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32 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
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 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 2ef5129e9d Move margins to its respective exchanges folders 2020-04-28 16:29:16 -03:00
JJD 4ab5d8fc34 Update future data sample 2020-04-28 16:29:15 -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 7bac21cd13 Add README.md for Futures margins tutorial 2020-02-07 14:17:31 -08:00
Jared 66086b8872 Update readme.md 2019-06-23 08:30:19 -07:00
Stefano Raggi f7e06510d4 Fix missing front month contract in energy futures backtesting 
Energy futures (CL, HO, RB, NG) expire in the month before the contract month.

To handle these properly, the following changes have been implemented:
- the AlgoSeekFuturesReader has been updated to create the future symbol with the correct expiry date
- the zip entry names in futures data files now contain the full expiry date (in addition to the contract month)
- the sample data files have been updated to use the new zip entry names
- new unit tests have been added and existing ones updated
 2019-04-29 09:40:59 +02:00
Gerardo Salazar 463dd1d329 Add documentation for cfd, crypto, forex, future, and option data (#2978) 
* Add documentation for cfd, crypto, forex, future, and option data

* Update data documentation to ensure consistency

* Fix titles, removed timezone reference
 2019-03-04 16:54:02 -08:00
Stefano Raggi 454d4acf43 Add missing data files for BasicTemplateFuturesFrameworkAlgorithm 2018-08-08 18:14:40 +02:00
Michael Handschuh 7eb4526724 Update open source data set and regression statistics 
Factor files from 2018.06.04
Data   files from 2018.07.05
 2018-07-05 15:13:57 -04:00
Jing Wu 86866fa324 delete daily and hourly futures data 2018-04-12 18:33:58 -04:00
smartquant addf2101fa Added / fixed conversion test from minute to hourly/daily for futures 
- Adapted DataReader to load zipfile entries
- Uploaded corrected daily / hourly data for ES and GC
 2017-06-27 10:25:34 +02:00
smartquant 212ca333f1 Added hourly and daily test data generated from original GC and ES minute example data 2017-06-19 19:32:41 +02:00
Andrew a82d002a68 Added tick data for gc 10/06/2013 to 10/08/2013 (19.2MB) 2017-05-18 14:47:30 -04:00
Andrew 92b4eddf64 Added updated sample GC Futures data 2017-05-10 11:49:25 -04:00
Andrew 100e760b3d Added corrected sample ES futures data 2017-05-10 11:44:44 -04:00
Andrew 2da01255d2 Added example futures data for BasicTemplateFuturesAlgorithm 2017-04-26 13:11:15 -04:00
Andrew 4da3d1fd8a Added ES futures data with the new decimal format 2017-04-25 17:27:58 -04:00
quant1729 8f3eff50c6 Updated PR 2017-01-17 00:35:22 +08:00
quant1729 8c125677d5 Moved futures margin folder into 'future' folder. Tests green. 2017-01-16 15:57:19 +08:00
Stefano Raggi b3387edf53 Update Future sample data files 2017-01-09 21:49:04 +01:00
quant1729 1305d96edd Open interest support: backtesting, converters, live data handlers (IQFeed/IB), live trading (IB). First cut. Regression Test. 2016-11-15 21:33:33 +01:00