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Gerardo Salazar bd7be31ede Fixes inability to parse negative strike prices in SecurityIdentifier (#4953) 
* Fixes inability to parse negative strike prices in SecurityIdentifier

  * Adds new tests ensuring backwards compat and no throwing w/ negative
    strike prices

* Changes strategy used to support negative strike prices

  * We add support for negative strike prices at the cost of
    reducing the maximum allowed precision for the strike price.
    We encode a negative sign into the 20th bit of the strike price
    and set our bounds for precision to a max (exclusive) of 475712.
    This in turn is then used to form a negative strike when rebuilding
    the SID.

  * Adds tests covering changes

* Address review: adds additional tests and refactors code

* Address self-review: remove unused import in SymbolTests

* Address review: adds additional test cases for OptionStyle and OptionRight

  * These tests are to ensure that backwards compatibility is maintained

* Addresses review: Adds option chain <-> master SID hash test

  * Refactors previous tests to reduce on code duplication

* Reduce test duplication

Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
2020-11-30 15:45:36 -03:00
..
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
Consolidates transaction handlers to use the IBrokerage interface
2015-01-25 17:12:10 -03:00
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
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
Revert "Revert "Fix market open missing FillForward bar""
2020-05-08 12:46:02 -03:00
frama.txt
Adds FRAMA external data testing
2016-05-26 11:27:28 +01:00
FredVixData.json
Add test for FredApi
2019-10-19 09:15:59 -03:00
FuturesExpiryFunctionsTestData.xml
Add future contracts for NK, IN, TW and HSI
2020-06-29 17:35:40 +01:00
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
sec_report_raw_multiple.xml
Add unit tests to cover changes
2019-06-19 10:08:27 -07:00
sec_report_raw_single.xml
Add unit tests to cover changes
2019-06-19 10:08:27 -07:00
spy_10_min.txt
Adds initial impl of RenkoConsolidator
2015-03-28 17:21:30 -04:00
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_apo.txt
Adds AbsolutePriceOscillator indicator (APO)
2016-03-23 20:53:08 +01:00
spy_aroon_oscillator.txt
Initial commit
2015-01-12 12:03:33 -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
Added test data for proposed new indicators
2015-01-12 15:37:21 -03:00
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_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
Add sum indicator and use it for the SMA and MFI. Add left and right Reset for CompositeIndicator Reset with test. Reset sum on SMA reset with test. Update test helper to parse for Volume. Update test data for MFI to include volume.
2015-03-09 22:47:37 -04:00
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
Hooks up BrokerageSetupHandler to initialize algo from brokerage-setup-handler
2015-02-21 15:10:55 -05:00
spy_parabolic_SAR.txt
Added test data for proposed new indicators
2015-01-12 15:37:21 -03:00
spy_ppo.txt
Adds PercentagePriceOscillator indicator (PPO)
2016-03-23 21:15:39 +01:00
spy_rocr.txt
Adds RateOfChangeRatio indicator
2016-02-12 10:56:54 -05:00
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
Added test data for proposed new indicators
2015-01-12 15:37:21 -03:00
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
Additional test data for new indicators
2015-03-11 17:16:03 -05:00
spy_with_rocp50.txt
Additional test data for new indicators
2015-03-11 17:16:03 -05:00
spy_with_stoch12k3.txt
Additional test data for new indicators
2015-03-11 17:16:03 -05:00
spy_with_vwap.txt
Adds VWAP indicator via WeightedBy indicator extension
2016-04-21 19:34:52 -03:00
spy_with_williamsR14.txt
Additional test data for new indicators
2015-03-11 17:16:03 -05:00
stock_prices.csv
Changes NLTK Data Location and Adds mlfinlab Package
2019-11-12 22:30:04 +00:00
test_cash_equity.xml
Adds unit test modeling the test_cash algo
2015-04-02 18:53:03 -04:00
test_cash_fills.xml
Adds unit test modeling the test_cash algo
2015-04-02 18:53:03 -04:00
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