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    Support extended market hours for futures (#6522)

    frostbyte_neo 发布于 2022-08-18 13:56:44 +00:00 | 1788 次提交 在此版本后已推送到 master

    • Support extended market hours in AddFuture()

    • Support extended market hours in AddFutureContract()

    • Add C# regression algorithm

    • Add Python regression algorithm

    • Add regression algorithm for future contracts

    • Add regression algorithm checking market hour ranges

    • Fixed future regression algorithms to use extended market hours

    • Fixed future regression algorithms to use extended market hours

    • Fixed future regression algorithms to use extended market hours

    • Fixed AddFutureOptionContractFromFutureChainRegressionAlgorithm to use extended market hours

    • Update future market hours to include extended in market hours database

    • Fixed AddFutureOptionContractDataStreamingRegressionAlgorithm to use extended market hours

    • Fixed AddFutureOptionContractFromFutureChainRegressionAlgorithm to use extended market hours

    • Fixed AddFutureContractWithContinuousRegressionAlgorithm to use extended market hours

    • Fixed BasicTemplateContinuousFutureAlgorithm to use extended market hours

    • Fixed BasicTemplateFuturesAlgorithm to use extended market hours

    • Fix BasicTemplateFuturesDailyAlgorithm to use extended market hours

    • Fixed BasicTemplateFuturesFrameworkAlgorithm to use extended market hours

    • Fixed BasicTemplateFuturesHistoryAlgorithm to use extended market hours

    • Fixed ContinuousBackMonthRawFutureRegressionAlgorithm to use extended market hours

    • Fixed ContinuousFutureBackMonthRegressionAlgorithm to use extended market hours

    • Fixed ContinuousFutureHistoryRegressionAlgorithm to use extended market hours

    • Fixed ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm to use extended market hours

    • Fixed ContinuousFutureRegressionAlgorithm to use extended market hours

    • Fixed DelistedFutureLiquidateRegressionAlgorithm to use extended market hours

    • Fixed AutomaticIndicatorWarmupDataTypeRegressionAlgorithm to use extended market hours

    • Fixed ConsolidateRegressionAlgorithm to use extended market hours

    • Fixed DelistingFutureOptionRegressionAlgorithm to use extended market hours

    • Fixed EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm to use extended market hours

    • Fixed FutureContractsExtendedMarketHoursRegressionAlgorithm to use extended market hours

    • Fixed FutureMarketOpenAndCloseRegressionAlgorithm to use extended market hours

    • Fixed FutureMarketOpenConsolidatorRegressionAlgorithm to use extended market hours

    • Fixed FutureOptionBuySellCallIntradayRegressionAlgorithm to use extended market hours

    • Fixed FutureOptionCallITMExpiryRegressionAlgorithm to use extended market hours

    • Fixed FutureOptionCallITMGreeksExpiryRegressionAlgorithm to use extended market hours

    • Fixed FutureOptionCallOTMExpiryRegressionAlgorithm to use extended market hours

    • Fixed FutureOptionDailyRegressionAlgorithm to use extended market hours

    • Fixed FutureOptionHourlyRegressionAlgorithm to use extended market hours

    • Fixed FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm to use extended market hours

    • Fixed FutureOptionPutITMExpiryRegressionAlgorithm to use extended market hours

    • Fixed FutureOptionPutOTMExpiryRegressionAlgorithm to use extended market hours

    • Fixed FutureOptionShortCallITMExpiryRegressionAlgorithm to use extended market hours

    • Fixed FutureOptionShortCallOTMExpiryRegressionAlgorithm to use extended market hours

    • Fixed FutureOptionShortPutITMExpiryRegressionAlgorithm to use extended market hours

    • Fixed FutureOptionShortPutOTMExpiryRegressionAlgorithm to use extended market hours

    • Fixed FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm to use extended market hours

    • Fixed FuturesExpiredContractRegression to use extended market hours

    • Fixed FutureSharingTickerRegressionAlgorithm to use extended market hours

    • Fixed HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm to use extended market hours

    • Fixed HistoryWithDifferentDataMappingModeRegressionAlgorithm to use extended market hours

    • Fixed HistoryWithDifferentDataNormalizationModeRegressionAlgorithm to use extended market hours

    • Fixed LimitOrdersAreFilledAfterHoursForFuturesRegressionAlgorithm to use extended market hours

    • Fixed OpenInterestFuturesRegressionAlgorithm to use extended market hours

    • Fixed RegisterIndicatorRegressionAlgorithm to use extended market hours

    • Fixed SetHoldingsFutureRegressionAlgorithm to use extended market hours

    • Fixed WarmupFutureRegressionAlgorithm to use extended market hours

    • Fixed AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm to use extended market hours

    • Fixed AlgorithmHistoryTests to use extended market hours for futures

    • Fixed AlgorithmTradingTests to use extended market hours for futures

    • Fixed BrokerageSetupHandlerTests to use extended market hours for futures

    • Fixed TimeRulesTests to use extended market hours for futures

    • Fixed FutureOptionMarginBuyingPowerModelTests to use extended market hours for futures

    • Fixed FutureMarginBuyingPowerModelTests to use extended market hours for futures

    • Fixed FileSystemDataFeedTests to use extended market hours for futures

    • Fixed QuantBookHistoryTests to use extended market hours for futures

    • Split BasicTemplateContinuousFutureAlgorithm to have an extended market version

    • Fixed FutureMarketOpenAndCloseRegressionAlgorithm to use extended market hours

    • Split BasicTemplateFuturesAlgorithm to have an extended market version

    • Split BasicTemplateFuturesAlgorithm to have an extended market version

    • Split BasicTemplateFuturesFrameworkAlgorithm to have an extended market version

    • Split BasicTemplateFuturesHistoryAlgorithm to have an extended market version

    • Revert AddFutureContractWithContinuousRegressionAlgorithm

    • Revert AddFutureOptionContractDataStreamingRegressionAlgorithm and added data

    • Revert AddFutureOptionContractFromFutureChainRegressionAlgorithm

    • Revert AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm

    • Revert ConsolidateRegressionAlgorithm

    • Revert Algorithm.CSharp/ContinuousBackMonthRawFutureRegressionAlgorithm.cs

    • Revert ContinuousFutureBackMonthRegressionAlgorithm

    • Revert ContinuousFutureHistoryRegressionAlgorithm

    • Revert ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm

    • Revert ContinuousFutureRegressionAlgorithm

    • Revert Algorithm.CSharp/DelistedFutureLiquidateRegressionAlgorithm.cs

    • Revert EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm

    • Split FutureMarketOpenAndCloseRegressionAlgorithm to have an extended market version

    • Split FutureMarketOpenConsolidatorRegressionAlgorithm to have an extended market version

    • Revert FutureOptionBuySellCallIntradayRegressionAlgorithm

    • Revert FutureOptionCallITMExpiryRegressionAlgorithm

    • Revert FutureOptionDailyRegressionAlgorithm

    • Revert FutureOptionPutITMExpiryRegressionAlgorithm

    • Revert FutureSharingTickerRegressionAlgorithm

    • Revert FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm

    • Revert FuturesExpiredContractRegression

    • Revert HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm

    • Revert HistoryWithDifferentDataMappingModeRegressionAlgorithm

    • Revert HistoryWithDifferentDataNormalizationModeRegressionAlgorithm

    • Revert OpenInterestFuturesRegressionAlgorithm

    • Revert RegisterIndicatorRegressionAlgorithm

    • Revert SetHoldingsFutureRegressionAlgorithm

    • Revert WarmupFutureRegressionAlgorithm

    • Revert AutomaticIndicatorWarmupDataTypeRegressionAlgorithm

    • Some cleanup

    • Address changes request

    • Address changes request

    • Add more Class III Milk data to fix DelistingFutureOptionDailyRegressionAlgorithm

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