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* test:feat: Assert Lean UnsettledCash and Brokerage.PerformCashSync
test:feat: new PaperBrokerage with manual cash balance
* test:refactor: calculation of Margin
* feat: change DefaultSettlementTime
* test:fix: use right brokerage settlement cash to balance
* test:refactor: use specific time when SettlementModel.Scan happens
* feat: make static and get; set; of DefaultSettlementDays in Equity,Option
* refactor: reset _lastUnsettledCash depend on settlementDays in UnsettledCashWhenQuoteCurrencyIsNotAccountCurrencyAlgorithm
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* Shortable modeling improvements
- Do not limit live trading because of shortable model, will send
algorithm warning
- Add Interactive brokers shortable provider
- Minor LocalDiskShortableProvider API changes
* Fix shorted order update
- Fix shorted order update. Updating regression algorithm
* Minor improvement
* Address reviews
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* WIP
* Add base currency cash
* Symbol properties and data processing
* Add basic template algorithm
* Add hourly crypto future algorithm
* Minor fixes after live trading testing
* CoinApiDataQueueHandler CryptoFuture support
* Address reviews
* Fix regression algorithms after update
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* Lean exchanges improvements
- Adding new Exchange class to avoid exchange code clash.
Adding and updating unit test
* Add Market for MapFile API
* Self review
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* Add basic template Atreyu algorithm
- Add C# and Python basic template atreyu algorithm. Show casing how to
specify exchange to execute in different ways.
- Adjust trading API to allow specifying order properties to use
* Lean Exchange improvements
- Rename PrimaryExchange to Exchange
- OrderPropeties will use Exchange enum instead of string
- Adding BSE exchange value
* Regression tests fixes
* Add main exchange to map file
minimum minimorum test
* Add MainExchange to MapFilRow IEquatable implementation
Also write CSV line correctly
* Normalize exchanges
Also add small test form MapFileRow
* Exchange name normalization
- Exchange name normalization.
- Tick will protobuf `ExchangeCode` which will set existing `Exchange`
* Include single character exchange code
* Encode exchange as byte, Include exchange name as Enum
* Update MapFileRow.cs to accept a byte instead a string for primary exchange
* Fix issues in encoding exchanges map
* Fix broken MapFile tests
* Rename Main Exchange property in MapFileRow
* Use BATS instead of BATSZ
* Add primary exchange from map file
* Move MapFilePrimaryExchangeProvider to its own file
* Implement Char for primary exchange in map files
* Fix broken tests after implementing char exchange into map file
* Add a new constructor for MapFileRow
it accepts a PrimaryExxchange object as parameter
* Fix broken test
WIP
* Address review
WIP
* Handles unexpected encoded exchanges
* Keep addressing review
* Address review
* Fix broken tests
Make PrimaryExchange as default even if the IPrimaryExchangeProvider is not instantiated
* Revert breaking change.
* Add a check that resolved map file actually have content
The issue that leads to this change was caused by a map file resolved to APC in the CoarseFundamentalTop3Algorithm.
The resolver returns a not-null MapFile, but it is empty.
To my best understand, the MapFile Resolver should return only existing map files in the map_files folder. But the LocalMapFileProvider returned a map file with a permtick that doesn't exist in the file system as CSV.
* Set PrimaryExchange.UNKNOWN as default
* Address review couple minor bugs
- Use SID market instead of USA
- Default ticke exchange is UNKNOWN
* Update map files with latest format and latest info
This include:
- VXX, it was delisted, then VXXB appears and later it chnages from VXXB -> VXX
- AAA delisting and a new listing with ticker AAA
- FOXA ticker changue to TFCFA and later it was delisted
* Update test after updating latest map files
* Fix bug with factor files after updating map files
* Fix bug with factor files after updating map files
and revert statistics in regression tests
* Update OrderHash in regression test
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Creates IShortableProvider interface + interface impls
* This is the foundational work for the addition of the shortable stocks
feature for backtesting and live trading. Note that the QCAlgorithm
API and the backend transaction handling will be implemented
separately.
* temp; work on preorder checks
* improve checks
* tmep
* Enforces ETB checks at BrokerageTransactionHandler
* Adds ETB Shortable Provider to QCAlgorithm and IAlgorithm
* Removes ETB check from PreOrderChecksImpl
* Removes outdated test, new test to come soon for relevant class
* Work in progress commit, pushing for review.
* Adds new regression algorithm (WIP)
* Enhances ShortableProviderOrdersRejectedRegressionAlgorithm
* Adds new methods to QCAlgorithm
* Move IShortableProvider to have BrokerageModel own it
* Comments updates
* Adds new properties to Equity Security for shortable
* Fixes bug where retrieving open order quantities would aggregate the
submitted order quantity rather than the remaining order quantity for
open orders.
* Fixes bug where quantity of zero would result in a
false positive in QCAlgorithm.Shortable(...)
* Code refactoring and comments updates
Co-authored-by: Jared <jaredbroad@gmail.com>
* Implements Equity Fill Model
This commit sets the base to create a new equity fill model and the `EquityFillModel` is just a copy of `FillModel`.
* Adds Summary to FillModelPythonWrapper.GetPricesInternal
Adds summary to FillModelPythonWrapper.GetPricesInternal with remarks that it's a temporarily method to help the refactoring of fill models.
- Adding `SecurityCacheProvider` this class allows for two different
`Security` to share the same data type cache through different instance
of `SecurityCache`. This is used to directly access custom data types
through their underlying in a peformant maner
- Some small improvements
Adds IRegisteredSecurityDataTypesProvider to track all the data types
registered in the algorithm. Using this data, we can detect if it's
possible that we'll eventually have a property of a certain type name.
For example, consider I wish to use security.Data.TradeBar but we haven't
received any trade bars yet. Before this change a KeyNotFoundException
would be raised, but since we can determine that we expect to have trade
bars, we can detect this and return an empty list when we haven't received
any data yet. This also removes the need to constantly do a HasData<T>()
check before accessing the dynamic members.
Closes#3620
This commit will allow an easier `FillModel` refactor:
- Removing `ISecurityTransactionModel` and its implementations
- Merging identicall tests from `EquityTransactionModelTests`,
`ForexTransactionModelTests` and `SecurityTransactionModelTests` under
`ImmediateFillModelTests`. This was possible because the mentioned
`TransactionModels` implementations used `ImmediateFillModel`
Security instances will require private access to this value in order to
compute close profit.
NOTE: The extent of these changes for simply adding a constructor argument
insinuates that we're missing an abstraction to manage the construction of
these objects, such as a factor object for Security. This will need some
careful TLC in the near future.
Add MarketHoursDatabase.SetEntry and SetEntryAlwaysOpen. This allows runtime modification of the
market hours database which is necessary for correct custom data time zone handling.
Extracts complicate ternary logic into its own method and make it human readable.
Set the market hours entry for custom data universe subscriptions defaulting to the security's time zone.
Implements IPriceVariationModel interface which takes the security object and returns a decimal variation
Implemets SecurityVariationModel class: default implementation of IPriceVariationModel that returns a fixed value (read from symbol-properties-database) for decimal variation
Implemets EquityVariationModel class: implementaion of IPriceVariationModel that returns a decimal variation as a function of equity price
Implemets AdjustedPriceVariationModel class: implementaion of IPriceVariationModel that returns zero
Adds unit test
This is to ensure we're not setting the fill/fee/slip models via the
property setters, since this now will flip a flag indicating that they
have been explicitly set.
Add dynamic data flag to config
Remove dynamic data flag from Security
Rename dynamically loaded flag to IsCustomData
Remove Security from SubscriptionDataReader ctor
When computing order.GetValue(marketPrice) sometimes we want to use the order.Price and other
times we want to use security.Price, we want to use order.Price if the order's status is either
Filled or PartiallyFilled
Time sync:
* Data feeds are required to time sync in UTC time
* TimeSlice.Time is now in UTC
IAlgorithm
* Time is now exclusively the algorithm's local time zone
* Added UtcTime
* SetDateTime( DateTime ) accepts a UTC time and is internally converted
SubscriptionDataConfig
* Adds market and time zone as required ctor parameters
SecurityExchange
* Now passes most calls directly through to SecurityExchangeHours class
SecurityExchangeHours
* Holds market hours for each day of week (LocalMarketHours)
* Talks in terms of local times in the SecurityExchangeHours.TimeZone time zone
Data/market-hours/
* New data folder to hold market hour information
* Includes market-hours-database.csv to hold market hours per market/symbol/security (see doc in file)
* Includes holidays-usa.csv to hold holidays for 'usa' market
+ The holiday files follow the pattern 'holidays-*.csv' where * is the market
TimeKeeper
* Receives updates in UTC time
* Passes that to LocalTimeKeeper's who lazily evaluate the time in their respective time zones
* Eventually this can grow to be the sole source of time in the algorithm's scope
MISC:
* Fixes exception thrown when exiting LiveTradingDataFeed
* Fixes exception thrown when exiting FileSystemDataFeed
* Fixes exception thrown when exiting StatusPing
* Simplify FillForwardEnumerator logic with GetNextMarketOpen
* Adds many time zones, see TimeZones.cs
Martin-Molinero