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    Updates Fundamental Data (#5502)

    frostbyte_neo 发布于 2021-05-11 20:54:45 +00:00 | 2402 次提交 在此版本后已推送到 master

    • Updates Fundamental Data

    • Updates Regression Algorithms

    • CoarseFundamentalTop3Algorithm
      • New coarse has higher DollarVolume for FB
    • CoarseNoLookAheadBiasAlgorithm
      • Change from SPY update not included in #5493
    • SectorExposureRiskFrameworkAlgorithm
      • HasFundamentalData was false for GOOG on 20140401 and 20140402.
    • Updates Unit Tests

    Minor changes in expected values

    • Updates Regression Tests

    Should have been included in #5493:

    • OptionsExpiredContractRegression
    • FuturesExpiredContractRegression
    • Adjusted Quantity By Lot Size in OrderTargetsByMarginImpact

    OrderTargetsByMarginImpact didn't calculate the order value with the quantity adjusted by order size which less to values that did not reflect the actual order value.
    It has a particular affect in SectorExposureRiskFrameworkAlgorithm where the Python and C# versions have the same orders but placed in a different sequence because of decimal/double precision.

    • Reduce dictionary access x3 on OrderTargetsByMarginImpact

    Co-authored-by: Martin-Molinero martin@quantconnect.com

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