Martin-Molinero
7540af454c
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Respect warmup resolution given - The data feed will respect the warmup resolution given and override the resolution used by the algorithm when adding a subscription. Updating regression algorithm to keep previous statistics. Adding new regression algorithm asserting the desired behavior * Testing improvements - Add more unit tests and regresion test - Add missing data for crypto - Fix bug with FFed data crossing after the end time of the warmup request * Add more Warmup resolution regression algorithms - Adding more warmup resolution regression algorithms, using Settings.WarmupResolution and an option selection case * Add more warmup regression tests - Adding more warmup regression tests. - Will no longer skip universe selection subscriptions from warmup resolution enforcement. Updating regression algorithms data points * Fix bug with data rounding - Fix data rounding bug when warmup resolution is set to a different value than the original configuration. Updating regression algorithms to assert the expected behavior * Address reviews - Revert regression algorithms changes to use Resolution during warmup. Updating their stats. - Adding new regression algorithms asserting the behavior warming up using a timespan and no warmup resolution - Fix bug where data used to warmup the 'normal' enumerator will make it through into the warmup time span. Updating tests * Address reviews - Add missing comments, explaning warmup algorithms time span calculations. - Revert changes in existing `WarmupOptionTimeSpanRegressionAlgorithm` to reduce diff to minimum - Adding new warmup unit tests asseting algorithm warmup start time, for different combinations of bar count, timespan, resolution
97 lines
4.2 KiB
C#
97 lines
4.2 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using System;
|
|
using QuantConnect.Securities;
|
|
|
|
namespace QuantConnect.Interfaces
|
|
{
|
|
/// <summary>
|
|
/// User settings for the algorithm which can be changed in the <see cref="IAlgorithm.Initialize"/> method
|
|
/// </summary>
|
|
public interface IAlgorithmSettings
|
|
{
|
|
/// <summary>
|
|
/// True if should rebalance portfolio on security changes. True by default
|
|
/// </summary>
|
|
bool? RebalancePortfolioOnSecurityChanges { get; set; }
|
|
|
|
/// <summary>
|
|
/// True if should rebalance portfolio on new insights or expiration of insights. True by default
|
|
/// </summary>
|
|
bool? RebalancePortfolioOnInsightChanges { get; set; }
|
|
|
|
/// <summary>
|
|
/// The absolute maximum valid total portfolio value target percentage
|
|
/// </summary>
|
|
/// <remarks>This setting is currently being used to filter out undesired target percent values,
|
|
/// caused by the IPortfolioConstructionModel implementation being used.
|
|
/// For example rounding errors, math operations</remarks>
|
|
decimal MaxAbsolutePortfolioTargetPercentage { get; set; }
|
|
|
|
/// <summary>
|
|
/// The absolute minimum valid total portfolio value target percentage
|
|
/// </summary>
|
|
/// <remarks>This setting is currently being used to filter out undesired target percent values,
|
|
/// caused by the IPortfolioConstructionModel implementation being used.
|
|
/// For example rounding errors, math operations</remarks>
|
|
decimal MinAbsolutePortfolioTargetPercentage { get; set; }
|
|
|
|
/// <summary>
|
|
/// Configurable minimum order margin portfolio percentage to ignore bad orders, or orders with unrealistic sizes
|
|
/// </summary>
|
|
/// <remarks>Default minimum order size is $0 value</remarks>
|
|
decimal MinimumOrderMarginPortfolioPercentage { get; set; }
|
|
|
|
/// <summary>
|
|
/// Gets/sets the SetHoldings buffers value.
|
|
/// The buffer is used for orders not to be rejected due to volatility when using SetHoldings and CalculateOrderQuantity
|
|
/// </summary>
|
|
decimal FreePortfolioValue { get; set; }
|
|
|
|
/// <summary>
|
|
/// Gets/sets the SetHoldings buffers value percentage.
|
|
/// This percentage will be used to set the <see cref="FreePortfolioValue"/>
|
|
/// based on the <see cref="SecurityPortfolioManager.TotalPortfolioValue"/>
|
|
/// </summary>
|
|
decimal FreePortfolioValuePercentage { get; set; }
|
|
|
|
/// <summary>
|
|
/// Gets/sets if Liquidate() is enabled
|
|
/// </summary>
|
|
bool LiquidateEnabled { get; set; }
|
|
|
|
/// <summary>
|
|
/// Gets/sets the maximum number of concurrent market data subscriptions available
|
|
/// </summary>
|
|
/// <remarks>
|
|
/// All securities added with <see cref="IAlgorithm.AddSecurity"/> are counted as one,
|
|
/// with the exception of options and futures where every single contract in a chain counts as one.
|
|
/// </remarks>
|
|
int DataSubscriptionLimit { get; set; }
|
|
|
|
/// <summary>
|
|
/// Gets the minimum time span elapsed to consider a market fill price as stale (defaults to one hour)
|
|
/// </summary>
|
|
TimeSpan StalePriceTimeSpan { get; set; }
|
|
|
|
/// <summary>
|
|
/// The warmup resolution to use if any
|
|
/// </summary>
|
|
/// <remarks>This allows improving the warmup speed by setting it to a lower resolution than the one added in the algorithm</remarks>
|
|
Resolution? WarmupResolution { get; set; }
|
|
}
|
|
}
|