* Minor fix for negative rolling window index
- Minor fix for negative rolling window index when partially full,
adding unit test
* Reduce RefreshesSymbolProperties test runtime
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* feat: support new OrderType in TastytradeBrokerageModel
* feat: extension GetGroupQuantity
* refactor: WaitOneAssertFail to return bool
* refactor: GetOpenOrders in BrokerageTests
* feat: display holdings when begin/end test run
* refactor: brokerageTest class to support handle combo order
feat: comboOrderTestParameters
feat: tastytrade option strategy algo
* refactor: Tastytrade Algo BullCallSpread
* feat: Bull/Bear-CallSpread test cases in BrokerageTests
feat: ComboLimitOrderTestParameters
* fix: remove static in ComboLimitOrderTestParameters of ExpectedStatus
* feat: restrict submit combo limit cross zero orders in Tastytrade
test:feat: submit combo limit cross zero test cases in tastytrade
* test:fix: missed test helper to c9907b23
* refactor: GetGroupQuantityByEachLegQuantity
feat: overload GreatestCommonDivisor
test:feat: GetGroupQuantityByEachLegQuantity
* test:feat: extra test cases to GetGroupQuantity to 925c214a
* test:refactor: take out Cancel Status update in HandleEvents()
* feat: prop Direction in Leg
* Revert "feat: prop Direction in Leg"
This reverts commit 4f92f97b630a157d3972c2321473d87c330c26c8.
* refactor: ComboLimitOrderTestParameters
* test:refactor: CancelOrders
* test:feat: add missed xml description
* test:feat: support ModifyUntilFilled Combo orders
* test:feat: Long/Short-Combo unit tests
* test:fix: compare all status if it is combo order type
* test:refactor: applyOrderUpdate in gracefully way in LimitOrderTestParameters
* remover: Tastytrade algo
* test:feat: create new BaseOrderTestParameters with helper methods
test:rename: method in ComboOrderTestParameters
test:remove: duplication
* Fix extended hours only days period history
Don't include extended hours only days in date range calculated fro period history request
* Add comments
* Cleanup
* Revert some changes
* Cleanup
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* Add VBaseSignalExport
* Add a VBaseSignalExport feature that allows signals to be stamped with the help of the ValidityBase REST API.
* Addressing review comments
* Create DefaultApiBaseUrl const in VBaseSignalExport
* Add vbase signal export demonstration algorithm
* Set initial parameters for VBaseSignalExportDemonstrationAlgorithm
* Refactor VBaseSignalExport and demonstration algorithm: update symbol list, extend end date, and improve API base URL handling
* Initialize allowed security types in VBaseSignalExport and fix symbol reference in CSV generation
* Adjust rate limiter for vBase signal export to allow 6 requests per hour for better performance
* Minor tweaks
---------
Co-authored-by: Volodymyr Bobko <volodymyr.bobko@un.org>
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* Implement Session class
* Use MarketHourAwareConsolidator inside Session
* Delete SecurityCacheSessionConfig
* Refactor session class
* Solve review comments
* Fix regression algorithms
* Add null check to AvailableDataTypes
* Update session class
* Solve new review comments
* Add new test for futures and update regression test to PEP8
* Add new regression algorithm for Session with futures
* Resolve review comments
* Add local time keeper to SecurityCache
* Scan on consolidator updates and time updates
* Add new regression algorithms and unit tests
* Add unit tests and improve comments
* Fix syntax test
* Solve review comments
* Add regression algorithms
* Resolve review comments
* Make SessionConsolidator implement IDataConsolidator
* Add caching to avoid recreating SessionBar instances on every access
* Solve review comments
* Make SessionConsolidator inherit from MarketHourAwareConsolidator
* Add unit test to verify Session preserves previous day values
* Update regression algorithms
* Solve review comments
* Resolve review comments
* Solve new review comments
* Add unit test for Session class
* Refactor SessionBar properties and Update method
* Use WorkingDataInstance reference instead of _workingData.Clone()
* Use a delegate to get the workingBar instance
* Fix bug in MarketHourAwareConsolidator
* Solve review comments
* Handle OI values
* Add regression algorithms for future contracts and options
* Solve review comments
* Refactor SessionConsolidator to inherit PeriodCountConsolidatorBase
* Prevent overlapping higher resolution data
* Update tests
* Solve review comments
* Minor tweaks
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* Add 'asynchronous' parameter to trading api
* Add regression algorithms
* More fixes for asynchronous orders
* Fix failing unit tests
* Fix failing unit tests
* Add multiple orders requests in transaction handler
Make each transaction thread handle requests corresponding to the same order
* Refactor order state machine in BrokerageTransactionHandler
Now using a single dictionary to hold orders and their state, either pending for submission, open or closed.
* Revert: remove complete orders from new state machine in BTH
* Add order ticket to new BTH open orders state machine
* Run syn in Backtesting transaction handler for new orders submission
* Remove OpenOrderState.SubmissionPending property
* Add Security to OpenOrderState
* Minor fix
* Cleanup
* Some cleanup in BTH
* Cleanup
* Minor fix
* Minor unit test fix
* Minor fix
* Make Brokerage.ConcurrencyEnable property virtual
* Minor change
* Cleanup
* Add 'asynchronous' parameter to SetHoldings api
* Improve regression algorithms
* feat: not use CrossZeroOrder for MOO and MOC
* Revert "feat: not use CrossZeroOrder for MOO and MOC"
This reverts commit 1a71c5fe907f657bafcc47d952bfdf53fbb6186e.
* feat: Not support crossZeroOrderTypes
test:feat: cross zero orders
* Revert "feat: Not support crossZeroOrderTypes"
This reverts commit 16785b5d2f701ed3153a3e8589174bd6073b0763.
* feat: not support CrossZeroOrder in TradeStation
* feat: not allow to place MOO and MOC with CrossZeroOrder
* test:feat: MOO and MOC CrossZeroOrder reject
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* Add support for some CME currencies FOPs
Support ADU (6A), GBU (6B), CAU (6C), EUU (6E), JPU (6J), CHU (6S)
* Cleanup
* Consider holidays in FOPs expiry function
* Add tag parameter, update CancelOpenOrders and Liquidate calls
* Resolved commen on the related PR: following the pattern of Liquidate() using Liquidated as default, I think the tag should be Removed
* Add tag parameter to RemoveSecurity and update regression algorithms
* Minor tweaks
---------
Co-authored-by: meysam <poormonfared.azimi@gmail.com>
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* Set consolidated bar EndTime to last input's EndTime in count-based consolidator
* Solve review comments
* Move EndTime assignment to base class
* Update unit tests
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* Some fixes for new C# enums handling in Pythonnet
* Minor changes and cleanup
* Update Pythonnet version to 2.0.45
* Minor changes
* Minor fix
* Minor fix
* Minor change
* Minor change
* Minor unit test fix
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* Changed default async to true and passed target.Tag
* Make execution models place orders asynchronously if specified
* Add unit tests
* Execution model default to asynchronous orders.
Also, minor fixes for tickets remaining fill quantity potential race conditions
* Add SecurityHolding.UnrealizedQuantity property
It gets the holding quantity the security will have once all open orders are filled.
Added for thread safety reasons when execution models place asynchronous orders and need to calculate the actual quantity needed to reach the target of there are open orders
* Some cleanup
* Adjust projected holdings quantity on splits
* Minor fix
* More changes and cleanup
* Minor fix
* Improvements for thread safety
* Add IOrderProvider.GetProjectedHoldings to get projected holdings atomically
* Minor unit tests fix
* Add ProjectedHoldings DTO class
* Address peer review
---------
Co-authored-by: arthiondaena <arthiondaena@gmail.com>
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* Implement a prototype of the maximum recovery time function.
* Add unit test skeletons.
* Add failing test
* Issue #4581: Implement MaxDrawdownRecoveryTime.
* Issue 4581: Add DTO for Drawdown Percentage, Drawdown Enddate, and High Value
* Issue 4581: Fix bgu for when lDrawdowns list is empty.
* Issue 4581: Change names of tests. Change name of file.
* Issue 4581: Make adjustements to flow of adding drawdowns to lDrawdowns.
* Issue 4581: Add multiple unit tests.
* Issue #4581: Change name of unit test
* Issue #4581: Add to PerformanceMetrics
* Issue #4581: Add Maximum Drawdown Recovery to PortolioStatistics class.
* Issue #4581: Add to portolfio statistics class.
* Issue #4581: Add to statistics builder.
* Issue #4581: Add report key.
* Case #4581: Convert to decimal.
* Issue #4581: Correct comment.
* Issue #4581: Correct performance metrics view model string.
* Case #4581: Correct statistics builder view model string..again.
* Issue #4581: Placed DradownDradownDateHighValueDTO at the end of the file for simpler diff.
* Issue #4581: Add 2 new tests.
* Issue #4581: Change algorithm so that when multiple maximum drawdowns occur, the longest of all recoveries is reported.
* Issue #4581: Add unit test.
* Issue #4581: Remove reportkey. Change dto name.
* Issue #4581: Change summary.
* Issue #4581: Change comment.
* Add max drawdown recovery calculation with unit tests
* Update regression algorithms with the new metric
* Solve review comments
* Update regression algorithms
* Add TryGet to safely get the key: MaximumDrawdownRecovery
* Ignore MaximumDrawdownRecovery metric in OptimizationBacktest Json
* Revert changes in Messaging
* Update regression algorithms
* Add test case: TakesLongestRecoveryAmongMultipleDrawdowns
* Use integer days for MaximumDrawdownRecovery
* Add MaximumDrawdownRecoveryReportElement
* Use more explicit names
* Rename files and variables for consistency
* Update regression algorithms
---------
Co-authored-by: Alain Schaerer <aschaerer@pcatg.com>
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* Use correct sids when reading options/futures universe files
* Introduce new format for options and futures universe files
* Minor change
* Minor data fix
* Minor change
* Fix failing unit tests
* Add options and futures symbols cache
* [HACK] Force use test universe files
* Minor fix for universe symbols cache
* Performance improvements
* Miror change
* Cleanup
* Sort universe files
* Minor regression algorithm fix
AddAndRemoveOptionContractRegressionAlgorithm to not depend on universe file entries ordering
Martin-Molinero