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Refactors Capacity Estimation and moves estimation to main event loop (#5351)
frostbyte_neo 发布于
2021-03-02 21:46:31 +00:00 -
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
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Fixes bugs, cleans up code and adds comments
- Adds forced sampling to Capacity Estimation
- Misc. bug fixes for daily data
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Updates capacity test cases' Estimated Strategy Capacity statistic
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Adds Capacity Estimate to all regression algorithms
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Removes Report's StrategyCapacity class and fixes bug in tests
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Adds null check in BacktestingResultHandler to fix
BacktestingTransactionHandler failing tests -
Deletes old capacity estimation classes
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Retrieve capacity estimates from backtest statistics results
instead of calculating at runtime
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Make $0.00 capacity return as "-" and Result = 0 in report
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Adds capacity to runtime statistics
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Converts capacity to number denoted by financial figures in RuntimeStats
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Addresses review: code cleanup for Capacity and adds comments to regression tests
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