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* Fix dividend yield calculation
* Get security price as input for dividend yield provider
* Account for splits in dividend yield provider
* Fix split adjustment for dividend yield calculation
* Use right dividend yield in options indicators
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* Implemented the vortex indicator.
* changed the vortex.cs calculations
* chore: Refactor VortexTests.cs and QCAlgorithm.Indicators.cs
* Refactor VortexTests.cs
* made changes according to the comments
* used indicator exxtension methods
* made changes in the naming convention and added condition for division by zero.
* Using composite indicators to clean up
---------
Co-authored-by: Jhonathan Abreu <jdabreu25@gmail.com>
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* Implements ChandeKrollStop
* readonly
* Move IsReady/WarmUpPeriod above the constructors
* remove private _period
* minor
* rename Stops to Short/Long
* using Maximum/Minimum
* fix tests
* rename some variables and use movingAverageType for ATR
* movingAverageType
* Set best recommended model based on option style.
The best option model will be used in options indicators based on option style if not specified
* Reduced Greeks/IV numerical models steps to 100
* Minor fixes
* Minor changes and improvements
* Changed default pricing model for IV
* Minor performance improvements
* Minor performance improvements and fixes
* Minor change
* Minor regression algorithm fix
* Update greek indicators internal IV indicator only when not user provided
* Revert unnecessary changes
* Minor changes
* Cleanup
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* implement Rogers-Satchell volatility
* naming RSVolat to avoid confusion between volume and volatility
* fix InitializeIndicator call
* fix AcceptsRenkoBarsAsInput test
* add symbol parameter to InitializeIndicator
* Update RogersSatchellVolatility.cs
* some fixes after review
* Return 0 when Open High Low or Close is 0
* IBaseDataBar
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* tests passing except ResetProperly and WarmsUpProperly
* doc
* minor fixes
* doc - return
* fix InitializeIndicator call
* workaround ResetsProperly
* fix WarmsUpProperly test
* remove WriteLine
* remove WriteLine
* cr
* fix data
* open high low defaults to close when these columns don't exist into data
* simplify using ternary operator
* better fix for ResetsProperly
* fix some code conventions issues
* fix some review issues
* Update StochasticRelativeStrengthIndex.cs
* WIP
* All tests are passing except AcceptsRenkoBarsAsInput
* Update QuantConnect.Tests.csproj
* comment formating and use input.EndTime
* fix AcceptsRenkoBarsAsInput test
* fix InitializeIndicator call
* add symbol parameter to InitializeIndicator
* FI above FISH
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* Improve indicator warmup
- Allow indicator warmup to handle multiple symbols, used for option
greeks. Adding regression test
- Improve indicator history to handle specific T types. Adding unit test
- Remove period, and historical underlying volatility, from IV so
simplify warmup behavior
* Address review, fix minor issues
* Implement new indicator IBS
* remove using System
* typo
* doc fix
* Implement new indicator IBS
* remove using System
* typo
* doc fix
* inherit TradeBarIndicator and return 1m when High=Low
* duplicate spy_with_ibs
* returns 0.5 when High=Low
* Minor fixes for IndicatorHistory and IV
- Minor fix for IndicatorHistory, use ScaledRaw data normalization mode
for option indicators. Adding unit test
- Expand the IV expected upper range to 400%, given values can be higher
than previous value of 200%
- Adjust IV to use smoothing function only when both option calculations
succeed
* Updating regression algorithm expected greeks, minor change
* Implement new indicator ZLEMA
* Add script to generate reference data from talipp
* Some review fixes
* description
* use isReady
* use Delay(...)
* simplify ComputeNextValue
* Minor tweaks addressing review
* replace DateTime.UtcNow for specific date time instances
* remove unused imports
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Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* Handle expired options
* unit test
* Move Zero Checks to Single Location
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Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
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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
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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
Jhonathan Abreu