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* Fix performance degradation on expirying assets
- Options would expire and get removed, when the universe removed the
security it would never be reseted on universe selection, causing
leaks
- Minor improvement for composer assembly loading
- Minor improvement for loading exception interepreters, so it uses
composer
* Minor regression test fix
* Add new benchmark algorithm
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* Use Futures Bank Holidays For Expirations
* Minor improvements
- Futures will be stored by their contract month, not expiry
* Delete dairy future products
* Minor test fixes
* Add optional strict parameter to PivotPointsHighLow indicator for relaxed comparison
- Added bool strict parameter (default true) to PivotPointsHighLow constructors
- When strict=true: Uses strict inequalities (> and <) - existing behavior
- When strict=false: Uses relaxed inequalities (>= and <=) - allows equal values
- Updated comparison logic in FindNextLowPivotPoint and FindNextHighPivotPoint
- Added new PPHL overload in QCAlgorithm.Indicators.cs with strict parameter
- Added 5 comprehensive unit tests using TestCase attributes
- All tests pass (19/19 relevant tests)
- Backwards compatible: default behavior unchanged
Addresses #8881
* Fix PPHL method signature to resolve overload ambiguity and maintain API consistency
- Remove wrapper overload to eliminate compilation ambiguity
- Reorder parameters: strict parameter now before resolution
- Keep selector as last parameter (consistent with other indicator helpers)
- Add unit tests verifying no overload ambiguity and correct strict parameter behavior
Addresses PR review feedback on #9033
* Implement backward-compatible PPHL overloads to support strict parameter
Added a second overload to maintain backward compatibility while introducing
the strict parameter. This prevents breaking changes for existing code that
uses positional arguments with the PPHL helper method.
Changes:
- Added backward-compatible overload that accepts (symbol, lengthHigh, lengthLow,
lastStoredValues, resolution, selector) and delegates to the new implementation
with strict: true
- Kept the new overload with strict parameter as the primary implementation
- Added comprehensive test (QCAlgorithmHelperOverloadResolution) documenting all
9 valid call patterns to prevent future regressions
This approach ensures:
- Existing calls like PPHL(symbol, 3, 3, 100, Resolution.Minute) continue to work
- New calls like PPHL(symbol, 3, 3, strict: false) are supported
- No ambiguity in overload resolution
- All 23 PPHL tests pass successfully
* Clean up some test duplication
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Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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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>
Jhonathan Abreu