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* Make ExtendedDictionary extend IDictionary
* Revert "Make ExtendedDictionary extend IDictionary"
This reverts commit bbbe9c769be682767cb9e487b904480376b53596.
* Make ExtendedDictionary key a type parameter
* Make SecurityPositionGroupModel an ExtendedDictionary
* Add unit tests
* Minor change
* Add more unit tests and other minor changes
* Add Count and ContainsKey to BaseChain
* Update pythonnet version to 2.0.43
* Update some python regression algorithms
* Minor regression algorithms fix
* Make CashBook and ExtendedDictionary
* Minor changes
* Minor changes
* Update pythonnet version to 2.0.44
* feat: support MOO in CharlesSchwabBrokerageModel
* feat: validate IsMarketOpen with MOO order type in PreOrderChecks
* test:feat: Validate MOO in various Market hours time
* fix: Algo with new MOO time validation
* test:fix: set DateTime of Algo explicitly in OrderQuantityConversionTest
This allows the stubs generator to know when to not generate Union types for parameters that can accept multiple types, like Symbol | str | BaseContract
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* Fill forward prev date universe file in manual chains fetch
If there is no universe file available for the current date, use the previous one and fill forward to avoid having empty chains on a day when we haven't generated the universe files
* Try a maximum of 3 days behind for manual chains fetching
* Minor change
* Minor fix
* Add comments
* Minor fix
* Minor fix for expired contracts
* 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
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* Disable extended market hours for universe history requests
* Exclude extended market hours for all chain universe history requests
* Disable extended market hours for chain universes
* Minor change
* Minor fix
* Minor change
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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
* Trigger Build
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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
* Trigger Build
* Trigger Build
* 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
* Trigger Build
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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
* Trigger Build
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* Minor fix
* Minor fix
* Trigger Build
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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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* Support registering indicators of type IndicatorBase<BaseData>
* Add IndicatorBase<BaseData> scenario for all the usages of ConvertPythonIndicator
* Add all scenarios in the test case
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* Initial solution
* Update unit test
* Explicit conversion if T is IndicatorDataPoint
* Solve review comments
* Add override tests for Beta and Alpha
* Refactor and update unit test suite
* Create unit test for OptionIndicators
* Resolve review comments
* Resolve new review comments
* Add a new default selector
* Fix IndicatorHistory api for options indicators
Fix for indicators based on OptionIndicatorBase to be able to use IndicatorHistory api. They require proper conversion of indicators from PyObjects
* Fix WarmupIndicator to support multi symbol indicators in Python
* Minor fix for WarmUpIndicator api
* Refactored switch statements for indicator conversion
* Solve comments review
* Refactored WarmUpIndicator to remove duplicated code
* Resolve review comments
---------
Co-authored-by: Jhonathan Abreu <jdabreu25@gmail.com>
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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
---------
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
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* 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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* 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
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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
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* Refactor GetMatchingSubscriptions:
- Fixed retrieval of minute-resolution quote data for hour-resolution
equity
- Ensured correct retrieval of data regardless of equity resolution
- Created a unit test to verify functionality
* Update unit test and create test cases
* Add new unit test
* Addressed review comments
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* Implement Squeeze Momentum Indicator
* Create unit test for SqueezeMomentum Indicator
* Update QCAlgorithm with SqueezeMomentum indicator
* Resolved review comments
* Switched to using Keltner indicator instead of manual calculation
* Refactor Squeeze Momentum indicator
- Make the Bollinger Bands and Keltner Channels indicators public.
- In IndicatorBase -> Update, if T is IndicatorDataPoint, then create a new
IndicatorDataPoint.
* Fix issue with regression tests
* Fix unit test
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* Implement Hurst Exponent indicator and unit test
- Implemented Hurst Exponent indicator class
- Created unit tests to validate indicator functionality
- Added helper methods for standard deviation and regression line slope
* Optimize Hurst Exponent calculation
- Removed redundat loops and unnecessary operations.
- Precomputed values fro time lag logarithms to avoid recalculation.
- Simplified logic in ComputeNextValue for better performance.
- Updated and clarified comments for improved readability.
* Refactor HurstExponent indicator
- Made _sumX and _sumX2 fields readonly.
- Updated loop for calculating time lag differences to avoid out of
bound.
- Renamed lookbackPeriod with period.
- Replaced DateTime.Now with a fixed date.
* 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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* Initial implementation of MAMA indicator and tests
* Implemented Mesa Adaptive Moving Average (MAMA) indicator
- Implemented the MAMA indicator.
- Created methods with overloads to support custom and default
fastLimit/slowLimit
- Included necessary logic to calculate the mesa adaptive moving average
based on John's formula.
- Created unit tests to validate MAMA's behaviour.
* Refactor Mesa Adaptive Moving Average(MAMA)
- Separated the logic into smaller functions for better maintainability.
- Improved variable names to reflec their purpose.
- Updated comments to reflect changes and improve readability.
- Consolidated MAMA method overlaod by using default parameters values.
* Refactor variables and update method parameters
- Renamed variables for better clarity.
- Updated method to use 'IBaseDataBar' instead of 'TradeBar'
- Used 'MAMA({fastLimit}, {slowLimit}) instead of just 'MAMA'
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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.
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* Add Connors Relative Strength Index(CRSI) Indicator
- Implemented CRSI combining RSI, Streak RSI, and ROC
- Added unit tests for CRSI calculation to ensure correctness and
reliability.
- Inclued the spy_crsi.csv file for testing purposes and validation of
CRSI logic.
* Refactor CRSI indicator
- Updated the CRSI logic to use Percent Change of Daily Returns instead
of ROC.
- Modified the ConnorsRelativeStrengthIndex class:
- Updated ComputeNextValue to calculate daily returns and relative
magnitude
- Improved documentation and comments
* Refactor CRSI Indicator:
- Refactored the method that updated the trend streak based on price
changes.
- Created a new method ComputeTrendStreak.
- Added check for null or 0 value in _previousInput.
* Fix comments from code review
- Add _ to priceChangeRatios
- Move _srsi.Update() to the top to avoid duplication
* Add Average Daily Range indicator and tests
- Implemented AverageDailyRange indicator
- The indicator uses a Simple Moving Average (SMA)
- Created unit tests for the indicator
- Includes example input data and test file (spy_adr.csv)
* Refactor AverageDailyRange Indicator
- Renamed AverageDailyRange to AverageRage for a more generic approach
- Replaced explicit types with 'var'
- Updated method name in test cases
- Placed AR method in the correct alphabetical order
* Solving minor issues with AR indicator
- Replace TradeBar with IBaseDataBar
- Remove unnecessary override methods
* Implement Premier Stochastic Oscillator (PSO)
- Added PremierStochasticOscillator class with two Exponential Moving
Averages (_ema1 and _ema2) for double smoothing.
- Implemented PSO computation:
- Normalized Stochastic (nsk) = 0.1 * (Fast%K - 50)
- Double-smoothed Normalized Stochastic
- Added XML documentation for public methods and key calculations.
This commit introduces a new indicator.
* Add license header and adjust spacing
* Refactor Premier Stochastic Oscillator (PSO)
- Renamed smoothing variables for clarity
- Integrated PSO logic directly in ComputeNextValue
- Used IndicatorExtensions for streamlined EMA chaining
- Updated tests to match refactored logic
* Refactor PSO
- Changed "STO" to "PSO"
- Removed unused imports
- Updated private fields
- Minor code cleanup
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* Fix ConsolidateRegressionAlgorithm
- Fix Bitcoin custom data time range. Historical data goes from April 2014
- Fix expected consolidated bar counts
- Fix python Consolidate implementations to respect daily strict times for Daily resolution
* Housekeeping
* 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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* Enhance command support
- Enhance command support, adding link helper methods. Adding and
expanding new tests
- Minor improvement for command str representation
* Minor test fix
* Infer data type from configs in bar count history requests
* Infer data type from configs in bar count history requests
* Minor changes
* Minor fix
* Cleanup
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* Option universe improvements
- Improvement for resolution handling of option universes, affecting
performance in live mode. Adding regression algorithm
* Minor fix for research test
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* Add new QCAlgorithm.OptionChain method to get full data option chain
* Add extension method to get canonical symbol
* Support future options in new OptionChain method
* Replace option chain provider with OptionChain method in some regression algorithms
* Add new regression algorithms for OptionChain method
* Replace option chain provider with OptionChain method in some regression algorithms
* Minor
* Cleanup
* Minor changes in regression algorithms
* Minor adjustments
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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>
Jhonathan Abreu