github-featured / quantconnect--lean

发布

0 发布 4,269 Git 标签

RSS 订阅源
  • 12661 cd9e451ead
    比较

    Adds Support for ETF Constituent Universes (#5862)

    frostbyte_neo 发布于 2021-08-17 22:54:29 +00:00 | 2205 次提交 在此版本后已推送到 master

    • Adds support for ETF constituent universes

      • Adds filtering for universe data if it doesn't match the
        universe subscription type

      • Update mapping for ALL underlying Symbols if
        Symbol.UpdateMappedSymbol(...) is called. Required to support
        constituent ETF universes that might have mapping events

      • Delistings of composite constituent universe Symbol will result in
        removal of universe securities.

      • Added regression algorithms for ETF constituent mappings (C#/Python),
        along with data required to run locally

      • Refactor universe delistings in SubscriptionSynchronizer -
        big thank you to @Martin-Molinero :)

    • Address review: update regression algorithms and add explanatory comments

    • Address review: add additional checks to delisting regression algorithms

      • Adds new regression algorithm testing the addition of a universe
        without calling AddEquity() and asserts same behavior
    下载附件