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* Use risk-free rate in probabilistic Sharpe ratio
* Extend risk free rate to live report PSR and fix probabilistic sharpe ratio tests
* Update regression statistics
* Update test regression statistics
* Add test asserting Sharpe ratio and PSR consistency
* Use excess returns for live report Sharpe and PSR
---------
Co-authored-by: Kevin-Li-2025 <2242139@qq.com>
* Wait for first session bar before filling equity market orders at open
EquityFillModel.MarketFill could fill a market order placed right after
market open using data from the previous trading date, because the first
bar of the current session has not been emitted yet. ShouldWaitForFreshData
only covered hour/daily resolutions, so minute/second orders filled on stale
prices.
Add IsWithinFirstResolutionSpanAfterMarketOpen: when the order time is within
the lowest subscribed resolution span after the open and the price is stale,
wait for the first bar instead of filling on the previous date's price.
* Share opening-bar stale-fill wait across fill models
Move IsWithinFirstResolutionSpanAfterMarketOpen to the base FillModel and add
a ShouldWaitForFreshDataOnStale sibling helper that combines it with the
existing coarse-resolution ShouldWaitForFreshData check. The base FillModel,
FutureFillModel and EquityFillModel market fills now share this single wait
decision at their stale-data guards.
ShouldWaitForFreshData is intentionally left untouched at its GetMarketFillPrice
call site, which uses it to choose the bar open vs current price and is not
gated by staleness, so fill prices for finer resolutions are unchanged. The
opening-bar helper is guarded against always-open markets, which have no
session open to wait for.
* Add regression algorithm for stale fill at market open
Reproduces the opening-bar stale fill issue: a market order placed one second
after the open while subscribed to minute resolution. Without the fix the order
fills on the previous trading date's stale price; the algorithm asserts in
OnOrderEvent that a fill never happens within the first minute after the open,
so it errors without the fix and passes with it.
Uses SPY minute data over 2013-10-07 to 2013-10-11, which is available in the
repository Data folder.
* Add unit tests for stale fill wait at market open
Cover the opening-bar stale fill scenario directly at the fill model level:
a market order placed within the first bar after the session open, while only
the previous session's stale bar is available, must wait instead of filling on
the stale price, and fills once the first session bar arrives. EquityFillModel
also asserts the boundary (orders past the first bar still fill on stale data),
and FutureFillModel covers the shared base helper from the future path.
* Generalize stale market-order fill wait to any time of day
Replace the market-open-specific wait with a generic check: a market order
that would be filled on stale data waits for fresh data when the latest
available data is more than one subscribed resolution bar behind the current
time. This no longer considers the market open explicitly; it covers the
opening bar (the first session bar has not been emitted yet) and any intraday
data gap larger than the resolution.
ShouldWaitForFreshDataOnStale now takes the latest data end time and the
current time instead of the order time, and is shared by FillModel,
FutureFillModel and EquityFillModel. Coarse resolutions (hour/daily) still
always wait; tick never waits. Internal configurations are included when
sizing the resolution bar. EquityFillModel's best-effort price helpers now
report the stale data end time so the gap can be measured.
Tests: EquityFillModelTests and FutureFillModelTests cover the market-open and
mid-session stale cases (wait then fill on fresh data) plus the within-one-bar
boundary (fill on stale). The regression algorithm is generalized to assert no
fill happens on data staler than the resolution, with orders at the open and
mid-session. Pre-existing plumbing/data-selection tests that used degenerate
timestamps were given fresh timestamps so they still exercise their original
intent.
* Add sample data and adjust regression algorithms for stale-fill wait
Add minute/daily sample data so market orders that now wait for fresh data
can fill (ES futures gap days, TWX/GOOG equities and options, SPXW weeklies,
GC futures/options copy for 2020-01-06). Adjust a few regression algorithms
to the deferred-fill behavior: cap orders in the extended-market continuous
future test, ignore daily-resolution SPY in the automatic-seed data checks,
and refresh OptionAssignmentStatistics expected constants.
* Update regression expected statistics for stale-fill wait
Regenerate ExpectedStatistics, DataPoints and AlgorithmHistoryDataPoints for
the regression algorithms affected by the wait-for-fresh-data fill change and
the added sample data: futures/options fill-timing shifts, ES data-point count
increases, and GOOG 2015-12-28 outcome changes.
* Trim SPXW sample data to expiries within filter window
The two SPXW algorithms filter with Expiration(0,7), so contracts expiring
more than a week out are never subscribed. Drop those far-dated expiries from
the 2021-01-06/08 minute files (760KB->108KB and 776KB->108KB on the quote
files). Fills, DataPoints and statistics are unchanged; both regression tests
still pass.
* Trim ES minute and GOOG option sample data to order-fill minimum
The ES minute gap-day files source no order fills (daily-resolution algos fill
from es_daily); keep only the front contract used for execution and drop the
unused back-month contracts. Trim the GOOG 2015-12-28 option file (no fill
depends on it) to the morning chain window. Regenerate the back-month futures
statistics affected by the dropped back-month bars. Full CSharp regression
suite passes (722/722).
* Use SMA gap threshold in BasicTemplateContinuousFuture for C#/Python parity
At a fast/slow SMA cross the two averages can coincide to within rounding
noise, where the C# (decimal) and Python (double) comparisons disagree,
producing different orders between languages. Require a minimum gap before
acting on a cross so both languages stay in lockstep, and update the shared
expected statistics accordingly.
* Mirror order cap in Python algorithm and update future history counts
Apply the same pre-2013-11-12/3-order cap to the Python
BasicTemplateContinuousFutureWithExtendedMarket algorithm for C#/Python parity,
and update the QuantBook future-history expected counts to reflect the added ES
sample data.
* Use SMA gap threshold in BasicTemplateContinuousFutureWithExtendedMarket for C#/Python parity
This algorithm had the same fast/slow SMA cross divergence already fixed in
BasicTemplateContinuousFutureAlgorithm (ad8fc33): at the 2013-10-29 cross the two
averages coincide to within rounding noise (C# decimal diff -1e-25, Python double
diff exactly 0.0), so the raw `_fast > _slow` / `_fast < _slow` comparisons disagree
between languages. C# fired a liquidate+rebuild that Python skipped, producing 5
orders in C# vs 3 in Python. Require a minimum 0.001 gap before acting on a cross so
both languages stay in lockstep, and regenerate the shared expected statistics
(Total Orders 5 -> 3).
* Document SMA cross threshold as a C#/Python parity workaround
Add a short note before the fast/slow SMA comparisons in both continuous-future
template algorithms clarifying that the minimum-gap threshold exists only so the
C# and Python versions take the exact same trades on the limited sample data in
the repository, where decimal vs double rounding can disagree at a cross.
* Fetch subscription configs once per equity market fill
MarketFill resolved the subscription configs twice per fill: once via the
best-effort price helpers (GetSubscribedTypes) and again via
ShouldWaitForFreshDataOnStale. Fetch them once and thread them through both
paths via optional parameters, leaving existing callers unchanged.
* Measure stale-fill wait against order submission time
ShouldWaitForFreshDataOnStale compared the latest data end time against the
security current time. Compare against the order submission time instead so the
decision to wait for fresh data reflects how stale the data is relative to when
the order was placed. Realign the stale-price warning fill test accordingly.
* Fix stale market data in SendingNewOrderFromOnOrderEvent test
The market price tick was timestamped a day before the order submission time,
so under the order-time staleness check the market orders waited for fresh data
instead of filling. Use a reference time with the tick one minute before the
order so the data is fresh and the orders fill.
* Centralize internal-inclusive subscription config lookup in fill models
ShouldWaitForFreshDataOnStale re-resolved the subscription configs through
the ShouldWaitForFreshData call it makes first, and GetMarketFillPrice did
the same. Thread the already-fetched configs through ShouldWaitForFreshData
and GetMarketFillPrice so each market fill resolves them at most once.
Add a GetSubscriptionDataConfigs(Security) helper on the base FillModel that
returns the internal-inclusive configs, and route every fill-model call site
through it to remove the duplicated lookup and repeated comment.
* Avoid list allocation in ShouldWaitForFreshData
Replace the Where(...).ToList() + All(...) with a single foreach over the
subscription configs, short-circuiting on the first non-coarse resolution.
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* Increase option strike digits precision to 6
- Increase option strike digits precision to 6. Adding unit test
* test:fix: couple of build tests
* fix:test: Asset CUSIP and OrderListHash in Regression Algorithms
* test:fix: several regression algos
* test:fix: old Symbol CUSIPs to new ones
---------
Co-authored-by: Romazes <romazes20@gmail.com>
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* Add SeedInitialPrices algorithm setting
This is true by default and indicates that the engine will seed initial prices right after the security is added or selected
* Update regression algorithms
* Update regression algorithms
* Update regression algorithms
* Refactor default securities seeding
* Minor fix
* Minro fixes
* Cleanup
* Updated and add regression algorithms
* Address peer review
* Centralize logic to get last known data for multiple securities
* Some cleanup
* Minor build fix
* Minor fixes
* More logic centralization
* Some more cleanup
* Cleanup
* Update regression algorithms and minor fixes
* Update regression algorithms
* Minor fix
* More minor fixes
* Update regression algorithms
* Cleanup
* Minor test fix
* Address peer review
* Minor fix and performance improvement
* Fix to seed open interest data
* Minor test fixes
* Address peer review
* Minor change
* Minor revert
* Minor fixes and improvements
* Disable initial seeding by default
* Minor fixes
* Cleanup
* Cleanup
* Minor fix
* Refactor user define universe handling
- Normalize user define universe additions and removals to behave like
other subscriptions without requiting special handling
* Minor fixes
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* Implement a prototype of the maximum recovery time function.
* Add unit test skeletons.
* Add failing test
* Issue #4581: Implement MaxDrawdownRecoveryTime.
* Issue 4581: Add DTO for Drawdown Percentage, Drawdown Enddate, and High Value
* Issue 4581: Fix bgu for when lDrawdowns list is empty.
* Issue 4581: Change names of tests. Change name of file.
* Issue 4581: Make adjustements to flow of adding drawdowns to lDrawdowns.
* Issue 4581: Add multiple unit tests.
* Issue #4581: Change name of unit test
* Issue #4581: Add to PerformanceMetrics
* Issue #4581: Add Maximum Drawdown Recovery to PortolioStatistics class.
* Issue #4581: Add to portolfio statistics class.
* Issue #4581: Add to statistics builder.
* Issue #4581: Add report key.
* Case #4581: Convert to decimal.
* Issue #4581: Correct comment.
* Issue #4581: Correct performance metrics view model string.
* Case #4581: Correct statistics builder view model string..again.
* Issue #4581: Placed DradownDradownDateHighValueDTO at the end of the file for simpler diff.
* Issue #4581: Add 2 new tests.
* Issue #4581: Change algorithm so that when multiple maximum drawdowns occur, the longest of all recoveries is reported.
* Issue #4581: Add unit test.
* Issue #4581: Remove reportkey. Change dto name.
* Issue #4581: Change summary.
* Issue #4581: Change comment.
* Add max drawdown recovery calculation with unit tests
* Update regression algorithms with the new metric
* Solve review comments
* Update regression algorithms
* Add TryGet to safely get the key: MaximumDrawdownRecovery
* Ignore MaximumDrawdownRecovery metric in OptimizationBacktest Json
* Revert changes in Messaging
* Update regression algorithms
* Add test case: TakesLongestRecoveryAmongMultipleDrawdowns
* Use integer days for MaximumDrawdownRecovery
* Add MaximumDrawdownRecoveryReportElement
* Use more explicit names
* Rename files and variables for consistency
* Update regression algorithms
---------
Co-authored-by: Alain Schaerer <aschaerer@pcatg.com>
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* Adds example of custom signal exports.
- SignalExportManager send signals automatically after 5 seconds.
- Missing example and Python support.
* Updates Examples to Disable Automatic Export
* Addresses Peer-Review
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* Inicial solution
* Use InitialMargin instead of MaintenanceMargin
* Addressed review comments
* Update unit test
* Refactor GenerateOptionTicker method to handle IndexOption
* Addressed PR comments
* Update unit test
* WIP: Refactor Correlation Indicator
* Simplified comparison logic and improved abstraction
* Refactor Correlation and Beta indicators
- Created a base class to handle indicators with dual-symbol
functionality.
- Refactored the Beta and Correlation indicators to inherit from the new
base class.
- Updated unit tests.
- Added a new regression test to validate the latest computed value.
* Addressed review comments
* Update regression test
* Add new unit test to CommonIndicatorTests
* Addressed new review comments
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* Option universe improvements
- Improvement for resolution handling of option universes, affecting
performance in live mode. Adding regression algorithm
* Minor fix for research test
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* Default daily precise end times
- Enable by default daily precise end times. Updating stats
- Minor fix for algorithm manager consolidator updates, adding new regression test
asserting behavior and updating others
- Minor fix for SubscriptionData creator avoid round down on warmup if
not appropiate
- Adjust consolidators to emit on daily strict end times if requested
daily resolution and setting enabled
- Updating regression algorithms
* Skip daily data on extended market hours
* Some cleanup and self review
* Revert unrequired change
* Fix CA1819 and CA1002 warnings
Changed the type of Languages statistic in regression tests from
Language[] to List<Language>. By doing that, the warning CA1819 was
removed but then the warning CA1002 was raised. However, this warning
was expected to be excluded from QuantConnect.Algorithm.CSharp.
* Improve implementation
* Simplify code
* Fix bugs
* First draft of the solution
* Add missing changes
* Remove the new KPI's from report
* Fix bugs
* nit change
* Add improvements
* Fix regression tests
* Solve bugs in the regression algos
* Fix regression tests bugs
* Expand unit tests and add minor changes
* 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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* Add Sortino ratio to statistics and report
* Adds Sortino Ratio to Report Key Statistics
* Addresses Peer-Review
Reuse `SharpeRatioReportElement` and change the template.
* Reuse Calculations Across Statistics and PortfolioStatistics
* Adds Sortino Ratio to Regression Algorithms
* Removes Sortino Ratio from Optimization Result Table
---------
Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
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* Add new Order.PriceAdjustmentMode property
* Minor fix and unit test
* Minor fix and regression algorithms' stats update
* Unit test fixes
* Minor fix
* Set order price adjustment mode to raw always for live trading
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- Once a security has been delisted or no longer selected by any
universe it will be remove from the main algorithm securities
collection but kept in the new Complete collection, this improves
performance in long running backtests where security collection can
get enumerated in different cases
- Minor refactor for security exchange local time to avoid having to set
it explicitly
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* Implement Trailing FreePortfolioValue
- Implement Trailing FreePortfolioValue by default, users will be able
to set it to a fixed number if desired. Adding regression algorithm
- Setting the default 'MinimumOrderMarginPortfolioPercentage' from 0 to
0.1% of the TPV to avoud tiny trades by default
* Update existing regression algorithms
* Address reviews
- Send warning message to the user if a trade does not happen due to the
default setting of the minimum order margin percentage value
* Address reivews
* Rename TotalPortfolioValueLessFreeBuffer
* Update new regression algorithm
* Fix EMA indicator first value calculation
As done by TALib and TradingView, the first EMA value after warmup is
the SMA of the first period.
* Update TSI indicator test data
Data was exported from TradingView
* Update TRIX indicator test data from TradingView
* Update AccumulationDistributionOscillator indicator test data from TradingView
* Update Double EMA indicator test data from TradingView
* Update McClellanSummationIndex indicator test data
* Update SchaffTrendCycle indicator test data
* Update TripleExponentialMovingAverage indicator test data from TradingView
* Update stats for algorithms using EMA
* Update failing unit tests
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* Refactor alpha statistics
- Refactor alpha statistics, cleaning up and simplifying no longer required calculations and scoring
- Adding new InsightEvaluator abstraction, adding C# & PY regression
algorithms
* Optimization backtest result json converter update
* Address reviews
- Remove IAlphaHandler, move insight storage responsability to IResultHandler
and centralizing insight collection on the QCAlgorithm.Insights to be
reused by the framework models
- Fix portfolio turnover single day backtests and duplicate time
sampling handling. Updating regression algorithms
* Add InsightCollection tests and minor fixes
* Adding more & improved tests
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* Added checking if algorithm is stopped in initialize method
* Quit on initialize adjusment
- Minor adjustments to solution. Adding more regression algorithms
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* add data count properties
* 'add history count property
* assert data counts
* update missing override
* consider override/virtual cases
* implement data count
* add message handler for regression tests
* use regression test message handler
* set algorithm manager for regression test message handler
* update data count
* check if stats are present, check if algo manager is not null
* update
* add c# algo
* make same as c# algo
* use new line
* logic shifted to RegressionTestMessageHandler
* cleanup
* auto cleanup
* skip non deterministic data count
* change data count
* use inheritance
* improve stats
* update couht
* add sma indicator to c# and customSMA to python
* call base method before executing further
* skip test
* revert to original
* add duplicate sma
* skip regression test
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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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* Implement scheduled event sampling solution
* Use UTC time, only update daily portfolio value once a day
* For daily resolutions sample chart always
* Cleanup
* Drop resample daily all together
* Force final sample
* Regression updates
* FIx LiveResultHandler to update portfolio and benchmark values outside of sampling event
* Name the daily sampling event
* Address review pt 1
* Drop force and use reference wrapper
* Adjust tests
* Fix warning for Benchmark Timezone Misalignment and also add test
* Fix for daily resolution orders and test adjustments
* Also warn on universe settings with daily resolution
* Update missed regression
* Fix reference wrapper use
* Update regression after rebase
* Add values back in for Daylight Algo
* Have statistics builder skip day 1 performance
* Regression adjustments
* Test adjustments
* Update regression unit test
* Adjust some regressions starts to show performance values
* Add hourly algorithm for beta comparison
* Address missing Python regression changes
* Remove null comment
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* Adds ETF(...) to UniverseDefinitions
* Adds ETF constituents universe framework regression algorithm
for C#/Python
* Address review: adds test cases for ticker/Symbol ETF universe additions
* Fixes bug where null Market would result in null dereference exception
* Address review: add missing Index tests
* Address review: don't hardcode market when creating constituent universe
* Uses Brokerage Model's default markets collection to determine
the market for the given security type
* Address review: restore QC500 and DollarVolume.Top(...)
* Restores algorithms related to both helper universe
definition methods
* Address review: remove copy to output directory for python algos
* Add example algorithms for ETF constituent universes using custom RSI alpha model
* Address review: adjust algorithm to use cache + algo RSI & clean up code
* Address review: make ETF Constituent RSI Alpha Model algo a regression test
* Address review: increase trade count and remove single trade logic
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* Alpha holdings state
- Alpha result packet will optionally provide the algorithms portfolio
state
* Rename
* Convert AlphaStreamsPortfolio to data source
* Improvements on AlphaStreams algorithm
* Fix regression tests
* Add unit tests for EW AS PCM and fixing bugs
* Protobuf AlphaStreamsPortfoliot staState
- Protobuf AlphaStreamsPortfolioState. Adding unit tests
- Add variable TPV tests for EW ASPCM
* Add alpha license to Organization response
* Improvements EW AS PCM respects free portfolio value
* Fixes
- Update tests expected statistics results affected by MHDB custom data timezone fix
- Fix for Extensions.IsCustomDataType
* Fixed and adding more regression tests
- Adding support and regression test with alpha consumer with different account currency
- Adding support and regression test of a universe adding custom data
types
- Add support and regression test for algorithm alpha consumer with existing holdings
* Add AlphaStreamsOrderEvent data type
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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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* WIP removal of custom data references & tests updates
* Regression algos updated and python algorithms moved to DataSource repos
* Fixes failing unit tests
* Add "LiveDataTypes" field to LiveNodePacket
* Adds Initialize() to IDataChannelProvider
* Adds new extension method to convert
HistoryRequest -> SubscriptionDataConfig
* Address review: Add protobuf definitions for Iconic data types
* Address review: re-adds DynamicSecurityDataAlgorithm as regression algo
* Small adjustments to variable naming and documentation
* Move test files to respective DataSource repos
JosueNina