
* refactor: property collection instead of variable
* feat: lock context of CrossZeroOrder
feat: helper method for CrossZeroCollection
* refactor: test of cross brokerage ordering
* refactor: CrossZero Brokerage
* fix: lock area
* feat: Update CrossZero Ordering
refactor: CrossZeroOrders tests
* feat: additional test case for CrossZeroOrdering
* feat: Invalid OrderStatus when FirstPart of CrossZero ordering try to place
feat: message property in CrossZeroOrderResponse
refactor: CrossBrokerageTest a little bit
* feat: PossibleUpdateCrossZeroOrder
* refactor: UpdateCrossZeroOrder
* refactor: TimeOut for resetEvent
* refactor: crossZeroOrder change DateTime UtcNow on specific time
refactor: change action scenario for Filled FirstPart of CrossZeroOrder
* refactor: change firstPartQuantityproperty to link of FirstPartOfCrossZero order completely
fix: crossZeroOrder test put orderStatus internally
* feat: additional orderType in CrossZeroOrder tests
* test:remove: not use GetOrderCrossesZero()
* refactor: extra paddings
* rename: TryGetUpdateCrossZeroOrderQuantity instead of IsPossibleUpdateCrossZeroOrder
* refactor: CrossZeroOrder process and models
* remove: interface ICrossZeroOrderRequest
* feat: TradeStation NotSupportUpdate of CrossZeroOrder quantity
* feat: add license
remove: extra validation of variable
* refactor: add validation of quantity update in TradeStationBrokerageModel
* test:feat: canUpdate of TradeStationOrder
* refactor: reuse OrderEvent when we handle FirstPartCrossZeroOrder
* remove: assignment of filled quantity of FirstPartCrossZeroOrder
* Add support for FTP notifications
* Add optional parameters for SFTP notifications with private key
* Add optional "secure" parameter for FTP notifications.
Improve FTP notifications constructor and input checks.
* FTP notification improvements.
Add public key property.
Add multiple constructors and methods for FTP and SFTP notifications with either password or SSH keys.
Encode file contents.
* Address peer review
Add support for FTP notification with string contents
* Minor changes
* Minor changes
* Remove public key argument
* Fixes and minor changes
* Dynamic spdb
* Minor changes and unit test
* Get MHDB and SPDB refresh period from config
* Add databases refresh period to algorithm settings
* Address peer review and add unit test
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* Add Protective Collar Option Strategy
* Add buying power model for Protective Collar
* Add unit test for Protective Collar
* Add regression test for Protective Collar
* Add unit test on position group buying power
* allow same strike for later abstraction
* minor bug fix
* Set up conversion option strategy
* add margin requirement
* add unit tests
* Add regression test
* add reverse conversion definition
* add reverse conversion and refactor conversion/collar margin model
* added/modified unit tests for conversion/reverse conversion
* minor bug fix on unit test, add regression test
* Address peer review
* update new set of IB testing data
* Daily data Time & EndTime Improvement
- Adjust daily data Time & EndTime to actually reflect the time of the
data used, for example US Equity from 9.30 to 4PM. Adding new unit and
regression tests
* Refactor solution to use enumerator
- Refactor daily strict end times solution to be through enumerator
usage, so it applies for history providers too
* Minor fixes
* Revert fill forward enumerator change
- Revert FillForward enumerator causing stats changing, enhancing unit
tests
* Some cleanup
* Improve handling of live trading FF enumerator
- Improve handling of live trading FF enumerator, by adding support for
bars to arrive with a delay so we can handle auction close/option
prices or data providers which might have some delay making the data
available. Adding new unit tests asserting the behavior
Roman Yavnikov