Will Tindall 9cfd8b7403 Implement Risk Metrics: Value At Risk (#7757) ...

* Implement VaR in PortfolioStatistics

* Added ValueAtRisk indicator

* Refactored ValueAtRiskTests

* Added returns column to test data

* Change indicator helper method name

* Addressed comments

2024-02-26 11:02:20 -03:00

..

Algorithm/Framework

Fix bugs related with Culture Format (#7626)

2023-12-15 15:58:21 -03:00

Api

Backtest self-categorization (#7683)

2024-01-30 14:59:08 -03:00

Benchmarks

Move small namespaces' messages to 'Messages' folder (#6930)

2023-02-09 19:17:40 -03:00

Brokerages

Stop support of MOC orders for Options in IB Brokerage Model (#7725)

2024-01-29 12:53:23 -03:00

Commands

Move small namespaces' messages to 'Messages' folder (#6930)

2023-02-09 19:17:40 -03:00

Data

Add null check for history in lean data writer (#7814)

2024-02-23 15:45:35 -03:00

Exceptions

Add Pythonnet's ClrBubbledException interpreter (#7523)

2023-10-20 11:26:47 -03:00

Indicators

Indicators history rolling window (#7314)

2023-06-13 15:07:09 -03:00

Interfaces

Backtest self-categorization (#7683)

2024-01-30 14:59:08 -03:00

Messages

Fix currency formatting (#7723)

2024-01-25 12:20:05 -03:00

Notifications

Move Notifications, Optimizer and Python namespaces' messages to Messages folder (#6931)

2023-02-09 19:23:39 -03:00

Optimizer

Minor optimizer improvement (#7179)

2023-04-12 15:35:54 -03:00

Orders

Add obsolete flag (#7768)

2024-02-07 17:50:03 -03:00

Packets

Portfolio margin chart (#7719)

2024-02-01 12:43:08 -03:00

Parameters

Fix Warnings V2 (#5436)

2021-04-02 11:20:01 -07:00

Properties

Remove all nuspec files (#5311)

2021-02-18 17:13:11 -03:00

Python

Delayed Settlement Cash Not Freed for Removed Assets (#7727)

2024-02-05 15:12:51 -03:00

Scheduling

Modernization of syntax used in argument check exceptions (#7380)

2023-07-17 14:53:17 -03:00

Securities

Consolidate Configuration.Get usages (#7796)

2024-02-20 13:37:22 -03:00

Statistics

Implement Risk Metrics: Value At Risk (#7757)

2024-02-26 11:02:20 -03:00

Storage

Object Store Improvements (#6605)

2022-08-31 20:50:00 -03:00

Util

Dynamically setup brokerage history provider wrapper (#7802)

2024-02-21 12:03:31 -03:00

AlgorithmConfiguration.cs

Fix tags deserialization (#7736)

2024-01-30 19:50:11 -03:00

AlgorithmImports.py

Add missing constructor in OptionChainedUniverseSelectionModel (#7741)

2024-02-05 15:56:29 -03:00

AlgorithmSettings.cs

Flexible trading days per year property (#7690)

2024-01-17 14:45:57 -03:00

BaseSeries.cs

Minor chart improvements (#7744)

2024-02-02 17:27:37 -03:00

BinaryComparison.cs

Add OptionStrategyMatcher (#4924)

2020-12-02 18:42:24 -03:00

BinaryComparisonExtensions.cs

Add OptionStrategyMatcher (#4924)

2020-12-02 18:42:24 -03:00

Candlestick.cs

Add support for null chart points (#7622)

2023-12-12 20:26:58 -03:00

CandlestickSeries.cs

Minor chart improvements (#7744)

2024-02-02 17:27:37 -03:00

CapacityEstimate.cs

Round Capacity Estimate for Runtime Statistics (#5688)

2021-06-21 21:06:09 -03:00

Chart.cs

Minor chart improvements (#7744)

2024-02-02 17:27:37 -03:00

ChartPoint.cs

Fix scatter chart point serialization (#7772)

2024-02-08 15:36:38 -03:00

ChartSeriesJsonConverter.cs

Minor chart improvements (#7744)

2024-02-02 17:27:37 -03:00

Currencies.cs

Fix currency formatting (#7723)

2024-01-25 12:20:05 -03:00

DataDownloaderGetParameters.cs

Add tick type to data downloader get (price data) call in order for a… (#6057)

2021-11-22 12:00:16 -03:00

DataMonitorReport.cs

Data monitor (#6725)

2022-11-09 17:38:34 -03:00

DataProviderEvents.cs

DividedEventProvider distribution computation (#4828)

2020-11-11 15:47:51 -03:00

DefaultConverter.cs

Minor chart improvements (#7744)

2024-02-02 17:27:37 -03:00

DocumentationAttribute.cs

Add file and line number to documentation attribute (#6122)

2021-12-20 17:30:04 -08:00

Exchange.cs

Add missing exchanges (#7011)

2023-02-24 16:31:51 -03:00

Expiry.cs

Fixes Expiry.EndOfMonth and Expiry.EndOfYear Methods

2020-04-02 02:35:47 +01:00

ExtendedDictionary.cs

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

Extensions.cs

Handle DivisionByZero exception in indicators (#7788)

2024-02-19 16:02:51 -03:00

Field.cs

Allow field selectors to be used with QuoteBars

2017-04-12 12:46:22 +02:00

Global.cs

Merge branches 7501 and 7506 (#7605)

2023-12-04 18:09:57 -03:00

Globals.cs

Consolidate Configuration.Get usages (#7796)

2024-02-20 13:37:22 -03:00

IDataDownloader.cs

Add tick type to data downloader get (price data) call in order for a… (#6057)

2021-11-22 12:00:16 -03:00

IIsolatorLimitResultProvider.cs

Properly handle events raised in ScheduledEvents

2019-10-19 14:52:34 -04:00

ISeriesPoint.cs

Candlestick charts (#7425)

2023-08-08 17:52:46 -03:00

Isolator.cs

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

IsolatorLimitResult.cs

Refactors scheduled events to execute on main thread

2019-10-19 14:52:34 -04:00

IsolatorLimitResultProvider.cs

Refactor IsolatorLimitResultProvider

2020-03-02 18:23:20 -03:00

ITimeProvider.cs

Move ITimeProvider and RealTimeProvider to Common

2019-10-19 01:52:07 -04:00

LocalTimeKeeper.cs

Remove usage of Lazy<DateTime> in LocalTimeKeeper

2017-12-29 01:12:58 +01:00

Market.cs

feat: gdax -> coinbase (#7633)

2024-01-05 16:57:19 -03:00

OS.cs

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

PandasMapper.py

Pandas Mapper Recursion Bug Fix (#5848)

2021-08-10 20:32:09 -03:00

Parse.cs

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

QuantConnect.csproj

Bump pythonnet version to 2.0.26 (#7616)

2023-12-08 13:38:39 -04:00

RealTimeProvider.cs

Defines ITokenBucket and a LeakyBucket implementation

2019-10-19 01:52:07 -04:00

RealTimeSynchronizedTimer.cs

Update all LEAN threads to be Background threads

2017-06-28 21:02:59 +02:00

Result.cs

Portfolio margin chart (#7719)

2024-02-01 12:43:08 -03:00

ScatterChartPoint.cs

Fix scatter chart point serialization (#7772)

2024-02-08 15:36:38 -03:00

ScatterChartPointJsonConverter.cs

Fix scatter chart point serialization (#7772)

2024-02-08 15:36:38 -03:00

SecurityIdentifier.cs

Consolidate Configuration.Get usages (#7796)

2024-02-20 13:37:22 -03:00

Series.cs

Fix scatter chart point serialization (#7772)

2024-02-08 15:36:38 -03:00

SeriesSampler.cs

Portfolio margin chart (#7719)

2024-02-01 12:43:08 -03:00

StringExtensions.cs

Backtest self-categorization (#7683)

2024-01-30 14:59:08 -03:00

Symbol.cs

New Fundamental Data (#7490)

2023-10-25 15:47:42 -03:00

SymbolCache.cs

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

SymbolCapacity.cs

Make continuous future untradable (#6252)

2022-03-14 14:23:26 -03:00

SymbolJsonConverter.cs

SymbolJsonConverter improvements (#5683)

2021-06-21 21:02:46 -03:00

SymbolRepresentation.cs

Future SymbolRepresentation Future Parsing (#7695)

2024-01-15 20:54:10 -03:00

SymbolValueJsonConverter.cs

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

Time.cs

New Fundamental Data (#7490)

2023-10-25 15:47:42 -03:00

TimeKeeper.cs

Refactor alpha statistics phase I (#7055)

2023-03-10 13:12:23 -03:00

TimeUpdatedEventArgs.cs

…

TimeZoneOffsetProvider.cs

Add note for TimeZoneOffsetProvider StartTime (#5469)

2021-04-08 18:00:17 -03:00

TimeZones.cs

Indian stock markets support & Zerodha brokerage implementation (#4873)

2021-03-08 18:51:54 -03:00

TradingCalendar.cs

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

TradingDay.cs

Update enum values in comments (#6460)

2022-07-05 10:29:28 -03:00