* Initialize securities on re-addition
* Minor unit tests fixes
* Reset Index.ManualSetIsTradable when security is removed
* More changes to clean up and simplify
* Address security re-utilization only
* Cleanup regression algorithms
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* Implement backtest self-naming and self-tagging
* Minor unit test fix
* Minor api changes
* Minor changes
* Send packet messages when algorithm's name or tags are updated
* Minor fixes
* Address peer review
* Backtest name and tags API calls
Plus, first version of CI for API tests
* Add endpoint to update a backtest set of tags
* Minor GH actions change
* Address peer review
* Add algorithm naming and tagging unit tests
* Minor backtest API changes
* Add support for null chart points
- Add support for null value chart points, updating existing and adding
new unit tests
* Minor selfreview tweaks
* Address review & fix deserialization bug
* Ignore null values when using NullResultValueTypeJsonConverter
* Narrow NullResultValueTypeJsonConverter conversion support
* Allow inherit of series sampler
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* Fix optimization candlestick handling
- Fixes for optimization candlestick handling
- Centralize deserialization of ChartPoint into new
ChartPointJsonConverter
* Minor fixes
- Update failing tests
- Update CI to fail if anything fails
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* Candlestick charts base implementation
* Series and Candlestick series json serialization
* Some cleanup
* Add AddPlot method for candlestick series to QCAlgorithm
* Remove Values property from ISeriesPoint
* Add candlestick QCAlgorithm.Plot trade bar methods
* Implement candlestick series re-sampling
* Add more SeriesSampler unit tests
* Add examples of candlestick charts usage to exisiting charting algorithm
* Address peer review
* Address peer review
* Derive Candlestick from Bar
* Sampler changes
* Add new series types from the cloud
* Add more candlestick series sampler tests
* Minor cleanup
* Minor changes
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* Solve bug in the parameters of the Report
Before, when the number of keys were odd a part of the raw template was
shown in the report generated. Additionally, the user couldn't define
the number of columns of the parameters table
* Add unit tests
* Enhance unit tests
* Nit change
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* Add support for custom HTML file in Report
* Add support for custom crisis HTML template
* Revert "Add support for custom crisis HTML template"
After considering this option carefully, the QC team has decided to
add this functionality in a different way.
This reverts commit aead1ff8504556417e9dffadb33b06c7599ab87a.
* Get parameters and crisis HTML custom templates
* Move parameters html template to a file
* Nit change
* Remove template.crisis.html and add unit tests
* Nit change
* Nit change
* Add unit tests for the fail cases
* Fix bug in Beta statistics
- Beta in Report was calculated using equity points and not daily
performance points, as it's done in Backtest
- Performance points were not being divided by 100, as it's done in
StatisticsBuilder
- Benchmark points were not being converted into a percentage daily
performance of the benchmark, as it's done in StatisticsBuilder
* Improve implementation and add unit tests
* Enhance implementation and add more unit tests
* Enhance implementation
* Nit change
* Nit changes
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* Fix ReportCharts color_map bug
- Add ´CryptoFuture´ entry in `color_map` dict using color #E55812
- Make ´ReportCharts.py´ color_map a class attribute
- Change ´ReportChartsTests.cs´ to use color_map dict from ´ReportCharts.py´
- Add unit test that fails every time a new SecurityType is added
* Improve unit test
* Nit change
* Nit change
* Feature combo orders
- Add support for combo orders
* Make fill model wait for all grouped orders to emit fills
* Add ComboFill to model multiple fills for combo orders
* Fill combo limit orders
Add some regression algorithms
* Add fill implementation for combo leg limit orders
* Add IFill as common interface for Fill and ComboFill
* Refactor combo orders removing IGroupOrder interface
Move the group order manager to the base Order class
* Update algorithms
* Handle combo order events atomically
* Refactor brokerage transaction event handler
* Refactor combo fill models
* Process fills in batch
* Combo orders fill model tests
* Combo leg limit orders algorithm
* Regression algorithms cleanup
* Fill and combo fill classes cleanup
* Housekeeping
* Refactor equity fill model to derive from base fill model
* Address review changes request
* Handling the new types of orders in the OrderJsonConverter
* Add regression algorithm to test combo orders update/cancel
* Add regression algorithm to test combo orders update/cancel
* Housekeeping
* Address review changes request
* Minor changes
* Security transaction handler method for setting order request id
* Extend public interface for placing combo orders
* Combo order tickets demo algorithm python version
* Tweaks and updates
* Minor fixes
* Minor changes
* Minor fixes
* Address reviews minor fixes
* Minor fixes
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Add algorithm settings to backtest results
* Use algorithm result settings in report generation
* Add unit tests
* Housekeeping
* Changes for live result report
* Housekeeping
* Housekeeping
* Housekeeping
* Add unit tests
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* Fix KeyError when rendering exposure chart in report with some security types
* Update exposure chart colors and add unit tests
* Updated json test file
* Adds CapacityEstimate and SymbolCapacity
The capacity estimation has been moved from
the report generator and wired directly into
Lean via the ResultHandler. In addition,
the capacity estimation strategy has changed
to account for errors in the previous iteration
of the capacity estimation.
Many many thanks to Jared for being much of the
mastermind behind this project. It would have
been harder to complete without him to bounce ideas
off of.
* Moves old tests to regression algorithms
* Adds Estimated Capacity statistic
* Removes old capacity estimation tests
Final report capacity estimation. Pushing to save state
* Fixes bugs, cleans up code and adds comments
* Adds forced sampling to Capacity Estimation
* Misc. bug fixes for daily data
* Updates capacity test cases' Estimated Strategy Capacity statistic
* Adds Capacity Estimate to all regression algorithms
* Removes Report's StrategyCapacity class and fixes bug in tests
* Adds null check in BacktestingResultHandler to fix
BacktestingTransactionHandler failing tests
* Deletes old capacity estimation classes
* Retrieve capacity estimates from backtest statistics results
instead of calculating at runtime
* Make $0.00 capacity return as "-" and Result = 0 in report
* Adds capacity to runtime statistics
* Converts capacity to number denoted by financial figures in RuntimeStats
* Addresses review: code cleanup for Capacity and adds comments to regression tests
* Fixes potential mapping issue, caused by not mapping Symbols before
reading data off disk
* Fixes issue where some results would evaluate to zero capacity
* Loads of refactoring, mostly resulting in cleaner code
* Improves stability and fixes various bugs
* Adds unit tests covering changes
* Adds COVID-19 crisis plots
* Adjusts styling of crisis plots for more pleasant viewing
* Fixes bug where null BacktestResult caused application to crash
* Order JSON bug fixes and stability improvements
* MaxDrawdownReportElement now produces results for Live
* Replaced Estimated Capacity w/ Days Live
* Added Live marker to sharpe ratio
* Added support for MOO and MOC orders in PortfolioLooper
* Address review: adds new unit tests and cleans up code
* Bug fix: use LastFillTime instead of Order.Time for MOO and MOC
* Address review: Fixes tests and cleans up code
- `UniverseSelection` and `Research` will always use
`AlgorithmHandler.DataProvider` instance instead of
`DefaultDataProvider`
- Remove Compression at test/app.config since the dll isn't required
- Add missing license header
- Adding new DataPermissionManager that will own the existing
datachannelProvider. Will assert configurations before added to the
data feed. Adding unit tests
We now will calculate all of the metrics needed to directly plot the
data in C# instead of doing calculations in Python.
This has added benefits in that the code can be easily reused to generate
plots from Result packets and makes the underlying plotting library we
use more extensible and replaceable.
* Adds Calculations.cs
* Refactors some of ReportCharts.py
* Adds Drawdown classes
* Adds Deedle and MathNet.Numerics packages
* Completes calcuations in C# side instead of Python
Side note: I think it's a little funny that we were previously
calculating the plots via Pandas, which uses a C backend. Effectively, we
were transferring data between at least 2 separate FFI
boundaries: C# -> Py -> C -> ? (whatever BLAS is written in)
Jhonathan Abreu