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Ricardo Andrés Marino Rojas da60daa60d
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Market profile indicator (#5891) 
* Create Market Profile indicator.

* - Requested changes in MarketProfile indicator made it.
- TimeProfile and VolumeProfile created and tested.
- tp_datatest.csv and vp_datatest.csv extracted from https://github.com/bfolkens/py-market-profile

* Final potential Market Profile Indicator.
All unit test made it and the indicator is passing all of them
Test cases made it with python library from GH issue

* Code styling request changes

* Minor suggestions

* Minor renaming tweaks

Co-authored-by: Martin-Molinero <martin@quantconnect.com>
2021-09-03 20:18:44 -03:00
..
equity/usa/shortable/testbrokerage
Implements Easy To Borrow Reality Modeling (WIP) (#5159)
2021-01-14 13:33:44 -08:00
00010101_05_example_psychsignal_testdata.csv
Address review
2019-07-09 17:46:15 -07:00
20151224_quote_american.zip
Adds ZipEntryNameSubscriptionFactory
2016-03-17 10:55:47 -04:00
aapl_chain.csv
Fixes inability to parse negative strike prices in SecurityIdentifier (#4953)
2020-11-30 15:45:36 -03:00
aapl_fine_fundamental.json
Add JSON deserialization test for FineFundamental
2018-05-07 21:43:11 +02:00
arms_data.txt
fixup data
2020-07-31 17:53:56 +03:00
CashTestingStrategy.csv
…
daily-stock-picker-backtest.csv
Updates Dropbox Algorithms
2020-02-12 23:58:03 +00:00
daily-stock-picker-live.csv
Updates Dropbox Algorithms
2020-02-12 23:58:03 +00:00
eurusd60_dem.txt
Adds DeM indicator (#5002)
2020-12-15 08:29:55 -03:00
eurusd_candle_patterns.txt
Adds test files for more patterns
2016-02-24 00:56:54 +01:00
ewz_candle_patterns.txt
Adds test files for more patterns
2016-02-24 00:56:54 +01:00
FillForwardBars.zip
Updates Equity Market Data (#5576)
2021-06-17 14:04:51 -03:00
frama.txt
Adds FRAMA external data testing
2016-05-26 11:27:28 +01:00
FuturesExpiryFunctionsTestData.xml
Indian stock markets support & Zerodha brokerage implementation (#4873)
2021-03-08 18:51:54 -03:00
fxVolumeDaily.csv
FXCM Forex Real volume and Transactions ToolBox Project (#1025)
2017-08-28 16:25:52 -04:00
fxVolumeHourly.csv
FXCM Forex Real volume and Transactions ToolBox Project (#1025)
2017-08-28 16:25:52 -04:00
fxVolumeMinute.csv
FXCM Forex Real volume and Transactions ToolBox Project (#1025)
2017-08-28 16:25:52 -04:00
gdax_accounts.txt
Adds remaining gdax rest methods and unit tests
2017-07-04 21:40:42 +01:00
gdax_fill.txt
GDAX Brokerage updates (#4635)
2020-09-09 16:18:10 -03:00
gdax_holding.txt
GDAX Brokerage updates (#4635)
2020-09-09 16:18:10 -03:00
gdax_openOrders.txt
Adds fees, Adds auth header
2017-07-06 21:11:46 +01:00
gdax_order.txt
GDAX Brokerage updates (#4635)
2020-09-09 16:18:10 -03:00
gdax_orderById.txt
Adds fees, Adds auth header
2017-07-06 21:11:46 +01:00
gdax_pollTick.txt
Adds usd conversion rate service
2017-09-12 14:30:26 +01:00
gdax_tick.txt
Adds gdax brokerage
2017-07-02 20:03:02 +01:00
gdax_ticker.txt
Changes gdax to ticker channel
2017-09-08 12:18:12 +01:00
multizip.zip
Adds Compression.Unzip overload supporting zip entry name
2016-03-17 09:47:45 -04:00
quandl_future_chris_cme_es1.csv
Add live QuandlFuture custom data test
2018-04-20 23:00:05 +02:00
quandl_future_chris_cme_es2.csv
Add live QuandlFuture custom data test
2018-04-20 23:00:05 +02:00
SampleMarketHoursDatabase.json
Add Early Closes in market hours database
2016-12-14 20:51:09 +01:00
spy_10_min.txt
…
spy_acceleration_bands_20_4.txt
Tests passed
2017-08-29 15:27:15 -03:00
spy_ad_osc.txt
Adds AccumulationDistribution and AccumulationDistributionOscillator indicators
2016-02-08 11:09:56 -05:00
spy_ad.txt
Adds AccumulationDistribution and AccumulationDistributionOscillator indicators
2016-02-08 11:09:56 -05:00
spy_alma.txt
ALMA and test implemented.
2017-05-02 10:42:01 -03:00
spy_ao.txt
Adds the Awesome Oscillator (#5005)
2020-12-11 20:46:07 -03:00
spy_apo.txt
Adds AbsolutePriceOscillator indicator (APO)
2016-03-23 20:53:08 +01:00
spy_aps.txt
Feature Augen Price Spike Indicator (#5713)
2021-07-09 20:07:15 -03:00
spy_arima.csv
Feature #5098 - Time Series Indicators (#5099)
2021-02-01 20:17:49 -03:00
spy_aroon_oscillator.txt
…
spy_asi.csv
Add Wilder Accumulative Swing Index (#5476)
2021-04-16 10:54:02 -03:00
spy_atr_wilder.txt
Adds unit test for AverageTrueRange with MovingAverageType.Wilders
2018-03-21 00:15:54 +00:00
spy_atr.txt
…
spy_bollinger_bands.txt
More Bollinger Indicators
2020-06-30 11:02:59 +03:00
spy_bop.txt
Adds Balance Of Power indicator
2016-02-04 12:57:18 -05:00
spy_candle_patterns.txt
Adds CandlestickPatternTests class with data file
2016-02-24 00:56:54 +01:00
spy_cmf.txt
Adds ChaikinMoneyFlow indicator (#4986)
2020-12-11 18:04:17 -03:00
spy_cmo.txt
Adds ChandeMomentumOscillator indicator
2016-02-08 11:10:39 -05:00
spy_coppock_curve.csv
Coppock Curve indicator implementation
2018-01-30 12:05:13 -03:00
spy_dema.txt
Adds DoubleExponentialMovingAverage indicator
2016-02-08 11:11:22 -05:00
spy_dpo.csv
DetrendedPriceOscillator indicator.
2017-10-11 09:56:57 -03:00
spy_emv.txt
Feature emv indicator addition (#4591)
2020-08-24 09:54:58 -03:00
spy_heikin_ashi.txt
Adds Heikin-Ashi indicator
2016-02-19 03:01:39 +01:00
spy_hma.txt
HullMovingAverage, tests and helper method implemented
2017-04-27 20:52:27 -03:00
spy_kama.txt
Adds Kaufman Adaptive Moving Average indicator (KAMA)
2016-03-07 23:22:37 +01:00
spy_logr14.txt
added test data and set file properties to copy to the bin directory if newer.
2015-08-27 00:40:49 -04:00
spy_mass_index_25.txt
Test passed
2017-09-01 14:40:26 -03:00
spy_max.txt
Adds new tests with data files for Minimum and Maximum indicators
2016-03-20 15:20:00 +01:00
spy_mfi.txt
…
spy_midpoint.txt
Adds MidPoint indicator (MIDPOINT)
2016-03-21 21:20:11 +01:00
spy_midprice.txt
Merge branch 'midprice-indicator' of https://github.com/StefanoRaggi/Lean into StefanoRaggi-trix-indicator
2016-03-22 11:14:54 -04:00
spy_min.txt
Adds new tests with data files for Minimum and Maximum indicators
2016-03-20 15:20:00 +01:00
spy_natr.txt
Adds Normalized Average True Range indicator (NATR)
2016-02-15 14:51:34 -05:00
spy_ohlcv.txt
…
spy_parabolic_SAR.txt
…
spy_pivot_pnt_hl.txt
Implements PivotPointsHighLow indicator + tests (#5352)
2021-05-24 11:09:07 -03:00
spy_ppo.txt
Adds PercentagePriceOscillator indicator (PPO)
2016-03-23 21:15:39 +01:00
spy_rdv.txt
Relative Daily Volume Indicator (#5747)
2021-07-28 18:02:34 -03:00
spy_rocr.txt
Adds RateOfChangeRatio indicator
2016-02-12 10:56:54 -05:00
spy_rvi.txt
Feature 4999 -- Adds RVI (#5041)
2021-01-08 11:11:00 -03:00
spy_si.csv
Add Wilder Accumulative Swing Index (#5476)
2021-04-16 10:54:02 -03:00
spy_sr.txt
Adds SharpeRatio indicator (#5348)
2021-03-11 13:35:08 -08:00
spy_stc.txt
Changed to intraday points, lots more data.
2020-07-28 14:34:08 -07:00
spy_swiss.txt
Add SWISS test data. Various fixes
2016-06-08 09:41:54 +01:00
spy_t3.txt
T3 volume factor now optional, also updated tests to use 0.7 default value
2016-02-13 13:14:00 +01:00
spy_tema.txt
Adds TripleExponentialMovingAverage indicator
2016-02-08 11:13:44 -05:00
spy_tr.txt
Adds TrueRange indicator
2016-02-08 11:10:38 -05:00
spy_trima.txt
Adds TriangularMovingAverage indicator
2016-02-08 11:09:55 -05:00
spy_trix.txt
Adds Trix indicator (TRIX)
2016-03-20 11:31:38 +01:00
spy_ultosc.txt
Adds Ultimate Oscillator indicator (ULTOSC)
2016-03-19 23:09:18 +01:00
spy_var.txt
Adds Variance indicator
2016-02-04 17:18:13 -05:00
spy_with_adx.txt
Refactors AverageDirectionalIndex and AverageDirectionalMovementIndexRating
2018-11-02 22:53:20 +00:00
spy_with_cci.txt
…
spy_with_don50.txt
Revert primary output of the Donchian Channel to be the mean of the upper and lower band
2015-06-05 08:10:03 +10:00
spy_with_fisher.txt
Fixes FishTransform Indicator
2019-05-13 17:57:08 +01:00
spy_with_ichimoku.csv
Minor corrections in Tests project
2017-03-02 21:48:36 -03:00
spy_with_ichimoku.ods
Added original .ods file for Ichimoku test data
2015-06-26 11:38:07 +08:00
spy_with_indicators.txt
Adds unit test for RelativeStrengthIndex with MovingAverageType.Wilders
2018-03-21 00:18:08 +00:00
spy_with_keltner.csv
Creates the Keltner Channel indicators with KCH short code
2015-09-14 16:44:24 -04:00
spy_with_macd.txt
Fixes MACD's Signal and Histogram warming up
2018-03-06 20:03:15 -03:00
spy_with_obv.txt
Fixed OnBalanceVolume indicator always returning zero
2015-12-19 23:07:03 +01:00
spy_with_roc50.txt
…
spy_with_rocp50.txt
…
spy_with_stoch12k3.txt
…
spy_with_vwap.txt
Adds VWAP indicator via WeightedBy indicator extension
2016-04-21 19:34:52 -03:00
spy_with_williamsR14.txt
…
stock_prices.csv
Changes NLTK Data Location and Adds mlfinlab Package
2019-11-12 22:30:04 +00:00
test_cash_equity.xml
…
test_cash_fills.xml
…
test_forex_equity.xml
Initial implementation of Margin and Portfolio models
2015-04-13 20:51:43 -04:00
test_forex_fills_jwb_quantity.xml
Initial implementation of Margin and Portfolio models
2015-04-13 20:51:43 -04:00
test_forex_fills_mch_quantity.xml
Initial implementation of Margin and Portfolio models
2015-04-13 20:51:43 -04:00
test_forex_fills.xml
Initial implementation of Margin and Portfolio models
2015-04-13 20:51:43 -04:00
tp_datatest.csv
Market profile indicator (#5891)
2021-09-03 20:18:44 -03:00
vp_datatest.csv
Market profile indicator (#5891)
2021-09-03 20:18:44 -03:00