github-featured/quantconnect--lean
2
0
Fork 0
Code Issues Pull Requests Deployments Models Agent Notes Packages Projects Releases Wiki Activity
13,206 Commits 16 Branches 4,269 Tags
17841
Commit Graph

3 Commits

Author SHA1 Message Date
Martin-Molinero de57cedc5a Make continuous future untradable (#6252)
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Make continuous futures untradable

- To match live trading behavior. Adjust continuous futures securities
  to be untradable

* Set ContinuousFuture as non tradable

- Set continuous futures as non tradable. Update regression algorithms
- Fixes for symbol capacity calculation
 2022-03-14 14:23:26 -03:00
Colton Sellers ff0ecc7ed2 CFD Capacity Estimate (#5582)
Build & Test Lean / build (push) Has been cancelled
* Use forex method of estimation for CFDs by hard setting volume

* Update regression

* Use a unique volume estimation factor for CFDs
 2021-05-21 16:24:29 -03:00
Alexandre Catarino 58793acae8 Removes Assets that Are Not Invested and Not Tradable From Capacity Calculations (#5515)
Build & Test Lean / build (push) Has been cancelled
* Add property for capacity. Remove unused variable

* Move SymbolCapacity and CapacityEstimate to common, passed through Symbol to runtime statistics

* Add null checks

* Remove uninvested and untradable assets from capacty calculations

* Add SymbolCapacity influential period

* Updates Regression Tests

- DelistingEventsAlgorithm
  - Allows additional contributions from delisted AAA.1

- DelistingFutureOptionRegressionAlgorithm
  - Removes DC01H12 contributions one month later

- FutureOptionBuySellCallIntradayRegressionAlgorithm
  - Allows additional contributions from future after expiry replacing the contribution of the next contract option

- DelistedFutureLiquidateRegressionAlgorithm
- FutureOptionCallITMExpiryRegressionAlgorithm
- FutureOptionCallITMGreeksExpiryRegressionAlgorithm
- FutureOptionPutITMExpiryRegressionAlgorithm
- FutureOptionShortCallITMExpiryRegressionAlgorithm
- FutureOptionShortPutITMExpiryRegressionAlgorithm
- FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm
  - Allows additional contributions from future after expiry

- FutureOptionCallOTMExpiryRegressionAlgorithm
- FutureOptionPutOTMExpiryRegressionAlgorithm
- FutureOptionShortPutOTMExpiryRegressionAlgorithm
- IndexOptionCallITMGreeksExpiryRegressionAlgorithm
- IndexOptionCallOTMExpiryRegressionAlgorithm
- IndexOptionShortCallOTMExpiryRegressionAlgorithm
  - Allows additional contributions from option after expiry

- MACDTrendAlgorithm
  - Removes contribution when SPY is not invested for over one month

- UniverseSelectionRegressionAlgorithm
  - Allows additional contributions from delisted GOOAV replacing GOOG (new symbols)

* Adds Lowest Capacity Asset to Regression Tests

* Normalize expected value -0, because -0 is also written to file if updated

* Write Symbol.Value for lowestCapacitySymbol or  empty string for empty Symbol

* Update Regressions

* Update 'Lowest Capacity Asset' to Symbol.ID

Co-authored-by: Jared Broad <jaredbroad@gmail.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
Co-authored-by: Colton Sellers <Colton.R.Sellers@gmail.com>
 2021-05-13 20:25:19 -03:00