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* Fix settting brokerage model after adding security initializer
* Minor fix
* Minor change
* Minor change
* Send warning for calling SetBrokerageModel before setting or adding security initializer
* Send warning for calling SetBrokerageModel before setting or adding security initializer
* Minor change
* Minor change
* Cleanup
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* Add new QCAlgorithm.AddSecurityInitializer method
This allows to add multiple security initializers without manually creating an instance of a CompositeSecurityInitializer
* Add Python support
* Cleanup
* Fix: Add obsolete flag to AddUniverse coarse+fine
Added obsolete flag to AddUniverse(Func<IEnumerable<CoarseFundamental>, IEnumerable<Symbol>> coarseSelector, Func<IEnumerable<FineFundamental>, IEnumerable<Symbol>> fineSelector), added one time logging and altered docs accordingly.
* Update QCAlgorithm.Universe.cs
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Co-authored-by: Martin-Molinero <martin.molinero1@gmail.com>
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* Fix ProcessSplitSymbols crash during live mode warmup
Fixes InvalidOperationException when CancelOpenOrders is called during warmup in live/paper trading mode.
When historical splits are replayed during live mode warmup, ProcessSplitSymbols attempts to cancel open orders for option contracts, but CancelOpenOrders throws an exception during warmup.
The fix adds an early return when algorithm.LiveMode && algorithm.IsWarmingUp. This is safe because in live/paper trading, current positions already reflect historical splits.
Includes unit tests validating the fix.
* Some improvements and more tests
- Ignore splits during warmup for backtesting and live trading. Adding a
regression algorithm reproducing issue
* Minor fix
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Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Minor fix for negative rolling window index
- Minor fix for negative rolling window index when partially full,
adding unit test
* Reduce RefreshesSymbolProperties test runtime
* Freeze autoray version to 0.7.2 in foundation image
Required for compatibility with pennylane package
* Update foundation image
- Updating foundation image libraries and new libraries and tests
* Some more foundation tweaks
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Co-authored-by: Jhonathan Abreu <jdabreu25@gmail.com>
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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
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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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Submit (and fill in case of market orders) in the same time step even if orders are asynchronous in backtesting since it's data driven instead of real time driven.
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* Enable concurrency for paper brokerage.
Implement PaperBrokerageTransactionHandler to handle concurrency for live paper trading transaction handler
* Remove PaperTradingBrokerageTransaction handler
Favor existing BacktestingTransactionHandler
* Minor fixes and cleanup
* Minor unit tests fix
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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
Jhonathan Abreu