* Fixes issue where BidPrice/AskPrice were not adjusted for Quote Ticks
* Previously, ticks would have their prices (Tick.Value) adjusted whenever
TickType == TickType.Quote, but would not have their
BidPrice/AskPrice fields adjusted, thus potentially being orders
of magnitude such as 4x from the actual Bid/Ask prices.
This commit applies the pricing scaling factor in a critical
path where Ticks are adjusted to their scaled price. This issue
only applied to Resolution.Tick && SecurityType.Equity data.
* Refactors Extensions Tick Scale extension method
* Adjusts unit test to dispose of resources and assert history count
* Replaces use of FileSystemDataFeed for NullDataFeed in Adjustment test
* Adds regression algorithm testing BidPrice & AskPrice adjustment
* Address review: remove SecurityType check on TickType.Trade adjustments
* Append the full stacktrace to the algorithm loading exception message.
* Remove exception message loader duplication
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
- `HistoryRequestFactory` will not sure extended market hours for hour
resolution when determining the start time using quantity of bars.
Adding regression test
* 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
* Binance Brokerage skeleton
* Market hours
* Implement Symbol Mapper
- known symbols available on /api/v1/exchangeInfo
- fiat currencies are pegged
* Implement GetCashBalance
* Implement GetAccountHoldings
- there are no pre-existing currency swaps
- cash balances are pulled and stored in the cashbook
* Implement GetOpenOrders
* Manage orders: PlaceOrder
* Manage orders: UpdateOrder
Update operation is not supported
* Manage orders: CancelOrder
* Messaging: order book
* Messaging: trades
* Messaging: combine streams
- connect to fake /ws/open channel on init
- case by channel name, but not event type
* Messaging: order depth updates
- ticker symbol is not enough as it pushes updates only once a second, this would be a very incomplete data stream
- fetch ticker snapshot if lastUpdateId == 0
- follow Binance instructions for keeping local orderbook fresh
* Messaging: user data streaming
- Request userDataStream endpoint to get listenKey
- keep listenkey alive
- handle order close event
- handle order fill event
* DataDownloader: get history
- we can aggregate minute candles for higher resolutions
* fix data stream
* Tests: FeeModel tests
* Tests: base brokerage tests
* Tests: download history
* Tests: symbol mapper
* Support StopLimit andd StopMarket orders
* StopMarket orders disabled
Take profit and Stop loss orders are not supported for any symbols (tested with BTCUSDT, ETHUSDT)
* Tests: StopLimit order
* Tests: crypto parsing
* Reissue user data listen key
* comment custom currency limitation
* rework websocket connections
* implement delayed subscription
* adapt ignore message
* add license banner
* use better suited exception type
* avoid message double parsing
* support custom fee values
* extract BinanceApiClient to manage the request/response between lean and binance
* use api events to invoke brokerage events
* do not allow to terminate session if it wasn't allocated.
* update binance exchange info
* tool to add or update binance exchange info
* ExchangeInfo basic test
* Rebase + Resharp
* Binance brokerage updates
- Fix sign bug in sell order fills
- Fix bug in GetHistory
- Remove duplicate symbol from symbol properties db
* Remove unused code
* Revert removal of account currency check
* Update symbols properties database
* Address review
* Address review
- Upgrade API endpoints from v1 to v3
- Updated sub/unsub for new subscription manager
- Subscribe best bid/ask quotes instead of full order book
- Added handling of websocket error messages
- Cleanup + refactor
* Update symbol properties database
* Remove list from symbol mapper
* Fix symbol mapper tests
* Address review
- Fix resubscribe after reconnect
- Fix quote tick edge case
* Fix EnsureCurrencyDataFeed for non-tradeable currencies
* Fix check in EnsureCurrencyDataFeed
* Reuse base class subscribe on reconnect
Co-authored-by: Adalyat Nazirov <aenazirov@gmail.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Add OrderRight.GetExerciseDirection(isShort) extension
Returns the OrderDirection resulting from exercise/assignment of a particular
option right
See: BUG #4731
* Fix option exercise/assignment order tags and order event messages
The algorithm manager was doing work to determine whether or not the option ended
in exercise or assignment at expiration. This decision should be left for the exercise
model to decide -- from the algorithm manager's perspective, all that matters is that
the option was expired. The DefaultExerciseModel was updated to properly track whether
the option expired with automatic assignment or exercise, dependending on whether or
not we wrote or bought the option (held liability or right, respectively). Updated unit
tests to check for order event counts and order event messages for option exercise cases.
Fixes: #4731
* Fix typo in algorithm documentation
* Update regression tests order hash
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
In OptionChainUniverseDataCollectionEnumerator.IsValid we check the underlying
foir null and ensure that there are data points but we forget to check the actual
collection object for null, which it is initialized to. The collection remains
null in the case where no data is found.
* Convert a CoarseFundamental data point into a row
- Convert a CoarseFundamental data point into a row. Adding unit tests
* Remove fixed PriceFactor format
* Simplify BaseWebSocketsBrokerage reconnection
- Gdax does not emit time pulse so when no subscription was present the
DefaultConnectionHandler would trigger a reconnect. Replacing for
directly resubscribing on reconnect.
- TPV == 0 will send warning message instead of being an exception
* Fix unit test
* regression tests
* fix: apply the same time convertion to history request time as for data time
* ver2
* fixup
* unit tests
* do not need this conversion because RoundDownInTimeZone returns in proper TZ
* comment
* requested changes
* refactoring
* more refactoring
* fix existing test: should return Sunday if open
* more symbols
* fix existing tests: submit new btcusd data
* fix
* add Cfd symbol
* Fix regression *.{lang}.details.logs
Regression tests produce syslogs and a details.logs file. The details log file
provides a mechanism for logging data that passes through the result handler,
such as order event data. A change in the initialization ordeer of components in
the engine cause the algorithm id to not be set yet. The base result handler's
AlgorithmId property is populated via the job and is available, so we use that
instance.
* Update RegressionResultHandler.cs
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Add DataProviderEventArgs base class for IDataProviderEvents event args
This base class includes a Symbol property. This will empower event listeners
to make decisions based on which security (symbol) raised the event. The immediate
use case is preventing multiple numerical precision messages for the same security.
This pattern can equally be applied to other error messages that are raised each
time a security is added to a universe.
See: #BUG-4722
* Update ConcurrentSet.Add to use ISet<T>.Add returning bool
It's a very common pattern to use if (set.Add(item)) which is enabled
via bool ISet<T>.Add(item) but not enabled via void ICollectiont<T>.Add(item).
This change simples changes the default Add implementation to use the ISet<T>
overload and relegates the ICollection<T>.Add implementation to be explicit.
See: #BUG-4722
* Prevent multiple numerical precision messages for same symbol
If a security is continually added/removed from a universe, then the user will
see this message each time the security is added. This results in some spam.
This change simply remembers for which symbols we've notified the user about the
numerical precision issue.
Fixes: #BUG-4722
* Fix for BaseWebSocketsBrokerage reconnection
- `BaseWebsocketsBrokerage` will handle reconnection using the
existing `DefaultConnectionHandler` to avoid code duplication.
* Fix for Bitfinex failed Subscription calls
* Fix for bitfinex orderbook
* Fix unit test
* SafeDecimalCast Throws Exception For Non-Finite Numbers
* Fixes Arithmetic Overflow Exception in QCAlgorithm.Trading Methods
Replace decimal cast for `SafeDecimalCast()`.
If the algorithm uses a non-finite number in QCAlgorithm trading methods, it will throw with an user-frieldly exception message.
* Fixes KellyCriterionProbabilityValue Calculation
* Add unit tests
* Refactor Py and create C# function
* Update readme to include local
* Refactor solution; fix python cases
* Update tests
* Don't accept null selector for python; Create SelectedData class
* Fix Testing
* Pre review
* Fix tests for Travis
* Test fix V2
* Test fix V3
* Refactor quantbook and fix tests
* Sort list by date
* Move ConvertToSymbols to Python Util
* Address review
* Order dataframe columns by Security ID
* Address review V2
* header for PythonUtilTests
* Oanda default forex Market
- Use Oanda as default forex Market since it has more pairs.
- Remove FXCM data add Oanda equivalente data.
- Update unit and regression tests
* Address reviews
- Revert FXCM data removal
- Remove unrequired commented code
* Fix rebase
* Remove invalid symbols from symbol properties db
* Add SymbolPropertiesDatabase.GetSymbolPropertiesList
* Remove symbol list in BitfinexSymbolMapper
* In EnsureCurrencyDataFeed fetch symbols from symbol properties database
* Remove symbol list in OandaSymbolMapper
* Remove unused code
* Address review
- Remove StringComparer.OrdinalIgnoreCase usage
- Rename KnownSymbolStrings to KnownTickers
- Fix Slice.Get OpenInterest type. Adding unit test
- Fix for SecurityCache that wasn't storing OpenInterest types
- Updateing regression tests to covere these usages
* Upgrade Bitfinex brokerage to API v2
* Fix rebase
* Address review
- use te instead of tu messages for trades
- add missing orderMap removals
- ClientOrderId is now time-based instead of a counter
- minor cleanup
* Trigger build
* Calculate both raw and adjuasted prices for backtesting
* disable second price factoring
* move and reuse method
* test coverage for new methods
* reuse scaling method
* reuse subscriptionData.Create method
* removed unused code
* regression test
* switch to aapl
* fix regression test output
* more asserts
* fix comments - reduce shortcuts and abbrevation
* more comments
* merge parameters
* reduce number of getting price factors
* fix tests
* fix tests
* fix regression tests
* calculate TotalReturn on demand
* include TotalReturn calculations
* perf tuning
* more unit tests for SubscriptionData.Create
* simplify things - store and return only raw and precalculated data
* fix regression tests; change it back
* factor equals 1 for Raw data
* small changes
* follow code style
* implement backward compatibility
* GDAX Brokerage updates
- Replaced fill detection from trade stream with monitor task
- Order fees for fills are now the real fees paid (previously they were calculated by the brokerage model)
- All unit and integration tests are green
* Address review
- Remove unnecessary signals
- Add "gdax-fill-monitor-timeout" config setting
* Remove user channel
* Remove IDataQueueHandler from AlpacaBrokerage
- a new IDataQueueHandler implementation for Polygon.io will be added to the ToolBox
* Fix Alpaca Websocket connect not waiting for completion
* Add security type check in Alpaca history
* Fix merge
* Remove aggregator from AlpacaBrokerage
* Add set market price during extended market hours
- Set market prices during extended market hours for live trading.
Adding unit test
* Add assert on internal data count
* Support List and OptionFilterUniverse for Py filter
* Regression algorithm for testing
* Unit Tests
* Fix for process
* Tighten filters to reduce load on automated testing
* Address review v2
* Fix key not found exception at InternalSubsManager
- Fix key not found exception
- Fix backtesting chart sampling
* Add comment about PreviousUtcSampleTime
Gerardo Salazar