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* refactor: adding OrderId in GroupOrderManger
* feat: new support of OrderTypes in TradeStationBrokerageModel
feat: unSupported OrderTypes in CanUpdateOrder's TradeStationBrokerageModel
* feat: AllOrNone property in TradeStationOrderProperties
* feat: unsupported SubmitCrossZero of Combo Order in TSBrokerageModel
* test:feat: submit / update CrossZero Combo Orders
* feat: new Message Brokerage error message
refactor: use new Message in TradeStationBrokerageModel
* feat: setter of Id in GroupOrderManager
* feat: new constructor of GroupOrderManager
* feat: develop GroupOrderCacheManager service
* fix: groupOrderManger.Id in OrderProvider
* fix: incrementOrderGroupOrderManagerID in BrokerageTransactionHandler
feat: add _groupOrderManagerId in OrderProvider
* remove: extra semicolon
* refactor: prevent increment GroupOrderID
* feat: add new Exchanges
* feat: Try Get Group Combo Orders extension
* refactor: ComboORderType in TSBrokerageModel
* remove: implementing of prop ID in GroupOrderManager
* refactor: UnsupportedCrossZeroByOrderType message
* fix: warning of UnsupportedCrossZeroByOrderType
* fix: several exchanges code based on tradier docs
https://documentation.tradier.com/brokerage-api/reference/exchanges
* feat: add missed Exchange in Global class
* refactor: possible update LimitPrice in TSBrokerageModel
test:feat: validate upddate LimitPrice of ComboLimit Order
* refactor: GroupOrderCacheManager
remove: TryGetGroupCachedOrders from extension
* refactor: exchange SPHR to MIAX_SAPPHIRE
* remove: Exchange BYX cuz It is BATS_Y
* refactor: change position of Exchange C2
* refactor: change constructor's access modifier in class Exchange
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* First draft of the solution
* The same check for crytpo is done before
* Fix failing unit tests
* Remove non perpetual crypto futures from SPDB
* Address requests
* Fix failing unit tests
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* Minor indicator history fix
- Take into account warmup period when used, the last bar of the warmup
period is counted as a data point.
- Fix bug where in some cases the last data point could of been missed
and the indicator not updated with it
* Minor tweak
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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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* Default daily precise end times
- Enable by default daily precise end times. Updating stats
- Minor fix for algorithm manager consolidator updates, adding new regression test
asserting behavior and updating others
- Minor fix for SubscriptionData creator avoid round down on warmup if
not appropiate
- Adjust consolidators to emit on daily strict end times if requested
daily resolution and setting enabled
- Updating regression algorithms
* Skip daily data on extended market hours
* Some cleanup and self review
* Revert unrequired change
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* First draft of the solution
* Reduce duplication and add more properties
* Add regression tests
* Add xml docs
* Add unit tests
* Improve regression and unit tests
* Address requested changes
* Address request and improve unit tests
* Add unit test and fix bug
* Improve unit tests and implementation
* Nit change
* Address reviews
* Improve regression tests
* Address requests
* Fix bug
* Address requests
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* feat: new constructor of AlgorithmNodePacket
* refactor: extract JobQueue configuration
* remove: not used `using` in IDataDownloader
* feat: create BrokerageDataDownloader
* Revert "refactor: extract JobQueue configuration"
This reverts commit 5778936b712befd6e367bee3decc4a3565ca69af.
* Revert "feat: new constructor of AlgorithmNodePacket"
This reverts commit d7a565ff761243ae1391bd45fd10c93221f0329e.
* feat: new config `data-download-brokerage` in DataDownloadProvider
* refactor: initialize in BrokerageDataDownloader
* remove: not used `using` in Program's DataDownloadProvider
* remove: not used ref on QuantConnect.Queue proj
* refactor: use default market based on SecurityType
* refactor: MarketName in DataDownloadConfig struct
test:feat: validate MarketName
* feat: support Canonical Symbols in BrokerageDataDownloader
* remove: not used command arguments
* feat: init CacheProvider of IOptionChainProvider in Downloader
* feat: add brokerage message event in BrokerageDataDownloader
* 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
* Made changes in the ParseOptionTickerOSI function. Now it can handle both with and without space
* added new function GenerateOptionTickerOSICompact and added the test cases for it, expanded test cases for ParseOptionTickerOSI
* added assertions for strikePrice and date, corrected the indentation
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* First draft of the solution
* First draft of the tests
* Nit changes
* Nit change
* Add improvements
* Improve unit tests
* Regression algos
* Nit change
* Nit changes
* Improve unit tests
* Improve unit test
* Nit change
* Address reviews
- 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
Roman Yavnikov