Tags: scanfyu/Lean
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Fixes for OpenInterest storing (QuantConnect#4712) - Fix Slice.Get OpenInterest type. Adding unit test - Fix for SecurityCache that wasn't storing OpenInterest types - Updateing regression tests to covere these usages
Bitfinex Brokerage updates (QuantConnect#4584) * Upgrade Bitfinex brokerage to API v2 * Fix rebase * Address review - use te instead of tu messages for trades - add missing orderMap removals - ClientOrderId is now time-based instead of a counter - minor cleanup * Trigger build
Update PythonPackagesTests.cs (QuantConnect#4673) * Update PythonPackagesTests.cs Detecting issues related to https://stackoverflow.com/questions/56957512/pythonnet-missing-addreference-method, which has shown up for me when using lean (https://www.quantconnect.com/forum/discussion/9054/lean-vagrant-box/p1). * Update PythonPackagesTests.cs Named test * Name change of MonoTest to SanityClrInstallation Name suggestion by @Martin-Molinero * Fix minor typo Co-authored-by: Martin-Molinero <martin@quantconnect.com>
Bug Backtesting Brokerage Clones (QuantConnect#4644) * fix order updates * Fix option exercise issue * Regression changes * Update regressions to reflect fixes * Refactor handling of order to fully fix QuantConnect#2846 * Regression Algorithm for unit test * Pre review * Fix breaking tests * OrderImmutability Regression Algo * OrderImmutability Regression Algo Compile * Address review * Update regressions with new orderhash
Bug 4031 Change data depending on configuration (QuantConnect#4650) * Calculate both raw and adjuasted prices for backtesting * disable second price factoring * move and reuse method * test coverage for new methods * reuse scaling method * reuse subscriptionData.Create method * removed unused code * regression test * switch to aapl * fix regression test output * more asserts * fix comments - reduce shortcuts and abbrevation * more comments * merge parameters * reduce number of getting price factors * fix tests * fix tests * fix regression tests * calculate TotalReturn on demand * include TotalReturn calculations * perf tuning * more unit tests for SubscriptionData.Create * simplify things - store and return only raw and precalculated data * fix regression tests; change it back * factor equals 1 for Raw data * small changes * follow code style * implement backward compatibility
GDAX Brokerage updates (QuantConnect#4635) * GDAX Brokerage updates - Replaced fill detection from trade stream with monitor task - Order fees for fills are now the real fees paid (previously they were calculated by the brokerage model) - All unit and integration tests are green * Address review - Remove unnecessary signals - Add "gdax-fill-monitor-timeout" config setting * Remove user channel
Alpaca Brokerage updates (part 2) (QuantConnect#4601) * Remove IDataQueueHandler from AlpacaBrokerage - a new IDataQueueHandler implementation for Polygon.io will be added to the ToolBox * Fix Alpaca Websocket connect not waiting for completion * Add security type check in Alpaca history * Fix merge * Remove aggregator from AlpacaBrokerage
Fix duplicated history entries when contains daylight saving time cha… …nge (QuantConnect#4700) * regression test * fix * add comments * more humanic implementation * unit tests * more comments
Revert live trading config IDQH over job packet (QuantConnect#4705)
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