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* Add unit test reproducing the bug
* Improve unit test
* Apply market hours database updates to instance
Make sure entries are updated instead of overridden so that consumers holding the mhdb can pick up the changes
* Improved unit tests
* Update data folder MHDB entries instead of overriding instance
* Optionally reset custom mhdb entries on reset
* Simplify mhdb reset in live trading
Cleanup and minor fixes
* Ensure symbol properties database updates are picked up by consumers
Update SPDB entries instead of overriding them, just like for the MHDB so that consumers pick up updates after refresh
* Fix for symbol properties update thread safety
* Minor improvements and cleanup
* Mhdb and spdb update logic simplification
* Move "force exchange always open" logic to mhdb
* Simplify symbol properties holder and updates
* Refactor security databases to use a common base class
Introduce BaseSecurityDatabase<T, TEntry> to encapsulate common functionality for MarketHoursDatabase and SymbolPropertiesDatabase.
* Cleanup
The delisting time is handled by the DateChangeTimeKeeper now, so there is no need for the SubscriptionDataReader to do any special logic for it.
This was preventing the new tradable date events to be emitted after the delisting date in some cases, like when the day after delisting is not tradable
Co-authored-by: Jhonathan Abreu <jdabreu25@gmail.com>
* Skip "no tradable dates" log for options added on non-tradable dates
* Skip subscription to selected securities when no tradable dates
Skip selected securities subscriptions when there are no tradable dates available from selection time till end date
* Minor comment
* Remove "no tradable days" error log
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* Adjust time slice time for live trading
Adjust time slice to be driven by data, so that consolidators are update at the correct times.
Live trading uses DateTime.UtcNow which might be a few milliseconds after the latest data, causing some race conditions in consolidators scan times.
* Refactor: rounding time slice time down for past consolidators scan (live)
* Cleanup
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* Adjust lower-resolution fill-forwarded daily bars when strict end times is enabled
This allows to get fill-forwarded bars with unchanged time stamps
* Minor fixes
* Minor test data changes
* Fixes and comments
* Address peer review and add some fixes
* Minor fix and add regression algorithm
* Minor fix
* Test
* Fix price shift on continuous future rollover
* Keep track of both data and exchange time in subscription data reader
* Fix for daily and hourly resolutions.
Add daily and hour algorithms
* Fixes for emitting new exchange dates at the beginning and end when data is not available
* Cleanup
* Minor fix
* Minor fix: detect mapping in data reader after advancing time keeper
* Minor fix
* More fixes
* More fixes
* Fixes for universe files
* More fixes for daily resolution data
* Separate DateChangeTimeKeeper to its own file
* Add DateChangeTimeKeeper unit tests
* Minor fix
* Add more DateChangeTimeKeeper unit tests
* Address peer review
* Address peer review
* Address peer review
* Detect mappings using the config NewSymbol event
* DateChangeTimeKeeper performance improvement for time zone conversions
* Clean up date change time keeper
* Cleanup
* Minor regression algo update
* Cleanup
* Cleanup
* Fix perform universe selection on sundays for continuous futures with extended market hours
* Cleanup
* Address peer review
* More cleanup
* More cleanup
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* feat: sort property in SubscriptionDataSource
* refactor: read lines (with sort opportunity) in TextSubscriptionDataSourceReader
* refactor: xml description of Sort property in SubscriptionDataSource
* revet: TextSubscriptionDataSourceReader changes
* feat: develop UnsortedTextSubscriptionDataSourceReader
* remove: UnsortedTextSubscriptionDataSourceReader
* feat: develop SortEnumerator
feat: use SortEnumerator in SubscriptionDataReader
* revert: TextSubscriptionDataSourceReader changes
* feat: use sort Enumerator in LiveCustomDataSubscriptionEnumeratorFactory
* test:feat: Unsorted Live Data Feed with using Object Store
* test:feat: history CustomData request with unsorted data
* refactor: develop TryWrapper on SortEnumerator
* remove: extra spacing
* refactor: Sort in SubscriptionDataSource
* feat: add RegressionAlgorithms when source return data in Descending format
* refactor: xml description of prop Sort in SubscriptionDataSource
* refactor: SortEnumerator
* test:refactor access modifier in ExampleCustomDataWithSort
* test:refactor: increase performance LiveDataFeedSourcesDataFromObjectStore
* feat: add xml comment of regression algorithm
* test:revert: access modifier to public in internal test class
* test:refactor: use while instead of timer
* Revert "test:refactor: use while instead of timer"
This reverts commit 4fe43da8094df366f7ae4b361c97a4a14b815c32.
* Fix pandas converter to handle list of data with different symbols
* Properly convert list of data into dataframe
Take into consideration data for multiple symbols in the same list
* Cleanup
* Index dataframes by symbol object instead of SID string
* Add symbol equality operator to compare against object
* Exclude "ID" from option chain dataframe
* Minor fix
* Add greeks columns directly in option chain dataframe.
Also add pass-through properties for greek values in OptionUniverse
* Some cleanup
* Minor fix
* Add new QCAlgorithm.OptionChains() method
- Use OptionChains as output
- Add DataFrame to OptionChain and OptionChains
- Rename Greeks classes
- Add ISymbolProvider for classes that have a symbol (IBaseData, OptionContract)
* Unify QCAlgorithmOptionChain API
Also refactor OptionContract to handle: (1) Actual market data and option price model data, and (2) OptionUniverse data
* Pass symbol properties to OptionUniverse option chain from algorithm
* Format OptionContract for dataframe
* Minor fix
* Add multiple option chains api regression algorithms and other minor changes
* Address peer review
Add NullGreeks class: keep ModeledGreeks as internal as possible
* Minor fix and add PandasConverter unit tests
* Peer review: Non-thread-safe Lazy for Python
* Handle Greeks unwrapping by PandasData
* PandasData cleanup
* Add data and other minor changes
* Unit test fix
* Update Pythonnet to 2.0.39
* Cleanup
* PandasData handling children class members
Address peer review
* Fix: indexing symbol conversion in pandas mapper
* Fix pandas mapper to convert string keys to symbol only when necessary
* Cleanup
* Cleanup
* Add PandasColumn python class to handle proper indexing
This allows propery hash and equality between Symbols, C# strings and Python strings
* Minor fixes
* Symbol cache improvements
* Minor fix for cache miss
* Revert PandasMapper reserved names and improvements
* Minor fix
* Revert reserved names
* Minor fix for Symbol equality operators
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* Initial options universe with greeks implementation
* Options universe improvements
* Address peer review
* File based options universe fixes and improvements.
- Adjust OptionUniverse start-end times and period.
- Adapt unit tests and some algorithms to pass with new options universe selection.
* Updated options regression algorithms stats for new universe data
* Updated options regression algorithms stats for new universe data
* Updated options regression algorithms stats for new universe data
* Updated options regression algorithms stats for new universe data
* Updated options regression algorithms stats for new universe data
* Option chain provider with new options universe
* Allow canonical option history requests
* Address peer review
* Address peer review
* Fix symbols parsing in OptionUniverse
* Fix universe selection subscriptions start time to not include extended market hours
* Minor changes
* Minor changes
* Peer recommended changes and fixes
* Update regression algorithm stats
* Update regression algorithms stats and minor fixes
* Fix option chain provider history request
* Round option indicators values
* Added option universe csv header property
* Update regression algorithms stats
* Update regression algorithms stats
* Data fixes and regression algos stats update
* Unit test fixes
* Minor changes
* Option chain handling in live trading data feed
* Minor changes
* Added processed data provider
* Fix thread-safety violation in Slice class
* Minor change
* Update options filter universe API to use OptionUniverse data
Add new filter methods for greeks, IV and open interest
* Option filter universe api updates
* Add OptionUniverse history regression algorithms
* Add regression algorithms for new options filter universe api methods
* Added options greeks data and updated regression algorithms
* Address peer review
* Address peer review
* Add more assertions to new options filter api regression algorithms
* Minor performance improvement.
Reduce greeks binomial model steps to 140
* Minor tests updates
* Greeks numerical models performance improvements
* Greeks numerical models performance improvements
* Revert array pool change for option pricing numerical models
* Update default dividend yield provider depending on option type
* [TEST]
* Add helper method con calculate time till expiration
* Use double in price option numerical models
* Implied volatility calculation improvements
- Adjust root finding method accuracy as a factor of the option price
- Use BSM to get a first guess
* Cleanup
* Some regression algorithms and unit tests cleanup
* Regression tests updates after rebasing from master
* Add universe files
* Self review and cleanup
* Minor regression tests updates after rebase
* Fix: set data time zone to same as exchange tz for options universes
* Minor change
* Minor change
* Fix for live trading options universe selection
* Keep underlying when aggregating collections in BaseDataCollectionAggregatorEnumerator
* Update index options regression algorithms stats
* Minor change
* Address peer review
* Memory usage improvements
* Minor build fix
* Minor changes and test fixes
* Cache symbols in OptionUniverse
* Cleanup
* Fix index option creation in OptionUniverse
* Use cached underlying SID when parsing from string
* Abstract symbols cache to BaseDataCollection
* Return actual underlying symbol when mapping decomposing ICO ticker
* Address peer review
* Minor performance improvements reduce garbage
* Limit Symbols and SIDs cache size to help with memory usage
* Minor fix in symbols and sid cache cleanup
* Build fix
* Lazily parse greeks on individual access
* Cleanup and tests
* Address peer review
* Minor greeks fix
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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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
* 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
* Add algorithm unit tests
* Add Brokerage unit tests
* Add Common unit tests
* Fix unit test bugs
* Add remaining unit tests
* Address requested changes
* Address requested changes
* Fix failing unit test
* Address requested 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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* Fix fill forward resolution adjustment on removal
- Fix fill forward resolution adjustment on subscription removal. Adding
regression algorithm reproducing issue
* Minor fix for undeterminism behavior on security removals and FF res change
* Further improvements and determinism
- Improve regression algorithm add, remove and readd future, asserting
FF resolution changes
- Adjust universe selection to be deterministic and avoid unnecessary
FF resolution changes
* 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
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* Round combo order prices
* Combo limit order round fix: use smallest security min price variation
* Minor unit test change
* Improvements and unit tests
* Minor change
* Cleanup
* Fix: source custom data from remote CSV zipped file
* Fix: Custom data sourcing zip entry names from remote locations
* Address peer review
* Add unit tests
* Minor fix
* Address peer review
* Minor fixes
* Return byte array in IApi.DownloadBytes
* Allow sourcing custom data from specific csv entry in a zipped remote file
* Minor change
* feat: init Download proj
* feat: update docker file to copy download proj
* feat: parsing in cmd arguments
* feat: DataDownloadConfig model
feat: add config file
refactor: logic of parsing config
* feat: overrid ToString in DataDownloaderGetParameters
* remove: not used argument command
* feat: calculate downloading % (without ETA time)
* fix: dockfile copy path for DownloaderDataProvider proj
* feat: additional Property in .csproj
* remove: DataProviderFullName prop from DataDownloadConfig
* remove: extra package (ref from Configuration proj)
* feat: ETA calculation of downloading data
* Minor tweak
* rename: namespace of downloaderDataProvider to generic style format
* test: ETA from DownloaderDataProvider
* fix: calculate ETA like real downloading process
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* fix: download year file data only for hour and daily resolutions for options and index options
* minor fix: index options regression tests expected status
* Minor change
* minor: update regression algorithms stats
* 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: map files in lean/data folder
* feat: Indexers in MapFile
* feat: extension for mapFile and downloader param
* refactor: getAllTickers from MapFiles
* feat: addition out variable in TryParsePath
fix: tests with new variable
* refactor: DownloadDataProvider with getting all ticker with different DateTime Ranges
feat: test
* revert: "refactor: map files in lean/data folder"
This reverts commit 41fa26eb8627446028d4f2d4c536511ea82a9a48.
* revert: "feat: addition out variable in TryParsePath"
refactor: some actual changing
This reverts commit 9de482bd6490eecd1eeee83e035dfc1ece8d6415.
* revert: "feat: Indexers in MapFile"
fix: actual changes
This reverts commit 393181c6316a354a8cdcbfb093707cb545383a8a.
* remove: high performance Any validation
feat: validation on ticker start with specific sign
fix: option test
* feat: validation on mapping
refactor: when resolution less hour
test: new test cases + validation of SecurityType
* refactor: add additional day when return date range from MapFile
fix: FirstTicker instead of Permtick when generate new Equity
feat: validation of request Date in DownloaderDataProvider
refactor: by style proj DownloaderDataProvider
test:fix: starting Date in TestCases
* remove: duplicate code
* fix: check of income data.Time with requested Start/End-Date
* test:fix: download test cuz we can not get/write future data
* remove: extra Symbol Create mthd
* test:feat: validate of TryParse returns correct symbol
* remove: excess if condition
* test:remove: extra chaning
connected # 3a62adf54c42b01d28ff410e93e1ce277ee6d534
* refactor: split big method to small ones (add readability)
* fix: typo in xml description
* refactor: get the correct symbol value
* refactor: use local time instead of Utc in download Param extension
refactor: use struct instead of class
* test:fix: convert time to Utc from local time
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* Adds Rebate and Fee Rates to Shortable Provider
If the provider does have this information, the rates are zero.
* Adds Helper Methods to QCAlgorithm
- Improve summaries.
- Express values as rates instead of percentages.
- Adds headers to files to emulate real data
* Clarify the Data Format
* Removes Helper Methods from QCAlgorithm
* Removes `Shortable` and `ShortableQuantity` from Example
Algorithms should prefer getting the information from the `Security.ShortableProvider`.
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* Add schedule manager unit tests
* Add schedule manager unit tests
* Fix overriding security exchange hours
* Minor comments changes
* Minor change
* Add SecurityExchangeHours.Update method to set without changing the reference
* Minor change
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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
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* feat: helper to return old name of symbols
feat: test
refactor: test a little bit neat
* feat: SplitHistoryRequest() with different mapped symbol
feat: test
refactor: RetrieveSymbolHistoricalDefinitions
* refactor: split historyRequest by historical symbol name
refactor: change location of extension
refactor: change location of test extension
* revert: extra changes
* fix: validation on RequiresMapping in SplitHistoryRequest
feat: add Future Symbol tests
* move: extension method to another file
* fix: wrong extension call param position
* fix: wrong extension call param position in test
* refactor: IEnumerable foreach to more simple form
feat: add TickerDateRange struct instead of Tuple
fix: test
* refactor: map extension alway returns empty result
* refactor: SplitHistory extension returns original HistoryRequest
* feature: new extension for RequiresMapping except Futures
* fix: validation of symbol map file to contains something
* refactor: extension test cases
* feat: assert of right ticker in tests
* fix: split historical request with using Local Time instead of UTC
fix: test description
* feat: test helper IEnumerable of TimeZones
* test: validate right EndDate with different TimeZones
* remove: validation of end of date
test: several new test cases
* feat: additional test with specific dateTime
* remove: extra Extension method validation on future and mapping
* 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
- Adjust live equity delisting to be map files based like splits and
dividends. Adding unit test
- Expand existing unit tests asserting delistings in live mode, set
securities to not tradable
Jhonathan Abreu