quantconnect--lean

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Alexandre Catarino 58793acae8

Build & Test Lean / build (push) Has been cancelled

Removes Assets that Are Not Invested and Not Tradable From Capacity Calculations (#5515 )

* Add property for capacity. Remove unused variable

* Move SymbolCapacity and CapacityEstimate to common, passed through Symbol to runtime statistics

* Add null checks

* Remove uninvested and untradable assets from capacty calculations

* Add SymbolCapacity influential period

* Updates Regression Tests

- DelistingEventsAlgorithm
  - Allows additional contributions from delisted AAA.1

- DelistingFutureOptionRegressionAlgorithm
  - Removes DC01H12 contributions one month later

- FutureOptionBuySellCallIntradayRegressionAlgorithm
  - Allows additional contributions from future after expiry replacing the contribution of the next contract option

- DelistedFutureLiquidateRegressionAlgorithm
- FutureOptionCallITMExpiryRegressionAlgorithm
- FutureOptionCallITMGreeksExpiryRegressionAlgorithm
- FutureOptionPutITMExpiryRegressionAlgorithm
- FutureOptionShortCallITMExpiryRegressionAlgorithm
- FutureOptionShortPutITMExpiryRegressionAlgorithm
- FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm
  - Allows additional contributions from future after expiry

- FutureOptionCallOTMExpiryRegressionAlgorithm
- FutureOptionPutOTMExpiryRegressionAlgorithm
- FutureOptionShortPutOTMExpiryRegressionAlgorithm
- IndexOptionCallITMGreeksExpiryRegressionAlgorithm
- IndexOptionCallOTMExpiryRegressionAlgorithm
- IndexOptionShortCallOTMExpiryRegressionAlgorithm
  - Allows additional contributions from option after expiry

- MACDTrendAlgorithm
  - Removes contribution when SPY is not invested for over one month

- UniverseSelectionRegressionAlgorithm
  - Allows additional contributions from delisted GOOAV replacing GOOG (new symbols)

* Adds Lowest Capacity Asset to Regression Tests

* Normalize expected value -0, because -0 is also written to file if updated

* Write Symbol.Value for lowestCapacitySymbol or  empty string for empty Symbol

* Update Regressions

* Update 'Lowest Capacity Asset' to Symbol.ID

Co-authored-by: Jared Broad <jaredbroad@gmail.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
Co-authored-by: Colton Sellers <Colton.R.Sellers@gmail.com>

2021-05-13 20:25:19 -03:00

AlgorithmPerformance.cs

Fix AlgorithmPerformance property setters for JSON deserialization

2017-06-26 17:21:48 +02:00

FitnessScoreManager.cs

Address review

2019-06-06 20:28:54 -03:00

KellyCriterionManager.cs

Improve Error Message For Arithmetic Overflow In Decimal Cast of Double (#4728 )

2020-09-18 09:17:09 -03:00

PortfolioStatistics.cs

Fixes Double to Decimal Cast in GetAnnualPerformance (#5492 )