* Make sure continuous futures universe selection is performed right away on the start of the algorithm.
This ensures the Future.Mapped is not null
* Minor changes
* Minor fixes
* Update regression algorithms stats
* Add DC futures map file
* Update DC futures map file
* Update regression algorithms stats
* Include ETFs for immediate universe selection
* Include Coarse Fundamentals for immediate universe selection
* Include Futures Chain Universe for immediate selection
* Add Option Chain Universe test
* Include custom universes for immediate selection
* Minor updates
* Include constituents universes for immediate selection
* Minor update
* Minor changes, docs and stats updates
* Minor changes
* Minor changes and clean up
* Minor regression algorithm stat update
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* New Fundamental Data
* Minor CIK lookup fix
* Handle live mode & delete unexisting properties
* Minor coarse fundamental adjustment
* Add fundamental history support
* Fix unit tests
* Performance improvements
* Fixes
* Minor regression algorithm fix
* Improvements. Add FundamentalUniverseSelectionModel
* Change default values
* Fix unit test
* Minor tweaks
* Fix unit test
* Minor error handling improvement
* Fix rebase
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* Add unit test and test data
* Add unit test for model greeks accuracy and comparison
* Add regression test
* Correction on previous unit test to use realtime official IB Greeks
* Switch default American option price model to CRR model
* Address peer review
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* Create generic writing for LeanDataWriter, + notes on todos
* Make Options Daily/Hourly data store by year
* Refactor Generic Write
* Permit hour and daily resolutions for options
* Refactor writer to merge when needed with other files
* Cleanup redundancies, run write tasks in parallel
* Make needed classes/vars available
* Update tests to reflect new naming convention for daily hourly options data
* Add Byte[] overloads for ZipData functions in compression
* Implemented Store() for ZipDataCacheProvider
* Have LeanDataWriter use a DataCacheProvider
* ZipDataCacheProvider cleanup
* ZipDataCacheProvider tweaks, doesn't support storing non-zips
* Test adjustments
* Update LeanDataWriter to use Write instead of SaveDailyHourly/SaveMinuteSecond
* Implement tests to verify DownloadAndSave behavior
* Nit cleanup on DownloadAndSave tests
* Fix for options daily/hourly underlying equity subscription read
* Add daily/hourly options data and regressions
* Add missing open interest for hourly
* Fix writing of OpenInterest Daily/Hourly data
* Update data
* Fix Date typo in regression
* Use daily algorithm to test delisting
* Revisions part 1
* Expand test for DataCacheProviders; refactor DiskDataCacheProvider
* nit - test adjustments
* ZipDataCacheProvider test setup refactor
* Adjust multithreaded read/write test; fixes for ZipDataCacheProvider
* Move DiskDataCacheProvider to its own file and add write test
* Remove _appendToZips; always overwrite entry or create zip
* Add mapping regression for daily options
* nit - add license to regression
* Fix Tick write case where more than one data point for a DateTime
* Fix data issue
* Address review
* Tweaks for tests
* Stop Store() early if no entry name is given
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* Adds support for ETF constituent universes
* Adds filtering for universe data if it doesn't match the
universe subscription type
* Update mapping for ALL underlying Symbols if
`Symbol.UpdateMappedSymbol(...)` is called. Required to support
constituent ETF universes that might have mapping events
* Delistings of composite constituent universe Symbol will result in
removal of universe securities.
* Added regression algorithms for ETF constituent mappings (C#/Python),
along with data required to run locally
* Refactor universe delistings in SubscriptionSynchronizer -
big thank you to @Martin-Molinero :)
* Address review: update regression algorithms and add explanatory comments
* Address review: add additional checks to delisting regression algorithms
* Adds new regression algorithm testing the addition of a universe
without calling AddEquity() and asserts same behavior
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* Fix SubscriptionDataReader auxiliary data out of order
- Fix for SubscriptionDataReader emitting auxiliary data out of order
due to sparse that and enumerator refresh logic. Adding regression
algorithm
- Minor tweaks for unit tests failing on and off
* Fix for SDR internal subscriptions
- Fix for SubscriptionDataReader enumerator refresh for internal
subscriptions which were ignored. Adding regression test
- Updating custom data regression algorithms affected by the issue
- DropboxBaseDataUniverse was emitting a custom data point being end time
- UnlinkedTraderBarIconicType was emitting a single data point
of the underlying SPY minute data when if should of emitted
all data points
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* Updates Equity Market Data
* Updates Unit Tests
* Updates Regression Tests
In this commit we include regression tests with small changes (slightly different CAGR, Alpha, etc, but same number of trades) due to the data update.
* Updates Regression Tests 2
The following regression tests were adapt because of verification of hard-coded market data values:
- `AdjustedVolumeRegressionAlgorithm`
- `HistoryWithSymbolChangesRegressionAlgorithm`
- `OptionRenameRegressionAlgorithm`
- `RawDataRegressionAlgorithm`
- `SwitchDataModeRegressionAlgorithm`
The following regression tests have more trades since adjusted prices allowed more 1-2 shares trades that were rounded down to zero before:
- `AddUniverseSelectionModelCoarseAlgorithm` 23 -> 35
- `MeanVarianceOptimizationFrameworkAlgorithm` 12 -> 14
- `PortfolioRebalanceOnDateRulesRegressionAlgorithm` 298 -> 324
- `PortfolioRebalanceOnInsightChangesRegressionAlgorithm` 83 -> 86
- `ScheduledUniverseSelectionModelRegressionAlgorithm` 86 -> 90
- `SectorExposureRiskFrameworkAlgorithm` 17 -> 22
- `SetHoldingsMultipleTargetsRegressionAlgorithm` 8 -> 9
- `StandardDeviationExecutionModelRegressionAlgorithm` 196 -> 199
- `UniverseUnchangedRegressionAlgorithm` 11 -> 17
- `VolumeWeightedAveragePriceExecutionModelRegressionAlgorithm` 237 -> 238
Especial cases:
- `BlackLittermanPortfolioOptimizationFrameworkAlgorithm` 18 -> 17
- BLM model sensibility
- `OptionChainedAndUniverseSelectionRegressionAlgorithm`
The following regression tests have different Capacity because of different volume from lowest capacity asset, except:
- `OptionEquityCoveredCallRegressionAlgorithm` New lowest capacity asset is underlying
- `OptionEquityCoveredPutRegressionAlgorithm` New lowest capacity asset is underlying
* Revert File Update for SPWR and SPWRA
* Fix Regression Tests
Temporarily removes python regression test for `MeanVarianceOptimizationFrameworkAlgorithm` as the `MeanVarianceOptimizationPortfolioConstructionModel` for each version are yeilding different results. If we use C# version in `MeanVarianceOptimizationPortfolioConstructionModel.py`, the results match.
* Changes Optimization Method in MinimumVariancePortfolioOptimizer [Py]
Uses `trust-constr` method.
See https://docs.scipy.org/doc/scipy/reference/generated/scipy.optimize.minimize.html
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* Updates Fundamental Data
* Updates Regression Algorithms
- `CoarseFundamentalTop3Algorithm`
- New coarse has higher `DollarVolume` for `FB`
- `CoarseNoLookAheadBiasAlgorithm`
- Change from `SPY` update not included in #5493
- `SectorExposureRiskFrameworkAlgorithm`
- `HasFundamentalData` was false for `GOOG` on 20140401 and 20140402.
* Updates Unit Tests
Minor changes in expected values
* Updates Regression Tests
Should have been included in #5493:
- `OptionsExpiredContractRegression`
- `FuturesExpiredContractRegression`
* Adjusted Quantity By Lot Size in OrderTargetsByMarginImpact
`OrderTargetsByMarginImpact` didn't calculate the order value with the quantity adjusted by order size which less to values that did not reflect the actual order value.
It has a particular affect in `SectorExposureRiskFrameworkAlgorithm` where the Python and C# versions have the same orders but placed in a different sequence because of decimal/double precision.
* Reduce dictionary access x3 on OrderTargetsByMarginImpact
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Fixes Double to Decimal Cast in GetAnnualPerformance
`GetAnnualPerformance` raises an exception if the `AnnualPerformance` calculation returns a double that cannot be cast to decimal (smaller than `decimal.MinValue` or bigger than `decimal.MaxValue`).
See `ProbabilisticSharpeRatio` where the same solution was applied.
* Updates SPY Market Data
SPY is a key asset since it is the default benchmark, and any change can lead to different `Alpha` and `Beta`
* Updates Unit Tests to Reflect Data Update
* Updates Regression Tests to Reflect Data Update I
Most of the regression tests change because of updated data (market and factors) of SPY (default benchmark) while the total trade remain the same.
* Updates Regression Tests to Reflect Data Update II
The following regression tests were changed to adapt to adjusted prices and keep the total trades:
- `BacktestingBrokerageRegressionAlgorithm`
- `LimitIfTouchedRegressionAlgorithm`
- `PortfolioRebalanceOnCustomFuncRegressionAlgorithm`
- `SetAccountCurrencySecurityMarginModelRegressionAlgorithm`
- `StopLossOnOrderEventRegressionAlgorithm`
- `TimeInForceAlgorithm`
The following regression tests have more trades since adjusted prices allowed more 1-2 shares trades that were rounded down to zero before:
- `FreePortfolioValueRegressionAlgorithm` 2 -> 3
- `PortfolioRebalanceOnDateRulesRegressionAlgorithm` 291 -> 298
- `TrailingStopRiskFrameworkAlgorithm` 5 -> 7
Especial cases:
- `AutoRegressiveIntegratedMovingAverageRegressionAlgorithm` 65 -> 52
- ARIMA model sensibility
- `BlackLittermanPortfolioOptimizationFrameworkAlgorithm` 18 -> 19
- BLM model sensibility
- `ExtendedMarketHoursHistoryRegressionAlgorithm` 20 -> 18
- Less minute bars before market opens
* Addresses Peer-Review
Fix `BacktestingBrokerageRegressionAlgorithm` to use `CalculateOrderQuantity` and round down `quantity` to an even number to pass a value assertion and update the expected value from 50 to 52.
The quantity calculated by `CalculateOrderQuantity` has changed from 50 to 53 because of factor file update.
* 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>
* Fixes ETB/shortable regression algorithms that were previously failing
* Addresses review and fixes bug
* Fixes bug where orders would be denied regardless of direction
whenever they exceeded the absolute value of the shortable quantity
* Updates regression algorithm + statistics + simplifies test
* Fixes python regression algorithm
* Addresses review: removes comments and unneeded imports
* Universe dispose and removal
- Fix bug where in some cases the disposed universe would not get removed
from UniverseManager not allowing new universes to get added correctly,
using the same symbol. Adding regression test
- Fix bug where in some cases selected symbols would not get removed
when the parent universe would get disposed of.
- Minor normalization on UniverseSelection call
* Address review
- Add status plots for the added regression test
* Adding regression algorithm reproducing issue 3914
* test
* wip
* Revert "Fix duplicated history entries when contains daylight saving time change (#4700)"
Use proper rounding down
* regression test
* remove unused parameters
* more tests
* fix name and comment
* improve regression test
* more tests: oanda market hours
* re-apply Exchange TZ to bar EndTime
* fix expected results
* we can't substract minute because it can harm algorithm on minute resolution; so we could use tick?
* rename prop: conflict with QCAlgorithm.StartDate
* do not log messages to pass travis ci log limit
* assign loghandler in AlgorithmSetupHandler
* reference to PR for more description
* due to https://github.com/QuantConnect/Lean/pull/5039 we don't need to override it manually
* DividedEventProvider distribution computation
- Update regression algorithm which was using a different reference
price when calculating the dividend
- Adjust divided event provider to compute distribution using factor
file reference price, if not 0. Adding unit tests
- For equities, only emit auxiliary data points for
TradeBar configurations, not for QuoteBars, nor internal.
* Address reviews
- Split and Dividend event provider will throw an exception when there
is no reference price available. Updating `wm` factor file which was
missing references price and regression algorithms using WM.
- Updating unit tests asserting new exception
* Add underlying holdings to regression result handler details log
When debugging option exercise/assignment issues it's useful to see the
underlying holdings at the time the option contract fill event is processed.
Also adds the full symbol string to the top of the order event section.
The Symbol.Value was being logged via OrderEvent.ToString(), but it wasn't
the full SecurityIdentifier - by including the full SID string it makes it
easier to correlate fills over symbol rename boundaries.
* Fix automatic option assignment from market simulation
During the recent OptionExerciseOrder.Quantity refactor, this case was missed.
Additionally, it was realized that there were no regression tests covering the
automatic assignment via the market conditions simulation. This change introduces
a regression algorithm that covers the automatic assignment of put/call options.
* Update BasicOptionAssignmentSimulation._rand to be non-static
If this value is static then we reuse the same Random instance for ALL regression
tests, thereby defeating the purpose of using a well known seed number. This means
we get different results based on the order execution of preceding algorithms.
By making this an instance variable each algorithm will start with the same seed
value, ensuring consistent runs between regression tests, either run as a suite or
running a single algorithm in isolation.
* Do not update price scale for fillforward data
- Do no update price scale for fill forward data. FillForward data
should keep using the prev scale for which it was created. Adding unit tests
- When cloning do not lose IsFillForward flag state, affects
QuoteBars/Ticks, does not affect TradeBars since they perform a memberwise clone.
Adding unit tests
* Auxiliaries shouldn't really affect on applied price factor scale.
Despite we can receeive FillForward'ed data points, corresponding
Auxiliaries for them are not FillForward so we do meet the condition
and then refresh price factor. As a result all futher FF data points are scaled too.
* Regression algorithm to check that FillForward'ed data points arrived with last real price factor
* Add trade for regression algorithm
- Minot tweaks and adding trade for new regression algorithm.
- Updating AddOptionContractExpiresRegressionAlgorithm because it is
using the symbol for which new data was added.
Co-authored-by: Adalyat Nazirov <aenazirov@gmail.com>
- Add more fill forward unit test including a weekend using different
combinations of resolutions
- Add required AIG second data file
- Avoid list in most common FF case
Update test to the new crypto and equity subscriptions rules:
- Only consolidates trades
- Low resolution data are only trades.
Update and fix tests
Add missing minute sample files
Update Regression algorithms statistics
Crypto and Equities will consolidate trades by default
Daily and hourly resolution will return only trades for crypto and equities.
Update equity TAQ regression test
Add minute sample files
Updating regression algorithms
Update SpotMarket test cases
Add regression test for equity trades and quotes
- History request.
- Trades and quotes pumped into OnData.
- Subscriptions are added correctly.
Add sample data
Checks low resolution only subscribes to trade bars
- After https://github.com/QuantConnect/Lean/pull/4000
CoarseFineFundamentalRegressionAlgorithm started using `MarketCap`, but
this value was always 0 in existing data, so it caused undeterministic
results. Adding new data and update expected result.
- `AccumulativeInsightFrameworkAlgorithm` expected statistic were not
correct, updating.
- Renaming `PreSelected` to `Constituents`
- Adding base `ConstituentsUniverse`
- Adding Py and C# regression algorithm
- Fixing bug in `UniverseSelection`, it wasn't removing pending to be
removed securities unless the universe selection changed
- Adding test data
Adds reference price to dividend/split
Adds GetSplitsAndDividends to FactorFile
Adds Apply methods to FactorFile/FactorFileRow
Updates factor files to include reference prices
Martin-Molinero