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282 Commits

Author SHA1 Message Date
Michael Sena c7f0f6f769 Move the margin files for SGX and HKFE into the correct folder 2020-07-28 15:15:29 +10:00
Anand Vishnu ec6abfacc8 Add future contracts for NK, IN, TW and HSI 2020-06-29 17:35:40 +01:00
Gerardo Salazar 8d0d27253a Address review: Cleans up percentage margins and adds missing margins 2020-06-18 10:20:15 -07:00
Gerardo Salazar 3baf8c3959 Address review: Removes changing percentage margins 
* Only the first margin of a percentage margin will be
    used from now onwards
 2020-06-15 16:00:38 -07:00
Gerardo Salazar 81f2c43d0a Updates margins using new contract selection strategy 
* Fixes previously incorrect margins
 2020-06-08 17:55:12 -07:00
Gerardo Salazar b638c450cb Removes bad margin files and fixes unit tests 2020-06-03 16:48:18 -07:00
Gerardo Salazar b0f787abd8 Address review - removes duplicates in margins and skip non-USD margins 2020-06-03 15:20:43 -07:00
JJD a3356904b0 Update futures margins 2020-06-02 17:39:12 -03:00
Martin Molinero 63bf4e72a0 Revert "Revert "Fix market open missing FillForward bar"" 
This reverts commit 1ac8146eae.
 2020-05-08 12:46:02 -03:00
Martin-Molinero 1ac8146eae Revert "Fix market open missing FillForward bar" 2020-05-08 11:38:59 -03:00
JJD 7a30346349 Add generic entry for CBOE 
tidy up JSON
 2020-04-29 18:23:34 -03:00
JJD a2304bed33 Fix invalid JSON + generic futures exchanges entries 2020-04-29 18:09:58 -03:00
JJD f4b814f98c Revert removing equity early closes in MHDB 2020-04-29 20:21:57 +00:00
Martin-Molinero 5625acbd6f Merge pull request #4328 from QuantConnect/refactor-future-symbol-market 
Refactor Future Market
 2020-04-28 19:40:04 -03:00
Martin Molinero 1c3c2e810e Address review 
- Minor fixes
- Adding regression algorithm adding futures with the same ticker
  different market
 2020-04-28 16:29:54 -03:00
JJD 97239777ae Include generic by exchange in MHDB 2020-04-28 16:29:17 -03:00
JJD 0e5f2b7e07 Add future generic for all exchanges in MHDB 2020-04-28 16:29:17 -03:00
JJD 800e283de7 Add generic entries for all future's exchanges 2020-04-28 16:29:16 -03:00
JJD 80165b67b9 Fix Sugar futures entry 2020-04-28 16:29:16 -03:00
JJD 5a9886bcdb Order symbols propeties by exchange - symbol 2020-04-28 16:29:16 -03:00
JJD 2ef5129e9d Move margins to its respective exchanges folders 2020-04-28 16:29:16 -03:00
Martin Molinero 149d30f020 Fixes and Improvements 
- Removing spaces in MHDB.json file reducing size
- Update tests using wrong future market
 2020-04-28 16:29:15 -03:00
JJD 4ab5d8fc34 Update future data sample 2020-04-28 16:29:15 -03:00
Juan José D'Ambrosio ebf7084d9a Fix issue removing NTY 
NTY was not found in symbol properties, nor in CME Group product list.
 2020-04-28 16:29:14 -03:00
Juan José D'Ambrosio ffe19d048f Update MHDB 
with the specific exchange for each future
 2020-04-28 16:29:14 -03:00
Juan José D'Ambrosio 5309a56372 Remove undefined future AC 
Remove comma from EXR description.
 2020-04-28 16:29:14 -03:00
JJD 60249b783d Restore deleted comment 2020-04-28 16:29:14 -03:00
JJD 016c101fe0 Update symbol propeties with exchanges and description for futures. 2020-04-28 16:29:14 -03:00
Martin Molinero b1d6d21d07 Refactor Future symbol Market 
- Replacing usage of Market.USA as market for Future Symbols. Will now
  check SymbolPropertiesDatabase
 2020-04-28 16:29:14 -03:00
Martin Molinero f78142fe32 Fix rebase after data update 2020-04-28 15:53:01 -03:00
Martin Molinero 075e82629a Add more unit tests 
- 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
 2020-04-28 15:23:07 -03:00
Martin Molinero de05f15a12 Address review 
- Adding live trading unit test
 2020-04-24 19:04:41 -03:00
Martin Molinero 499248fe12 Revert "Revert "Adding Support for Equity L1 Quote Data"" 
This reverts commit 8cd8d206ca.
 2020-04-06 10:32:59 -03:00
Jared 8cd8d206ca Revert "Adding Support for Equity L1 Quote Data" 2020-03-11 19:16:05 -07:00
Juan José D'Ambrosio d4bec86df0 Update daily and hourly sample files 2020-03-11 20:22:13 +00:00
Martin Molinero d5d00f8472 Update tests 
- Update regression tests
- Add missing data
- Revert Messaging.cs change
- Update unit tests
 2020-03-11 14:34:16 -03:00
D 3b25ea4240 Update test after adding the new sample data 2020-03-11 14:34:16 -03:00
D 336caf9856 Update sample data 2020-03-11 14:34:16 -03:00
D 222105f60d Update sample data 2020-03-11 14:34:14 -03:00
Juan José D'Ambrosio 1269966e51 Rebase and squash commits 
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
 2020-03-11 14:34:13 -03:00
Juan José D'Ambrosio 95336d69c5 Add tick sample data 2020-03-11 14:34:13 -03:00
Juan José D'Ambrosio 0794f4d472 Add second sample data 2020-03-11 14:34:05 -03:00
Juan José D'Ambrosio fd9de5895a Consolidate only trades, low resolution reads trades only, update tests 
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
 2020-03-11 14:34:05 -03:00
Gerardo Salazar 90060bbbe1 Address review - adds unit tests and fixes various bugs in margins data 2020-03-04 11:24:57 -08:00
Gerardo Salazar c36c67d5fd Adds margin entries for the following futures: 26, 6L, 6M, 6R, 6Z, ... 
A0D, A0F, A1L, A1M, A1R, A32, A3G, A7E, A7Q, A8J, A8K, A91, A9N, AA6,
AA8, ABS, ABT, AC0, ACD, AD0, ADB, AE5, AGA, AJ, AJ1, AJL, AJS, AJY,
AKL, AKZ, ANE, ANL, APS, ARE, AVZ, AW, AYV, AYX, AZ1, B7H, BIO, BOO,
BR7, CJY, CSX, CY, D1N, DC, DCB, EAD, ECD, EMD, ESK, FSS, GD, GDK,
GIE, GNF, HRC, LBS, ME, MPX, NFN, NKD, NKN, UB
 2020-03-03 14:59:23 -08:00
Gerardo Salazar daaafae37d Updates future margins for CL, ES, GC, HO, NG, NQ, PA, PL, RB, SI, YM 
Adds margins for futures:
1S 22 6A 6B 6C 6E 6J 6N 6S AUP B0 BCF BK BWF BZ CB CC CNH CRB CSC CSW
CT CU DX DY E6 E7 EDP EH EN EPN EVC EWG EWN EXR F1U FO FRC GCU GE
GF HCL HE HG HH HP HTT IBV J7 KC KE LE OJ RTY SB TN
VX YO ZB ZC ZF ZL ZM ZN ZO ZS ZT ZW
 2020-02-27 16:32:24 -08:00
Rahul 17d8ac1811 Update to GC margins (#4089) 
Update GC margins
 2020-02-12 14:26:04 -08:00
Gerardo Salazar bfffbc183c Adds UB, TN to FuturesExpiryFunctions, MHDB, and symbol-properties-db 2020-02-11 18:05:59 -08:00
Gerardo Salazar 7bac21cd13 Add README.md for Futures margins tutorial 2020-02-07 14:17:31 -08:00
Jared 556d4000d2 Merge pull request #3996 from adam-may/feature-3995-add-new-commodity-instruments 
Add HRW Wheat, Brent Crude, Low Sulfur Gasoil and Random Length Lumbe…
 2020-01-28 07:27:11 -08:00