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Gerardo Salazar bb9cde1cee Adds StandardDeviationOfReturns configurability and improves greeks warmup for Futures/Index Options (#5495) 
* Improves greeks configurability and defaults for all option asset types

  * Makes `StandardDeviationOfReturns` configurable by users, so that
    greeks can be loaded according to user expectations and the series
    of returns that they'd like to compute for `n` periods and timespan
    of `T`, as well as resolution of the data in live mode.

  * Changes resolution to max resolution available for the default
    volatility model created for the security. Usually this only applies
    to live mode, but if creating an instance of the
    `StandardDeviationOfReturns` volatility model and no `updateFrequency`
    is provided, the resolution's time span will be used as the default
    value. Backwards compatibility for equities is maintained.

  * Changes defaults for `StandardDeviationOfReturnsVolatilityModel`
    to warmup greeks faster for other derivative asset types

  * Improves comments on `StandardDeviationOfReturns` for clarity on how
    to use the volatility model for end users

* Fixes bug where TradeBar could not have proper Symbol set when getting
max resolution

  * Applies to QCAlgorithm.Universe and StandardDeviationOfReturnsVolatilityModel
  * Adds tests to check volatility model is updated at specified config intervals

* Address review: add shared method for (Relative)StandardDeviation
volatility models

  * Adjusts logic to determine bar type

* Address review: order by TickType when getting configs inside volatility models
2021-04-28 19:05:00 -03:00
..
Alphas
Address Non-Compiled Files (#5225)
2021-01-27 09:56:03 -03:00
AltData
Quiver Quantitative Integration (#4869)
2020-11-13 20:07:17 -03:00
Benchmarks
Remove Obsolete QCAlgorithm.OnEndOfDay() (#5441)
2021-04-07 13:39:49 -03:00
CapacityTests
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
2021-03-02 18:46:31 -03:00
Properties
Remove all nuspec files (#5311)
2021-02-18 17:13:11 -03:00
AccordVectorMachinesAlgorithm.cs
…
AccumulativeInsightPortfolioRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
AddAlphaModelAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
AddFutureOptionContractDataStreamingRegressionAlgorithm.cs
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
2021-03-02 18:46:31 -03:00
AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm.cs
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
2021-03-02 18:46:31 -03:00
AddOptionContractExpiresRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
AddOptionContractFromUniverseRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
AddRemoveOptionUniverseRegressionAlgorithm.cs
Fix undeterministic regression algorithms (#5504)
2021-04-23 11:58:12 -07:00
AddRemoveSecurityRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
AddRiskManagementAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
AddUniverseSelectionModelAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
AddUniverseSelectionModelCoarseAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
AllShortableSymbolsCoarseSelectionRegressionAlgorithm.cs
Fix undeterministic regression algorithms (#5504)
2021-04-23 11:58:12 -07:00
AutomaticIndicatorWarmupDataTypeRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
AutomaticIndicatorWarmupRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
AutoRegressiveIntegratedMovingAverageRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
BacktestingBrokerageRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
BasicPythonIntegrationTemplateAlgorithm.cs
…
BasicSetAccountCurrencyAlgorithm.cs
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
2021-03-02 18:46:31 -03:00
BasicTemplateAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
BasicTemplateConstituentUniverseAlgorithm.cs
Add Constituent basic template algorithm
2019-11-22 11:39:03 -03:00
BasicTemplateCryptoAlgorithm.cs
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
2021-03-02 18:46:31 -03:00
BasicTemplateCryptoFrameworkAlgorithm.cs
…
BasicTemplateDailyAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
BasicTemplateFillForwardAlgorithm.cs
…
BasicTemplateForexAlgorithm.cs
…
BasicTemplateFrameworkAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
BasicTemplateFuturesAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
BasicTemplateFuturesConsolidationAlgorithm.cs
Fixes and Improvements
2020-04-28 16:29:15 -03:00
BasicTemplateFuturesFrameworkAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
BasicTemplateFuturesHistoryAlgorithm.cs
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
2021-03-02 18:46:31 -03:00
BasicTemplateIndexAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
BasicTemplateIndexOptionsAlgorithm.cs
Adds Indexes and Index Options asset types (Backtesting/Live, IB only) (#5379)
2021-03-12 20:46:23 -03:00
BasicTemplateIntrinioEconomicData.cs
…
BasicTemplateLibrary.cs
…
BasicTemplateMultiAssetAlgorithm.cs
Addresses Peer-Review
2020-02-12 22:28:45 +00:00
BasicTemplateOptionsAlgorithm.cs
Use trades per period instead of days for capacity calculation (#5389)
2021-03-16 16:30:49 -07:00
BasicTemplateOptionsFilterUniverseAlgorithm.cs
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
2021-03-02 18:46:31 -03:00
BasicTemplateOptionsFrameworkAlgorithm.cs
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
2021-03-02 18:46:31 -03:00
BasicTemplateOptionsHistoryAlgorithm.cs
Addresses Peer-Review
2020-02-12 22:28:45 +00:00
BasicTemplateOptionStrategyAlgorithm.cs
Use trades per period instead of days for capacity calculation (#5389)
2021-03-16 16:30:49 -07:00
BasicTemplateOptionTradesAlgorithm.cs
Addresses Peer-Review
2020-02-12 22:28:45 +00:00
BlackLittermanPortfolioOptimizationFrameworkAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
BrokerageModelAlgorithm.cs
…
BubbleAlgorithm.cs
…
CallingRFromCSharp.cs
…
CancelOpenOrdersRegressionAlgorithm.cs
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
2021-03-02 18:46:31 -03:00
CapmAlphaRankingFrameworkAlgorithm.cs
…
CBOECustomDataConsolidationRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
CfdTimeZonesRegressionAlgorithm.cs
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
2021-03-02 18:46:31 -03:00
CoarseFineFundamentalComboAlgorithm.cs
…
CoarseFineFundamentalRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
CoarseFineOptionUniverseChainRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
CoarseFundamentalTop3Algorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
CoarseNoLookAheadBiasAlgorithm.cs
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
2021-03-02 18:46:31 -03:00
CoarseSelectionTimeRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
CoarseTiingoNewsUniverseSelectionAlgorithm.cs
Address reviews
2020-06-15 20:05:12 -03:00
CompositeAlphaModelFrameworkAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
CompositeRiskManagementModelFrameworkAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
ConfidenceWeightedFrameworkAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
ConsolidateRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
ConstituentsQC500GeneratorAlgorithm.cs
Adding PreSelected data types
2019-11-20 16:58:43 -03:00
ConstituentsUniverseDataGeneratorAlgorithm.cs
Revert qc500 constituent - Fix data order
2019-11-20 19:47:19 -03:00
ConstituentsUniverseRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
ConvertToFrameworkAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
CustomBenchmarkAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
CustomBenchmarkRegressionAlgorithm.cs
Use trades per period instead of days for capacity calculation (#5389)
2021-03-16 16:30:49 -07:00
CustomBrokerageMessageHandlerAlgorithm.cs
…
CustomBuyingPowerModelAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
CustomChartingAlgorithm.cs
Remove Obsolete QCAlgorithm.OnEndOfDay() (#5441)
2021-04-07 13:39:49 -03:00
CustomDataAddDataCoarseSelectionRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
CustomDataAddDataOnSecuritiesChangedRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
CustomDataAddDataRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
CustomDataBitcoinAlgorithm.cs
Fix timestamps in custom data algorithms (#5426)
2021-03-30 14:48:59 -07:00
CustomDataIndicatorExtensionsAlgorithm.cs
…
CustomDataNIFTYAlgorithm.cs
Remove Obsolete QCAlgorithm.OnEndOfDay() (#5441)
2021-04-07 13:39:49 -03:00
CustomDataPropertiesRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
CustomDataRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
CustomDataUniverseAlgorithm.cs
…
CustomDataUsingMapFileRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
CustomFrameworkModelsAlgorithm.cs
…
CustomModelsAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
CustomPartialFillModelAlgorithm.cs
Adds CustomPartialFillModelAlgorithm
2020-04-13 18:50:03 +01:00
CustomSecurityInitializerAlgorithm.cs
…
CustomUniverseSelectionRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
CustomUniverseWithBenchmarkRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
DailyAlgorithm.cs
…
DailyHistoryForDailyResolutionRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
DailyHistoryForMinuteResolutionRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
DailyResolutionSplitRegressionAlgorithm.cs
…
DataConsolidationAlgorithm.cs
Adding unit tests
2020-02-17 11:28:34 -03:00
DaylightSavingTimeHistoryRegressionAlgorithm.cs
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
2021-03-02 18:46:31 -03:00
DefaultResolutionRegressionAlgorithm.cs
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
2021-03-02 18:46:31 -03:00
DelistedFutureLiquidateRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
DelistingEventsAlgorithm.cs
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
2021-03-02 18:46:31 -03:00
DelistingFutureOptionRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
DisplacedMovingAverageRibbon.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
DividendAlgorithm.cs
…
DropboxBaseDataUniverseSelectionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
DropboxUniverseSelectionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
DuplicateSecurityWithBenchmarkRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
DynamicSecurityDataAlgorithm.cs
…
EmaCrossFuturesFrontMonthAlgorithm.cs
Update EmaCrossFuturesFrontMonthAlgorithm.cs
2020-06-04 18:04:43 -07:00
EmaCrossUniverseSelectionAlgorithm.cs
…
EmaCrossUniverseSelectionFrameworkAlgorithm.cs
…
EmitInsightCryptoCashAccountType.cs
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
2021-03-02 18:46:31 -03:00
EmitInsightNoAlphaModelAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
EmitInsightsAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
EquityTickQuoteAdjustedModeRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
EquityTradeAndQuotesRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
EstimizeDataAlgorithm.cs
…
ETFGlobalRotationAlgorithm.cs
…
ExpiryHelperAlphaModelFrameworkAlgorithm.cs
…
ExtendedMarketHoursHistoryRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
ExtendedMarketTradingRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
FeeModelNotUsingAccountCurrency.cs
Use trades per period instead of days for capacity calculation (#5389)
2021-03-16 16:30:49 -07:00
FillForwardEnumeratorOutOfOrderBarRegressionAlgorithm.cs
Use trades per period instead of days for capacity calculation (#5389)
2021-03-16 16:30:49 -07:00
FillForwardUntilExpiryRegressionAlgorithm.cs
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
2021-03-02 18:46:31 -03:00
FilteredIdentityAlgorithm.cs
…
FinancialAdvisorDemoAlgorithm.cs
…
FineFundamentalFilteredUniverseRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
ForexInternalFeedOnDataHigherResolutionRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
ForexInternalFeedOnDataSameResolutionRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
FractionalQuantityRegressionAlgorithm.cs
Use trades per period instead of days for capacity calculation (#5389)
2021-03-16 16:30:49 -07:00
FreePortfolioValueRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
FutureOptionBuySellCallIntradayRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
FutureOptionCallITMExpiryRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
FutureOptionCallITMGreeksExpiryRegressionAlgorithm.cs
Adds StandardDeviationOfReturns configurability and improves greeks warmup for Futures/Index Options (#5495)
2021-04-28 19:05:00 -03:00
FutureOptionCallOTMExpiryRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm.cs
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
2021-03-02 18:46:31 -03:00
FutureOptionPutITMExpiryRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
FutureOptionPutOTMExpiryRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
FutureOptionShortCallITMExpiryRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
FutureOptionShortCallOTMExpiryRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
FutureOptionShortPutITMExpiryRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
FutureOptionShortPutOTMExpiryRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
FuturesExpiredContractRegression.cs
Refactor of Auxiliary Data Filtering (#5485)
2021-04-19 11:10:47 -03:00
FutureSharingTickerRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
FuturesMomentumAlgorithm.cs
Remove Obsolete QCAlgorithm.OnEndOfDay() (#5441)
2021-04-07 13:39:49 -03:00
FuzzyInferenceAlgorithm.cs
Fix Warnings V2 (#5436)
2021-04-02 11:20:01 -07:00
G10CurrencySelectionModelFrameworkAlgorithm.cs
…
HistoryAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
HistoryWithSymbolChangesRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
HourResolutionMappingEventRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
HourReverseSplitRegressionAlgorithm.cs
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
2021-03-02 18:46:31 -03:00
HourSplitRegressionAlgorithm.cs
Use trades per period instead of days for capacity calculation (#5389)
2021-03-16 16:30:49 -07:00
InceptionDateSelectionRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
IndexOptionBuySellCallIntradayRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
IndexOptionCallITMExpiryRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
IndexOptionCallITMGreeksExpiryRegressionAlgorithm.cs
Adds StandardDeviationOfReturns configurability and improves greeks warmup for Futures/Index Options (#5495)
2021-04-28 19:05:00 -03:00
IndexOptionCallOTMExpiryRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
IndexOptionPutITMExpiryRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
IndexOptionPutOTMExpiryRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
IndexOptionShortCallITMExpiryRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
IndexOptionShortCallOTMExpiryRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
IndexOptionShortPutITMExpiryRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
IndexOptionShortPutOTMExpiryRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
IndicatorSuiteAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
IndicatorWarmupAlgorithm.cs
…
InsightWeightingFrameworkAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
LeveragePrecedenceRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
LimitFillRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
LimitIfTouchedRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
LiquidETFUniverseFrameworkAlgorithm.cs
…
LiveFeaturesAlgorithm.cs
…
LongOnlyAlphaStreamAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
MACDTrendAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
MarginCallClosedMarketRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
MarginCallEventsAlgorithm.cs
…
MarginRemainingRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
MarketOnOpenOnCloseAlgorithm.cs
…
MaximumPortfolioDrawdownFrameworkAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
MeanVarianceOptimizationFrameworkAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
MovingAverageCrossAlgorithm.cs
…
MultipleSymbolConsolidationAlgorithm.cs
Remove Obsolete QCAlgorithm.OnEndOfDay() (#5441)
2021-04-07 13:39:49 -03:00
NamedArgumentsRegression.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
NoMarginCallExpectedRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
ObjectStoreExampleAlgorithm.cs
Adds Python Example of ObjectStoreExampleAlgorithm
2020-04-21 23:14:21 +01:00
OnEndOfDayAddDataRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
OnEndOfDayRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
OnOrderEventExceptionRegression.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
OpeningBreakoutAlgorithm.cs
Remove Obsolete QCAlgorithm.OnEndOfDay() (#5441)
2021-04-07 13:39:49 -03:00
OpenInterestFuturesRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
OptionAssignmentRegressionAlgorithm.cs
Use trades per period instead of days for capacity calculation (#5389)
2021-03-16 16:30:49 -07:00
OptionChainConsistencyRegressionAlgorithm.cs
Use trades per period instead of days for capacity calculation (#5389)
2021-03-16 16:30:49 -07:00
OptionChainedAndUniverseSelectionRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
OptionChainProviderAlgorithm.cs
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
2021-03-02 18:46:31 -03:00
OptionChainSubscriptionRemovalRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
OptionChainUniverseRemovalRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
OptionDataNullReferenceRegressionAlgorithm.cs
…
OptionDelistedDataRegressionAlgorithm.cs
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
2021-03-02 18:46:31 -03:00
OptionExerciseAssignRegressionAlgorithm.cs
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
2021-03-02 18:46:31 -03:00
OptionExpiryDateOnHolidayCase.cs
…
OptionOpenInterestRegressionAlgorithm.cs
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
2021-03-02 18:46:31 -03:00
OptionRenameRegressionAlgorithm.cs
Use trades per period instead of days for capacity calculation (#5389)
2021-03-16 16:30:49 -07:00
OptionsExpiredContractRegression.cs
Refactor of Auxiliary Data Filtering (#5485)
2021-04-19 11:10:47 -03:00
OptionSplitRegressionAlgorithm.cs
Use trades per period instead of days for capacity calculation (#5389)
2021-03-16 16:30:49 -07:00
OptionSymbolCanonicalRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
OptionTimeSliceRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
OrderImmutabilityRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
OrderSubmissionDataRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
OrderTicketDemoAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
ParameterizedAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
PortfolioOptimizationNumericsAlgorithm.cs
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PortfolioRebalanceOnCustomFuncRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
PortfolioRebalanceOnDateRulesRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
PortfolioRebalanceOnInsightChangesRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
PortfolioRebalanceOnSecurityChangesRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
ProcessSplitSymbolsRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
QuandlFuturesDataAlgorithm.cs
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QuandlImporterAlgorithm.cs
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QuantConnect.Algorithm.CSharp.csproj
Fix Lean Warnings V1 (#5408)
2021-03-22 11:08:48 -07:00
RawPricesCoarseUniverseAlgorithm.cs
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RawPricesUniverseRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
RegisterIndicatorRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
RegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
RegressionChannelAlgorithm.cs
Remove Obsolete QCAlgorithm.OnEndOfDay() (#5441)
2021-04-07 13:39:49 -03:00
RenkoConsolidatorAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
ResolutionSwitchingAlgorithm.cs
Address review - Remove SampleAssetPrices from IResultHandlers
2020-01-16 14:03:55 -08:00
RollingWindowAlgorithm.cs
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ScaledFillForwardDataRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
ScheduledEventsAlgorithm.cs
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ScheduledEventsOrderRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
ScheduledQueuingAlgorithm.cs
Inline some methods for performance (#4696)
2020-09-04 18:13:46 -03:00
ScheduledUniverseSelectionModelRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
SECReportDataAlgorithm.cs
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SectorExposureRiskFrameworkAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
SectorWeightingFrameworkAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
SetAccountCurrencyCashBuyingPowerModelRegressionAlgorithm.cs
Use trades per period instead of days for capacity calculation (#5389)
2021-03-16 16:30:49 -07:00
SetAccountCurrencySecurityMarginModelRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
SetCashOnDataRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
SetHoldingsFutureRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
SetHoldingsMarketOnOpenRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
SetHoldingsMultipleTargetsRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
ShortableProviderOrdersRejectedRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
SmaCrossUniverseSelectionAlgorithm.cs
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SmartInsiderDataAlgorithm.cs
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StandardDeviationExecutionModelRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
StartingCapitalRegressionAlgorithm.cs
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
2021-03-02 18:46:31 -03:00
StopLossOnOrderEventRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
StressSymbols.cs
Reuse symbol properties database for currency conversions (#4710)
2020-09-14 15:12:17 -03:00
StressSymbolsAlgorithm.cs
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StringToSymbolImplicitConversionRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
SwitchDataModeRegressionAlgorithm.cs
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
2021-03-02 18:46:31 -03:00
TickDataFilteringAlgorithm.cs
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TiingoPriceAlgorithm.cs
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TimeInForceAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
TimeRulesDefaultTimeZoneRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
TotalPortfolioValueRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
TradingEconomicsCalendarIndicatorAlgorithm.cs
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TrailingStopRiskFrameworkAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
TrainingExampleAlgorithm.cs
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TrainingInitializeRegressionAlgorithm.cs
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UniverseSelectionDefinitionsAlgorithm.cs
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UniverseSelectionRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
UniverseSelectionSymbolCacheRemovalRegressionTest.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
UniverseSharingSecurityDifferentSubscriptionRequestRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
UniverseSharingSubscriptionRequestRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
UniverseSharingSubscriptionTradableRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
UniverseUnchangedRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
UpdateOrderLiveTestAlgorithm.cs
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UpdateOrderRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
USEnergyInformationAdministrationAlgorithm.cs
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UserDefinedUniverseAlgorithm.cs
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USTreasuryYieldCurveDataAlgorithm.cs
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VolumeWeightedAveragePriceExecutionModelRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
WarmUpAfterInitializeRegression.cs
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
2021-03-02 18:46:31 -03:00
WarmupAlgorithm.cs
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WarmupConversionRatesRegressionAlgorithm.cs
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
2021-03-02 18:46:31 -03:00
WarmupHistoryAlgorithm.cs
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WarmupIndicatorRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
WeeklyUniverseSelectionRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
ZeroedBenchmarkRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00
ZeroFeeRegressionAlgorithm.cs
Updates SPY Market Data (#5493)
2021-04-19 13:31:01 -03:00