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    Removes Assets that Are Not Invested and Not Tradable From Capacity Calculations (#5515)

    frostbyte_neo 发布于 2021-05-13 23:25:19 +00:00 | 2399 次提交 在此版本后已推送到 master

    • Add property for capacity. Remove unused variable

    • Move SymbolCapacity and CapacityEstimate to common, passed through Symbol to runtime statistics

    • Add null checks

    • Remove uninvested and untradable assets from capacty calculations

    • Add SymbolCapacity influential period

    • Updates Regression Tests

    • DelistingEventsAlgorithm

      • Allows additional contributions from delisted AAA.1

    • DelistingFutureOptionRegressionAlgorithm

      • Removes DC01H12 contributions one month later

    • FutureOptionBuySellCallIntradayRegressionAlgorithm

      • Allows additional contributions from future after expiry replacing the contribution of the next contract option

    • DelistedFutureLiquidateRegressionAlgorithm

    • FutureOptionCallITMExpiryRegressionAlgorithm

    • FutureOptionCallITMGreeksExpiryRegressionAlgorithm

    • FutureOptionPutITMExpiryRegressionAlgorithm

    • FutureOptionShortCallITMExpiryRegressionAlgorithm

    • FutureOptionShortPutITMExpiryRegressionAlgorithm

    • FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm

      • Allows additional contributions from future after expiry

    • FutureOptionCallOTMExpiryRegressionAlgorithm

    • FutureOptionPutOTMExpiryRegressionAlgorithm

    • FutureOptionShortPutOTMExpiryRegressionAlgorithm

    • IndexOptionCallITMGreeksExpiryRegressionAlgorithm

    • IndexOptionCallOTMExpiryRegressionAlgorithm

    • IndexOptionShortCallOTMExpiryRegressionAlgorithm

      • Allows additional contributions from option after expiry

    • MACDTrendAlgorithm

      • Removes contribution when SPY is not invested for over one month

    • UniverseSelectionRegressionAlgorithm

      • Allows additional contributions from delisted GOOAV replacing GOOG (new symbols)

    • Adds Lowest Capacity Asset to Regression Tests

    • Normalize expected value -0, because -0 is also written to file if updated

    • Write Symbol.Value for lowestCapacitySymbol or empty string for empty Symbol

    • Update Regressions

    • Update 'Lowest Capacity Asset' to Symbol.ID

    Co-authored-by: Jared Broad jaredbroad@gmail.com
    Co-authored-by: Martin-Molinero martin@quantconnect.com
    Co-authored-by: Colton Sellers Colton.R.Sellers@gmail.com

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