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* First potential solution
* Add unit tests
* Address requested changes
* Add unit test reproducing user bug
* Missing update
* Address reviews
* Improve unit test
* Improve unit test
* Nit change
* Nit changes
* Nit changes
- Remove universe selection on dates with extended market hours only
- Updating regression algorithms
- Expand date & time rules API to support specifying whether extended
market hours only dates are desired or not
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* Fix half of the CA1051 warnings
This warning is about not declaring visible instance fields. There are
something about 500 warnings in the solution, mostly in the QuantConnect and QuantConnect.Algorithm.CSharp projects. I aim to fix one of them in this PR and the other half of them in a second one. To fix it, I'm changing the visible instancce fields for properties.
* fix bugs
* Addressing minor reviews
* More minor fixes
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* Minor api improvements
- Adding Universe.Selected to hold the current set of selected symbols.
Adding regression tests
- Adjusting TimeRules and DateRules to fallback to the MHDB if the
security hasn't been added. Updating existing regression tests
* Expand regression test assertion
* Add Scheduled Universe Selection
- Adding `UniverseSettings.Schedule` that will allow users to
specify a custom selection schedule which is independent of the
underlying data frequency
- Adding unit and regression tests
* Add live trading schedule time shift
* Changed argument exceptions so that they used the nameof() operator for parameter names
* Update IQSocket.cs
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Co-authored-by: John Doe <john@doe>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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- During warmup period the algorithms initial time might not be a rounded date
value, so it's important to take into account hours/minutes. Adding
regression algorithm reproducing and asserting issue
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* Give `code()` more time per iteration
* Another proposed solution
* Revert "Another proposed solution"
This reverts commit 29bf5a7554363afb27affb28730c6be1e2a54807.
* Add an AutoResetEvent field in `TimeConsumer()`
* Avoid change TimeMonitor implementation
* Remove changes in `TimeConsumer.cs`
* Requested changes
* Avoid re-implementation
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* Improve python exception parsing
- Improve python exception parsing adding support for line shift. Adding
unit tests
* PythonException revert change
* Centralized and normalize algorithm runtime handling
* Adding support for C# line and file exception report
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* Apply fix for both start and end month cases
* Add unit tests for both cases
* Fix weekstart/weekend for same issue; add unit tests
* nit - rename tests
* Adjust logic
* Add offset capabilities and related tests
* Add tests for Weekend Offsets on Symbol DateRules
* Unify Iterator Behavior
* Refactor and consolidate functions to reduce duplicate code
* Positive offset values only
* Address review
* Expand Month tests to include Forex and Crypto cases
* Ensure order of days in schedule
* Refactor and unify behavior
* More edge cases and tuning
* Address review + more tests
- `ITimeRules` are expected to yield time date in UTC, fixing `Noon`,
`Midnight` and `Every`
- `ScheduledUniverseSelectionModel` will use UTC time zone by default
since that is the default expected time zone `ITimeRule` provides
- Adding regression test
- Adds PyObject overload to `ScheduleManager.TrainingNow` and `ScheduleManager.Training`
- Adds `QCAlgorithm.Train` helper method
- Adds Python algorithm showing how to use the helper method.
We restrict each algorithm time loop to a pre-determined amount of time.
Exceeding this limit will cause the algorithm to immediately terminate.
This quickly becomes an issue when considering users running trainable
models that have a long initialization period that exceeds the time loop
maximum.
This change provides a mechanism through which a long-running scheduled
event is permitted to keep running and is permitted to avoid the time loop
permitted by requesting additional time. Requests for additional time are
limited according to a leaky bucket implementation whose parameters are
set via the job's controls structure. The fundamental time unit for the
algorithm is a single minute.
Here's how it works. If a scheduled event takes longer than one full wall
clock second then a request is made to the leaky bucket for one more minute.
If the scheduled event continues to take more time, it will continue to
request additional minutes. Each requested minute will prevent the algorithm's
time loop check from terminating the algorithm. When the bucket is empty and
no more minutes are available to be requested, a TimeoutException is thrown
causing a cascade that ends in the algorithm's termination and status being
flipped to RuntimeError.
Additionally, this applies equally to ALL scheduled events. While some helpers
were added with the naming of Train and TrainNow to the ScheduleManager, these
methods don't do anything special and the infrastructure doesn't otherwise
flag them as different, so this feature becomes part of the core Scheduled
Event feature set.
Further, the live scheduled events were not touched and are still pending
further discussion regarding the value added by enforcing a time restriction
when simulation time and wall clock time are equivalent.
Fixes#3319
These are simple, easy to use convenience properties for creating short-term
scheduled events and produces a cleaner, easier reading syntax than using the
other various methods to produce the same result, for example:
Schedule.On(DateRules.Tomorrow, TimeRules.Noon, MyScheduledEventMethod);
Also fixes typo in FuncDateRule constructor parameter.
When adding a new ScheduledEvent with exactly one event time set
to the algorithm's current time, the SkipEventsUntil function would
skip the only event. It appears that this bug was 'fixed' via commit:
33a4db4559
This 'fix' is more of a bandaid and I'm forgoing undoing the bandaid
applied in ScheduleManager and ScheduledEventBuilder where we start
calculating the event schedule a full day before the algorithm's
current time in an effort to reduce additional potential risks from
creeping into this PR focused on adding support for long-running
training functions.
The `NullReferenceException` type is intended to only be thrown by the CLR.
In most cases, it should be converted to an `ArgumentException` or an
`InvalidOperationException`, depending on if the null value is a parameter
to the current method or not.
The `Exception` type should never really be thrown as it doesn't provide any
additional information or hints as to the issue. It also forces users that
would like to handle expected exceptions to catch all exceptions. These are
converted to an exception type that more accurately describes the reason for
raising the exception: `KeyNotFoundException`, `InvalidOperationException`
Adding an overload to `ScheduleManager.On` method that accepts a `PyObject` parameter enables python algorithm to pass a method as parameter directly.
- Fixes `ScheduleEventsAlgorithm` to show the new feature in action.
Without the inner exception, information on the user exception is lost. In python algorithm, the stack trace is completely lost.
Removes ScheduledEventExceptionMessage property as it is redundant to Message property inherited from parent class.
- MonthEnd(): fires on the last day of each month
- MonthEnd(Symbol): fires on the last tradeable date for the specified symbol of each month
- WeekStart(): fires on Monday each week
- WeekStart(Symbol): fires on the first tradeable date for the specified symbol of each week
- WeekEnd(): fires on Friday each week
- WeekEnd(Symbol): fire on the last tradeable date for the specified symbol of each week
Catching the exception in BacktestingRealTimeHandler prevents unhandled errors in backtesting and provides more specific logging to make debugging easier for users
These changes fix a bug so that when an exception is thrown with the LiveTradingResultHandler, the error is handled and the next scheduled event can happen as scheduled.
Alexandre Catarino