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* wip: show work
* refactor: TradeStationBrokerageModel of using OutsideRegularTradingHours
test:feat: OutsideRegularTradingHours
* remove: comboLimit OrderType in IsLimitOrder(...)
* fix: regression algo which test unsupported OrderType in extend market hours
* fix: condition with supportsOutsideTradingHours in CanSubmitOrder
* refactor: regression test with OutsideRegularMarketHours TradeStation
* refactor: TradeStationBrokerageTradeWithOutsideRegularMarketHoursParameter
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Co-authored-by: Henry Ennis-Thomas <henry@henryetdev.com>
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* Initial solution: Add an extra conditional in SubscriptionManager and add regression algorithms
* Solve comments review
* Add unit test
* Refactor unit tests in SubscriptionManagerTests
* Resolve comments review
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* Adds example of custom signal exports.
- SignalExportManager send signals automatically after 5 seconds.
- Missing example and Python support.
* Updates Examples to Disable Automatic Export
* Addresses Peer-Review
* Initialize securities on re-addition
* Minor unit tests fixes
* Reset Index.ManualSetIsTradable when security is removed
* More changes to clean up and simplify
* Address security re-utilization only
* Cleanup regression algorithms
* feat: make static and get; set; of DefaultSettlementDays in Equity,Option
* refactor: reset _lastUnsettledCash depend on settlementDays in UnsettledCashWhenQuoteCurrencyIsNotAccountCurrencyAlgorithm
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* Make FOPs selection universe file-based for backtesting
* Make FOPs option chains universe file based
* Make Future universe selection file-based like option universe
* Make Future universe selection file-based like option universe
* Abstraction cleanup
* Add FuturesChains API to QC algorithm
Also refactor future chain provider to use the new FutureUniverse instead of zip file names
* Update regression algorithms stats
* Refactor QuantBook option and future history to use new universes
* Fix failing tests
* Fix failing tests
* Fix failing tests
* Minor future chains unit test improvement
* Add futures chains DataFrame property
Also, remove IDerivativeSecurity interface from Future
* Add DataFrame property to FuturesChains class
* Add regression algorithms
* Add regression algorithms
* Replace QCAlgorithm.FutureChainProvider usages with new FuturesChain api
* Minor fixes
* Reduce number of universe files in repo
* Minor data fixes
* Regression algorithms updates
* Add implicit conversion from FuturesContract to Symbol
Modified algorithms to use futures contract objects directly instead of accessing their Symbol property.
Removed unnecessary import statements and redundant lines in various files.
* Improve resolution handling for history requests
* Changed _auxiliaryData field to lazily-initialized AuxiliaryData property
* Refactor data handling in BaseChain and TimeSliceFactory
- Added `AddData` method to `BaseChain` for adding market data
- Refactored `TimeSliceFactory` to use `BaseChain.AddData` method
* Remove specific constructors and indexers from Chain classes
Removed public indexers in `BaseChains` for getting or setting `BaseChain` instances by `ticker` or `Symbol`, which were used for Pythonnet compatibility.
* Remove chain cache logic from FuturesChainUniverse
* Refactor class and interface names for clarity
Renamed `FileBasedUniverse` to `BaseChainUniverseData` and
`IFileBasedUniverse` to `IChainUniverseData`.
* Add base class for options and futures contracts
- Introduced `BaseContract` as an abstract base class for contracts, consolidating common properties and methods.
- Removed ISymbolInterface
* Add minor fix for future options tickers parsing
Added tests
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* Clean chain provider classes up
* Remove ZipEntryName other classes and unused code
Removed ZipEntryName class and references across various files.
Removed DataQueueFuturesChainUniverseDataCollectionEnumerator and DataQueueOptionChainUniverseDataCollectionEnumerator classes.
Removed OptionChainUniverseSubscriptionEnumeratorFactory class.
Removed unused code for handling OptionChainUniverse and FuturesChainUniverse in FileSystemDataFeed.cs and LiveTradingDataFeed.cs.
Removed several test files related to enumerator factories and universe data collection.
* Minor changes and cleanup
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* Refactor FuturesContract data handling
Forward price data from bars and ticks stored in private fields for improved memory usage
* Fix: use universe data for market data in FuturesContract
* Update regression algorithms stats after rebase
Added HSI futures universe files
* Sort configs by internal flag
Internals go first
* Throw from option universe data filters for future options
Future options IV, Open interest and greeks are not supported for future options
* Minor changes
* Improve some regression algorithms
* Minor fix for failing unit tests
* Update FOPs universe file header
Removed greeks and IV columns.
Updated FOPs universe files: removed outdated columns.
* Minor unit test fix
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* Minor fix
* Add history provider as constructor argument for chain providers
* Update new regression algorithms data points count
* Minor fix for FakeDataQueue
* Add initialize method to chain providers classes
* Minor changes
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* Minor fix
* Minor fix
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* Add logs to ProcessedDataProvider
* Removed test logs
* Minor fix
* Support downloading options and futures universe files from api data provider
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- Fix for division by zero in option assigment check. Adding regression
test reproducing issue. Will now rely on normalized path in universe
selection to clear the cache
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* Cache registered custom python security and universe data types
Use this cache to get the correct config for history requests since pythonnet will always pass PythonData and we lose reference to the actual Python type
* Use local repo data for unit tests
* Move unit tests to algorithm history tests
* Use UniverseManager instead of CacheCustomPythonDataType
* Add regression algorithms
* Update regression algorithms to solve issues
* Update regression test and History
* Updated source path to avoid issues with linux
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Co-authored-by: Jhonathan Abreu <jdabreu25@gmail.com>
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* Adds BroadcastCommand Method
Send a command to all live algorithms.
* Addresses Peer-Review
* Minor tweaks
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Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* Initial solution
* Add python support for CompositeIndicator
* Add unit tests and update CompositeIndicator
* Add new test case
* Update TryConvertToIndicator logic
* Solve review comments
* Resolve review comments
* Remove unnessary case
* Use GetIndicatorAsManagedObject instead of ConvertToIndicator
* Add regression tests
* Add DualSymbolIndicator unit tests
* Introduce MultiSymbolIndicator for indicators working on multiple symbols
Use the new class as base for DualSymbolIndicator and OptionIndicatorBase.
The OptionIndicatorBase can now detect when ready even if underlying and options market close is different when resolution is daily.
* Accept any BaseData for options indicators
* Improve indicator conversion from python on registration
Also minor fixes
* Cleanup and simplification
* Fix ImpliedVolatility IsReady flag
* Update regression algorithm history count
AutomaticIndicatorWarmupOptionIndicatorsMirrorContractsRegressionAlgorithm history count decreased because options indicators period is now 1 instead of 2
* Address peer review
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* Initial solution
* Update regression test
* Update assertions
* Resolve PR comments
* Add more order types to regression test
* Update regression algorithm name
* Update old regression algorithm
* Refactor validation to check buying power only for non-ComboLeg update orders
* Update ValidateSufficientBuyingPowerForOrders
* Update regression algorithm
* Resolve review comments
* Use try out pattern
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* Refactor SetHoldings to return a List<OrderTicket>
* Add expectedQuantities to the testCases
* Update regression tests
* Update name of regressionAlgorithm
* Address review comments
* Update unit test
* Fix symbol changed events emission time
Ensure the symbol changed events are emitted after the securities are processes by the main loop in the AlgorithmManager. This way the algorithm has access to the new symbol security since it would be added by the securities processing logic.
Also, allow all securities to be properly updated, including prices and cash, before emitting the event, so that the any logic (like placing orders) done by the algorithm on the handler has the correct data.
* Minor fix
* Minor change
* Minor change
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* Create regression tests and refactor liquidation logic
- Implemented regression tests for order creation and liquidation
scenarios
- Removed LiquidateExistingHoldings method
- Replaced LiquidateExistingHoldings with the general Liquidate method
* Addressed review comments
* Addressed new comments review
* Update default value for 'tag'
* Update ExpectedStatistics
* Identify and liquidate portfolio symbols not included in targets
* Create a new regression test
* Fix minor comments
* Move regression tests to the correct folder
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>
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* Inicial solution
* Use InitialMargin instead of MaintenanceMargin
* Addressed review comments
* Update unit test
* Refactor GenerateOptionTicker method to handle IndexOption
* Addressed PR comments
* Update unit test
* WIP: Refactor Correlation Indicator
* Simplified comparison logic and improved abstraction
* Refactor Correlation and Beta indicators
- Created a base class to handle indicators with dual-symbol
functionality.
- Refactored the Beta and Correlation indicators to inherit from the new
base class.
- Updated unit tests.
- Added a new regression test to validate the latest computed value.
* Addressed review comments
* Update regression test
* Add new unit test to CommonIndicatorTests
* Addressed new review comments
* Fix bug in beta calculation
- Beta is fill-forwarded
- A correct pair considered when they have different symbols and the
same date
- Processing occurs when there are at least period+1 correct pairs
* Address review comments
* Add time zone handling and resolution-based truncation
* Fix regression test for Beta indicator
* Handle resolution for beta indicator
- Remove effectiveResolution and Beta constructor parameter for
resolution.
- Streamlined resolution handling logic for Beta indicator.
- Fixed issues with regression test for Beta.
* Fix issue with period and WarmUpPeriod
* Update unit tests for Alpha indicator
* Fixing minor issues
* Add a variable to track if the previous symbol is the target
* Add regression test for Beta calculation between BTCUSD and SPY
* Add an extra period if the TZ are different
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* Add helper method to calculate options expiration date time
This allows to compute accurate time till expiry for greek indicators to be able to calculate on the actual expiration date before market close
* Update tolerance in greek indicators tests
* Minor fix
* Modify helper method to calculate settlement time instead of expiration time
* Cache option expiration date time
* Minor changes
* Minor changes
* Fix for daily options open interest data to be added to contracts
* Cleanup
* Update regression algorithms stats
* Minor fix and cleanup
* Minor fix
* Minor fix
* Update regression algorithms data point count
* Address peer review
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* First draft of the solution
* Add regression tests
* Improve solution and add unit test
* Address suggestions
* Improve unit tests
* Nit changes
* Fix regression algorithms
* Default Data to null for ETFConstituentUniverses.
The data collection will be assigned only if needed. This allows data column to be filtered from dataframes since it will always be null for all constituents.
* Make base data collection aggregator reader fall back to BaseDataCollection
After instatiating the collection type, fall back to the base BaseDataCollection to aggregate data if the type is not a base data collection.
* Minor change
* Minor change
* Update pythonnet to 2.0.41
* Ignore data column for every flattened universe dataframe
* Filter empty collections columns in data frames
* Allow snake case named attributes in PythonSlice
* Remove PythonSlice Data Python class
Pythonnet handles dynamic objects behavior
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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
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* Normalize universe data frames
Universe and (generically BaseDataCollection) data frames are not normalize and unpacked into a data frame, instead of just creating data frames with the universe lists within it
* Fix unit tests and algorithms to expecte new universe dataframe format
* Fixes
* Add PandasConverter.DataFrameGenerator class
* Pandas data frame generator class fixes
* Add comments
* Housekeeping
* Add attributes to mark classes and properties for pandas processing
* Improve pandas properties expanding
Allow and handle duplicate names
* Use PandasData generalization for Lean common data types
* Add points time as column when converting base data collections to data frames
* Cleanup and minor changes
* Minor change
* Pandas data to get type members on demand
* Move Pandas helper classes to their own files
* Minor changes
* Add flatten argument to python history api
This allows users to decide whether they want fully expanded dataframes for universe and other collection data types. Else, master behavior is kept
* Adding missing changes to last commit
* Update Pythonnet version to 2.0.40
* Add flattent argument to algorithm's OptionChain api
* Minor changes
* Housekeeping
* Minor changes
* Bug fix skipping data collection data points
* Add comment
* Set correct exchange time to OptionUniverse instances
* Address peer review and cleanup
* Cleanup
* Minor changes
- Addressed bug causing mismatch between types of correlations.
- Updated C method to include CorrelationType.
- Created regression test to ensure proper validation.
* Let delistings through for internal subscriptions
Without it, previously mapped continuous future contracts for which a position is open never received a delisting event for them to be liquidated and marked as non-tradable
* Update regression algorithm stats
* Revert/remove transaction handler initialization parameters DTO class
* Cleanup
Roman Yavnikov