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    Add Feature Signal Exports feature (#7145)

    frostbyte_neo 发布于 2023-04-11 20:45:07 +00:00 | 1479 次提交 在此版本后已推送到 master

    • Add Collective2SignalExportClass
      Add SignalExportTarget interface

    • Collective2SignalExport test working

    Add SignalExportManager
    Add draft of CrunchDAOSignalExport

    • Modify SignalExportManager

    Instantiate SignalExportManager in QCAlgorithm constructor
    Draft of CrunchDAOSignalExport

    • Improve SignalExportManager
    • Add regression tests SignalExportDemonstrationAlgorithm in C# and
      Python
    • Improve SignalExportDemonstrationAlgorithm

    Address requested changes in Collective2SignalExport, SignalExportManger and SignalExportTargetTests.cs

    • Add CrunchDAOSignalExport.cs

    Add CrunchDAOSignalExport unit tests in SignalExportTargetTests.cs

    • Add NumeraiSignalExport.cs

    Modify SignalExportDemonstrationAlgorithm.cs to test NumeraiSignalExport
    Add unit test in SignalExportTargetTests to test NumeraiSignalExport

    • Address required changes
    • Add BaseSignalExport.cs
    • Add SignalExportParameters.cs
    • Add PortfolioSignalExportDemonstrationAlgorithm.cs/py
    • Improve Error handling in SignalExport provider classes
    • Collective2SignalExport now gets the correct number of shares for each holding
    • SignalExportManager now computes the correct holding percentage of each portfolio target
    • SignalExportManager now takes into account if the algorithm is in live mode
    • Demonstration algorithms now are more simple
    • Address last required changes
    • PortfolioSignalExportDemonstrationAlgorithm.cs/py now inherits from SignalExportDemonstrationAlgorithm.cs/py
    • Add more unit tests to assert SignalExportManager gets the correct percentage quantity for each holding
    • Change Collective2SignalExport, CrunchDAOSignalExport and NumeraiSignalExport Send() method to return true if there was no error while sending the signals and false otherwise
    • Nit changes
    • Remove exceptions thrown
    • Add more unit tests and more test cases
    • Enhance BaseSignalExport.Dispose() method

    • Add Collective2SignalExportClass
      Add SignalExportTarget interface

    • Collective2SignalExport test working

    Add SignalExportManager
    Add draft of CrunchDAOSignalExport

    • Modify SignalExportManager

    Instantiate SignalExportManager in QCAlgorithm constructor
    Draft of CrunchDAOSignalExport

    • Improve SignalExportManager
    • Add regression tests SignalExportDemonstrationAlgorithm in C# and
      Python
    • Improve SignalExportDemonstrationAlgorithm

    Address requested changes in Collective2SignalExport, SignalExportManger and SignalExportTargetTests.cs

    • Add CrunchDAOSignalExport.cs

    Add CrunchDAOSignalExport unit tests in SignalExportTargetTests.cs

    • Add NumeraiSignalExport.cs

    Modify SignalExportDemonstrationAlgorithm.cs to test NumeraiSignalExport
    Add unit test in SignalExportTargetTests to test NumeraiSignalExport

    • Address required changes
    • Add BaseSignalExport.cs
    • Add SignalExportParameters.cs
    • Add PortfolioSignalExportDemonstrationAlgorithm.cs/py
    • Improve Error handling in SignalExport provider classes
    • Collective2SignalExport now gets the correct number of shares for each holding
    • SignalExportManager now computes the correct holding percentage of each portfolio target
    • SignalExportManager now takes into account if the algorithm is in live mode
    • Demonstration algorithms now are more simple
    • Address last required changes
    • PortfolioSignalExportDemonstrationAlgorithm.cs/py now inherits from SignalExportDemonstrationAlgorithm.cs/py
    • Add more unit tests to assert SignalExportManager gets the correct percentage quantity for each holding
    • Change Collective2SignalExport, CrunchDAOSignalExport and NumeraiSignalExport Send() method to return true if there was no error while sending the signals and false otherwise
    • Nit changes
    • Remove exceptions thrown
    • Add more unit tests and more test cases
    • Enhance BaseSignalExport.Dispose() method

    • Fix failing regression tests

    • Fix failing unit tests

    • Nit changes

    • Nit change

    • Nit change

    • Fix failing unit tests

    • Changes required

    • Break regression algos SignalExportDemonstrationAlgorithm.cs/py nad PortfolioSignalExportDemonstrationAlgorithm.cs/y` into three ones, one for each signal export provider
    • Change SignalExportManager constructor to receive current algorithm as a parameter
    • Fix bug in SignalExportManager.GetPortfolioTargets(), now it computes the correct percentage for each holding
    • Make BaseSignalExport.DefaultAllowedSecurityTypes overrdible
    • Handle case were Collective2SignalExport.ConvertPercentageToQuantity() returns null
    • Clean unnecessary code in Collective2SignalExport(), CrunchDAOSignalExport() and NumeraiSignalExport()

    • Nit change

    • Nit change

    • Minor tweaks after review

    • Remove indexes from signal exports

    • Required changes

    • Change EMA indicators period from 200, 300 to 10,100 in regression algorithms
    • Remove Indices from regression algorithms
    • Add more XML documentation to regression algorithms
    • Change Log.Error to _algorithm.Error in Signal export providers. Besides, fix error message format
    • Change default value for platformId parameter in Collective2SignalExport.cs constructor
    • Solve small bugs in SignalExportProvider when verificating the amount of porfolio targets is greater than zero and each portfolio target is allowed
    • Handle case when PortfolioTarget.Percent() returns null in Collective2SignalExport.ConvertPercentageToQuantity()
    • Handle error format message from Collective2 API
    • Check every ticker signal is between 0 and 1 (inclusive) in CrunchDAOSignalExport.cs
    • Modifiy NumeraiSignalExport.cs constructor to take into account filename given in the arguments
    • Fix small bug with the return value of ConvertTargetsToNumerai() method in NumeraiSignalExport.cs
    • Modify SignalExportManager.cs to return true when the algorithm being ran is not in live mode
    • Remove indices from CrunchDAO unit tests
    • Enhance ´CrunchDAOSignalExport.cs´ implementation

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

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