diff --git a/.github/workflows/research-regression-tests.yml b/.github/workflows/research-regression-tests.yml index e4cf0f7497db..b13d6e6065b6 100644 --- a/.github/workflows/research-regression-tests.yml +++ b/.github/workflows/research-regression-tests.yml @@ -28,9 +28,9 @@ jobs: shell: bash run: | # install dependencies - pip3 install papermill==2.4.0 clr-loader==0.1.6 + pip3 install papermill==2.4.0 clr-loader==0.2.9 # install kernel - dotnet tool install --global Microsoft.dotnet-interactive --version 1.0.607001 + dotnet tool install -g --no-cache --version 1.0.661703 --add-source "https://pkgs.dev.azure.com/dnceng/public/_packaging/dotnet-tools/nuget/v3/index.json" Microsoft.dotnet-interactive # Add dotnet tools to Path export PATH="$HOME/.dotnet/tools:$PATH" # activate kernel for jupyter diff --git a/Algorithm.CSharp/AddAndRemoveOptionContractRegressionAlgorithm.cs b/Algorithm.CSharp/AddAndRemoveOptionContractRegressionAlgorithm.cs index 452439dc65ed..77e9bb89f315 100644 --- a/Algorithm.CSharp/AddAndRemoveOptionContractRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AddAndRemoveOptionContractRegressionAlgorithm.cs @@ -87,7 +87,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 24; + public long DataPoints => 26; /// /// Data Points count of the algorithm history diff --git a/Algorithm.CSharp/AddAndRemoveSecuritySameLoopRegressionAlgorithm.cs b/Algorithm.CSharp/AddAndRemoveSecuritySameLoopRegressionAlgorithm.cs index 2c864924deee..017718215175 100644 --- a/Algorithm.CSharp/AddAndRemoveSecuritySameLoopRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AddAndRemoveSecuritySameLoopRegressionAlgorithm.cs @@ -82,7 +82,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 24; + public long DataPoints => 25; /// /// Data Points count of the algorithm history diff --git a/Algorithm.CSharp/AddBetaIndicatorNewAssetsRegressionAlgorithm.cs b/Algorithm.CSharp/AddBetaIndicatorNewAssetsRegressionAlgorithm.cs index f9020dfd7406..213ab2824913 100644 --- a/Algorithm.CSharp/AddBetaIndicatorNewAssetsRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AddBetaIndicatorNewAssetsRegressionAlgorithm.cs @@ -1,11 +1,11 @@ /* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. - * - * Licensed under the Apache License, Version 2.0 (the "License"); + * + * Licensed under the Apache License, Version 2.0 (the "License"); * you may not use this file except in compliance with the License. * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 - * + * * Unless required by applicable law or agreed to in writing, software * distributed under the License is distributed on an "AS IS" BASIS, * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. @@ -107,7 +107,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 77; + public int AlgorithmHistoryDataPoints => 26; /// /// Final status of the algorithm @@ -122,18 +122,18 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Total Orders", "436"}, {"Average Win", "0.28%"}, {"Average Loss", "-0.01%"}, - {"Compounding Annual Return", "1.926%"}, + {"Compounding Annual Return", "1.925%"}, {"Drawdown", "1.000%"}, - {"Expectancy", "1.650"}, + {"Expectancy", "1.649"}, {"Start Equity", "10000.00"}, - {"End Equity", "10411.11"}, - {"Net Profit", "4.111%"}, + {"End Equity", "10410.99"}, + {"Net Profit", "4.110%"}, {"Sharpe Ratio", "0.332"}, {"Sortino Ratio", "0.313"}, {"Probabilistic Sharpe Ratio", "74.084%"}, {"Loss Rate", "90%"}, {"Win Rate", "10%"}, - {"Profit-Loss Ratio", "25.26"}, + {"Profit-Loss Ratio", "25.25"}, {"Alpha", "0.003"}, {"Beta", "0.001"}, {"Annual Standard Deviation", "0.01"}, @@ -146,7 +146,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Lowest Capacity Asset", "BTCUSD 2XR"}, {"Portfolio Turnover", "2.22%"}, {"Drawdown Recovery", "139"}, - {"OrderListHash", "9fce77ef8817cf0159897fc64d01f5e9"} + {"OrderListHash", "896ecc92440d51ed26644aac5b8706e4"} }; } } diff --git a/Algorithm.CSharp/AddFutureContractWithContinuousRegressionAlgorithm.cs b/Algorithm.CSharp/AddFutureContractWithContinuousRegressionAlgorithm.cs index 5bd61eecd005..4267b57aefcf 100644 --- a/Algorithm.CSharp/AddFutureContractWithContinuousRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AddFutureContractWithContinuousRegressionAlgorithm.cs @@ -132,34 +132,34 @@ public override void OnSecuritiesChanged(SecurityChanges changes) /// public Dictionary ExpectedStatistics => new Dictionary { - {"Total Orders", "3"}, + {"Total Orders", "4"}, {"Average Win", "0%"}, - {"Average Loss", "-0.03%"}, - {"Compounding Annual Return", "-2.594%"}, - {"Drawdown", "0.000%"}, + {"Average Loss", "-0.10%"}, + {"Compounding Annual Return", "-14.232%"}, + {"Drawdown", "0.200%"}, {"Expectancy", "-1"}, {"Start Equity", "100000"}, - {"End Equity", "99966.4"}, - {"Net Profit", "-0.034%"}, - {"Sharpe Ratio", "-10.666"}, + {"End Equity", "99803.9"}, + {"Net Profit", "-0.196%"}, + {"Sharpe Ratio", "-7.95"}, {"Sortino Ratio", "0"}, {"Probabilistic Sharpe Ratio", "1.216%"}, {"Loss Rate", "100%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, - {"Alpha", "-0.029"}, - {"Beta", "0.004"}, - {"Annual Standard Deviation", "0.003"}, + {"Alpha", "-0.128"}, + {"Beta", "0.026"}, + {"Annual Standard Deviation", "0.016"}, {"Annual Variance", "0"}, - {"Information Ratio", "-0.768"}, - {"Tracking Error", "0.241"}, - {"Treynor Ratio", "-6.368"}, + {"Information Ratio", "-1.186"}, + {"Tracking Error", "0.237"}, + {"Treynor Ratio", "-4.747"}, {"Total Fees", "$8.60"}, - {"Estimated Strategy Capacity", "$5500000.00"}, - {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"}, - {"Portfolio Turnover", "66.80%"}, + {"Estimated Strategy Capacity", "$2000.00"}, + {"Lowest Capacity Asset", "ES VU1EHIDJYLMP"}, + {"Portfolio Turnover", "66.50%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "39f1e15c27212d8fdd58aeb7fb2b93cc"} + {"OrderListHash", "4720516462fcabb4db1aead46051cb4a"} }; } } diff --git a/Algorithm.CSharp/AddFutureOptionContractFromFutureChainRegressionAlgorithm.cs b/Algorithm.CSharp/AddFutureOptionContractFromFutureChainRegressionAlgorithm.cs index c27639ebe074..68c7554e0b68 100644 --- a/Algorithm.CSharp/AddFutureOptionContractFromFutureChainRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AddFutureOptionContractFromFutureChainRegressionAlgorithm.cs @@ -134,10 +134,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "68696.045"}, {"Total Fees", "$35.70"}, {"Estimated Strategy Capacity", "$2600000.00"}, - {"Lowest Capacity Asset", "ES 31C3JQS9D84PW|ES XCZJLC9NOB29"}, + {"Lowest Capacity Asset", "ES 31C3JQS9DCF1G|ES XCZJLC9NOB29"}, {"Portfolio Turnover", "495.15%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "85257286f088992d599c1ad0799a6237"} + {"OrderListHash", "af830085995d0b8fa0d33a6e80dd1241"} }; } } diff --git a/Algorithm.CSharp/AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm.cs b/Algorithm.CSharp/AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm.cs index 0add96b829d3..feae130a33c6 100644 --- a/Algorithm.CSharp/AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm.cs @@ -240,31 +240,31 @@ public override void OnEndOfAlgorithm() {"Total Orders", "2"}, {"Average Win", "0%"}, {"Average Loss", "0%"}, - {"Compounding Annual Return", "309.669%"}, - {"Drawdown", "0.900%"}, + {"Compounding Annual Return", "430.834%"}, + {"Drawdown", "4.200%"}, {"Expectancy", "0"}, {"Start Equity", "100000"}, - {"End Equity", "101950.53"}, - {"Net Profit", "1.951%"}, - {"Sharpe Ratio", "15.402"}, + {"End Equity", "102313.03"}, + {"Net Profit", "2.313%"}, + {"Sharpe Ratio", "17.721"}, {"Sortino Ratio", "0"}, {"Probabilistic Sharpe Ratio", "95.977%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, - {"Alpha", "1.886"}, - {"Beta", "1.066"}, - {"Annual Standard Deviation", "0.155"}, - {"Annual Variance", "0.024"}, - {"Information Ratio", "13.528"}, - {"Tracking Error", "0.142"}, - {"Treynor Ratio", "2.237"}, + {"Alpha", "2.663"}, + {"Beta", "1.264"}, + {"Annual Standard Deviation", "0.184"}, + {"Annual Variance", "0.034"}, + {"Information Ratio", "16.514"}, + {"Tracking Error", "0.169"}, + {"Treynor Ratio", "2.574"}, {"Total Fees", "$3.57"}, - {"Estimated Strategy Capacity", "$760000.00"}, - {"Lowest Capacity Asset", "ES XCZJLDQX2SRO|ES XCZJLC9NOB29"}, - {"Portfolio Turnover", "32.31%"}, + {"Estimated Strategy Capacity", "$28000000.00"}, + {"Lowest Capacity Asset", "ES XCZJLCA62LNO|ES XCZJLC9NOB29"}, + {"Portfolio Turnover", "33.84%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "7a04f66a30d793bf187c2695781ad3ee"} + {"OrderListHash", "7c82013ecabca41591e0253a477025dd"} }; } } diff --git a/Algorithm.CSharp/AddOptionContractExpiresRegressionAlgorithm.cs b/Algorithm.CSharp/AddOptionContractExpiresRegressionAlgorithm.cs index 2de16c4662d0..7b3cd2e256d5 100644 --- a/Algorithm.CSharp/AddOptionContractExpiresRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AddOptionContractExpiresRegressionAlgorithm.cs @@ -117,7 +117,7 @@ public override void OnData(Slice slice) /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 37597; + public long DataPoints => 37598; /// /// Data Points count of the algorithm history @@ -158,10 +158,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "2.01"}, {"Total Fees", "$2.00"}, {"Estimated Strategy Capacity", "$5700000.00"}, - {"Lowest Capacity Asset", "AOL VRKS95ENLBYE|AOL R735QTJ8XC9X"}, + {"Lowest Capacity Asset", "AOL VRKS95ENPM9Y|AOL R735QTJ8XC9X"}, {"Portfolio Turnover", "0.55%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "fc5ab25181a01ca5ce39212f60eb0ecd"} + {"OrderListHash", "d314aef81752b6583fd58f9e49054cd4"} }; } } diff --git a/Algorithm.CSharp/AddOptionContractFromUniverseRegressionAlgorithm.cs b/Algorithm.CSharp/AddOptionContractFromUniverseRegressionAlgorithm.cs index b4f121be3a51..deca83e88107 100644 --- a/Algorithm.CSharp/AddOptionContractFromUniverseRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AddOptionContractFromUniverseRegressionAlgorithm.cs @@ -169,7 +169,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 5798; + public long DataPoints => 5800; /// /// Data Points count of the algorithm history @@ -210,10 +210,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "0.335"}, {"Total Fees", "$2.00"}, {"Estimated Strategy Capacity", "$2800000.00"}, - {"Lowest Capacity Asset", "AOL VRKS95ENLBYE|AOL R735QTJ8XC9X"}, + {"Lowest Capacity Asset", "AOL VRKS95ENPM9Y|AOL R735QTJ8XC9X"}, {"Portfolio Turnover", "1.14%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "90aa4bf345a6ba5ea2b0b14e32d1598f"} + {"OrderListHash", "e33b98d8e94ed92d0441fc6fe0d461fb"} }; } } diff --git a/Algorithm.CSharp/AddOptionContractTwiceRegressionAlgorithm.cs b/Algorithm.CSharp/AddOptionContractTwiceRegressionAlgorithm.cs index 5454bfde232f..15fec4905e3d 100644 --- a/Algorithm.CSharp/AddOptionContractTwiceRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AddOptionContractTwiceRegressionAlgorithm.cs @@ -116,7 +116,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 3814; + public long DataPoints => 3818; /// /// Data Points count of the algorithm history @@ -157,10 +157,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "0"}, {"Total Fees", "$2.00"}, {"Estimated Strategy Capacity", "$5000000.00"}, - {"Lowest Capacity Asset", "AAPL VXBK4R62CXGM|AAPL R735QTJ8XC9X"}, + {"Lowest Capacity Asset", "AAPL VXBK4R62H7S6|AAPL R735QTJ8XC9X"}, {"Portfolio Turnover", "22.70%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "29fd1b75f6db05dd823a6db7e8bd90a9"} + {"OrderListHash", "71511e4929377cd55fbf5e7e9555c248"} }; } } diff --git a/Algorithm.CSharp/AddOptionUniverseSelectionModelRegressionAlgorithm.cs b/Algorithm.CSharp/AddOptionUniverseSelectionModelRegressionAlgorithm.cs index a38ef57cad4b..06dedcaa057a 100644 --- a/Algorithm.CSharp/AddOptionUniverseSelectionModelRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AddOptionUniverseSelectionModelRegressionAlgorithm.cs @@ -96,7 +96,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 1658167; + public long DataPoints => 2349547; /// /// Data Points count of the algorithm history diff --git a/Algorithm.CSharp/AddRemoveOptionUniverseRegressionAlgorithm.cs b/Algorithm.CSharp/AddRemoveOptionUniverseRegressionAlgorithm.cs index e056c3329ecd..d10fb7f61d80 100644 --- a/Algorithm.CSharp/AddRemoveOptionUniverseRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AddRemoveOptionUniverseRegressionAlgorithm.cs @@ -246,10 +246,10 @@ public override void OnSecuritiesChanged(SecurityChanges changes) {"Treynor Ratio", "0"}, {"Total Fees", "$6.00"}, {"Estimated Strategy Capacity", "$4000.00"}, - {"Lowest Capacity Asset", "GOOCV 305RBQ2BZBZT2|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 305RBQ2BZGA4M|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "2.58%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "12037c87de17d6e62eadd99c70a0685e"} + {"OrderListHash", "f418de0673fc166487daf80991dfe3a0"} }; } } diff --git a/Algorithm.CSharp/AddRemoveSecurityCacheRegressionAlgorithm.cs b/Algorithm.CSharp/AddRemoveSecurityCacheRegressionAlgorithm.cs index ed9084e175a0..673e7081c3f5 100644 --- a/Algorithm.CSharp/AddRemoveSecurityCacheRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AddRemoveSecurityCacheRegressionAlgorithm.cs @@ -83,7 +83,7 @@ public override void OnData(Slice slice) /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 11202; + public long DataPoints => 15042; /// /// Data Points count of the algorithm history diff --git a/Algorithm.CSharp/AddRemoveSecurityRegressionAlgorithm.cs b/Algorithm.CSharp/AddRemoveSecurityRegressionAlgorithm.cs index b76f3478181b..ecb9cbd519b1 100644 --- a/Algorithm.CSharp/AddRemoveSecurityRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AddRemoveSecurityRegressionAlgorithm.cs @@ -110,7 +110,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 7063; + public long DataPoints => 7065; /// /// Data Points count of the algorithm history diff --git a/Algorithm.CSharp/AddTwoAndRemoveOneOptionContractRegressionAlgorithm.cs b/Algorithm.CSharp/AddTwoAndRemoveOneOptionContractRegressionAlgorithm.cs index 0f6a0d0af28e..7d1807b35b3c 100644 --- a/Algorithm.CSharp/AddTwoAndRemoveOneOptionContractRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AddTwoAndRemoveOneOptionContractRegressionAlgorithm.cs @@ -101,7 +101,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 1578; + public long DataPoints => 1579; /// /// Data Points count of the algorithm history @@ -142,10 +142,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "0"}, {"Total Fees", "$2.00"}, {"Estimated Strategy Capacity", "$6200000.00"}, - {"Lowest Capacity Asset", "AAPL VXBK4QA5EM92|AAPL R735QTJ8XC9X"}, + {"Lowest Capacity Asset", "AAPL VXBK4QA5IWKM|AAPL R735QTJ8XC9X"}, {"Portfolio Turnover", "90.27%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "a111609c2c64554268539b5798e5b31f"} + {"OrderListHash", "a332b93ff5e2dfe89258c450a64c7125"} }; } } diff --git a/Algorithm.CSharp/AutomaticIndicatorWarmupDataTypeRegressionAlgorithm.cs b/Algorithm.CSharp/AutomaticIndicatorWarmupDataTypeRegressionAlgorithm.cs index d6eddc5c1a6f..f6633f164a02 100644 --- a/Algorithm.CSharp/AutomaticIndicatorWarmupDataTypeRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AutomaticIndicatorWarmupDataTypeRegressionAlgorithm.cs @@ -38,7 +38,7 @@ public override void Initialize() SetEndDate(2013, 10, 10); var SP500 = QuantConnect.Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME); - _symbol = FuturesChain(SP500).First(); + _symbol = FuturesChain(SP500).OrderBy(x => x.Symbol.ID.Date).First(); // Test case: custom IndicatorBase indicator using Future unsubscribed symbol var indicator1 = new CustomIndicator(); diff --git a/Algorithm.CSharp/AutomaticSeedBaseRegressionAlgorithm.cs b/Algorithm.CSharp/AutomaticSeedBaseRegressionAlgorithm.cs new file mode 100644 index 000000000000..a39b4c19f68e --- /dev/null +++ b/Algorithm.CSharp/AutomaticSeedBaseRegressionAlgorithm.cs @@ -0,0 +1,137 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. + * +*/ + +using System.Collections.Generic; +using System.Linq; +using QuantConnect.Interfaces; +using QuantConnect.Data.UniverseSelection; +using QuantConnect.Data.Market; +using QuantConnect.Securities; + +namespace QuantConnect.Algorithm.CSharp +{ + /// + /// Regression algorithm asserting that security are automatically seeded by default + /// + public abstract class AutomaticSeedBaseRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition + { + protected virtual bool ShouldHaveTradeData { get; } + protected virtual bool ShouldHaveQuoteData { get; } + protected virtual bool ShouldHaveOpenInterestData { get; } + + public override void OnSecuritiesChanged(SecurityChanges changes) + { + var gotTrades = false; + var gotQuotes = false; + var gotOpenInterest = false; + + foreach (var addedSecurity in changes.AddedSecurities.Where(x => !x.Symbol.IsCanonical() || x.Symbol.SecurityType == SecurityType.Future)) + { + if (addedSecurity.Price == 0) + { + throw new RegressionTestException("Security was not seeded"); + } + + if (!addedSecurity.HasData) + { + throw new RegressionTestException("Security does not have TradeBar or QuoteBar or OpenInterest data"); + } + + gotTrades |= addedSecurity.Cache.GetData() != null; + gotQuotes |= addedSecurity.Cache.GetData() != null; + gotOpenInterest |= addedSecurity.Cache.GetData() != null; + } + + if (changes.AddedSecurities.Count > 0) + { + if (ShouldHaveTradeData && !gotTrades) + { + throw new RegressionTestException("No contract had TradeBar data"); + } + + if (ShouldHaveQuoteData && !gotQuotes) + { + throw new RegressionTestException("No contract had QuoteBar data"); + } + + if (ShouldHaveOpenInterestData && !gotOpenInterest) + { + throw new RegressionTestException("No contract had OpenInterest data"); + } + } + } + + /// + /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm. + /// + public bool CanRunLocally { get; } = true; + + /// + /// This is used by the regression test system to indicate which languages this algorithm is written in. + /// + public List Languages { get; } = new() { Language.CSharp }; + + /// + /// Data Points count of all timeslices of algorithm + /// + public abstract long DataPoints { get; } + + /// + /// Data Points count of the algorithm history + /// + public abstract int AlgorithmHistoryDataPoints { get; } + + /// + /// Final status of the algorithm + /// + public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed; + + /// + /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm + /// + public virtual Dictionary ExpectedStatistics => new Dictionary + { + {"Total Orders", "0"}, + {"Average Win", "0%"}, + {"Average Loss", "0%"}, + {"Compounding Annual Return", "0%"}, + {"Drawdown", "0%"}, + {"Expectancy", "0"}, + {"Start Equity", "100000"}, + {"End Equity", "100000"}, + {"Net Profit", "0%"}, + {"Sharpe Ratio", "0"}, + {"Sortino Ratio", "0"}, + {"Probabilistic Sharpe Ratio", "0%"}, + {"Loss Rate", "0%"}, + {"Win Rate", "0%"}, + {"Profit-Loss Ratio", "0"}, + {"Alpha", "0"}, + {"Beta", "0"}, + {"Annual Standard Deviation", "0"}, + {"Annual Variance", "0"}, + {"Information Ratio", "0"}, + {"Tracking Error", "0"}, + {"Treynor Ratio", "0"}, + {"Total Fees", "$0.00"}, + {"Estimated Strategy Capacity", "$0"}, + {"Lowest Capacity Asset", ""}, + {"Portfolio Turnover", "0%"}, + {"Drawdown Recovery", "0"}, + {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"} + }; + } +} diff --git a/Algorithm.CSharp/AuxiliaryDataHandlersRegressionAlgorithm.cs b/Algorithm.CSharp/AuxiliaryDataHandlersRegressionAlgorithm.cs index 2ec3d8eac6a3..26b22be5da87 100644 --- a/Algorithm.CSharp/AuxiliaryDataHandlersRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AuxiliaryDataHandlersRegressionAlgorithm.cs @@ -119,7 +119,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 126221; + public long DataPoints => 126222; /// /// Data Points count of the algorithm history diff --git a/Algorithm.CSharp/BacktestingBrokerageRegressionAlgorithm.cs b/Algorithm.CSharp/BacktestingBrokerageRegressionAlgorithm.cs index 458818cbd35d..57fb83f684cc 100644 --- a/Algorithm.CSharp/BacktestingBrokerageRegressionAlgorithm.cs +++ b/Algorithm.CSharp/BacktestingBrokerageRegressionAlgorithm.cs @@ -340,7 +340,7 @@ public override OrderEvent MarketFill(Security asset, MarketOrder order) {"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "17.02%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "a7ce5ff2bbe0fe273cf1631ea5a73fa6"} + {"OrderListHash", "1be5073f2cf8802ffa163f7dab7d040e"} }; } } diff --git a/Algorithm.CSharp/BasicSetAccountCurrencyAlgorithm.cs b/Algorithm.CSharp/BasicSetAccountCurrencyAlgorithm.cs index b32816e5483e..12a2a95a6a52 100644 --- a/Algorithm.CSharp/BasicSetAccountCurrencyAlgorithm.cs +++ b/Algorithm.CSharp/BasicSetAccountCurrencyAlgorithm.cs @@ -77,7 +77,7 @@ public override void OnData(Slice slice) /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 120; + public int AlgorithmHistoryDataPoints => 15; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/BasicSetAccountCurrencyWithAmountAlgorithm.cs b/Algorithm.CSharp/BasicSetAccountCurrencyWithAmountAlgorithm.cs index def5fcfcb173..039ccaec651a 100644 --- a/Algorithm.CSharp/BasicSetAccountCurrencyWithAmountAlgorithm.cs +++ b/Algorithm.CSharp/BasicSetAccountCurrencyWithAmountAlgorithm.cs @@ -47,7 +47,7 @@ public override void SetAccountCurrency() /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 120; + public int AlgorithmHistoryDataPoints => 15; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/BasicTemplateCryptoAlgorithm.cs b/Algorithm.CSharp/BasicTemplateCryptoAlgorithm.cs index 4268d083e60c..5c3ce2f2c90d 100644 --- a/Algorithm.CSharp/BasicTemplateCryptoAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateCryptoAlgorithm.cs @@ -202,7 +202,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 240; + public int AlgorithmHistoryDataPoints => 35; /// /// Final status of the algorithm @@ -220,7 +220,7 @@ public override void OnEndOfAlgorithm() {"Compounding Annual Return", "0%"}, {"Drawdown", "0%"}, {"Expectancy", "0"}, - {"Start Equity", "31588.24"}, + {"Start Equity", "31592.84"}, {"End Equity", "30866.71"}, {"Net Profit", "0%"}, {"Sharpe Ratio", "0"}, diff --git a/Algorithm.CSharp/BasicTemplateFuturesAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFuturesAlgorithm.cs index 7299325651c0..8bb42742ea27 100644 --- a/Algorithm.CSharp/BasicTemplateFuturesAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateFuturesAlgorithm.cs @@ -154,7 +154,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes) /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 340; + public int AlgorithmHistoryDataPoints => 354; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/BasicTemplateFuturesDailyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFuturesDailyAlgorithm.cs index 2706e4c9e63b..f974b487d57d 100644 --- a/Algorithm.CSharp/BasicTemplateFuturesDailyAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateFuturesDailyAlgorithm.cs @@ -127,7 +127,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes) /// /// Data Points count of all timeslices of algorithm /// - public virtual long DataPoints => 5861; + public virtual long DataPoints => 5867; /// /// Data Points count of the algorithm history @@ -144,34 +144,34 @@ public override void OnSecuritiesChanged(SecurityChanges changes) /// public virtual Dictionary ExpectedStatistics => new Dictionary { - {"Total Orders", "34"}, + {"Total Orders", "38"}, {"Average Win", "0.33%"}, - {"Average Loss", "-0.04%"}, - {"Compounding Annual Return", "0.106%"}, + {"Average Loss", "-0.03%"}, + {"Compounding Annual Return", "0.098%"}, {"Drawdown", "0.300%"}, - {"Expectancy", "0.178"}, + {"Expectancy", "0.165"}, {"Start Equity", "1000000"}, - {"End Equity", "1001066.2"}, - {"Net Profit", "0.107%"}, - {"Sharpe Ratio", "-1.695"}, - {"Sortino Ratio", "-0.804"}, - {"Probabilistic Sharpe Ratio", "14.797%"}, - {"Loss Rate", "88%"}, - {"Win Rate", "12%"}, - {"Profit-Loss Ratio", "9.01"}, + {"End Equity", "1000991.96"}, + {"Net Profit", "0.099%"}, + {"Sharpe Ratio", "-1.708"}, + {"Sortino Ratio", "-0.84"}, + {"Probabilistic Sharpe Ratio", "14.542%"}, + {"Loss Rate", "89%"}, + {"Win Rate", "11%"}, + {"Profit-Loss Ratio", "10.07"}, {"Alpha", "-0.007"}, {"Beta", "0.002"}, {"Annual Standard Deviation", "0.004"}, {"Annual Variance", "0"}, - {"Information Ratio", "-1.353"}, + {"Information Ratio", "-1.354"}, {"Tracking Error", "0.089"}, - {"Treynor Ratio", "-4.112"}, - {"Total Fees", "$76.30"}, + {"Treynor Ratio", "-4.054"}, + {"Total Fees", "$85.54"}, {"Estimated Strategy Capacity", "$0"}, {"Lowest Capacity Asset", "ES VRJST036ZY0X"}, - {"Portfolio Turnover", "0.92%"}, + {"Portfolio Turnover", "1.04%"}, {"Drawdown Recovery", "69"}, - {"OrderListHash", "ddaa9dd20647fdbc4811d6e64bb30a40"} + {"OrderListHash", "eafc33ea4dcb219f7aacdbdd0973d5bc"} }; } } diff --git a/Algorithm.CSharp/BasicTemplateFuturesHourlyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFuturesHourlyAlgorithm.cs index aeceacdfd9c1..7315cc7d6b90 100644 --- a/Algorithm.CSharp/BasicTemplateFuturesHourlyAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateFuturesHourlyAlgorithm.cs @@ -36,7 +36,7 @@ public class BasicTemplateFuturesHourlyAlgorithm : BasicTemplateFuturesDailyAlgo /// /// Data Points count of all timeslices of algorithm /// - public override long DataPoints => 25312; + public override long DataPoints => 25339; /// /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm @@ -70,7 +70,7 @@ public class BasicTemplateFuturesHourlyAlgorithm : BasicTemplateFuturesDailyAlgo {"Lowest Capacity Asset", "ES VP274HSU1AF5"}, {"Portfolio Turnover", "20.14%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "f6482c8757f82cb9f4c058e3ed6bc494"} + {"OrderListHash", "c301a0a086f8905b1a555f0257087272"} }; } } diff --git a/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketAlgorithm.cs index f3323557cadd..693c63a7cd56 100644 --- a/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketAlgorithm.cs @@ -154,7 +154,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes) /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 340; + public int AlgorithmHistoryDataPoints => 354; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketDailyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketDailyAlgorithm.cs index ab16ebf797f9..1c4e76a60095 100644 --- a/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketDailyAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketDailyAlgorithm.cs @@ -36,41 +36,41 @@ public class BasicTemplateFuturesWithExtendedMarketDailyAlgorithm : BasicTemplat /// /// Data Points count of all timeslices of algorithm /// - public override long DataPoints => 5965; + public override long DataPoints => 5971; /// /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm /// public override Dictionary ExpectedStatistics => new Dictionary { - {"Total Orders", "32"}, + {"Total Orders", "36"}, {"Average Win", "0.33%"}, - {"Average Loss", "-0.04%"}, - {"Compounding Annual Return", "0.110%"}, + {"Average Loss", "-0.03%"}, + {"Compounding Annual Return", "0.103%"}, {"Drawdown", "0.300%"}, - {"Expectancy", "0.184"}, + {"Expectancy", "0.172"}, {"Start Equity", "1000000"}, - {"End Equity", "1001108"}, - {"Net Profit", "0.111%"}, - {"Sharpe Ratio", "-1.688"}, - {"Sortino Ratio", "-0.772"}, - {"Probabilistic Sharpe Ratio", "14.944%"}, - {"Loss Rate", "88%"}, - {"Win Rate", "12%"}, - {"Profit-Loss Ratio", "8.47"}, + {"End Equity", "1001033.76"}, + {"Net Profit", "0.103%"}, + {"Sharpe Ratio", "-1.701"}, + {"Sortino Ratio", "-0.809"}, + {"Probabilistic Sharpe Ratio", "14.685%"}, + {"Loss Rate", "89%"}, + {"Win Rate", "11%"}, + {"Profit-Loss Ratio", "9.55"}, {"Alpha", "-0.007"}, {"Beta", "0.002"}, {"Annual Standard Deviation", "0.004"}, {"Annual Variance", "0"}, {"Information Ratio", "-1.353"}, {"Tracking Error", "0.089"}, - {"Treynor Ratio", "-4.099"}, - {"Total Fees", "$72.00"}, + {"Treynor Ratio", "-4.042"}, + {"Total Fees", "$81.24"}, {"Estimated Strategy Capacity", "$0"}, {"Lowest Capacity Asset", "ES VRJST036ZY0X"}, - {"Portfolio Turnover", "0.87%"}, + {"Portfolio Turnover", "0.99%"}, {"Drawdown Recovery", "69"}, - {"OrderListHash", "741a26424d2210171ad849d92fc75d23"} + {"OrderListHash", "67120ad5c9a6116001dda6c8061e5353"} }; } } diff --git a/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketHourlyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketHourlyAlgorithm.cs index 3e2bd74e5694..89ac65c85714 100644 --- a/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketHourlyAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketHourlyAlgorithm.cs @@ -41,7 +41,7 @@ public class BasicTemplateFuturesWithExtendedMarketHourlyAlgorithm : BasicTempla /// /// Data Points count of all timeslices of algorithm /// - public override long DataPoints => 67924; + public override long DataPoints => 67998; /// /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm diff --git a/Algorithm.CSharp/BasicTemplateIndexAlgorithm.cs b/Algorithm.CSharp/BasicTemplateIndexAlgorithm.cs index da2f7a2ba14b..debaeb04cf9c 100644 --- a/Algorithm.CSharp/BasicTemplateIndexAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateIndexAlgorithm.cs @@ -168,10 +168,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "-1.771"}, {"Total Fees", "$0.00"}, {"Estimated Strategy Capacity", "$3000.00"}, - {"Lowest Capacity Asset", "SPX XL80P3GHDZXQ|SPX 31"}, + {"Lowest Capacity Asset", "SPX XL80P3GHIA9A|SPX 31"}, {"Portfolio Turnover", "23.97%"}, {"Drawdown Recovery", "9"}, - {"OrderListHash", "51f1bc2ea080df79748dc66c2520b782"} + {"OrderListHash", "4b560d2a8cfae510c3c8dc92603470fc"} }; } } diff --git a/Algorithm.CSharp/BasicTemplateIndexDailyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateIndexDailyAlgorithm.cs index 1839b7d4e303..44a783d0a7f8 100644 --- a/Algorithm.CSharp/BasicTemplateIndexDailyAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateIndexDailyAlgorithm.cs @@ -147,10 +147,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "-6.937"}, {"Total Fees", "$0.00"}, {"Estimated Strategy Capacity", "$0"}, - {"Lowest Capacity Asset", "SPX XL80P3GHDZXQ|SPX 31"}, + {"Lowest Capacity Asset", "SPX XL80P3GHIA9A|SPX 31"}, {"Portfolio Turnover", "2.42%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "61e8517ac3da6bed414ef23d26736fef"} + {"OrderListHash", "ce421d0aeb7bde3bc92a6b87c09c510e"} }; } } diff --git a/Algorithm.CSharp/BasicTemplateIndexHourlyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateIndexHourlyAlgorithm.cs index 0b930443b1ac..f0770bd9878a 100644 --- a/Algorithm.CSharp/BasicTemplateIndexHourlyAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateIndexHourlyAlgorithm.cs @@ -64,10 +64,10 @@ public class BasicTemplateIndexHourlyAlgorithm : BasicTemplateIndexDailyAlgorith {"Treynor Ratio", "-6.189"}, {"Total Fees", "$0.00"}, {"Estimated Strategy Capacity", "$300000.00"}, - {"Lowest Capacity Asset", "SPX XL80P3GHDZXQ|SPX 31"}, + {"Lowest Capacity Asset", "SPX XL80P3GHIA9A|SPX 31"}, {"Portfolio Turnover", "24.63%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "5595ab834c2584c1d124ad575e88cc1a"} + {"OrderListHash", "7bc05310e971f09b0663bc380fdfee80"} }; } } diff --git a/Algorithm.CSharp/BasicTemplateIndexOptionsDailyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateIndexOptionsDailyAlgorithm.cs index 2e1104681c5b..130e9dcbaa36 100644 --- a/Algorithm.CSharp/BasicTemplateIndexOptionsDailyAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateIndexOptionsDailyAlgorithm.cs @@ -108,10 +108,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "-44.954"}, {"Total Fees", "$0.00"}, {"Estimated Strategy Capacity", "$0"}, - {"Lowest Capacity Asset", "SPX XL80P59H5E6M|SPX 31"}, + {"Lowest Capacity Asset", "SPX XL80P59H9OI6|SPX 31"}, {"Portfolio Turnover", "0.00%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "8340619d603921c1ce261287890b9c1c"} + {"OrderListHash", "34d295b82e29b1dbe8f104d3300d9255"} }; } } diff --git a/Algorithm.CSharp/BasicTemplateIndexOptionsHourlyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateIndexOptionsHourlyAlgorithm.cs index f418209945d2..8584b5c09753 100644 --- a/Algorithm.CSharp/BasicTemplateIndexOptionsHourlyAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateIndexOptionsHourlyAlgorithm.cs @@ -79,10 +79,10 @@ public class BasicTemplateIndexOptionsHourlyAlgorithm : BasicTemplateIndexOption {"Treynor Ratio", "116.921"}, {"Total Fees", "$0.00"}, {"Estimated Strategy Capacity", "$0"}, - {"Lowest Capacity Asset", "SPX XL80P59H5E6M|SPX 31"}, + {"Lowest Capacity Asset", "SPX XL80P59H9OI6|SPX 31"}, {"Portfolio Turnover", "0.00%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "1c5f424cfe62777733ee68a20320bb8d"} + {"OrderListHash", "214026660a13ecaecc7074fa97f86ea1"} }; } } diff --git a/Algorithm.CSharp/BasicTemplateOptionEquityStrategyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateOptionEquityStrategyAlgorithm.cs index 05895c5d1f9d..fb6107525c59 100644 --- a/Algorithm.CSharp/BasicTemplateOptionEquityStrategyAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateOptionEquityStrategyAlgorithm.cs @@ -44,7 +44,7 @@ public override void Initialize() _optionSymbol = option.Symbol; // set our strike/expiry filter for this option chain - option.SetFilter(u => u.Strikes(-2, +2) + option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2) // Expiration method accepts TimeSpan objects or integer for days. // The following statements yield the same filtering criteria .Expiration(0, 180)); @@ -73,7 +73,7 @@ public override void OnData(Slice slice) var higherStrike = callContracts[2].Strike; var optionStrategy = OptionStrategies.CallButterfly(_optionSymbol, higherStrike, middleStrike, lowerStrike, expiry); - + Order(optionStrategy, 10); } } @@ -143,10 +143,10 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Treynor Ratio", "0"}, {"Total Fees", "$26.00"}, {"Estimated Strategy Capacity", "$69000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "61.31%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "35d406df401e5b27244e20f5ec57346e"} + {"OrderListHash", "ccd6cb1b6244d0c6d30b2760938958f1"} }; } } diff --git a/Algorithm.CSharp/BasicTemplateOptionStrategyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateOptionStrategyAlgorithm.cs index c5b45fe0ca18..56e35003743d 100644 --- a/Algorithm.CSharp/BasicTemplateOptionStrategyAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateOptionStrategyAlgorithm.cs @@ -50,8 +50,9 @@ public override void Initialize() // set our strike/expiry filter for this option chain // SetFilter method accepts TimeSpan objects or integer for days. // The following statements yield the same filtering criteria - option.SetFilter(-2, +2, 0, 180); - // option.SetFilter(-2, +2, TimeSpan.Zero, TimeSpan.FromDays(180)); + option.SetFilter(u => u.StandardsOnly() + .Strikes(-2, +2) + .Expiration(0, 180)); // Adding this to reproduce GH issue #2314 SetWarmup(TimeSpan.FromMinutes(1)); @@ -83,7 +84,7 @@ public override void OnData(Slice slice) Liquidate(); } - foreach(var kpv in slice.Bars) + foreach (var kpv in slice.Bars) { Log($"---> OnData: {Time}, {kpv.Key.Value}, {kpv.Value.Close:0.00}"); } @@ -153,10 +154,10 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Treynor Ratio", "0"}, {"Total Fees", "$543.40"}, {"Estimated Strategy Capacity", "$4000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZFMEBBB2E|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZFMEBFLDY|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "338.60%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "301c15063f6e269023d144ca69a765da"} + {"OrderListHash", "8229716b93428dc885cf856b4cc9fc35"} }; } } diff --git a/Algorithm.CSharp/BasicTemplateOptionsAlgorithm.cs b/Algorithm.CSharp/BasicTemplateOptionsAlgorithm.cs index 059e24cc9a66..c5b8950f617b 100644 --- a/Algorithm.CSharp/BasicTemplateOptionsAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateOptionsAlgorithm.cs @@ -48,11 +48,10 @@ public override void Initialize() _optionSymbol = option.Symbol; // set our strike/expiry filter for this option chain - option.SetFilter(u => u.Strikes(-2, +2) + option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2) // Expiration method accepts TimeSpan objects or integer for days. // The following statements yield the same filtering criteria - .Expiration(0, 180)); - // .Expiration(TimeSpan.Zero, TimeSpan.FromDays(180))); + .Expiration(0, 180)); // .Expiration(TimeSpan.Zero, TimeSpan.FromDays(180))); // use the underlying equity as the benchmark SetBenchmark(equity.Symbol); @@ -150,10 +149,10 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Treynor Ratio", "0"}, {"Total Fees", "$2.00"}, {"Estimated Strategy Capacity", "$1300000.00"}, - {"Lowest Capacity Asset", "GOOCV 30AKMEIPOSS1Y|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 30AKMEIPOX2DI|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "10.71%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "8a36462ee0349c04d01d464e592dd347"} + {"OrderListHash", "19ba1220073493495880581b38df2da9"} }; } } diff --git a/Algorithm.CSharp/BasicTemplateOptionsDailyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateOptionsDailyAlgorithm.cs index 9a048a9df069..b6b1f61c6a51 100644 --- a/Algorithm.CSharp/BasicTemplateOptionsDailyAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateOptionsDailyAlgorithm.cs @@ -163,10 +163,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "-3.212"}, {"Total Fees", "$1.00"}, {"Estimated Strategy Capacity", "$72000.00"}, - {"Lowest Capacity Asset", "AAPL W78ZEO2985GM|AAPL R735QTJ8XC9X"}, + {"Lowest Capacity Asset", "AAPL W78ZEO29CFS6|AAPL R735QTJ8XC9X"}, {"Portfolio Turnover", "0.02%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "5e20fad3461ac9998afe8d76ad43b25c"} + {"OrderListHash", "5639c19a7d56ec312f61029b943903b8"} }; } } diff --git a/Algorithm.CSharp/BasicTemplateOptionsFilterUniverseAlgorithm.cs b/Algorithm.CSharp/BasicTemplateOptionsFilterUniverseAlgorithm.cs index 9daf2616b3db..4950cff1c710 100644 --- a/Algorithm.CSharp/BasicTemplateOptionsFilterUniverseAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateOptionsFilterUniverseAlgorithm.cs @@ -143,7 +143,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "15.08%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "f68f6d64a5721ee148bc3c643f8d1b7f"} + {"OrderListHash", "c53bc9318676161ed3b7797c945e2113"} }; } } diff --git a/Algorithm.CSharp/BasicTemplateOptionsFrameworkAlgorithm.cs b/Algorithm.CSharp/BasicTemplateOptionsFrameworkAlgorithm.cs index ea842ab17ee1..5b17aa867192 100644 --- a/Algorithm.CSharp/BasicTemplateOptionsFrameworkAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateOptionsFrameworkAlgorithm.cs @@ -139,7 +139,7 @@ public override IEnumerable CreateTargets(QCAlgorithm algorith /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 17486; + public long DataPoints => 17487; /// /// Data Points count of the algorithm history @@ -183,7 +183,7 @@ public override IEnumerable CreateTargets(QCAlgorithm algorith {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"}, {"Portfolio Turnover", "13.50%"}, {"Drawdown Recovery", "2"}, - {"OrderListHash", "d40c84371facba5dac8a2c919ea75807"} + {"OrderListHash", "2ab4ffc0944a2888a3be0568c2570a79"} }; } } diff --git a/Algorithm.CSharp/BasicTemplateOptionsHourlyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateOptionsHourlyAlgorithm.cs index 882d82d9294b..5a16c668ae43 100644 --- a/Algorithm.CSharp/BasicTemplateOptionsHourlyAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateOptionsHourlyAlgorithm.cs @@ -48,7 +48,7 @@ public override void Initialize() _optionSymbol = option.Symbol; // set our strike/expiry filter for this option chain - option.SetFilter(u => u.Strikes(-2, +2) + option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2) // Expiration method accepts TimeSpan objects or integer for days. // The following statements yield the same filtering criteria .Expiration(0, 180)); @@ -150,10 +150,10 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Treynor Ratio", "1.434"}, {"Total Fees", "$4.00"}, {"Estimated Strategy Capacity", "$1000.00"}, - {"Lowest Capacity Asset", "AAPL 2ZTXYMUAHCIAU|AAPL R735QTJ8XC9X"}, + {"Lowest Capacity Asset", "AAPL 2ZTXYMUAHGSME|AAPL R735QTJ8XC9X"}, {"Portfolio Turnover", "2.28%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "7804b3dcf20d3096a2265a289fa81cd3"} + {"OrderListHash", "70bbc60c969f18e943e8e00cf0f7a0ea"} }; } } diff --git a/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsAlgorithm.cs b/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsAlgorithm.cs index 6d3fb41d9010..a9b121363b77 100644 --- a/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsAlgorithm.cs @@ -144,10 +144,10 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Treynor Ratio", "-0.725"}, {"Total Fees", "$0.00"}, {"Estimated Strategy Capacity", "$580000.00"}, - {"Lowest Capacity Asset", "SPXW 31K54PVWHUJHQ|SPX 31"}, + {"Lowest Capacity Asset", "SPXW 31K54PVWHYTTA|SPX 31"}, {"Portfolio Turnover", "0.40%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "db5e3681c5fa1888262f2370a9b14c11"} + {"OrderListHash", "03148bbb5453fc1056a3285bd31ce158"} }; } } diff --git a/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsStrategyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsStrategyAlgorithm.cs index e52b07e15ced..01cc595854ed 100644 --- a/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsStrategyAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsStrategyAlgorithm.cs @@ -150,10 +150,10 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Treynor Ratio", "0.589"}, {"Total Fees", "$0.00"}, {"Estimated Strategy Capacity", "$13000000.00"}, - {"Lowest Capacity Asset", "SPXW XKX6S2GM9PGU|SPX 31"}, + {"Lowest Capacity Asset", "SPXW XKX6S2GMDZSE|SPX 31"}, {"Portfolio Turnover", "0.28%"}, {"Drawdown Recovery", "2"}, - {"OrderListHash", "17764ae9e216d003b1f3ce68d15b68ef"} + {"OrderListHash", "9d03f85003416861df07ccb31a18af9a"} }; } } diff --git a/Algorithm.CSharp/BasicTemplateTradableIndexAlgorithm.cs b/Algorithm.CSharp/BasicTemplateTradableIndexAlgorithm.cs index 4dfa61e47926..fd2b14693819 100644 --- a/Algorithm.CSharp/BasicTemplateTradableIndexAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateTradableIndexAlgorithm.cs @@ -87,10 +87,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "-1.771"}, {"Total Fees", "$0.00"}, {"Estimated Strategy Capacity", "$3000.00"}, - {"Lowest Capacity Asset", "SPX XL80P3GHDZXQ|SPX 31"}, + {"Lowest Capacity Asset", "SPX XL80P3GHIA9A|SPX 31"}, {"Portfolio Turnover", "24.03%"}, {"Drawdown Recovery", "9"}, - {"OrderListHash", "fcd6fddb0a315e21095c2b35eb633e2b"} + {"OrderListHash", "691cf4990024b856a0a70255c9fd2545"} }; } } diff --git a/Algorithm.CSharp/Benchmarks/EmptySPXOptionChainBenchmark.cs b/Algorithm.CSharp/Benchmarks/EmptySPXOptionChainBenchmark.cs new file mode 100644 index 000000000000..74a2f08881f3 --- /dev/null +++ b/Algorithm.CSharp/Benchmarks/EmptySPXOptionChainBenchmark.cs @@ -0,0 +1,34 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. +*/ + +namespace QuantConnect.Algorithm.CSharp.Benchmarks +{ + /// + /// Benchmark Algorithm that adds SPX option chain but does not trade it. + /// This is an interesting benchmark because SPX option chains are large + /// + public class EmptySPXOptionChainBenchmark : QCAlgorithm + { + public override void Initialize() + { + SetStartDate(2018, 1, 1); + SetEndDate(2020, 6, 1); + + var index = AddIndex("SPX"); + var option = AddOption(index); + option.SetFilter(x => x.IncludeWeeklys().Strikes(-30, 30).Expiration(0, 7)); + } + } +} diff --git a/Algorithm.CSharp/BinanceCashAccountFeeRegressionAlgorithm.cs b/Algorithm.CSharp/BinanceCashAccountFeeRegressionAlgorithm.cs index 6e7ae0c2c23b..1b7aad6998f8 100644 --- a/Algorithm.CSharp/BinanceCashAccountFeeRegressionAlgorithm.cs +++ b/Algorithm.CSharp/BinanceCashAccountFeeRegressionAlgorithm.cs @@ -46,7 +46,7 @@ public override void Initialize() /// /// Data Points count of the algorithm history /// - public override int AlgorithmHistoryDataPoints => 28; + public override int AlgorithmHistoryDataPoints => 5; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/BinanceMarginAccountFeeRegressionAlgorithm.cs b/Algorithm.CSharp/BinanceMarginAccountFeeRegressionAlgorithm.cs index 4c30043f2586..823b2389af92 100644 --- a/Algorithm.CSharp/BinanceMarginAccountFeeRegressionAlgorithm.cs +++ b/Algorithm.CSharp/BinanceMarginAccountFeeRegressionAlgorithm.cs @@ -46,7 +46,7 @@ public override void Initialize() /// /// Data Points count of the algorithm history /// - public override int AlgorithmHistoryDataPoints => 28; + public override int AlgorithmHistoryDataPoints => 5; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/BitfinexCashAccountFeeRegressionAlgorithm.cs b/Algorithm.CSharp/BitfinexCashAccountFeeRegressionAlgorithm.cs index f56e8e1ed08a..1d2ca5ef72a1 100644 --- a/Algorithm.CSharp/BitfinexCashAccountFeeRegressionAlgorithm.cs +++ b/Algorithm.CSharp/BitfinexCashAccountFeeRegressionAlgorithm.cs @@ -45,7 +45,7 @@ public override void Initialize() /// /// Data Points count of the algorithm history /// - public override int AlgorithmHistoryDataPoints => 28; + public override int AlgorithmHistoryDataPoints => 5; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/BitfinexMarginAccountFeeRegressionAlgorithm.cs b/Algorithm.CSharp/BitfinexMarginAccountFeeRegressionAlgorithm.cs index 7536fe642e78..c6aeca81b5e2 100644 --- a/Algorithm.CSharp/BitfinexMarginAccountFeeRegressionAlgorithm.cs +++ b/Algorithm.CSharp/BitfinexMarginAccountFeeRegressionAlgorithm.cs @@ -45,7 +45,7 @@ public override void Initialize() /// /// Data Points count of the algorithm history /// - public override int AlgorithmHistoryDataPoints => 28; + public override int AlgorithmHistoryDataPoints => 5; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/BybitCryptoFuturesRegressionAlgorithm.cs b/Algorithm.CSharp/BybitCryptoFuturesRegressionAlgorithm.cs index b77d810a5fc8..ccda05848fda 100644 --- a/Algorithm.CSharp/BybitCryptoFuturesRegressionAlgorithm.cs +++ b/Algorithm.CSharp/BybitCryptoFuturesRegressionAlgorithm.cs @@ -226,7 +226,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 60; + public int AlgorithmHistoryDataPoints => 10; /// /// Final status of the algorithm @@ -244,7 +244,7 @@ public override void OnEndOfAlgorithm() {"Compounding Annual Return", "0%"}, {"Drawdown", "0%"}, {"Expectancy", "0"}, - {"Start Equity", "100285.86"}, + {"Start Equity", "100285.85"}, {"End Equity", "100285.26"}, {"Net Profit", "0%"}, {"Sharpe Ratio", "0"}, diff --git a/Algorithm.CSharp/BybitCryptoRegressionAlgorithm.cs b/Algorithm.CSharp/BybitCryptoRegressionAlgorithm.cs index 09385dcd106f..c9fb4c24878e 100644 --- a/Algorithm.CSharp/BybitCryptoRegressionAlgorithm.cs +++ b/Algorithm.CSharp/BybitCryptoRegressionAlgorithm.cs @@ -135,7 +135,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 60; + public int AlgorithmHistoryDataPoints => 10; /// /// Final status of the algorithm @@ -153,7 +153,7 @@ public override void OnEndOfAlgorithm() {"Compounding Annual Return", "0%"}, {"Drawdown", "0%"}, {"Expectancy", "0"}, - {"Start Equity", "117171.12"}, + {"Start Equity", "117170.74"}, {"End Equity", "117244.52"}, {"Net Profit", "0%"}, {"Sharpe Ratio", "0"}, diff --git a/Algorithm.CSharp/BybitCustomDataCryptoRegressionAlgorithm.cs b/Algorithm.CSharp/BybitCustomDataCryptoRegressionAlgorithm.cs index af3e61d55f38..63303bd45752 100644 --- a/Algorithm.CSharp/BybitCustomDataCryptoRegressionAlgorithm.cs +++ b/Algorithm.CSharp/BybitCustomDataCryptoRegressionAlgorithm.cs @@ -147,7 +147,7 @@ public override BaseData Reader(SubscriptionDataConfig config, string line, Date /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 60; + public int AlgorithmHistoryDataPoints => 10; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/CancelOpenOrdersRegressionAlgorithm.cs b/Algorithm.CSharp/CancelOpenOrdersRegressionAlgorithm.cs index 5f87df40d595..5fd071b242c9 100644 --- a/Algorithm.CSharp/CancelOpenOrdersRegressionAlgorithm.cs +++ b/Algorithm.CSharp/CancelOpenOrdersRegressionAlgorithm.cs @@ -130,7 +130,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 120; + public int AlgorithmHistoryDataPoints => 20; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/CoarseFineOptionUniverseChainRegressionAlgorithm.cs b/Algorithm.CSharp/CoarseFineOptionUniverseChainRegressionAlgorithm.cs index ca659fe4512d..6a9a39a2ae11 100644 --- a/Algorithm.CSharp/CoarseFineOptionUniverseChainRegressionAlgorithm.cs +++ b/Algorithm.CSharp/CoarseFineOptionUniverseChainRegressionAlgorithm.cs @@ -47,6 +47,11 @@ public override void Initialize() _aapl = QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA); UniverseSettings.Resolution = Resolution.Minute; + // Let's disable initial price seeding, the algorithm will wait until both equity + // and options are added an have prices to do the tests, we don't want the equity + // having prices before the options are added. + Settings.SeedInitialPrices = false; + SetStartDate(2014, 06, 04); // TWX is selected the 4th and 5th and aapl after that. // If the algo ends on the 6th, TWX subscriptions will not be removed before OnEndOfAlgorithm is called: @@ -206,7 +211,7 @@ public override void OnEndOfAlgorithm() {"Lowest Capacity Asset", "AOL R735QTJ8XC9X"}, {"Portfolio Turnover", "17.64%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "a8605c1f5a9c67f60f1ddc963ec45542"} + {"OrderListHash", "228e694280e05c8aa24246a5866b5a83"} }; } } diff --git a/Algorithm.CSharp/CoarseSelectionsAutomaticSeedRegressionAlgorithm.cs b/Algorithm.CSharp/CoarseSelectionsAutomaticSeedRegressionAlgorithm.cs new file mode 100644 index 000000000000..16a9b60a43b2 --- /dev/null +++ b/Algorithm.CSharp/CoarseSelectionsAutomaticSeedRegressionAlgorithm.cs @@ -0,0 +1,120 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. + * +*/ + +using System; +using System.Collections.Generic; +using System.Linq; +using QuantConnect.Data.UniverseSelection; + +namespace QuantConnect.Algorithm.CSharp +{ + /// + /// Regression algorithm asserting that securities added via coarse selection get automatically seeded by default + /// + public class CoarseSelectionsAutomaticSeedRegressionAlgorithm : AutomaticSeedBaseRegressionAlgorithm + { + private readonly Queue> _coarseSelections = new(new[] { "AAPL", "GOOG", "AIG", "BAC", "FB", "IBM" } + .Select(x => QuantConnect.Symbol.Create(x, SecurityType.Equity, Market.USA)) + .BatchBy(2)); + + private HashSet _addedSecurities = new(); + + protected override bool ShouldHaveTradeData => true; + // Daily resolution, only trade data is available + protected override bool ShouldHaveQuoteData => false; + protected override bool ShouldHaveOpenInterestData => false; + + public override void Initialize() + { + SetStartDate(2015, 01, 01); + SetEndDate(2015, 03, 01); + SetCash(100000); + + Settings.SeedInitialPrices = true; + UniverseSettings.Resolution = Resolution.Daily; + + AddUniverse((coarse) => + { + var selection = _coarseSelections.Dequeue(); + _coarseSelections.Enqueue(selection); + return selection; + }); + } + + public override void OnSecuritiesChanged(SecurityChanges changes) + { + base.OnSecuritiesChanged(changes); + + foreach (var addedSecurity in changes.AddedSecurities.Where(x => !x.Symbol.IsCanonical())) + { + _addedSecurities.Add(addedSecurity.Symbol); + } + } + + public override void OnEndOfAlgorithm() + { + if (!_coarseSelections.SelectMany(x => x).Order().SequenceEqual(_addedSecurities.Order())) + { + throw new RegressionTestException("Not all securities were added"); + } + } + + /// + /// Data Points count of all timeslices of algorithm + /// + public override long DataPoints => 358; + + /// + /// Data Points count of the algorithm history + /// + public override int AlgorithmHistoryDataPoints => 390; + + /// + /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm + /// + public override Dictionary ExpectedStatistics => new Dictionary + { + {"Total Orders", "0"}, + {"Average Win", "0%"}, + {"Average Loss", "0%"}, + {"Compounding Annual Return", "0%"}, + {"Drawdown", "0%"}, + {"Expectancy", "0"}, + {"Start Equity", "100000"}, + {"End Equity", "100000"}, + {"Net Profit", "0%"}, + {"Sharpe Ratio", "0"}, + {"Sortino Ratio", "0"}, + {"Probabilistic Sharpe Ratio", "0%"}, + {"Loss Rate", "0%"}, + {"Win Rate", "0%"}, + {"Profit-Loss Ratio", "0"}, + {"Alpha", "0"}, + {"Beta", "0"}, + {"Annual Standard Deviation", "0"}, + {"Annual Variance", "0"}, + {"Information Ratio", "-1.066"}, + {"Tracking Error", "0.116"}, + {"Treynor Ratio", "0"}, + {"Total Fees", "$0.00"}, + {"Estimated Strategy Capacity", "$0"}, + {"Lowest Capacity Asset", ""}, + {"Portfolio Turnover", "0%"}, + {"Drawdown Recovery", "0"}, + {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"} + }; + } +} diff --git a/Algorithm.CSharp/CoinbaseCryptoYearMarketTradingRegressionAlgorithm.cs b/Algorithm.CSharp/CoinbaseCryptoYearMarketTradingRegressionAlgorithm.cs index 71aff42b6187..598444164a60 100644 --- a/Algorithm.CSharp/CoinbaseCryptoYearMarketTradingRegressionAlgorithm.cs +++ b/Algorithm.CSharp/CoinbaseCryptoYearMarketTradingRegressionAlgorithm.cs @@ -104,7 +104,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 43; + public int AlgorithmHistoryDataPoints => 11; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/Collective2PortfolioSignalExportDemonstrationAlgorithm.cs b/Algorithm.CSharp/Collective2PortfolioSignalExportDemonstrationAlgorithm.cs index 221427ea306c..7e4a1ab222be 100644 --- a/Algorithm.CSharp/Collective2PortfolioSignalExportDemonstrationAlgorithm.cs +++ b/Algorithm.CSharp/Collective2PortfolioSignalExportDemonstrationAlgorithm.cs @@ -153,7 +153,7 @@ public override void OnData(Slice slice) /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 11147; + public int AlgorithmHistoryDataPoints => 50; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/Collective2SignalExportDemonstrationAlgorithm.cs b/Algorithm.CSharp/Collective2SignalExportDemonstrationAlgorithm.cs index cdfff0c7ce25..3db21ab2f84c 100644 --- a/Algorithm.CSharp/Collective2SignalExportDemonstrationAlgorithm.cs +++ b/Algorithm.CSharp/Collective2SignalExportDemonstrationAlgorithm.cs @@ -176,7 +176,7 @@ public override void OnData(Slice slice) /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 11147; + public int AlgorithmHistoryDataPoints => 50; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/ComboLegLimitOrderAlgorithm.cs b/Algorithm.CSharp/ComboLegLimitOrderAlgorithm.cs index 710ec6fe4d09..4f95178bd97b 100644 --- a/Algorithm.CSharp/ComboLegLimitOrderAlgorithm.cs +++ b/Algorithm.CSharp/ComboLegLimitOrderAlgorithm.cs @@ -121,10 +121,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "0"}, {"Total Fees", "$26.00"}, {"Estimated Strategy Capacity", "$58000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "30.22%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "ab6171073cd96df46fd9d7bce62f5594"} + {"OrderListHash", "6168ffaa5b9f3c389f5da52e90455889"} }; } } diff --git a/Algorithm.CSharp/ComboLimitOrderAlgorithm.cs b/Algorithm.CSharp/ComboLimitOrderAlgorithm.cs index 289ab8cb4a84..2cc45e509f8b 100644 --- a/Algorithm.CSharp/ComboLimitOrderAlgorithm.cs +++ b/Algorithm.CSharp/ComboLimitOrderAlgorithm.cs @@ -187,10 +187,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "0"}, {"Total Fees", "$52.00"}, {"Estimated Strategy Capacity", "$5000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "60.91%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "100742aeee45101940dc60e26fa1aa39"} + {"OrderListHash", "7daf3d43bef2b023ab26517085840c0e"} }; } } diff --git a/Algorithm.CSharp/ComboMarketOrderAlgorithm.cs b/Algorithm.CSharp/ComboMarketOrderAlgorithm.cs index da2353838df8..fe437576855e 100644 --- a/Algorithm.CSharp/ComboMarketOrderAlgorithm.cs +++ b/Algorithm.CSharp/ComboMarketOrderAlgorithm.cs @@ -93,10 +93,10 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Treynor Ratio", "0"}, {"Total Fees", "$26.00"}, {"Estimated Strategy Capacity", "$69000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "30.35%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "615c795b0c450cb8e4c3cba803ebb180"} + {"OrderListHash", "0b9f42bc22c9c7c382bc57a64c99f7e5"} }; } } diff --git a/Algorithm.CSharp/ComboOrderAlgorithm.cs b/Algorithm.CSharp/ComboOrderAlgorithm.cs index b1a0b0f45155..6afde59ed769 100644 --- a/Algorithm.CSharp/ComboOrderAlgorithm.cs +++ b/Algorithm.CSharp/ComboOrderAlgorithm.cs @@ -58,7 +58,7 @@ public override void Initialize() var option = AddOption(equity.Symbol, fillForward: true); _optionSymbol = option.Symbol; - option.SetFilter(u => u.Strikes(-2, +2) + option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2) .Expiration(0, 180)); } diff --git a/Algorithm.CSharp/ComboOrderTicketDemoAlgorithm.cs b/Algorithm.CSharp/ComboOrderTicketDemoAlgorithm.cs index d50f1c44d187..9403614e436c 100644 --- a/Algorithm.CSharp/ComboOrderTicketDemoAlgorithm.cs +++ b/Algorithm.CSharp/ComboOrderTicketDemoAlgorithm.cs @@ -47,7 +47,7 @@ public override void Initialize() var option = AddOption(equity.Symbol, fillForward: true); _optionSymbol = option.Symbol; - option.SetFilter(u => u.Strikes(-2, +2) + option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2) .Expiration(0, 180)); } @@ -243,8 +243,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) } if (orderEvent.Quantity != order.Quantity) { - throw new RegressionTestException($@"OrderEvent quantity should hold the current order Quantity. Got {orderEvent.Quantity - }, expected {order.Quantity}"); + throw new RegressionTestException($@"OrderEvent quantity should hold the current order Quantity. Got {orderEvent.Quantity}, expected {order.Quantity}"); } if (order is ComboLegLimitOrder && orderEvent.LimitPrice == 0) { @@ -303,8 +302,7 @@ public override void OnEndOfAlgorithm() { throw new RegressionTestException( "There were expected 6 filled market orders, 3 filled combo limit orders and 6 filled combo leg limit orders, " + - $@"but there were {filledComboMarketOrders.Count} filled market orders, {filledComboLimitOrders.Count - } filled combo limit orders and {filledComboLegLimitOrders.Count} filled combo leg limit orders"); + $@"but there were {filledComboMarketOrders.Count} filled market orders, {filledComboLimitOrders.Count} filled combo limit orders and {filledComboLegLimitOrders.Count} filled combo leg limit orders"); } if (openOrders.Count != 0 || openOrderTickets.Count != 0) @@ -372,10 +370,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "0"}, {"Total Fees", "$26.00"}, {"Estimated Strategy Capacity", "$2000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "58.98%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "e69460f62d4c165fe4b4a9bff1f48962"} + {"OrderListHash", "bec09c16bbc4d87a4e5122f29dd5a38b"} }; } } diff --git a/Algorithm.CSharp/ConsolidateRegressionAlgorithm.cs b/Algorithm.CSharp/ConsolidateRegressionAlgorithm.cs index 9f7b09a7c8eb..297c560ebada 100644 --- a/Algorithm.CSharp/ConsolidateRegressionAlgorithm.cs +++ b/Algorithm.CSharp/ConsolidateRegressionAlgorithm.cs @@ -47,7 +47,7 @@ public override void Initialize() SetEndDate(2020, 01, 20); var SP500 = QuantConnect.Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME); - var symbol = FuturesChain(SP500).First(); + var symbol = FuturesChain(SP500).OrderBy(x => x.Symbol.ID.Date).First(); _future = AddFutureContract(symbol); var tradableDatesCount = QuantConnect.Time.EachTradeableDayInTimeZone(_future.Exchange.Hours, diff --git a/Algorithm.CSharp/ContinuousFutureRolloverBaseRegressionAlgorithm.cs b/Algorithm.CSharp/ContinuousFutureRolloverBaseRegressionAlgorithm.cs index 8975109da32c..3b8134c69420 100644 --- a/Algorithm.CSharp/ContinuousFutureRolloverBaseRegressionAlgorithm.cs +++ b/Algorithm.CSharp/ContinuousFutureRolloverBaseRegressionAlgorithm.cs @@ -45,17 +45,23 @@ public abstract class ContinuousFutureRolloverBaseRegressionAlgorithm : QCAlgori protected abstract Offset ExchangeToDataTimeZoneOffset { get; } + protected virtual bool SeedIntialPrices { get; } + private DateTimeZone DataTimeZone => TimeZones.Utc; private DateTimeZone ExchangeTimeZone => DateTimeZone.ForOffset(ExchangeToDataTimeZoneOffset); private bool RolloverHappened => _rolloverTime != DateTime.MinValue; + private BaseData MappedContractSeededData; + public override void Initialize() { SetStartDate(2013, 10, 8); SetEndDate(2013, 12, 20); + Settings.SeedInitialPrices = SeedIntialPrices; + _originalMhdbEntry = MarketHoursDatabase.GetEntry(Market.CME, Ticker, SecurityType.Future); var exchangeHours = new SecurityExchangeHours(ExchangeTimeZone, _originalMhdbEntry.ExchangeHours.Holidays, @@ -115,6 +121,9 @@ public override void OnData(Slice slice) $"Expected {expectedMappingOldSymbol} -> {expectedMappingNewSymbol} " + $"but was {symbolChangedEvent.OldSymbol} -> {symbolChangedEvent.NewSymbol}"); } + + var mappedContract = Securities[_continuousContract.Mapped]; + MappedContractSeededData = mappedContract.GetLastData(); } var mappedFuture = Securities[_continuousContract.Mapped]; @@ -148,7 +157,10 @@ public override void OnData(Slice slice) } else if (mappedFuturePrice != 0 || !RolloverHappened) { - if (continuousContractPrice != mappedFuturePrice) + var mappedFutureData = mappedFuture.GetLastData(); + // We only do this check is default securities seeding is desabled, else the mapped contract will have historical data + if ((!Settings.SeedInitialPrices || !ReferenceEquals(MappedContractSeededData, mappedFutureData)) && + continuousContractPrice != mappedFuturePrice) { var continuousContractLastData = _continuousContract.GetLastData(); throw new RegressionTestException($"[{Time}] -- Prices do not match. " + @@ -221,7 +233,7 @@ private void ResetMarketHoursDatabase() /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 0; + public virtual int AlgorithmHistoryDataPoints => 0; /// /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm diff --git a/Algorithm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneAheadOfDataRegressionAlgorithm.cs b/Algorithm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneAheadOfDataRegressionAlgorithm.cs index c96e620c275a..c982f8b4d0c6 100644 --- a/Algorithm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneAheadOfDataRegressionAlgorithm.cs +++ b/Algorithm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneAheadOfDataRegressionAlgorithm.cs @@ -34,5 +34,10 @@ public class ContinuousFutureRolloverDailyExchangeTimeZoneAheadOfDataRegressionA /// Data Points count of all timeslices of algorithm /// public override long DataPoints => 483; + + /// + /// Data Points count of the algorithm history + /// + public override int AlgorithmHistoryDataPoints => 0; } } diff --git a/Algorithm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneAheadOfDataWithInitialSeedRegressionAlgorithm.cs b/Algorithm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneAheadOfDataWithInitialSeedRegressionAlgorithm.cs new file mode 100644 index 000000000000..2ffbe7e930c9 --- /dev/null +++ b/Algorithm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneAheadOfDataWithInitialSeedRegressionAlgorithm.cs @@ -0,0 +1,33 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. + * +*/ + +namespace QuantConnect.Algorithm.CSharp +{ + /// + /// Base class for regression algorithms testing that when a continuous future rollover happens, + /// the continuous contract is updated correctly with the new contract data. + /// The algorithms asserts the behavior for the case when the exchange time zone is ahead of the data time zone. + /// + public class ContinuousFutureRolloverDailyExchangeTimeZoneAheadOfDataWithInitialSeedRegressionAlgorithm + : ContinuousFutureRolloverDailyExchangeTimeZoneAheadOfDataRegressionAlgorithm + { + protected override bool SeedIntialPrices => true; + /// + /// Data Points count of the algorithm history + /// + public override int AlgorithmHistoryDataPoints => 15; + } +} diff --git a/Algorithm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneBehindOfDataWithInitialSeedRegressionAlgorithm.cs b/Algorithm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneBehindOfDataWithInitialSeedRegressionAlgorithm.cs new file mode 100644 index 000000000000..def2d23bca51 --- /dev/null +++ b/Algorithm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneBehindOfDataWithInitialSeedRegressionAlgorithm.cs @@ -0,0 +1,34 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. + * +*/ + +namespace QuantConnect.Algorithm.CSharp +{ + /// + /// Base class for regression algorithms testing that when a continuous future rollover happens, + /// the continuous contract is updated correctly with the new contract data. + /// The algorithms asserts the behavior for the case when the exchange time zone is behind of the data time zone. + /// + public class ContinuousFutureRolloverDailyExchangeTimeZoneBehindOfDataWithInitialSeedRegressionAlgorithm + : ContinuousFutureRolloverDailyExchangeTimeZoneBehindOfDataRegressionAlgorithm + { + protected override bool SeedIntialPrices => true; + + /// + /// Data Points count of the algorithm history + /// + public override int AlgorithmHistoryDataPoints => 17; + } +} diff --git a/Algorithm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneSameAsDataWithIntialSeedRegressionAlgorithm.cs b/Algorithm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneSameAsDataWithIntialSeedRegressionAlgorithm.cs new file mode 100644 index 000000000000..1a5713bac8e3 --- /dev/null +++ b/Algorithm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneSameAsDataWithIntialSeedRegressionAlgorithm.cs @@ -0,0 +1,35 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. + * +*/ + +namespace QuantConnect.Algorithm.CSharp +{ + /// + /// Base class for regression algorithms testing that when a continuous future rollover happens, + /// the continuous contract is updated correctly with the new contract data. + /// The algorithms asserts the behavior for the case when the data time zone is the same as the exchange time zone. + /// + public class ContinuousFutureRolloverDailyExchangeTimeZoneSameAsDataWithInitialSeedRegressionAlgorithm + : ContinuousFutureRolloverDailyExchangeTimeZoneSameAsDataRegressionAlgorithm + + { + protected override bool SeedIntialPrices => true; + + /// + /// Data Points count of the algorithm history + /// + public override int AlgorithmHistoryDataPoints => 17; + } +} diff --git a/Algorithm.CSharp/ContinuousFutureRolloverHourExchangeTimeZoneAheadOfDataWithInitialSeedRegressionAlgorithm.cs b/Algorithm.CSharp/ContinuousFutureRolloverHourExchangeTimeZoneAheadOfDataWithInitialSeedRegressionAlgorithm.cs new file mode 100644 index 000000000000..9e088413d171 --- /dev/null +++ b/Algorithm.CSharp/ContinuousFutureRolloverHourExchangeTimeZoneAheadOfDataWithInitialSeedRegressionAlgorithm.cs @@ -0,0 +1,34 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. + * +*/ + +namespace QuantConnect.Algorithm.CSharp +{ + /// + /// Base class for regression algorithms testing that when a continuous future rollover happens, + /// the continuous contract is updated correctly with the new contract data. + /// The algorithms asserts the behavior for the case when the exchange time zone is ahead of the data time zone. + /// + public class ContinuousFutureRolloverHourExchangeTimeZoneAheadOfDataWithInitialSeedRegressionAlgorithm + : ContinuousFutureRolloverHourExchangeTimeZoneAheadOfDataRegressionAlgorithm + { + protected override bool SeedIntialPrices => true; + + /// + /// Data Points count of the algorithm history + /// + public override int AlgorithmHistoryDataPoints => 65; + } +} diff --git a/Algorithm.CSharp/ContinuousFutureRolloverHourExchangeTimeZoneBehindOfDataWithInitialSeedRegressionAlgorithm.cs b/Algorithm.CSharp/ContinuousFutureRolloverHourExchangeTimeZoneBehindOfDataWithInitialSeedRegressionAlgorithm.cs new file mode 100644 index 000000000000..9ed875f9d432 --- /dev/null +++ b/Algorithm.CSharp/ContinuousFutureRolloverHourExchangeTimeZoneBehindOfDataWithInitialSeedRegressionAlgorithm.cs @@ -0,0 +1,34 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. + * +*/ + +namespace QuantConnect.Algorithm.CSharp +{ + /// + /// Base class for regression algorithms testing that when a continuous future rollover happens, + /// the continuous contract is updated correctly with the new contract data. + /// The algorithms asserts the behavior for the case when the exchange time zone is behind of the data time zone. + /// + public class ContinuousFutureRolloverHourExchangeTimeZoneBehindOfDataWithInitialSeedRegressionAlgorithm + : ContinuousFutureRolloverHourExchangeTimeZoneBehindOfDataRegressionAlgorithm + { + protected override bool SeedIntialPrices => true; + + /// + /// Data Points count of the algorithm history + /// + public override int AlgorithmHistoryDataPoints => 64; + } +} diff --git a/Algorithm.CSharp/ContinuousFutureRolloverHourExchangeTimeZoneSameAsDataWithInitialSeedRegressionAlgorithm.cs b/Algorithm.CSharp/ContinuousFutureRolloverHourExchangeTimeZoneSameAsDataWithInitialSeedRegressionAlgorithm.cs new file mode 100644 index 000000000000..894d12d113f0 --- /dev/null +++ b/Algorithm.CSharp/ContinuousFutureRolloverHourExchangeTimeZoneSameAsDataWithInitialSeedRegressionAlgorithm.cs @@ -0,0 +1,34 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. + * +*/ + +namespace QuantConnect.Algorithm.CSharp +{ + /// + /// Base class for regression algorithms testing that when a continuous future rollover happens, + /// the continuous contract is updated correctly with the new contract data. + /// The algorithms asserts the behavior for the case when the data time zone is the same as the exchange time zone. + /// + public class ContinuousFutureRolloverHourExchangeTimeZoneSameAsDataWithInitialSeedRegressionAlgorithm + : ContinuousFutureRolloverHourExchangeTimeZoneSameAsDataRegressionAlgorithm + { + protected override bool SeedIntialPrices => true; + + /// + /// Data Points count of the algorithm history + /// + public override int AlgorithmHistoryDataPoints => 64; + } +} diff --git a/Algorithm.CSharp/ContinuousFutureRolloverMinuteExchangeTimeZoneAheadOfDataWithInitialSeedRegressionAlgorithm.cs b/Algorithm.CSharp/ContinuousFutureRolloverMinuteExchangeTimeZoneAheadOfDataWithInitialSeedRegressionAlgorithm.cs new file mode 100644 index 000000000000..6774f5fcdc9e --- /dev/null +++ b/Algorithm.CSharp/ContinuousFutureRolloverMinuteExchangeTimeZoneAheadOfDataWithInitialSeedRegressionAlgorithm.cs @@ -0,0 +1,34 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. + * +*/ + +namespace QuantConnect.Algorithm.CSharp +{ + /// + /// Base class for regression algorithms testing that when a continuous future rollover happens, + /// the continuous contract is updated correctly with the new contract data. + /// The algorithms asserts the behavior for the case when the exchange time zone is ahead of the data time zone. + /// + public class ContinuousFutureRolloverMinuteExchangeTimeZoneAheadOfDataWithInitialSeedRegressionAlgorithm + : ContinuousFutureRolloverMinuteExchangeTimeZoneAheadOfDataRegressionAlgorithm + { + protected override bool SeedIntialPrices => true; + + /// + /// Data Points count of the algorithm history + /// + public override int AlgorithmHistoryDataPoints => 1958; + } +} diff --git a/Algorithm.CSharp/ContinuousFutureRolloverMinuteExchangeTimeZoneBehindOfDataWithInitialSeedRegressionAlgorithm.cs b/Algorithm.CSharp/ContinuousFutureRolloverMinuteExchangeTimeZoneBehindOfDataWithInitialSeedRegressionAlgorithm.cs new file mode 100644 index 000000000000..7531da4271dd --- /dev/null +++ b/Algorithm.CSharp/ContinuousFutureRolloverMinuteExchangeTimeZoneBehindOfDataWithInitialSeedRegressionAlgorithm.cs @@ -0,0 +1,34 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. + * +*/ + +namespace QuantConnect.Algorithm.CSharp +{ + /// + /// Base class for regression algorithms testing that when a continuous future rollover happens, + /// the continuous contract is updated correctly with the new contract data. + /// The algorithms asserts the behavior for the case when the exchange time zone is behind of the data time zone. + /// + public class ContinuousFutureRolloverMinuteExchangeTimeZoneBehindOfDataWithInitialSeedRegressionAlgorithm + : ContinuousFutureRolloverMinuteExchangeTimeZoneBehindOfDataRegressionAlgorithm + { + protected override bool SeedIntialPrices => true; + + /// + /// Data Points count of the algorithm history + /// + public override int AlgorithmHistoryDataPoints => 892; + } +} diff --git a/Algorithm.CSharp/ContinuousFutureRolloverMinuteExchangeTimeZoneSameAsDataWithInitialSeedRegressionAlgorithm.cs b/Algorithm.CSharp/ContinuousFutureRolloverMinuteExchangeTimeZoneSameAsDataWithInitialSeedRegressionAlgorithm.cs new file mode 100644 index 000000000000..cc2cc354c353 --- /dev/null +++ b/Algorithm.CSharp/ContinuousFutureRolloverMinuteExchangeTimeZoneSameAsDataWithInitialSeedRegressionAlgorithm.cs @@ -0,0 +1,34 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. + * +*/ + +namespace QuantConnect.Algorithm.CSharp +{ + /// + /// Base class for regression algorithms testing that when a continuous future rollover happens, + /// the continuous contract is updated correctly with the new contract data. + /// The algorithms asserts the behavior for the case when the data time zone is the same as the exchange time zone. + /// + public class ContinuousFutureRolloverMinuteExchangeTimeZoneSameAsDataWithInitialSeedRegressionAlgorithm + : ContinuousFutureRolloverMinuteExchangeTimeZoneSameAsDataRegressionAlgorithm + { + protected override bool SeedIntialPrices => true; + + /// + /// Data Points count of the algorithm history + /// + public override int AlgorithmHistoryDataPoints => 668; + } +} diff --git a/Algorithm.CSharp/CoveredAndProtectiveCallStrategiesAlgorithm.cs b/Algorithm.CSharp/CoveredAndProtectiveCallStrategiesAlgorithm.cs index 25d0f8626653..d87fe16fa006 100644 --- a/Algorithm.CSharp/CoveredAndProtectiveCallStrategiesAlgorithm.cs +++ b/Algorithm.CSharp/CoveredAndProtectiveCallStrategiesAlgorithm.cs @@ -138,10 +138,10 @@ protected override void LiquidateStrategy() {"Treynor Ratio", "0"}, {"Total Fees", "$4.60"}, {"Estimated Strategy Capacity", "$120000.00"}, - {"Lowest Capacity Asset", "GOOCV WBGM92QHIYO6|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV WBGM92QHN8ZQ|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "32.18%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "c0e25967c528ec4b1281f25a7735ed92"} + {"OrderListHash", "f8b1dfb65e4795a7929e7f3a3edd0205"} }; } } diff --git a/Algorithm.CSharp/CoveredAndProtectivePutStrategiesAlgorithm.cs b/Algorithm.CSharp/CoveredAndProtectivePutStrategiesAlgorithm.cs index 7821533a836c..9d2d3700cdc1 100644 --- a/Algorithm.CSharp/CoveredAndProtectivePutStrategiesAlgorithm.cs +++ b/Algorithm.CSharp/CoveredAndProtectivePutStrategiesAlgorithm.cs @@ -138,10 +138,10 @@ protected override void LiquidateStrategy() {"Treynor Ratio", "0"}, {"Total Fees", "$4.60"}, {"Estimated Strategy Capacity", "$160000.00"}, - {"Lowest Capacity Asset", "GOOCV 30AKMEIPOSS1Y|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 30AKMEIPOX2DI|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "32.12%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "6a09be0b3b0ec11848f3b2c520234332"} + {"OrderListHash", "3f95cba29e9c396bc19c0d47a889dbfb"} }; } } diff --git a/Algorithm.CSharp/CoveredCallComboLimitOrderAlgorithm.cs b/Algorithm.CSharp/CoveredCallComboLimitOrderAlgorithm.cs index cc4628f61c1b..bb36e456b12a 100644 --- a/Algorithm.CSharp/CoveredCallComboLimitOrderAlgorithm.cs +++ b/Algorithm.CSharp/CoveredCallComboLimitOrderAlgorithm.cs @@ -43,7 +43,7 @@ public override void Initialize() var option = AddOption(equity.Symbol); _optionSymbol = option.Symbol; - option.SetFilter(u => u.Strikes(-1, +1).Expiration(0, 30)); + option.SetFilter(u => u.StandardsOnly().Strikes(-1, +1).Expiration(0, 30)); } /// /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. @@ -70,7 +70,7 @@ public override void OnData(Slice slice) var legs = new List { Leg.Create(atmContract.Symbol, -1), Leg.Create(atmContract.Symbol.Underlying, 100) }; var comboPrice = underlyingPrice - optionPrice; - if(comboPrice < 734m) + if (comboPrice < 734m) { // just to make sure the price makes sense throw new RegressionTestException($"Unexpected combo price {comboPrice}"); @@ -147,10 +147,10 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Treynor Ratio", "0"}, {"Total Fees", "$6.90"}, {"Estimated Strategy Capacity", "$8000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZFMEBBB2E|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZFMEBFLDY|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "227.27%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "94a9ae926f68c23d06d32af2b5a25fea"} + {"OrderListHash", "e36c11e174486d80060855efed57a2a9"} }; } } diff --git a/Algorithm.CSharp/CustomDataAutomaticSeedRegressionAlgorithm.cs b/Algorithm.CSharp/CustomDataAutomaticSeedRegressionAlgorithm.cs new file mode 100644 index 000000000000..11751eaade2d --- /dev/null +++ b/Algorithm.CSharp/CustomDataAutomaticSeedRegressionAlgorithm.cs @@ -0,0 +1,232 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. +*/ + +using System; +using System.Collections.Generic; +using System.Globalization; +using Newtonsoft.Json; +using QuantConnect.Data; +using QuantConnect.Interfaces; + +namespace QuantConnect.Algorithm.CSharp +{ + /// + /// Regression test to assert that custom data is seeded by default + /// + public class CustomDataAutomaticSeedRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition + { + public override void Initialize() + { + SetStartDate(2020, 01, 05); + SetEndDate(2020, 01, 10); + SetCash(100000); + + Settings.SeedInitialPrices = true; + + var resolution = Resolution.Daily; + var customData = AddData("BTC", resolution); + + if (!customData.HasData || customData.Price == 0) + { + throw new RegressionTestException("Custom data was not seeded with data on addition"); + } + + var seedData = customData.GetLastData(); + if (seedData is not Bitcoin) + { + throw new RegressionTestException("Custom data was not seeded with correct data type"); + } + } + + /// + /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm. + /// + public bool CanRunLocally { get; } = true; + + /// + /// This is used by the regression test system to indicate which languages this algorithm is written in. + /// + public List Languages { get; } = new() { Language.CSharp }; + + /// + /// Data Points count of all timeslices of algorithm + /// + public long DataPoints => 50; + + /// + /// Data Points count of the algorithm history + /// + public int AlgorithmHistoryDataPoints => 5; + + /// + /// Final status of the algorithm + /// + public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed; + + /// + /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm + /// + public Dictionary ExpectedStatistics => new Dictionary + { + {"Total Orders", "0"}, + {"Average Win", "0%"}, + {"Average Loss", "0%"}, + {"Compounding Annual Return", "0%"}, + {"Drawdown", "0%"}, + {"Expectancy", "0"}, + {"Start Equity", "100000"}, + {"End Equity", "100000"}, + {"Net Profit", "0%"}, + {"Sharpe Ratio", "0"}, + {"Sortino Ratio", "0"}, + {"Probabilistic Sharpe Ratio", "0%"}, + {"Loss Rate", "0%"}, + {"Win Rate", "0%"}, + {"Profit-Loss Ratio", "0"}, + {"Alpha", "0"}, + {"Beta", "0"}, + {"Annual Standard Deviation", "0"}, + {"Annual Variance", "0"}, + {"Information Ratio", "-9.259"}, + {"Tracking Error", "0.073"}, + {"Treynor Ratio", "0"}, + {"Total Fees", "$0.00"}, + {"Estimated Strategy Capacity", "$0"}, + {"Lowest Capacity Asset", ""}, + {"Portfolio Turnover", "0%"}, + {"Drawdown Recovery", "0"}, + {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"} + }; + + /// + /// Custom Data Type: Bitcoin data from Quandl - http://www.quandl.com/help/api-for-bitcoin-data + /// + public class Bitcoin : BaseData + { + [JsonProperty("timestamp")] + public int Timestamp { get; set; } + [JsonProperty("open")] + public decimal Open { get; set; } + [JsonProperty("high")] + public decimal High { get; set; } + [JsonProperty("low")] + public decimal Low { get; set; } + public decimal Mid { get; set; } + + [JsonProperty("last")] + public decimal Close { get; set; } + [JsonProperty("bid")] + public decimal Bid { get; set; } + [JsonProperty("ask")] + public decimal Ask { get; set; } + [JsonProperty("vwap")] + public decimal WeightedPrice { get; set; } + [JsonProperty("volume")] + public decimal VolumeBTC { get; set; } + + /// + /// The end time of this data. Some data covers spans (trade bars) + /// and as such we want to know the entire time span covered + /// + /// + /// This property is overriden to allow different values for Time and EndTime + /// if they are set in the Reader. In the base implementation EndTime equals Time + /// + public override DateTime EndTime { get; set; } + + /// + /// 1. DEFAULT CONSTRUCTOR: Custom data types need a default constructor. + /// We search for a default constructor so please provide one here. It won't be used for data, just to generate the "Factory". + /// + public Bitcoin() + { + Symbol = "BTC"; + } + + /// + /// 2. RETURN THE STRING URL SOURCE LOCATION FOR YOUR DATA: + /// This is a powerful and dynamic select source file method. If you have a large dataset, 10+mb we recommend you break it into smaller files. E.g. One zip per year. + /// We can accept raw text or ZIP files. We read the file extension to determine if it is a zip file. + /// + /// Configuration object + /// Date of this source file + /// true if we're in live mode, false for backtesting mode + /// String URL of source file. + public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode) + { + if (isLiveMode) + { + return new SubscriptionDataSource("https://www.bitstamp.net/api/ticker/", SubscriptionTransportMedium.Rest); + } + + //return "http://my-ftp-server.com/futures-data-" + date.ToString("Ymd") + ".zip"; + // OR simply return a fixed small data file. Large files will slow down your backtest + return new SubscriptionDataSource("https://www.quantconnect.com/api/v2/proxy/nasdaq/api/v3/datatables/QDL/BITFINEX.csv?code=BTCUSD&api_key=qAWKpUfmSVFnU3bRQwKy") + { + Sort = true + }; + } + + /// + /// 3. READER METHOD: Read 1 line from data source and convert it into Object. + /// Each line of the CSV File is presented in here. The backend downloads your file, loads it into memory and then line by line + /// feeds it into your algorithm + /// + /// string line from the data source file submitted above + /// Subscription data, symbol name, data type + /// Current date we're requesting. This allows you to break up the data source into daily files. + /// true if we're in live mode, false for backtesting mode + /// New Bitcoin Object which extends BaseData. + public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode) + { + var coin = new Bitcoin(); + if (isLiveMode) + { + //Example Line Format: + //{"high": "441.00", "last": "421.86", "timestamp": "1411606877", "bid": "421.96", "vwap": "428.58", "volume": "14120.40683975", "low": "418.83", "ask": "421.99"} + try + { + coin = JsonConvert.DeserializeObject(line); + coin.EndTime = DateTime.UtcNow.ConvertFromUtc(config.ExchangeTimeZone); + coin.Value = coin.Close; + } + catch { /* Do nothing, possible error in json decoding */ } + return coin; + } + + //Example Line Format: + // code date high low mid last bid ask volume + // BTCUSD 2024-10-08 63248.0 61940.0 62246.5 62245.0 62246.0 62247.0 477.91102114 + try + { + string[] data = line.Split(','); + coin.Time = DateTime.Parse(data[1], CultureInfo.InvariantCulture); + coin.EndTime = coin.Time.AddDays(1); + coin.High = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture); + coin.Low = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture); + coin.Mid = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture); + coin.Close = Convert.ToDecimal(data[5], CultureInfo.InvariantCulture); + coin.Bid = Convert.ToDecimal(data[6], CultureInfo.InvariantCulture); + coin.Ask = Convert.ToDecimal(data[7], CultureInfo.InvariantCulture); + coin.VolumeBTC = Convert.ToDecimal(data[8], CultureInfo.InvariantCulture); + coin.Value = coin.Close; + } + catch { /* Do nothing, skip first title row */ } + + return coin; + } + } + } +} diff --git a/Algorithm.CSharp/CustomDataPropertiesRegressionAlgorithm.cs b/Algorithm.CSharp/CustomDataPropertiesRegressionAlgorithm.cs index 1534c82ea0dc..fba19955843a 100644 --- a/Algorithm.CSharp/CustomDataPropertiesRegressionAlgorithm.cs +++ b/Algorithm.CSharp/CustomDataPropertiesRegressionAlgorithm.cs @@ -198,7 +198,6 @@ public class Bitcoin : BaseData /// public Bitcoin() { - Symbol = "BTC"; } /// @@ -237,7 +236,7 @@ public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, /// New Bitcoin Object which extends BaseData. public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode) { - var coin = new Bitcoin(); + var coin = new Bitcoin() { Symbol = config.Symbol }; if (isLiveMode) { //Example Line Format: diff --git a/Algorithm.CSharp/CustomDataWorksWithDifferentExchangesRegressionAlgorithm.cs b/Algorithm.CSharp/CustomDataWorksWithDifferentExchangesRegressionAlgorithm.cs index 71cf23798821..fc7a4360f09e 100644 --- a/Algorithm.CSharp/CustomDataWorksWithDifferentExchangesRegressionAlgorithm.cs +++ b/Algorithm.CSharp/CustomDataWorksWithDifferentExchangesRegressionAlgorithm.cs @@ -83,7 +83,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 60; + public int AlgorithmHistoryDataPoints => 5; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/CustomOptionAssignmentRegressionAlgorithm.cs b/Algorithm.CSharp/CustomOptionAssignmentRegressionAlgorithm.cs index e53cc9836cc6..2c2c8c2360b8 100644 --- a/Algorithm.CSharp/CustomOptionAssignmentRegressionAlgorithm.cs +++ b/Algorithm.CSharp/CustomOptionAssignmentRegressionAlgorithm.cs @@ -83,10 +83,10 @@ public override OptionAssignmentResult GetAssignment(OptionAssignmentParameters {"Treynor Ratio", "-0.115"}, {"Total Fees", "$2.00"}, {"Estimated Strategy Capacity", "$4800000.00"}, - {"Lowest Capacity Asset", "GOOCV 305RBQ20WHPNQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 305RBQ20WLZZA|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "26.72%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "fb2bef182af109f6441ae739d826f39f"} + {"OrderListHash", "20f33e143b62ee896aa56f85dd2aa2e8"} }; } } diff --git a/Algorithm.CSharp/CustomOptionExerciseModelRegressionAlgorithm.cs b/Algorithm.CSharp/CustomOptionExerciseModelRegressionAlgorithm.cs index c1df92e98d8f..cb57aea29042 100644 --- a/Algorithm.CSharp/CustomOptionExerciseModelRegressionAlgorithm.cs +++ b/Algorithm.CSharp/CustomOptionExerciseModelRegressionAlgorithm.cs @@ -91,10 +91,10 @@ public override IEnumerable OptionExercise(Option option, OptionExer {"Treynor Ratio", "-3.295"}, {"Total Fees", "$16.00"}, {"Estimated Strategy Capacity", "$87000.00"}, - {"Lowest Capacity Asset", "GOOCV 305RBQ20WHPNQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 305RBQ20WLZZA|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "10.93%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "8133cb99a1a9f9e9335bc98def3cc624"} + {"OrderListHash", "19b8f2a8081c3cfa8f6bc02b5d045765"} }; } } diff --git a/Algorithm.CSharp/CustomSecurityInitializerAlgorithm.cs b/Algorithm.CSharp/CustomSecurityInitializerAlgorithm.cs index e30e808caf64..ae4ba351d154 100644 --- a/Algorithm.CSharp/CustomSecurityInitializerAlgorithm.cs +++ b/Algorithm.CSharp/CustomSecurityInitializerAlgorithm.cs @@ -1,4 +1,4 @@ -/* +/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * diff --git a/Algorithm.CSharp/DailyHistoryForDailyResolutionRegressionAlgorithm.cs b/Algorithm.CSharp/DailyHistoryForDailyResolutionRegressionAlgorithm.cs index 93479ffcf571..093d906eda8f 100644 --- a/Algorithm.CSharp/DailyHistoryForDailyResolutionRegressionAlgorithm.cs +++ b/Algorithm.CSharp/DailyHistoryForDailyResolutionRegressionAlgorithm.cs @@ -101,7 +101,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 564; + public int AlgorithmHistoryDataPoints => 458; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/DailyHistoryForMinuteResolutionRegressionAlgorithm.cs b/Algorithm.CSharp/DailyHistoryForMinuteResolutionRegressionAlgorithm.cs index 5394ffa04328..35c4e458624c 100644 --- a/Algorithm.CSharp/DailyHistoryForMinuteResolutionRegressionAlgorithm.cs +++ b/Algorithm.CSharp/DailyHistoryForMinuteResolutionRegressionAlgorithm.cs @@ -103,7 +103,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 43089; + public int AlgorithmHistoryDataPoints => 15307; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/DailyOptionChainOpenInterestDataWithStrictDailyEndTimesRegressionAlgorithm.cs b/Algorithm.CSharp/DailyOptionChainOpenInterestDataWithStrictDailyEndTimesRegressionAlgorithm.cs index 575f79648c14..999fb1e70620 100644 --- a/Algorithm.CSharp/DailyOptionChainOpenInterestDataWithStrictDailyEndTimesRegressionAlgorithm.cs +++ b/Algorithm.CSharp/DailyOptionChainOpenInterestDataWithStrictDailyEndTimesRegressionAlgorithm.cs @@ -40,7 +40,7 @@ public override void Initialize() SetEndDate(2014, 07, 06); var option = AddOption("AAPL", Resolution.Daily); - option.SetFilter(-5, +5, 0, 365); + option.SetFilter(u => u.StandardsOnly().Strikes(-5, +5).Expiration(0, 365)); _symbol = option.Symbol; } @@ -81,7 +81,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public virtual long DataPoints => 47132; + public virtual long DataPoints => 47140; /// /// Data Points count of the algorithm history @@ -117,7 +117,7 @@ public override void OnEndOfAlgorithm() {"Beta", "0"}, {"Annual Standard Deviation", "0"}, {"Annual Variance", "0"}, - {"Information Ratio", "-5.732"}, + {"Information Ratio", "-6.035"}, {"Tracking Error", "0.05"}, {"Treynor Ratio", "0"}, {"Total Fees", "$0.00"}, diff --git a/Algorithm.CSharp/DailyOptionChainOpenInterestDataWithoutStrictDailyEndTimesRegressionAlgorithm.cs b/Algorithm.CSharp/DailyOptionChainOpenInterestDataWithoutStrictDailyEndTimesRegressionAlgorithm.cs index ff07abc720c4..74b04bd5cd77 100644 --- a/Algorithm.CSharp/DailyOptionChainOpenInterestDataWithoutStrictDailyEndTimesRegressionAlgorithm.cs +++ b/Algorithm.CSharp/DailyOptionChainOpenInterestDataWithoutStrictDailyEndTimesRegressionAlgorithm.cs @@ -26,6 +26,6 @@ public class DailyOptionChainOpenInterestDataWithoutStrictDailyEndTimesRegressio /// /// Data Points count of all timeslices of algorithm /// - public override long DataPoints => 46264; + public override long DataPoints => 46271; } } diff --git a/Algorithm.CSharp/DailyResolutionVsTimeSpanRegressionAlgorithm.cs b/Algorithm.CSharp/DailyResolutionVsTimeSpanRegressionAlgorithm.cs index a937d9ba2150..eeba2f06f68a 100644 --- a/Algorithm.CSharp/DailyResolutionVsTimeSpanRegressionAlgorithm.cs +++ b/Algorithm.CSharp/DailyResolutionVsTimeSpanRegressionAlgorithm.cs @@ -38,7 +38,7 @@ public override void Initialize() Settings.DailyPreciseEndTime = DailyPreciseEndTime; - // First RSI: Updates at market close (4 PM) by default + // First RSI: Updates at market close (4 PM) by default // If DailyPreciseEndTime is false, updates at midnight (12:00 AM) RelativeStrengthIndex1 = new RelativeStrengthIndex(14, MovingAverageType.Wilders); RegisterIndicator(Spy, RelativeStrengthIndex1, Resolution.Daily); diff --git a/Algorithm.CSharp/DailyResolutionVsTimeSpanWithSecondEquityAlgorithm.cs b/Algorithm.CSharp/DailyResolutionVsTimeSpanWithSecondEquityAlgorithm.cs index d4431df85d44..a5b6bbc19eae 100644 --- a/Algorithm.CSharp/DailyResolutionVsTimeSpanWithSecondEquityAlgorithm.cs +++ b/Algorithm.CSharp/DailyResolutionVsTimeSpanWithSecondEquityAlgorithm.cs @@ -17,7 +17,7 @@ namespace QuantConnect.Algorithm.CSharp { - public class DailyResolutionVsTimeSpanWithSecondResolutionEquityAlgorithm : DailyResolutionVsTimeSpanRegressionAlgorithm + public class DailyResolutionVsTimeSpanWithSecondEquityAlgorithm : DailyResolutionVsTimeSpanRegressionAlgorithm { protected override void InitializeBaseSettings() { @@ -62,7 +62,8 @@ protected override void InitializeBaseSettings() {"Estimated Strategy Capacity", "$0"}, {"Lowest Capacity Asset", ""}, {"Portfolio Turnover", "0%"}, + {"Drawdown Recovery", "0"}, {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"} }; } -} \ No newline at end of file +} diff --git a/Algorithm.CSharp/DefaultFutureChainRegressionAlgorithm.cs b/Algorithm.CSharp/DefaultFutureChainRegressionAlgorithm.cs index 05de0d98977d..9ac3347d43d9 100644 --- a/Algorithm.CSharp/DefaultFutureChainRegressionAlgorithm.cs +++ b/Algorithm.CSharp/DefaultFutureChainRegressionAlgorithm.cs @@ -62,7 +62,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes) /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 70735; + public long DataPoints => 70736; /// /// Data Points count of the algorithm history diff --git a/Algorithm.CSharp/DefaultMarginComboOrderRegressionAlgorithm.cs b/Algorithm.CSharp/DefaultMarginComboOrderRegressionAlgorithm.cs index 794a1afd7551..e776b7f00fb5 100644 --- a/Algorithm.CSharp/DefaultMarginComboOrderRegressionAlgorithm.cs +++ b/Algorithm.CSharp/DefaultMarginComboOrderRegressionAlgorithm.cs @@ -82,7 +82,7 @@ protected override void AssertState(OrderTicket ticket, int expectedGroupCount, {"Lowest Capacity Asset", ""}, {"Portfolio Turnover", "0%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "2d5054cdc5dd7701845823749255ce1c"} + {"OrderListHash", "73b6f756bf1eacbe11b72be54bc13103"} }; } } diff --git a/Algorithm.CSharp/DefaultMarginMultipleOrdersRegressionAlgorithm.cs b/Algorithm.CSharp/DefaultMarginMultipleOrdersRegressionAlgorithm.cs index 90e1257b675d..c457a2fe4a29 100644 --- a/Algorithm.CSharp/DefaultMarginMultipleOrdersRegressionAlgorithm.cs +++ b/Algorithm.CSharp/DefaultMarginMultipleOrdersRegressionAlgorithm.cs @@ -82,7 +82,7 @@ protected override void AssertState(OrderTicket ticket, int expectedGroupCount, {"Lowest Capacity Asset", ""}, {"Portfolio Turnover", "0%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "d9133c55f97224d3fd291607d75a6aeb"} + {"OrderListHash", "f5636192a24570f4a1a95ee49e4073a8"} }; } } diff --git a/Algorithm.CSharp/DelayedSettlementAfterManualSecurityRemovalAlgorithm.cs b/Algorithm.CSharp/DelayedSettlementAfterManualSecurityRemovalAlgorithm.cs index e26d5fa9794f..43c24c4e1c93 100644 --- a/Algorithm.CSharp/DelayedSettlementAfterManualSecurityRemovalAlgorithm.cs +++ b/Algorithm.CSharp/DelayedSettlementAfterManualSecurityRemovalAlgorithm.cs @@ -105,7 +105,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 7122; + public long DataPoints => 7123; /// /// Data Points count of the algorithm history @@ -146,10 +146,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "0"}, {"Total Fees", "$2.00"}, {"Estimated Strategy Capacity", "$720000.00"}, - {"Lowest Capacity Asset", "GOOCV WHEA9CWI9A86|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV WHEA9CWIDKJQ|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "11.63%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "65ac4f8e4de760fec3809bf1aa3e0e9c"} + {"OrderListHash", "d0d7b2b1f483d16e72863ecf3bbc3ed6"} }; } } diff --git a/Algorithm.CSharp/DelistedFutureLiquidateFromChainAndContinuousMidnightExpiryRegressionAlgorithm.cs b/Algorithm.CSharp/DelistedFutureLiquidateFromChainAndContinuousMidnightExpiryRegressionAlgorithm.cs new file mode 100644 index 000000000000..cb08750a51df --- /dev/null +++ b/Algorithm.CSharp/DelistedFutureLiquidateFromChainAndContinuousMidnightExpiryRegressionAlgorithm.cs @@ -0,0 +1,76 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. + * +*/ + +using System.Collections.Generic; +using QuantConnect.Securities; + +namespace QuantConnect.Algorithm.CSharp +{ + /// + /// Regression algorithm asserting that a future contract selected by both the continuous future and + /// the future chain universes gets liquidated on delisting and that the algorithm receives the correct + /// security addition/removal notifications. + /// + /// This algorithm uses Gold futures with midnight expiry time to reproduce an edge case where + /// the delisting data instance and the universe deselection happen in the same loop but without a particular order. + /// + /// This partly reproduces GH issue https://github.com/QuantConnect/Lean/issues/9092 + /// + public class DelistedFutureLiquidateFromChainAndContinuousMidnightExpiryRegressionAlgorithm : DelistedFutureLiquidateFromChainAndContinuousRegressionAlgorithm + { + protected override string FutureTicker => Futures.Metals.Gold; + + /// + /// Data Points count of all timeslices of algorithm + /// + public override long DataPoints => 317492; + + /// + /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm + /// + public override Dictionary ExpectedStatistics => new Dictionary + { + {"Total Orders", "2"}, + {"Average Win", "0%"}, + {"Average Loss", "-5.18%"}, + {"Compounding Annual Return", "-20.700%"}, + {"Drawdown", "6.400%"}, + {"Expectancy", "-1"}, + {"Start Equity", "100000"}, + {"End Equity", "94817.53"}, + {"Net Profit", "-5.182%"}, + {"Sharpe Ratio", "-2.965"}, + {"Sortino Ratio", "-3.407"}, + {"Probabilistic Sharpe Ratio", "0.000%"}, + {"Loss Rate", "100%"}, + {"Win Rate", "0%"}, + {"Profit-Loss Ratio", "0"}, + {"Alpha", "-0.064"}, + {"Beta", "-0.2"}, + {"Annual Standard Deviation", "0.048"}, + {"Annual Variance", "0.002"}, + {"Information Ratio", "-4.899"}, + {"Tracking Error", "0.11"}, + {"Treynor Ratio", "0.716"}, + {"Total Fees", "$2.47"}, + {"Estimated Strategy Capacity", "$1400000.00"}, + {"Lowest Capacity Asset", "GC VL5E74HP3EE5"}, + {"Portfolio Turnover", "3.18%"}, + {"Drawdown Recovery", "0"}, + {"OrderListHash", "c197fe000cd6d7f2fd84860f7086d730"} + }; + } +} diff --git a/Algorithm.CSharp/DelistedFutureLiquidateFromChainAndContinuousRegressionAlgorithm.cs b/Algorithm.CSharp/DelistedFutureLiquidateFromChainAndContinuousRegressionAlgorithm.cs new file mode 100644 index 000000000000..873f7a015838 --- /dev/null +++ b/Algorithm.CSharp/DelistedFutureLiquidateFromChainAndContinuousRegressionAlgorithm.cs @@ -0,0 +1,196 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. + * +*/ + +using System; +using System.Collections.Generic; +using System.Linq; +using QuantConnect.Data; +using QuantConnect.Data.UniverseSelection; +using QuantConnect.Interfaces; +using QuantConnect.Orders; +using QuantConnect.Securities; +using QuantConnect.Securities.Future; + +namespace QuantConnect.Algorithm.CSharp +{ + /// + /// Regression algorithm asserting that a future contract selected by both the continuous future and + /// the future chain universes gets liquidated on delisting and that the algorithm receives the correct + /// security addition/removal notifications. + /// + /// This partly reproduces GH issue https://github.com/QuantConnect/Lean/issues/9092 + /// + public class DelistedFutureLiquidateFromChainAndContinuousRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition + { + private Symbol _contractSymbol; + + private Future _continuousFuture; + + private DateTime _internalContractRemovalTime; + private DateTime _contractRemovalTime; + + protected virtual string FutureTicker => Futures.Indices.SP500EMini; + + public override void Initialize() + { + SetStartDate(2013, 10, 08); + SetEndDate(2013, 12, 30); + + _continuousFuture = AddFuture(FutureTicker); + _continuousFuture.SetFilter(0, 182); + } + + public override void OnData(Slice slice) + { + if (_contractSymbol == null) + { + foreach (var chain in slice.FutureChains) + { + // Make sure the mapped contract is in the chain, that is, is selected by both universes + if (chain.Value.Any(x => x.Symbol == _continuousFuture.Mapped)) + { + _contractSymbol = _continuousFuture.Mapped; + var ticket = MarketOrder(_contractSymbol, 1); + + if (ticket.Status != OrderStatus.Filled) + { + throw new RegressionTestException($"Order should be filled: {ticket}"); + } + } + } + } + } + + public override void OnSecuritiesChanged(SecurityChanges changes) + { + if (changes.RemovedSecurities.Any(x => x.Symbol == _contractSymbol)) + { + if (_contractRemovalTime != default) + { + throw new RegressionTestException($"Contract {_contractSymbol} was removed multiple times"); + } + _contractRemovalTime = Time; + } + else + { + changes.FilterInternalSecurities = false; + if (changes.RemovedSecurities.Any(x => x.Symbol == _contractSymbol)) + { + if (_internalContractRemovalTime != default) + { + throw new RegressionTestException($"Contract {_contractSymbol} was removed multiple times as internal subscription"); + } + _internalContractRemovalTime = Time; + } + } + } + + public override void OnEndOfAlgorithm() + { + if (_contractSymbol == null) + { + throw new RegressionTestException("No contract was ever traded"); + } + + if (_internalContractRemovalTime == default) + { + throw new RegressionTestException($"Contract {_contractSymbol} was not removed from the algorithm"); + } + + if (_contractRemovalTime == default) + { + throw new RegressionTestException($"Contract {_contractSymbol} was not removed from the algorithm as external subscription"); + } + + // The internal subscription should be removed first (on continuous future mapping), + // and the regular subscription later (on delisting) + if (_contractRemovalTime < _internalContractRemovalTime) + { + throw new RegressionTestException($"Contract {_contractSymbol} was removed from the algorithm as aregular subscription before internal subscription"); + } + + if (Securities[_contractSymbol].Invested) + { + throw new RegressionTestException($"Position should be closed when {_contractSymbol} got delisted {_contractSymbol.ID.Date}"); + } + } + + public override void OnOrderEvent(OrderEvent orderEvent) + { + Log($"{orderEvent}. Delisting on: {_contractSymbol.ID.Date}"); + } + + /// + /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm. + /// + public bool CanRunLocally { get; } = true; + + /// + /// This is used by the regression test system to indicate which languages this algorithm is written in. + /// + public List Languages { get; } = new() { Language.CSharp }; + + /// + /// Data Points count of all timeslices of algorithm + /// + public virtual long DataPoints => 288140; + + /// + /// Data Points count of the algorithm history + /// + public int AlgorithmHistoryDataPoints => 0; + + /// + /// Final status of the algorithm + /// + public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed; + + /// + /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm + /// + public virtual Dictionary ExpectedStatistics => new Dictionary + { + {"Total Orders", "2"}, + {"Average Win", "7.02%"}, + {"Average Loss", "0%"}, + {"Compounding Annual Return", "34.386%"}, + {"Drawdown", "1.500%"}, + {"Expectancy", "0"}, + {"Start Equity", "100000"}, + {"End Equity", "107016.6"}, + {"Net Profit", "7.017%"}, + {"Sharpe Ratio", "3.217"}, + {"Sortino Ratio", "0"}, + {"Probabilistic Sharpe Ratio", "99.828%"}, + {"Loss Rate", "0%"}, + {"Win Rate", "100%"}, + {"Profit-Loss Ratio", "0"}, + {"Alpha", "0.228"}, + {"Beta", "0.108"}, + {"Annual Standard Deviation", "0.084"}, + {"Annual Variance", "0.007"}, + {"Information Ratio", "-1.122"}, + {"Tracking Error", "0.112"}, + {"Treynor Ratio", "2.501"}, + {"Total Fees", "$2.15"}, + {"Estimated Strategy Capacity", "$1700000000.00"}, + {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"}, + {"Portfolio Turnover", "2.01%"}, + {"Drawdown Recovery", "16"}, + {"OrderListHash", "640ce720644ff0b580687e80105d0a92"} + }; + } +} diff --git a/Algorithm.CSharp/DelistedFutureLiquidateRegressionAlgorithm.cs b/Algorithm.CSharp/DelistedFutureLiquidateRegressionAlgorithm.cs index e5c1fe8c119f..f1294c24de1f 100644 --- a/Algorithm.CSharp/DelistedFutureLiquidateRegressionAlgorithm.cs +++ b/Algorithm.CSharp/DelistedFutureLiquidateRegressionAlgorithm.cs @@ -18,6 +18,7 @@ using System.Collections.Generic; using System.Linq; using QuantConnect.Data; +using QuantConnect.Data.UniverseSelection; using QuantConnect.Interfaces; using QuantConnect.Orders; using QuantConnect.Securities; @@ -30,6 +31,7 @@ namespace QuantConnect.Algorithm.CSharp public class DelistedFutureLiquidateRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition { private Symbol _contractSymbol; + private bool _contractRemoved; protected virtual Resolution Resolution => Resolution.Minute; /// @@ -65,8 +67,21 @@ public override void OnData(Slice slice) } } + public override void OnSecuritiesChanged(SecurityChanges changes) + { + if (changes.RemovedSecurities.Any(x => x.Symbol == _contractSymbol)) + { + _contractRemoved = true; + } + } + public override void OnEndOfAlgorithm() { + if (!_contractRemoved) + { + throw new RegressionTestException($"Contract {_contractSymbol} was not removed from the algorithm"); + } + Log($"{_contractSymbol}: {Securities[_contractSymbol].Invested}"); if (Securities[_contractSymbol].Invested) { diff --git a/Algorithm.CSharp/DelistedIndexOptionDivestedRegression.cs b/Algorithm.CSharp/DelistedIndexOptionDivestedRegression.cs index 67f8274cad0a..2e9c1ccf8c4a 100644 --- a/Algorithm.CSharp/DelistedIndexOptionDivestedRegression.cs +++ b/Algorithm.CSharp/DelistedIndexOptionDivestedRegression.cs @@ -120,7 +120,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 17099; + public long DataPoints => 17100; /// /// Data Points count of the algorithm history @@ -161,10 +161,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "1.124"}, {"Total Fees", "$0.00"}, {"Estimated Strategy Capacity", "$1000000.00"}, - {"Lowest Capacity Asset", "SPX 31KC0UJFONTBI|SPX 31"}, + {"Lowest Capacity Asset", "SPX 31KC0UJFOS3N2|SPX 31"}, {"Portfolio Turnover", "1.24%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "4d70dc21785d91df8755e1499f3f68e1"} + {"OrderListHash", "eea2a6b8ea827058d695cd5a7bb338ab"} }; } } diff --git a/Algorithm.CSharp/DelistingEventsAlgorithm.cs b/Algorithm.CSharp/DelistingEventsAlgorithm.cs index a6da34f2c290..5cd03a378246 100644 --- a/Algorithm.CSharp/DelistingEventsAlgorithm.cs +++ b/Algorithm.CSharp/DelistingEventsAlgorithm.cs @@ -153,7 +153,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 86; + public long DataPoints => 87; /// /// Data Points count of the algorithm history diff --git a/Algorithm.CSharp/DelistingFutureOptionDailyRegressionAlgorithm.cs b/Algorithm.CSharp/DelistingFutureOptionDailyRegressionAlgorithm.cs index 30d53f928fef..e64888704c58 100644 --- a/Algorithm.CSharp/DelistingFutureOptionDailyRegressionAlgorithm.cs +++ b/Algorithm.CSharp/DelistingFutureOptionDailyRegressionAlgorithm.cs @@ -59,10 +59,10 @@ public class DelistingFutureOptionDailyRegressionAlgorithm : DelistingFutureOpti {"Treynor Ratio", "-84.756"}, {"Total Fees", "$1.42"}, {"Estimated Strategy Capacity", "$540000000.00"}, - {"Lowest Capacity Asset", "ES XCZJLDREXSX0|ES XCZJLC9NOB29"}, + {"Lowest Capacity Asset", "ES XCZJLDRF238K|ES XCZJLC9NOB29"}, {"Portfolio Turnover", "0.04%"}, {"Drawdown Recovery", "3"}, - {"OrderListHash", "f8c078f0d4552a15538508966a440c5a"} + {"OrderListHash", "11ac76bc66928a5e97e064281f6e7ef5"} }; } } diff --git a/Algorithm.CSharp/DelistingFutureOptionRegressionAlgorithm.cs b/Algorithm.CSharp/DelistingFutureOptionRegressionAlgorithm.cs index 905a66fd4763..79fcc59031c8 100644 --- a/Algorithm.CSharp/DelistingFutureOptionRegressionAlgorithm.cs +++ b/Algorithm.CSharp/DelistingFutureOptionRegressionAlgorithm.cs @@ -146,10 +146,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "-15.266"}, {"Total Fees", "$11.36"}, {"Estimated Strategy Capacity", "$65000000.00"}, - {"Lowest Capacity Asset", "ES XCZJLDQX2SRO|ES XCZJLC9NOB29"}, + {"Lowest Capacity Asset", "ES XCZJLDQR8R1G|ES XCZJLC9NOB29"}, {"Portfolio Turnover", "0.16%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "224292a1aace8a0895ea272d84714eac"} + {"OrderListHash", "f9210adc1afc4460146528006675e734"} }; } } diff --git a/Algorithm.CSharp/DuplicateOptionAssignmentRegressionAlgorithm.cs b/Algorithm.CSharp/DuplicateOptionAssignmentRegressionAlgorithm.cs index 30368ac2610b..0e412d41a747 100644 --- a/Algorithm.CSharp/DuplicateOptionAssignmentRegressionAlgorithm.cs +++ b/Algorithm.CSharp/DuplicateOptionAssignmentRegressionAlgorithm.cs @@ -213,7 +213,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 2849; + public long DataPoints => 2850; /// /// Data Points count of the algorithm history @@ -254,10 +254,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "1.883"}, {"Total Fees", "$1.00"}, {"Estimated Strategy Capacity", "$1300000.00"}, - {"Lowest Capacity Asset", "GOOCV 305RBQ20WHPNQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 305RBQ20WLZZA|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "7.07%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "fff8641650865d3ac20351d33ac9b204"} + {"OrderListHash", "79ecc4dd8b045ddf0aa38057b8eb69bf"} }; } } diff --git a/Algorithm.CSharp/EmitInsightCryptoCashAccountType.cs b/Algorithm.CSharp/EmitInsightCryptoCashAccountType.cs index 6ea12e46f3e1..528bfc773784 100644 --- a/Algorithm.CSharp/EmitInsightCryptoCashAccountType.cs +++ b/Algorithm.CSharp/EmitInsightCryptoCashAccountType.cs @@ -74,7 +74,7 @@ public override void OnData(Slice slice) /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 120; + public int AlgorithmHistoryDataPoints => 15; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/EquityTickQuoteAdjustedModeRegressionAlgorithm.cs b/Algorithm.CSharp/EquityTickQuoteAdjustedModeRegressionAlgorithm.cs index 07060346811c..0d7c0dfc6e59 100644 --- a/Algorithm.CSharp/EquityTickQuoteAdjustedModeRegressionAlgorithm.cs +++ b/Algorithm.CSharp/EquityTickQuoteAdjustedModeRegressionAlgorithm.cs @@ -125,7 +125,7 @@ public override void OnData(Slice slice) {"Lowest Capacity Asset", "IBM R735QTJ8XC9X"}, {"Portfolio Turnover", "39.89%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "32f56b0f4e9300ef1a34464e8083c7e7"} + {"OrderListHash", "d2af4746a4d01ca4d0ce0b0c44f30451"} }; } } diff --git a/Algorithm.CSharp/EuropeanOptionsCannotBeExercisedBeforeExpiryRegressionAlgorithm.cs b/Algorithm.CSharp/EuropeanOptionsCannotBeExercisedBeforeExpiryRegressionAlgorithm.cs index 9b8c72812632..3f9ce0cc1038 100644 --- a/Algorithm.CSharp/EuropeanOptionsCannotBeExercisedBeforeExpiryRegressionAlgorithm.cs +++ b/Algorithm.CSharp/EuropeanOptionsCannotBeExercisedBeforeExpiryRegressionAlgorithm.cs @@ -160,33 +160,33 @@ public override void OnEndOfAlgorithm() public Dictionary ExpectedStatistics => new Dictionary { {"Total Orders", "2"}, - {"Average Win", "0.68%"}, + {"Average Win", "2.19%"}, {"Average Loss", "0%"}, - {"Compounding Annual Return", "24.075%"}, - {"Drawdown", "1.900%"}, + {"Compounding Annual Return", "100.016%"}, + {"Drawdown", "3.600%"}, {"Expectancy", "0"}, {"Start Equity", "200000"}, - {"End Equity", "201354"}, - {"Net Profit", "0.677%"}, - {"Sharpe Ratio", "5.76"}, + {"End Equity", "204384"}, + {"Net Profit", "2.192%"}, + {"Sharpe Ratio", "9.169"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "89.644%"}, + {"Probabilistic Sharpe Ratio", "92.918%"}, {"Loss Rate", "0%"}, {"Win Rate", "100%"}, {"Profit-Loss Ratio", "0"}, - {"Alpha", "0.946"}, - {"Beta", "-0.354"}, - {"Annual Standard Deviation", "0.123"}, - {"Annual Variance", "0.015"}, - {"Information Ratio", "0.211"}, - {"Tracking Error", "0.176"}, - {"Treynor Ratio", "-2.004"}, + {"Alpha", "3.002"}, + {"Beta", "-0.818"}, + {"Annual Standard Deviation", "0.268"}, + {"Annual Variance", "0.072"}, + {"Information Ratio", "5.749"}, + {"Tracking Error", "0.31"}, + {"Treynor Ratio", "-2.999"}, {"Total Fees", "$0.00"}, - {"Estimated Strategy Capacity", "$1700000.00"}, - {"Lowest Capacity Asset", "SPX XL80P3HB5O6M|SPX 31"}, - {"Portfolio Turnover", "0.35%"}, + {"Estimated Strategy Capacity", "$420000.00"}, + {"Lowest Capacity Asset", "SPX XL80P3GHIA9A|SPX 31"}, + {"Portfolio Turnover", "2.37%"}, {"Drawdown Recovery", "10"}, - {"OrderListHash", "c511179c15aa167365cc1acb91b20bf3"} + {"OrderListHash", "0d2ccc2fdfa2b81bf71361c8248c4a59"} }; } } diff --git a/Algorithm.CSharp/FeeModelNotUsingAccountCurrency.cs b/Algorithm.CSharp/FeeModelNotUsingAccountCurrency.cs index 37a7b086d104..9b62692c94f9 100644 --- a/Algorithm.CSharp/FeeModelNotUsingAccountCurrency.cs +++ b/Algorithm.CSharp/FeeModelNotUsingAccountCurrency.cs @@ -157,7 +157,7 @@ public override OrderFee GetOrderFee(OrderFeeParameters parameters) /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 120; + public int AlgorithmHistoryDataPoints => 10; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/FillOutsideHoursTickResolutionAlgorithm.cs b/Algorithm.CSharp/FillOutsideHoursTickResolutionAlgorithm.cs index d5a7a5135e76..98c5dc69db51 100644 --- a/Algorithm.CSharp/FillOutsideHoursTickResolutionAlgorithm.cs +++ b/Algorithm.CSharp/FillOutsideHoursTickResolutionAlgorithm.cs @@ -85,7 +85,7 @@ public class FillOutsideHoursTickResolutionAlgorithm : FillOutsideHoursMinuteRes {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"}, {"Portfolio Turnover", "0.07%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "098dfba7feaa7389ceb7630aa7da2cfa"} + {"OrderListHash", "baab871855df123de17fb010951f55da"} }; } } diff --git a/Algorithm.CSharp/ForexInternalFeedOnDataHigherResolutionRegressionAlgorithm.cs b/Algorithm.CSharp/ForexInternalFeedOnDataHigherResolutionRegressionAlgorithm.cs index 67cd5c68356d..351c702226e7 100644 --- a/Algorithm.CSharp/ForexInternalFeedOnDataHigherResolutionRegressionAlgorithm.cs +++ b/Algorithm.CSharp/ForexInternalFeedOnDataHigherResolutionRegressionAlgorithm.cs @@ -136,12 +136,12 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 63; + public long DataPoints => 64; /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 120; + public int AlgorithmHistoryDataPoints => 10; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/ForexInternalFeedOnDataSameResolutionRegressionAlgorithm.cs b/Algorithm.CSharp/ForexInternalFeedOnDataSameResolutionRegressionAlgorithm.cs index ca10ee0aaf4d..c405536d0315 100644 --- a/Algorithm.CSharp/ForexInternalFeedOnDataSameResolutionRegressionAlgorithm.cs +++ b/Algorithm.CSharp/ForexInternalFeedOnDataSameResolutionRegressionAlgorithm.cs @@ -135,12 +135,12 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 31; + public long DataPoints => 32; /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 120; + public int AlgorithmHistoryDataPoints => 10; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/ForexMultiResolutionRegressionAlgorithm.cs b/Algorithm.CSharp/ForexMultiResolutionRegressionAlgorithm.cs index 2bd99298e9ee..9f4d5dea4e4b 100644 --- a/Algorithm.CSharp/ForexMultiResolutionRegressionAlgorithm.cs +++ b/Algorithm.CSharp/ForexMultiResolutionRegressionAlgorithm.cs @@ -93,7 +93,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 189; + public int AlgorithmHistoryDataPoints => 55; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/FractionalQuantityRegressionAlgorithm.cs b/Algorithm.CSharp/FractionalQuantityRegressionAlgorithm.cs index 684749ad17ce..da5b1d807ca9 100644 --- a/Algorithm.CSharp/FractionalQuantityRegressionAlgorithm.cs +++ b/Algorithm.CSharp/FractionalQuantityRegressionAlgorithm.cs @@ -101,7 +101,7 @@ private void DataConsolidated(object sender, TradeBar e) /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 60; + public int AlgorithmHistoryDataPoints => 10; /// /// Final status of the algorithm @@ -119,7 +119,7 @@ private void DataConsolidated(object sender, TradeBar e) {"Compounding Annual Return", "1497.266%"}, {"Drawdown", "5.500%"}, {"Expectancy", "1.339"}, - {"Start Equity", "100000.0"}, + {"Start Equity", "100000.00"}, {"End Equity", "113775.23"}, {"Net Profit", "13.775%"}, {"Sharpe Ratio", "4.906"}, diff --git a/Algorithm.CSharp/FutureOptionBuySellCallIntradayRegressionAlgorithm.cs b/Algorithm.CSharp/FutureOptionBuySellCallIntradayRegressionAlgorithm.cs index 91421f786d28..30f7d51069f1 100644 --- a/Algorithm.CSharp/FutureOptionBuySellCallIntradayRegressionAlgorithm.cs +++ b/Algorithm.CSharp/FutureOptionBuySellCallIntradayRegressionAlgorithm.cs @@ -112,7 +112,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 309282; + public long DataPoints => 309286; /// /// Data Points count of the algorithm history @@ -153,10 +153,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "3.785"}, {"Total Fees", "$2.84"}, {"Estimated Strategy Capacity", "$120000000.00"}, - {"Lowest Capacity Asset", "ES XFH59UPBIJ7O|ES XFH59UK0MYO1"}, + {"Lowest Capacity Asset", "ES XFH59UPBMTJ8|ES XFH59UK0MYO1"}, {"Portfolio Turnover", "3.67%"}, {"Drawdown Recovery", "74"}, - {"OrderListHash", "c4be2f5b6bff9e6fae4a675a973e2f27"} + {"OrderListHash", "6e17a52c917383260dcf0345567a1ea9"} }; } } diff --git a/Algorithm.CSharp/FutureOptionCallITMExpiryRegressionAlgorithm.cs b/Algorithm.CSharp/FutureOptionCallITMExpiryRegressionAlgorithm.cs index d2bf2a388807..f569f7d2140e 100644 --- a/Algorithm.CSharp/FutureOptionCallITMExpiryRegressionAlgorithm.cs +++ b/Algorithm.CSharp/FutureOptionCallITMExpiryRegressionAlgorithm.cs @@ -200,7 +200,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 212196; + public long DataPoints => 212198; /// /// Data Points count of the algorithm history @@ -241,10 +241,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "-21.841"}, {"Total Fees", "$1.42"}, {"Estimated Strategy Capacity", "$120000000.00"}, - {"Lowest Capacity Asset", "ES XFH59UPBIJ7O|ES XFH59UK0MYO1"}, + {"Lowest Capacity Asset", "ES XFH59UPBMTJ8|ES XFH59UK0MYO1"}, {"Portfolio Turnover", "1.94%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "0fcfb38b639ae544952fd313fbc76077"} + {"OrderListHash", "a7d2aa89bb101a77fdbc04890235f83c"} }; } } diff --git a/Algorithm.CSharp/FutureOptionCallITMGreeksExpiryRegressionAlgorithm.cs b/Algorithm.CSharp/FutureOptionCallITMGreeksExpiryRegressionAlgorithm.cs index de5fc1efe60a..12a2775e3bbb 100644 --- a/Algorithm.CSharp/FutureOptionCallITMGreeksExpiryRegressionAlgorithm.cs +++ b/Algorithm.CSharp/FutureOptionCallITMGreeksExpiryRegressionAlgorithm.cs @@ -165,7 +165,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 212196; + public long DataPoints => 212198; /// /// Data Points count of the algorithm history @@ -206,10 +206,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "-18.59"}, {"Total Fees", "$7.10"}, {"Estimated Strategy Capacity", "$24000000.00"}, - {"Lowest Capacity Asset", "ES XFH59UPBIJ7O|ES XFH59UK0MYO1"}, + {"Lowest Capacity Asset", "ES XFH59UPBMTJ8|ES XFH59UK0MYO1"}, {"Portfolio Turnover", "12.22%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "355dbab2e93d7a62b073b6e6cd4557c2"} + {"OrderListHash", "1d4a9403cd69b8510f15d100acdffa26"} }; } } diff --git a/Algorithm.CSharp/FutureOptionCallOTMExpiryRegressionAlgorithm.cs b/Algorithm.CSharp/FutureOptionCallOTMExpiryRegressionAlgorithm.cs index 303f518fa80a..2225385ab1c4 100644 --- a/Algorithm.CSharp/FutureOptionCallOTMExpiryRegressionAlgorithm.cs +++ b/Algorithm.CSharp/FutureOptionCallOTMExpiryRegressionAlgorithm.cs @@ -176,7 +176,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 212196; + public long DataPoints => 212198; /// /// Data Points count of the algorithm history @@ -217,10 +217,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "-23.065"}, {"Total Fees", "$1.42"}, {"Estimated Strategy Capacity", "$180000000.00"}, - {"Lowest Capacity Asset", "ES XFH59UPHGV9G|ES XFH59UK0MYO1"}, + {"Lowest Capacity Asset", "ES XFH59UPHL5L0|ES XFH59UK0MYO1"}, {"Portfolio Turnover", "0.02%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "1d3c36cec32b24e8911d87d7b9730192"} + {"OrderListHash", "d84cd529c8535b576d63c0f9c29635c3"} }; } } diff --git a/Algorithm.CSharp/FutureOptionChainFullDataRegressionAlgorithm.cs b/Algorithm.CSharp/FutureOptionChainFullDataRegressionAlgorithm.cs index c6a9984a1911..970699ae6d2e 100644 --- a/Algorithm.CSharp/FutureOptionChainFullDataRegressionAlgorithm.cs +++ b/Algorithm.CSharp/FutureOptionChainFullDataRegressionAlgorithm.cs @@ -119,10 +119,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$34601.14"}, {"Estimated Strategy Capacity", "$0"}, - {"Lowest Capacity Asset", "ES XCZJLCGM383O|ES XCZJLC9NOB29"}, + {"Lowest Capacity Asset", "ES XCZJLCGM7IF8|ES XCZJLC9NOB29"}, {"Portfolio Turnover", "112.25%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "2bef4eb69857dcfbda06009e2b712ac2"} + {"OrderListHash", "4000aa7b360b9146b9f184d0cc188980"} }; } } diff --git a/Algorithm.CSharp/FutureOptionChainsMultipleFullDataRegressionAlgorithm.cs b/Algorithm.CSharp/FutureOptionChainsMultipleFullDataRegressionAlgorithm.cs index 48d529f7d648..a2fb0a1903a3 100644 --- a/Algorithm.CSharp/FutureOptionChainsMultipleFullDataRegressionAlgorithm.cs +++ b/Algorithm.CSharp/FutureOptionChainsMultipleFullDataRegressionAlgorithm.cs @@ -139,10 +139,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$19016.64"}, {"Estimated Strategy Capacity", "$0"}, - {"Lowest Capacity Asset", "ES XCZJLCGM383O|ES XCZJLC9NOB29"}, + {"Lowest Capacity Asset", "ES XCZJLCGM7IF8|ES XCZJLC9NOB29"}, {"Portfolio Turnover", "49.52%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "4e1e5bc330f892d94a23a887d002133e"} + {"OrderListHash", "8ef148c1100cb53bdd6a833c7a958974"} }; } } diff --git a/Algorithm.CSharp/FutureOptionDailyRegressionAlgorithm.cs b/Algorithm.CSharp/FutureOptionDailyRegressionAlgorithm.cs index 1fda2484099c..7267e6cd17bc 100644 --- a/Algorithm.CSharp/FutureOptionDailyRegressionAlgorithm.cs +++ b/Algorithm.CSharp/FutureOptionDailyRegressionAlgorithm.cs @@ -159,10 +159,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "0"}, {"Total Fees", "$2.84"}, {"Estimated Strategy Capacity", "$0"}, - {"Lowest Capacity Asset", "ES XCZJLCEYJVLW|ES XCZJLC9NOB29"}, + {"Lowest Capacity Asset", "ES XCZJLCEYO5XG|ES XCZJLC9NOB29"}, {"Portfolio Turnover", "4.24%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "3917ccec8393e2505e9a5183bccfd237"} + {"OrderListHash", "ea4b22620e9435d7fa80888b8bd7be87"} }; } } diff --git a/Algorithm.CSharp/FutureOptionHourlyRegressionAlgorithm.cs b/Algorithm.CSharp/FutureOptionHourlyRegressionAlgorithm.cs index 8f768898fd53..0a91efe93c1f 100644 --- a/Algorithm.CSharp/FutureOptionHourlyRegressionAlgorithm.cs +++ b/Algorithm.CSharp/FutureOptionHourlyRegressionAlgorithm.cs @@ -104,10 +104,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$2.84"}, {"Estimated Strategy Capacity", "$3000.00"}, - {"Lowest Capacity Asset", "ES XCZJLCEYJVLW|ES XCZJLC9NOB29"}, + {"Lowest Capacity Asset", "ES XCZJLCEYO5XG|ES XCZJLC9NOB29"}, {"Portfolio Turnover", "4.90%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "66d11399fe18d95de2821f2e456500ab"} + {"OrderListHash", "10661c6d84f71ca7e07e2fdf5b79851b"} }; } } diff --git a/Algorithm.CSharp/FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm.cs b/Algorithm.CSharp/FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm.cs index 8a9a8fcfa3c2..f3f8d0968b54 100644 --- a/Algorithm.CSharp/FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm.cs +++ b/Algorithm.CSharp/FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm.cs @@ -150,10 +150,10 @@ private static Symbol CreateOption(DateTime expiry, OptionRight optionRight, dec {"Treynor Ratio", "0.451"}, {"Total Fees", "$9.88"}, {"Estimated Strategy Capacity", "$31000000.00"}, - {"Lowest Capacity Asset", "OG 31BFX0QKBVPGG|GC XE1Y0ZJ8NQ8T"}, + {"Lowest Capacity Asset", "OG 31BFX0QKBZZS0|GC XE1Y0ZJ8NQ8T"}, {"Portfolio Turnover", "2.65%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "06e076b1b516ea2c7a67401867467740"} + {"OrderListHash", "9b619fad030ef229690386aabbaedb4d"} }; } } diff --git a/Algorithm.CSharp/FutureOptionPutITMExpiryRegressionAlgorithm.cs b/Algorithm.CSharp/FutureOptionPutITMExpiryRegressionAlgorithm.cs index 195a0da6cab9..f76a2c2b166d 100644 --- a/Algorithm.CSharp/FutureOptionPutITMExpiryRegressionAlgorithm.cs +++ b/Algorithm.CSharp/FutureOptionPutITMExpiryRegressionAlgorithm.cs @@ -201,7 +201,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 212196; + public long DataPoints => 212198; /// /// Data Points count of the algorithm history @@ -242,10 +242,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "-36.3"}, {"Total Fees", "$1.42"}, {"Estimated Strategy Capacity", "$79000000.00"}, - {"Lowest Capacity Asset", "ES 31EL5FAOOQON8|ES XFH59UK0MYO1"}, + {"Lowest Capacity Asset", "ES 31EL5FAOOUYYS|ES XFH59UK0MYO1"}, {"Portfolio Turnover", "1.98%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "20da5994dd627b414fb7b589eefa4d5c"} + {"OrderListHash", "a4de58a3a31739f593c8a1ed099bad10"} }; } } diff --git a/Algorithm.CSharp/FutureOptionPutOTMExpiryRegressionAlgorithm.cs b/Algorithm.CSharp/FutureOptionPutOTMExpiryRegressionAlgorithm.cs index 7749e276aa90..8abe7d085383 100644 --- a/Algorithm.CSharp/FutureOptionPutOTMExpiryRegressionAlgorithm.cs +++ b/Algorithm.CSharp/FutureOptionPutOTMExpiryRegressionAlgorithm.cs @@ -174,7 +174,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 212196; + public long DataPoints => 212198; /// /// Data Points count of the algorithm history @@ -215,10 +215,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "-32.556"}, {"Total Fees", "$1.42"}, {"Estimated Strategy Capacity", "$290000000.00"}, - {"Lowest Capacity Asset", "ES 31EL5FBZBMXES|ES XFH59UK0MYO1"}, + {"Lowest Capacity Asset", "ES 31EL5FBZBR7QC|ES XFH59UK0MYO1"}, {"Portfolio Turnover", "0.03%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "c00499f16e60faf91708e5c1c4fcf851"} + {"OrderListHash", "01fc084078bdca7ec7d409f7bb398c14"} }; } } diff --git a/Algorithm.CSharp/FutureOptionShortCallITMExpiryRegressionAlgorithm.cs b/Algorithm.CSharp/FutureOptionShortCallITMExpiryRegressionAlgorithm.cs index 6171e8e877fc..daf89dbb3b41 100644 --- a/Algorithm.CSharp/FutureOptionShortCallITMExpiryRegressionAlgorithm.cs +++ b/Algorithm.CSharp/FutureOptionShortCallITMExpiryRegressionAlgorithm.cs @@ -185,7 +185,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 212196; + public long DataPoints => 212198; /// /// Data Points count of the algorithm history @@ -226,10 +226,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "-13.127"}, {"Total Fees", "$1.42"}, {"Estimated Strategy Capacity", "$13000000.00"}, - {"Lowest Capacity Asset", "ES XFH59UP5K75W|ES XFH59UK0MYO1"}, + {"Lowest Capacity Asset", "ES XFH59UP5OHHG|ES XFH59UK0MYO1"}, {"Portfolio Turnover", "1.79%"}, {"Drawdown Recovery", "165"}, - {"OrderListHash", "ea7c72a493aa29a52a5f782fc741d391"} + {"OrderListHash", "51a7c148e25c56692d0ed5971483f04d"} }; } } diff --git a/Algorithm.CSharp/FutureOptionShortCallOTMExpiryRegressionAlgorithm.cs b/Algorithm.CSharp/FutureOptionShortCallOTMExpiryRegressionAlgorithm.cs index 2f2fbf4c2a70..d1e49db4e09d 100644 --- a/Algorithm.CSharp/FutureOptionShortCallOTMExpiryRegressionAlgorithm.cs +++ b/Algorithm.CSharp/FutureOptionShortCallOTMExpiryRegressionAlgorithm.cs @@ -168,7 +168,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 212196; + public long DataPoints => 212198; /// /// Data Points count of the algorithm history @@ -209,10 +209,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "-11.048"}, {"Total Fees", "$1.42"}, {"Estimated Strategy Capacity", "$100000000.00"}, - {"Lowest Capacity Asset", "ES XFH59UPNF7B8|ES XFH59UK0MYO1"}, + {"Lowest Capacity Asset", "ES XFH59UPNJHMS|ES XFH59UK0MYO1"}, {"Portfolio Turnover", "0.01%"}, {"Drawdown Recovery", "165"}, - {"OrderListHash", "2b83fbaa9c10a1a9c65ecd779bd40b94"} + {"OrderListHash", "3e39f8bdb373b371999835fbf680eef8"} }; } } diff --git a/Algorithm.CSharp/FutureOptionShortPutITMExpiryRegressionAlgorithm.cs b/Algorithm.CSharp/FutureOptionShortPutITMExpiryRegressionAlgorithm.cs index 2f6987508d2a..99a75a59b56e 100644 --- a/Algorithm.CSharp/FutureOptionShortPutITMExpiryRegressionAlgorithm.cs +++ b/Algorithm.CSharp/FutureOptionShortPutITMExpiryRegressionAlgorithm.cs @@ -182,7 +182,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 212196; + public long DataPoints => 212198; /// /// Data Points count of the algorithm history @@ -223,10 +223,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "-41.831"}, {"Total Fees", "$1.42"}, {"Estimated Strategy Capacity", "$12000000.00"}, - {"Lowest Capacity Asset", "ES 31EL5FAOUP0P0|ES XFH59UK0MYO1"}, + {"Lowest Capacity Asset", "ES 31EL5FAOUTB0K|ES XFH59UK0MYO1"}, {"Portfolio Turnover", "1.87%"}, {"Drawdown Recovery", "165"}, - {"OrderListHash", "cc0e2d8195b87d37b842de7224eac8f0"} + {"OrderListHash", "3ced70635b9a6a1ff260a0f8706e9fff"} }; } } diff --git a/Algorithm.CSharp/FutureOptionShortPutOTMExpiryRegressionAlgorithm.cs b/Algorithm.CSharp/FutureOptionShortPutOTMExpiryRegressionAlgorithm.cs index 16df8db5397e..7fb1e141f109 100644 --- a/Algorithm.CSharp/FutureOptionShortPutOTMExpiryRegressionAlgorithm.cs +++ b/Algorithm.CSharp/FutureOptionShortPutOTMExpiryRegressionAlgorithm.cs @@ -167,7 +167,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 212196; + public long DataPoints => 212198; /// /// Data Points count of the algorithm history @@ -208,10 +208,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "-24.076"}, {"Total Fees", "$1.42"}, {"Estimated Strategy Capacity", "$110000000.00"}, - {"Lowest Capacity Asset", "ES 31EL5FAJQ6SBO|ES XFH59UK0MYO1"}, + {"Lowest Capacity Asset", "ES 31EL5FAJQB2N8|ES XFH59UK0MYO1"}, {"Portfolio Turnover", "0.02%"}, {"Drawdown Recovery", "165"}, - {"OrderListHash", "a4f512c607cf1ec56f3d76ede17728dd"} + {"OrderListHash", "ddc3a9d7483eb53bac7313682f4b7d0f"} }; } } diff --git a/Algorithm.CSharp/FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm.cs b/Algorithm.CSharp/FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm.cs index 3f803da513f9..ab85a2583e82 100644 --- a/Algorithm.CSharp/FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm.cs +++ b/Algorithm.CSharp/FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm.cs @@ -178,7 +178,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 212942; + public long DataPoints => 212944; /// /// Data Points count of the algorithm history @@ -222,7 +222,7 @@ public override void OnEndOfAlgorithm() {"Lowest Capacity Asset", "ES XFH59UK0MYO1"}, {"Portfolio Turnover", "1.04%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "873800e40d1b38b08fc1764cd578bb4a"} + {"OrderListHash", "6ef08dcc3239de1821ecaa4bbdee41ab"} }; } } diff --git a/Algorithm.CSharp/FuturesAutomaticSeedRegressionAlgorithm.cs b/Algorithm.CSharp/FuturesAutomaticSeedRegressionAlgorithm.cs new file mode 100644 index 000000000000..e6233f05cdd9 --- /dev/null +++ b/Algorithm.CSharp/FuturesAutomaticSeedRegressionAlgorithm.cs @@ -0,0 +1,87 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. + * +*/ + +using QuantConnect.Data.UniverseSelection; +using QuantConnect.Securities; + +namespace QuantConnect.Algorithm.CSharp +{ + /// + /// Regression algorithm asserting that futures and future option contracts added via universe selection + /// get automatically seeded by default + /// + public class FuturesAutomaticSeedRegressionAlgorithm : AutomaticSeedBaseRegressionAlgorithm + { + private bool _futureContractsAdded; + private bool _fopsContractsAdded; + + protected override bool ShouldHaveTradeData => true; + protected override bool ShouldHaveQuoteData => false; + protected override bool ShouldHaveOpenInterestData => true; + + public override void Initialize() + { + SetStartDate(2020, 01, 07); + SetEndDate(2020, 01, 07); + SetCash(100000); + + Settings.SeedInitialPrices = true; + + var futures = AddFuture(Futures.Indices.SP500EMini); + futures.SetFilter(0, 365); + + AddFutureOption(futures.Symbol, universe => universe.Strikes(-5, +5)); + } + + public override void OnSecuritiesChanged(SecurityChanges changes) + { + base.OnSecuritiesChanged(changes); + + if (!_futureContractsAdded || !_fopsContractsAdded) + { + foreach (var addedSecurity in changes.AddedSecurities) + { + // Just making sure we had the data to select and seed futures and future options + _futureContractsAdded |= addedSecurity.Symbol.SecurityType == SecurityType.Future; + _fopsContractsAdded |= addedSecurity.Symbol.SecurityType == SecurityType.FutureOption; + } + } + } + + public override void OnEndOfAlgorithm() + { + if (!_futureContractsAdded) + { + throw new RegressionTestException("No option contracts were added"); + } + + if (!_fopsContractsAdded) + { + throw new RegressionTestException("No future option contracts were added"); + } + } + + /// + /// Data Points count of all timeslices of algorithm + /// + public override long DataPoints => 448; + + /// + /// Data Points count of the algorithm history + /// + public override int AlgorithmHistoryDataPoints => 453; + } +} diff --git a/Algorithm.CSharp/HSIFutureDailyRegressionAlgorithm.cs b/Algorithm.CSharp/HSIFutureDailyRegressionAlgorithm.cs index 2529ddccfa1c..2c851fdfc754 100644 --- a/Algorithm.CSharp/HSIFutureDailyRegressionAlgorithm.cs +++ b/Algorithm.CSharp/HSIFutureDailyRegressionAlgorithm.cs @@ -36,7 +36,7 @@ public class HSIFutureDailyRegressionAlgorithm : HSIFutureHourRegressionAlgorith /// /// Data Points count of the algorithm history /// - public override int AlgorithmHistoryDataPoints => 17; + public override int AlgorithmHistoryDataPoints => 115; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/HSIFutureHourRegressionAlgorithm.cs b/Algorithm.CSharp/HSIFutureHourRegressionAlgorithm.cs index 637b42ed7b31..7cc7211d1371 100644 --- a/Algorithm.CSharp/HSIFutureHourRegressionAlgorithm.cs +++ b/Algorithm.CSharp/HSIFutureHourRegressionAlgorithm.cs @@ -166,7 +166,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes) /// /// Data Points count of the algorithm history /// - public virtual int AlgorithmHistoryDataPoints => 30; + public virtual int AlgorithmHistoryDataPoints => 133; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/HistoryProviderManagerRegressionAlgorithm.cs b/Algorithm.CSharp/HistoryProviderManagerRegressionAlgorithm.cs index 07499a1fd0ad..1490fd859681 100644 --- a/Algorithm.CSharp/HistoryProviderManagerRegressionAlgorithm.cs +++ b/Algorithm.CSharp/HistoryProviderManagerRegressionAlgorithm.cs @@ -77,7 +77,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 14061; + public int AlgorithmHistoryDataPoints => 100; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/ImmediateExecutionModelWorksWithBinanceFeeModel.cs b/Algorithm.CSharp/ImmediateExecutionModelWorksWithBinanceFeeModel.cs index fcd4655a458b..d6a75735c42e 100644 --- a/Algorithm.CSharp/ImmediateExecutionModelWorksWithBinanceFeeModel.cs +++ b/Algorithm.CSharp/ImmediateExecutionModelWorksWithBinanceFeeModel.cs @@ -75,7 +75,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 60; + public int AlgorithmHistoryDataPoints => 5; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/IndexOptionBuySellCallIntradayRegressionAlgorithm.cs b/Algorithm.CSharp/IndexOptionBuySellCallIntradayRegressionAlgorithm.cs index 960e03d52d7c..f85442ad3521 100644 --- a/Algorithm.CSharp/IndexOptionBuySellCallIntradayRegressionAlgorithm.cs +++ b/Algorithm.CSharp/IndexOptionBuySellCallIntradayRegressionAlgorithm.cs @@ -118,7 +118,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 32143; + public long DataPoints => 32144; /// /// Data Points count of the algorithm history @@ -159,10 +159,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "3.118"}, {"Total Fees", "$0.00"}, {"Estimated Strategy Capacity", "$0"}, - {"Lowest Capacity Asset", "SPX XL80P3HB5O6M|SPX 31"}, + {"Lowest Capacity Asset", "SPX XL80P3HB9YI6|SPX 31"}, {"Portfolio Turnover", "0.51%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "ff967a551873aa872879d0a11d043679"} + {"OrderListHash", "9237e1fd3cf099a47a2adae18f91aa2f"} }; } } diff --git a/Algorithm.CSharp/IndexOptionCallITMExpiryDailyRegressionAlgorithm.cs b/Algorithm.CSharp/IndexOptionCallITMExpiryDailyRegressionAlgorithm.cs index 3e2abc926a20..470c0d737abe 100644 --- a/Algorithm.CSharp/IndexOptionCallITMExpiryDailyRegressionAlgorithm.cs +++ b/Algorithm.CSharp/IndexOptionCallITMExpiryDailyRegressionAlgorithm.cs @@ -38,7 +38,7 @@ public override void Initialize() /// /// Data Points count of all timeslices of algorithm /// - public override long DataPoints => 195; + public override long DataPoints => 196; /// /// Data Points count of the algorithm history @@ -74,10 +74,10 @@ public override void Initialize() {"Treynor Ratio", "-7.99"}, {"Total Fees", "$0.00"}, {"Estimated Strategy Capacity", "$0"}, - {"Lowest Capacity Asset", "SPX XL80P3GHDZXQ|SPX 31"}, + {"Lowest Capacity Asset", "SPX XL80P3GHIA9A|SPX 31"}, {"Portfolio Turnover", "1.90%"}, {"Drawdown Recovery", "9"}, - {"OrderListHash", "fce4ce6f25578a0ec8e7efa272b2dd02"} + {"OrderListHash", "b02af3819f796241269614e0ebf49964"} }; } } diff --git a/Algorithm.CSharp/IndexOptionCallITMExpiryRegressionAlgorithm.cs b/Algorithm.CSharp/IndexOptionCallITMExpiryRegressionAlgorithm.cs index b1d352df2867..dd29a2052f9f 100644 --- a/Algorithm.CSharp/IndexOptionCallITMExpiryRegressionAlgorithm.cs +++ b/Algorithm.CSharp/IndexOptionCallITMExpiryRegressionAlgorithm.cs @@ -170,7 +170,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public virtual long DataPoints => 19908; + public virtual long DataPoints => 19909; /// /// Data Points count of the algorithm history @@ -211,10 +211,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "-7.347"}, {"Total Fees", "$0.00"}, {"Estimated Strategy Capacity", "$0"}, - {"Lowest Capacity Asset", "SPX XL80P3GHDZXQ|SPX 31"}, + {"Lowest Capacity Asset", "SPX XL80P3GHIA9A|SPX 31"}, {"Portfolio Turnover", "1.95%"}, {"Drawdown Recovery", "9"}, - {"OrderListHash", "da367473fff3a12856ba2194d2bb2006"} + {"OrderListHash", "59551fdea61b6d4436ffd4a60aed1f40"} }; } } diff --git a/Algorithm.CSharp/IndexOptionCallITMGreeksExpiryRegressionAlgorithm.cs b/Algorithm.CSharp/IndexOptionCallITMGreeksExpiryRegressionAlgorithm.cs index 9983b1e39f6e..77a743213691 100644 --- a/Algorithm.CSharp/IndexOptionCallITMGreeksExpiryRegressionAlgorithm.cs +++ b/Algorithm.CSharp/IndexOptionCallITMGreeksExpiryRegressionAlgorithm.cs @@ -156,7 +156,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 19908; + public long DataPoints => 19909; /// /// Data Points count of the algorithm history @@ -197,10 +197,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "-8.141"}, {"Total Fees", "$0.00"}, {"Estimated Strategy Capacity", "$59000000.00"}, - {"Lowest Capacity Asset", "SPX XL80P3GHDZXQ|SPX 31"}, + {"Lowest Capacity Asset", "SPX XL80P3GHIA9A|SPX 31"}, {"Portfolio Turnover", "2.19%"}, {"Drawdown Recovery", "9"}, - {"OrderListHash", "1a742c2ab3442846f82ddb3728f814ef"} + {"OrderListHash", "5b8ec5478b149dc9adfb09ea6407af82"} }; } } diff --git a/Algorithm.CSharp/IndexOptionCallOTMExpiryDailyRegressionAlgorithm.cs b/Algorithm.CSharp/IndexOptionCallOTMExpiryDailyRegressionAlgorithm.cs index 50931610ec93..a31b987ebb34 100644 --- a/Algorithm.CSharp/IndexOptionCallOTMExpiryDailyRegressionAlgorithm.cs +++ b/Algorithm.CSharp/IndexOptionCallOTMExpiryDailyRegressionAlgorithm.cs @@ -38,7 +38,7 @@ public override void Initialize() /// /// Data Points count of all timeslices of algorithm /// - public override long DataPoints => 185; + public override long DataPoints => 186; /// /// Data Points count of the algorithm history @@ -74,10 +74,10 @@ public override void Initialize() {"Treynor Ratio", "-32.969"}, {"Total Fees", "$0.00"}, {"Estimated Strategy Capacity", "$0"}, - {"Lowest Capacity Asset", "SPX XL80P59H5E6M|SPX 31"}, + {"Lowest Capacity Asset", "SPX XL80P59H9OI6|SPX 31"}, {"Portfolio Turnover", "0.00%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "adfa67772fb1a7f40d65922cbe180c8e"} + {"OrderListHash", "0a8db8bba3b2198ba4675fc909426c35"} }; } } diff --git a/Algorithm.CSharp/IndexOptionCallOTMExpiryRegressionAlgorithm.cs b/Algorithm.CSharp/IndexOptionCallOTMExpiryRegressionAlgorithm.cs index 02e5a96e0fee..1b42c4bacf34 100644 --- a/Algorithm.CSharp/IndexOptionCallOTMExpiryRegressionAlgorithm.cs +++ b/Algorithm.CSharp/IndexOptionCallOTMExpiryRegressionAlgorithm.cs @@ -178,7 +178,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public virtual long DataPoints => 15941; + public virtual long DataPoints => 15942; /// /// Data Points count of the algorithm history @@ -219,10 +219,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "-32.969"}, {"Total Fees", "$0.00"}, {"Estimated Strategy Capacity", "$22000.00"}, - {"Lowest Capacity Asset", "SPX XL80P59H5E6M|SPX 31"}, + {"Lowest Capacity Asset", "SPX XL80P59H9OI6|SPX 31"}, {"Portfolio Turnover", "0.00%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "adfa67772fb1a7f40d65922cbe180c8e"} + {"OrderListHash", "0a8db8bba3b2198ba4675fc909426c35"} }; } } diff --git a/Algorithm.CSharp/IndexOptionChainApisConsistencyRegressionAlgorithm.cs b/Algorithm.CSharp/IndexOptionChainApisConsistencyRegressionAlgorithm.cs index b6a759012d6e..d5b6c4b78931 100644 --- a/Algorithm.CSharp/IndexOptionChainApisConsistencyRegressionAlgorithm.cs +++ b/Algorithm.CSharp/IndexOptionChainApisConsistencyRegressionAlgorithm.cs @@ -36,5 +36,10 @@ protected override Option GetOption() /// Data Points count of all timeslices of algorithm /// public override long DataPoints => 2862; + + /// + /// Data Points count of the algorithm history + /// + public override int AlgorithmHistoryDataPoints => 2; } } diff --git a/Algorithm.CSharp/IndexOptionPutITMExpiryRegressionAlgorithm.cs b/Algorithm.CSharp/IndexOptionPutITMExpiryRegressionAlgorithm.cs index a40c5989f733..c3ac8a75e13c 100644 --- a/Algorithm.CSharp/IndexOptionPutITMExpiryRegressionAlgorithm.cs +++ b/Algorithm.CSharp/IndexOptionPutITMExpiryRegressionAlgorithm.cs @@ -185,7 +185,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 19890; + public long DataPoints => 19891; /// /// Data Points count of the algorithm history @@ -226,10 +226,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "-3.216"}, {"Total Fees", "$0.00"}, {"Estimated Strategy Capacity", "$0"}, - {"Lowest Capacity Asset", "SPX 31KC0UJHC75TA|SPX 31"}, + {"Lowest Capacity Asset", "SPX 31KC0UJHCBG4U|SPX 31"}, {"Portfolio Turnover", "1.94%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "318a374cfedd073d468f69c53f827323"} + {"OrderListHash", "3f315a4d5124203fb8ed466926314824"} }; } } diff --git a/Algorithm.CSharp/IndexOptionPutOTMExpiryRegressionAlgorithm.cs b/Algorithm.CSharp/IndexOptionPutOTMExpiryRegressionAlgorithm.cs index 20c7e750a1c9..399d03431b81 100644 --- a/Algorithm.CSharp/IndexOptionPutOTMExpiryRegressionAlgorithm.cs +++ b/Algorithm.CSharp/IndexOptionPutOTMExpiryRegressionAlgorithm.cs @@ -169,7 +169,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 19984; + public long DataPoints => 19985; /// /// Data Points count of the algorithm history @@ -210,10 +210,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "-5.965"}, {"Total Fees", "$0.00"}, {"Estimated Strategy Capacity", "$0"}, - {"Lowest Capacity Asset", "SPX 31KC0UJFONTBI|SPX 31"}, + {"Lowest Capacity Asset", "SPX 31KC0UJFOS3N2|SPX 31"}, {"Portfolio Turnover", "0.01%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "2a1eac1c8ef2e2696a7390231fc6073d"} + {"OrderListHash", "22c6e3e24145b1d57ef6a7f2b30108a7"} }; } } diff --git a/Algorithm.CSharp/IndexOptionScaledStrikeRegressionAlgorithm.cs b/Algorithm.CSharp/IndexOptionScaledStrikeRegressionAlgorithm.cs index 0dd64dd58b86..de392d6ae6ec 100644 --- a/Algorithm.CSharp/IndexOptionScaledStrikeRegressionAlgorithm.cs +++ b/Algorithm.CSharp/IndexOptionScaledStrikeRegressionAlgorithm.cs @@ -150,10 +150,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "1.7351225556608623E+28"}, {"Total Fees", "$0.00"}, {"Estimated Strategy Capacity", "$7000.00"}, - {"Lowest Capacity Asset", "NQX 31M220FF62ZSE|NDX 31"}, + {"Lowest Capacity Asset", "NQX 31M220FF67A3Y|NDX 31"}, {"Portfolio Turnover", "6.40%"}, {"Drawdown Recovery", "1"}, - {"OrderListHash", "0de4f8d2fcbb87307e5fe01c060dd44a"} + {"OrderListHash", "bbdd7eb2f738326a6184bc71d435c6cb"} }; } } diff --git a/Algorithm.CSharp/IndexOptionShortCallITMExpiryRegressionAlgorithm.cs b/Algorithm.CSharp/IndexOptionShortCallITMExpiryRegressionAlgorithm.cs index 594c18540930..91f0feb9ead6 100644 --- a/Algorithm.CSharp/IndexOptionShortCallITMExpiryRegressionAlgorithm.cs +++ b/Algorithm.CSharp/IndexOptionShortCallITMExpiryRegressionAlgorithm.cs @@ -183,7 +183,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 19908; + public long DataPoints => 19909; /// /// Data Points count of the algorithm history @@ -224,10 +224,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "-5.019"}, {"Total Fees", "$0.00"}, {"Estimated Strategy Capacity", "$0"}, - {"Lowest Capacity Asset", "SPX XL80P3GHDZXQ|SPX 31"}, + {"Lowest Capacity Asset", "SPX XL80P3GHIA9A|SPX 31"}, {"Portfolio Turnover", "0.19%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "1b0b0418d3290ea45c38f6c4db8285d2"} + {"OrderListHash", "358b15e6d71c9fab8de9f53e667df96e"} }; } } diff --git a/Algorithm.CSharp/IndexOptionShortCallOTMExpiryRegressionAlgorithm.cs b/Algorithm.CSharp/IndexOptionShortCallOTMExpiryRegressionAlgorithm.cs index 19f8a2cd96fd..b439ff57964b 100644 --- a/Algorithm.CSharp/IndexOptionShortCallOTMExpiryRegressionAlgorithm.cs +++ b/Algorithm.CSharp/IndexOptionShortCallOTMExpiryRegressionAlgorithm.cs @@ -163,7 +163,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 15941; + public long DataPoints => 15942; /// /// Data Points count of the algorithm history @@ -204,10 +204,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "14.02"}, {"Total Fees", "$0.00"}, {"Estimated Strategy Capacity", "$22000.00"}, - {"Lowest Capacity Asset", "SPX XL80P59H5E6M|SPX 31"}, + {"Lowest Capacity Asset", "SPX XL80P59H9OI6|SPX 31"}, {"Portfolio Turnover", "0.00%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "0b702d78062c1c50372b42bcd6ed2981"} + {"OrderListHash", "b2d0a0970bfbb57c5b20d251b0366e29"} }; } } diff --git a/Algorithm.CSharp/IndexOptionShortPutITMExpiryRegressionAlgorithm.cs b/Algorithm.CSharp/IndexOptionShortPutITMExpiryRegressionAlgorithm.cs index f74354365829..84b872f11072 100644 --- a/Algorithm.CSharp/IndexOptionShortPutITMExpiryRegressionAlgorithm.cs +++ b/Algorithm.CSharp/IndexOptionShortPutITMExpiryRegressionAlgorithm.cs @@ -186,7 +186,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 19890; + public long DataPoints => 19891; /// /// Data Points count of the algorithm history @@ -227,10 +227,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "-4.521"}, {"Total Fees", "$0.00"}, {"Estimated Strategy Capacity", "$0"}, - {"Lowest Capacity Asset", "SPX 31KC0UJHC75TA|SPX 31"}, + {"Lowest Capacity Asset", "SPX 31KC0UJHCBG4U|SPX 31"}, {"Portfolio Turnover", "0.19%"}, {"Drawdown Recovery", "9"}, - {"OrderListHash", "5fa3290876b6616eb338fedccd65fd6f"} + {"OrderListHash", "86a79c56040bedf9067b7255131e0387"} }; } } diff --git a/Algorithm.CSharp/IndexOptionShortPutOTMExpiryRegressionAlgorithm.cs b/Algorithm.CSharp/IndexOptionShortPutOTMExpiryRegressionAlgorithm.cs index 6a48dcea77fe..76d7e117ecc3 100644 --- a/Algorithm.CSharp/IndexOptionShortPutOTMExpiryRegressionAlgorithm.cs +++ b/Algorithm.CSharp/IndexOptionShortPutOTMExpiryRegressionAlgorithm.cs @@ -162,7 +162,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 19984; + public long DataPoints => 19985; /// /// Data Points count of the algorithm history @@ -203,10 +203,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "-4.22"}, {"Total Fees", "$0.00"}, {"Estimated Strategy Capacity", "$0"}, - {"Lowest Capacity Asset", "SPX 31KC0UJFONTBI|SPX 31"}, + {"Lowest Capacity Asset", "SPX 31KC0UJFOS3N2|SPX 31"}, {"Portfolio Turnover", "0.01%"}, {"Drawdown Recovery", "9"}, - {"OrderListHash", "b11d26454cf946dae38b484863698248"} + {"OrderListHash", "0b39fcedbea77ba71bf0d4547a3b8fc5"} }; } } diff --git a/Algorithm.CSharp/IndexSecurityCanBeTradableRegressionAlgorithm.cs b/Algorithm.CSharp/IndexSecurityCanBeTradableRegressionAlgorithm.cs index 89bb566fcad4..960d01fa5cde 100644 --- a/Algorithm.CSharp/IndexSecurityCanBeTradableRegressionAlgorithm.cs +++ b/Algorithm.CSharp/IndexSecurityCanBeTradableRegressionAlgorithm.cs @@ -106,7 +106,7 @@ private void AssertIndexIsNotTradable() /// /// Data Points count of all timeslices of algorithm /// - public virtual long DataPoints => 796; + public virtual long DataPoints => 797; /// /// Data Points count of the algorithm history diff --git a/Algorithm.CSharp/IndicatorSelectorsWorkWithDifferentOptions.cs b/Algorithm.CSharp/IndicatorSelectorsWorkWithDifferentOptions.cs index d16d5f66607e..95c949c52b57 100644 --- a/Algorithm.CSharp/IndicatorSelectorsWorkWithDifferentOptions.cs +++ b/Algorithm.CSharp/IndicatorSelectorsWorkWithDifferentOptions.cs @@ -186,12 +186,12 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 454077; + public long DataPoints => 455371; /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 351; + public int AlgorithmHistoryDataPoints => 296; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/InsufficientBuyingPowerForAutomaticExerciseRegressionAlgorithm.cs b/Algorithm.CSharp/InsufficientBuyingPowerForAutomaticExerciseRegressionAlgorithm.cs index 0b09371fa80d..86aff0d031be 100644 --- a/Algorithm.CSharp/InsufficientBuyingPowerForAutomaticExerciseRegressionAlgorithm.cs +++ b/Algorithm.CSharp/InsufficientBuyingPowerForAutomaticExerciseRegressionAlgorithm.cs @@ -171,7 +171,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 2821; + public long DataPoints => 2822; /// /// Data Points count of the algorithm history @@ -212,10 +212,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "-0.2"}, {"Total Fees", "$3.30"}, {"Estimated Strategy Capacity", "$2400000.00"}, - {"Lowest Capacity Asset", "GOOCV 305RBQ20WHPNQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 305RBQ20WLZZA|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "54.01%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "97d1c3373a72ec15038949710e7c7a62"} + {"OrderListHash", "2f22fc5e9584c2d201b9e0b767a7160d"} }; } } diff --git a/Algorithm.CSharp/InsufficientMarginOrderUpdateRegressionAlgorithm.cs b/Algorithm.CSharp/InsufficientMarginOrderUpdateRegressionAlgorithm.cs index e20792fb57e4..e71d106cd8cc 100644 --- a/Algorithm.CSharp/InsufficientMarginOrderUpdateRegressionAlgorithm.cs +++ b/Algorithm.CSharp/InsufficientMarginOrderUpdateRegressionAlgorithm.cs @@ -159,7 +159,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 60; + public int AlgorithmHistoryDataPoints => 5; /// /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm diff --git a/Algorithm.CSharp/InteractiveBrokersBrokerageDisablesIndexOptionsExerciseRegressionAlgorithm.cs b/Algorithm.CSharp/InteractiveBrokersBrokerageDisablesIndexOptionsExerciseRegressionAlgorithm.cs index 834f61542cf5..0c075b4ce4ec 100644 --- a/Algorithm.CSharp/InteractiveBrokersBrokerageDisablesIndexOptionsExerciseRegressionAlgorithm.cs +++ b/Algorithm.CSharp/InteractiveBrokersBrokerageDisablesIndexOptionsExerciseRegressionAlgorithm.cs @@ -163,33 +163,33 @@ public override void OnEndOfAlgorithm() public Dictionary ExpectedStatistics => new Dictionary { {"Total Orders", "3"}, - {"Average Win", "0.68%"}, + {"Average Win", "2.19%"}, {"Average Loss", "0%"}, - {"Compounding Annual Return", "10.046%"}, - {"Drawdown", "1.900%"}, + {"Compounding Annual Return", "36.041%"}, + {"Drawdown", "3.600%"}, {"Expectancy", "0"}, {"Start Equity", "200000"}, - {"End Equity", "201353"}, - {"Net Profit", "0.676%"}, - {"Sharpe Ratio", "3.253"}, + {"End Equity", "204383"}, + {"Net Profit", "2.192%"}, + {"Sharpe Ratio", "4.088"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "86.292%"}, + {"Probabilistic Sharpe Ratio", "89.872%"}, {"Loss Rate", "0%"}, {"Win Rate", "100%"}, {"Profit-Loss Ratio", "0"}, {"Alpha", "0"}, {"Beta", "0"}, - {"Annual Standard Deviation", "0.081"}, - {"Annual Variance", "0.007"}, - {"Information Ratio", "3.284"}, - {"Tracking Error", "0.081"}, + {"Annual Standard Deviation", "0.177"}, + {"Annual Variance", "0.031"}, + {"Information Ratio", "4.102"}, + {"Tracking Error", "0.177"}, {"Treynor Ratio", "0"}, {"Total Fees", "$1.00"}, - {"Estimated Strategy Capacity", "$1700000.00"}, - {"Lowest Capacity Asset", "SPX XL80P3HB5O6M|SPX 31"}, - {"Portfolio Turnover", "0.16%"}, + {"Estimated Strategy Capacity", "$420000.00"}, + {"Lowest Capacity Asset", "SPX XL80P3GHIA9A|SPX 31"}, + {"Portfolio Turnover", "1.09%"}, {"Drawdown Recovery", "10"}, - {"OrderListHash", "e83502aa04c68dbd42a1f670cd81833f"} + {"OrderListHash", "e913c917ccb2641d70e8fffb47df4f02"} }; } } diff --git a/Algorithm.CSharp/InternalSubscriptionHistoryRequestAlgorithm.cs b/Algorithm.CSharp/InternalSubscriptionHistoryRequestAlgorithm.cs index a4e566250f7e..23bc4ffac59c 100644 --- a/Algorithm.CSharp/InternalSubscriptionHistoryRequestAlgorithm.cs +++ b/Algorithm.CSharp/InternalSubscriptionHistoryRequestAlgorithm.cs @@ -80,7 +80,7 @@ public override void OnData(Slice slice) /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 107; + public long DataPoints => 108; /// /// Data Points count of the algorithm history diff --git a/Algorithm.CSharp/IronCondorStrategyAlgorithm.cs b/Algorithm.CSharp/IronCondorStrategyAlgorithm.cs index e115837fd860..a714bcb8a633 100644 --- a/Algorithm.CSharp/IronCondorStrategyAlgorithm.cs +++ b/Algorithm.CSharp/IronCondorStrategyAlgorithm.cs @@ -160,10 +160,10 @@ protected override void LiquidateStrategy() {"Treynor Ratio", "0"}, {"Total Fees", "$10.40"}, {"Estimated Strategy Capacity", "$4000.00"}, - {"Lowest Capacity Asset", "GOOCV 306CZL2DIL4G6|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 306CZL2DIPERQ|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "2.00%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "293b5b1c428514fc9d7bb069be75e5e9"} + {"OrderListHash", "690651f39abc866e9749e12a1096a79c"} }; } } diff --git a/Algorithm.CSharp/LargeQuantityOptionStrategyAlgorithm.cs b/Algorithm.CSharp/LargeQuantityOptionStrategyAlgorithm.cs index f1062955a0f2..6223d99983e0 100644 --- a/Algorithm.CSharp/LargeQuantityOptionStrategyAlgorithm.cs +++ b/Algorithm.CSharp/LargeQuantityOptionStrategyAlgorithm.cs @@ -44,7 +44,7 @@ public override void Initialize() var option = AddOption("GOOG"); _optionSymbol = option.Symbol; - option.SetFilter(-2, +2, 0, 180); + option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180)); } public override void OnData(Slice slice) @@ -111,7 +111,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 7; + public int AlgorithmHistoryDataPoints => 175; /// /// Final status of the algorithm @@ -147,10 +147,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "0"}, {"Total Fees", "$24.70"}, {"Estimated Strategy Capacity", "$6000.00"}, - {"Lowest Capacity Asset", "GOOCV 30AKMELSHQVZA|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 30AKMELSHV6AU|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "208.51%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "80f3cfbffc903339387a788a4d35dad1"} + {"OrderListHash", "574530af8e007d4b770b3782bbe31b1b"} }; } } diff --git a/Algorithm.CSharp/LimitOrdersAreFilledAfterHoursForFuturesRegressionAlgorithm.cs b/Algorithm.CSharp/LimitOrdersAreFilledAfterHoursForFuturesRegressionAlgorithm.cs index fe676af4387e..a6473ce5c98e 100644 --- a/Algorithm.CSharp/LimitOrdersAreFilledAfterHoursForFuturesRegressionAlgorithm.cs +++ b/Algorithm.CSharp/LimitOrdersAreFilledAfterHoursForFuturesRegressionAlgorithm.cs @@ -113,7 +113,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 52987; + public long DataPoints => 50978; /// /// Data Points count of the algorithm history @@ -133,31 +133,31 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Total Orders", "2"}, {"Average Win", "0%"}, {"Average Loss", "0%"}, - {"Compounding Annual Return", "120.870%"}, - {"Drawdown", "3.700%"}, + {"Compounding Annual Return", "-9.298%"}, + {"Drawdown", "2.500%"}, {"Expectancy", "0"}, {"Start Equity", "100000"}, - {"End Equity", "101091.4"}, - {"Net Profit", "1.091%"}, - {"Sharpe Ratio", "4.261"}, - {"Sortino Ratio", "29.094"}, - {"Probabilistic Sharpe Ratio", "58.720%"}, + {"End Equity", "99866.4"}, + {"Net Profit", "-0.134%"}, + {"Sharpe Ratio", "1.959"}, + {"Sortino Ratio", "4.863"}, + {"Probabilistic Sharpe Ratio", "53.257%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, - {"Alpha", "1.134"}, - {"Beta", "1.285"}, - {"Annual Standard Deviation", "0.314"}, - {"Annual Variance", "0.098"}, - {"Information Ratio", "15.222"}, - {"Tracking Error", "0.077"}, - {"Treynor Ratio", "1.04"}, + {"Alpha", "0.239"}, + {"Beta", "0.695"}, + {"Annual Standard Deviation", "0.178"}, + {"Annual Variance", "0.032"}, + {"Information Ratio", "2.059"}, + {"Tracking Error", "0.093"}, + {"Treynor Ratio", "0.501"}, {"Total Fees", "$4.30"}, - {"Estimated Strategy Capacity", "$39000000.00"}, - {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"}, - {"Portfolio Turnover", "33.59%"}, - {"Drawdown Recovery", "3"}, - {"OrderListHash", "8286cb0dd42649527c2c0032ee00e2bd"} + {"Estimated Strategy Capacity", "$25000000.00"}, + {"Lowest Capacity Asset", "ES VU1EHIDJYLMP"}, + {"Portfolio Turnover", "33.58%"}, + {"Drawdown Recovery", "0"}, + {"OrderListHash", "5a14a3f8b50e3117d87c69d6b11102fc"} }; } } diff --git a/Algorithm.CSharp/LiquidatingMultipleOptionStrategiesRegressionAlgorithm.cs b/Algorithm.CSharp/LiquidatingMultipleOptionStrategiesRegressionAlgorithm.cs index 0d7f661359d2..fe45a4c7fa5f 100644 --- a/Algorithm.CSharp/LiquidatingMultipleOptionStrategiesRegressionAlgorithm.cs +++ b/Algorithm.CSharp/LiquidatingMultipleOptionStrategiesRegressionAlgorithm.cs @@ -50,7 +50,7 @@ public override void Initialize() SetCash(500000); var option = AddOption("GOOG"); - option.SetFilter(universe => universe.Strikes(-3, 3).Expiration(0, 180)); + option.SetFilter(universe => universe.StandardsOnly().Strikes(-3, 3).Expiration(0, 180)); _symbol = option.Symbol; } @@ -188,10 +188,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "0"}, {"Total Fees", "$8.00"}, {"Estimated Strategy Capacity", "$13000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "1.31%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "61b9991ec6483ed14639c9839a653b9e"} + {"OrderListHash", "7e6fb74d29704118659d2fcc59b6cd78"} }; } } diff --git a/Algorithm.CSharp/LongAndShortButterflyCallStrategiesAlgorithm.cs b/Algorithm.CSharp/LongAndShortButterflyCallStrategiesAlgorithm.cs index 028b4072465c..87e035d06ca5 100644 --- a/Algorithm.CSharp/LongAndShortButterflyCallStrategiesAlgorithm.cs +++ b/Algorithm.CSharp/LongAndShortButterflyCallStrategiesAlgorithm.cs @@ -160,10 +160,10 @@ protected override void LiquidateStrategy() {"Treynor Ratio", "0"}, {"Total Fees", "$10.40"}, {"Estimated Strategy Capacity", "$7000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZFMEBBB2E|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZFMEBFLDY|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "2.17%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "4026c2d0b0d8de3bd1f375a77d5b5c97"} + {"OrderListHash", "819b008b902a1a0013646a12d31f4ae4"} }; } } diff --git a/Algorithm.CSharp/LongAndShortButterflyPutStrategiesAlgorithm.cs b/Algorithm.CSharp/LongAndShortButterflyPutStrategiesAlgorithm.cs index 0a2a8f0bf6d9..2cf4a57c02d6 100644 --- a/Algorithm.CSharp/LongAndShortButterflyPutStrategiesAlgorithm.cs +++ b/Algorithm.CSharp/LongAndShortButterflyPutStrategiesAlgorithm.cs @@ -160,10 +160,10 @@ protected override void LiquidateStrategy() {"Treynor Ratio", "0"}, {"Total Fees", "$10.40"}, {"Estimated Strategy Capacity", "$4000.00"}, - {"Lowest Capacity Asset", "GOOCV 306CZL2DIL4G6|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 306CZL2DIPERQ|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "2.23%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "5edf17765f812f4b6114c03bb69a3bc2"} + {"OrderListHash", "cf836c2b04e698db4f69048870f3fb1c"} }; } } diff --git a/Algorithm.CSharp/LongAndShortCallCalendarSpreadStrategiesAlgorithm.cs b/Algorithm.CSharp/LongAndShortCallCalendarSpreadStrategiesAlgorithm.cs index 481c9502b6d2..ea79cd66f0b0 100644 --- a/Algorithm.CSharp/LongAndShortCallCalendarSpreadStrategiesAlgorithm.cs +++ b/Algorithm.CSharp/LongAndShortCallCalendarSpreadStrategiesAlgorithm.cs @@ -143,10 +143,10 @@ protected override void LiquidateStrategy() {"Treynor Ratio", "0"}, {"Total Fees", "$5.20"}, {"Estimated Strategy Capacity", "$7000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZEOEHQRYE|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZEOEHV29Y|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "1.85%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "fde9204f63cc0d6676155381fc7537ff"} + {"OrderListHash", "ee77a60de004210b9ab977f397c70f73"} }; } } diff --git a/Algorithm.CSharp/LongAndShortPutCalendarSpreadStrategiesAlgorithm.cs b/Algorithm.CSharp/LongAndShortPutCalendarSpreadStrategiesAlgorithm.cs index 5a25f89add4e..dc8047b22fa4 100644 --- a/Algorithm.CSharp/LongAndShortPutCalendarSpreadStrategiesAlgorithm.cs +++ b/Algorithm.CSharp/LongAndShortPutCalendarSpreadStrategiesAlgorithm.cs @@ -143,10 +143,10 @@ protected override void LiquidateStrategy() {"Treynor Ratio", "0"}, {"Total Fees", "$5.20"}, {"Estimated Strategy Capacity", "$14000.00"}, - {"Lowest Capacity Asset", "GOOCV 306CZK4DP0LC6|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 306CZK4DP4VNQ|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "1.87%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "4c07701fd7a79beca45efc3afebbd693"} + {"OrderListHash", "c86c7c9e58f41cbea206196e5717ce4f"} }; } } diff --git a/Algorithm.CSharp/LongAndShortStraddleStrategiesAlgorithm.cs b/Algorithm.CSharp/LongAndShortStraddleStrategiesAlgorithm.cs index 61a8241ac3be..f657fb788386 100644 --- a/Algorithm.CSharp/LongAndShortStraddleStrategiesAlgorithm.cs +++ b/Algorithm.CSharp/LongAndShortStraddleStrategiesAlgorithm.cs @@ -140,10 +140,10 @@ protected override void LiquidateStrategy() {"Treynor Ratio", "0"}, {"Total Fees", "$5.20"}, {"Estimated Strategy Capacity", "$16000.00"}, - {"Lowest Capacity Asset", "GOOCV WBGM92QHIYO6|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV WBGM92QHN8ZQ|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "4.31%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "cccaf73a927ca18dc8d11634bc80d198"} + {"OrderListHash", "c9b2bbdb35e439484e1ae97cfdfa2977"} }; } } diff --git a/Algorithm.CSharp/LongAndShortStrangleStrategiesAlgorithm.cs b/Algorithm.CSharp/LongAndShortStrangleStrategiesAlgorithm.cs index efd7f4d6c3b5..703a93194a0f 100644 --- a/Algorithm.CSharp/LongAndShortStrangleStrategiesAlgorithm.cs +++ b/Algorithm.CSharp/LongAndShortStrangleStrategiesAlgorithm.cs @@ -150,10 +150,10 @@ protected override void LiquidateStrategy() {"Treynor Ratio", "0"}, {"Total Fees", "$5.20"}, {"Estimated Strategy Capacity", "$15000.00"}, - {"Lowest Capacity Asset", "GOOCV 30AKMELSHQVZA|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 30AKMELSHV6AU|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "4.21%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "c7b4e8981536d76878cf9dd5bd6fc771"} + {"OrderListHash", "7037493f637362745f993c1dc940bd05"} }; } } diff --git a/Algorithm.CSharp/MarketOnCloseOrderFillsOnCloseTradeWithTickResolutionAlgorithm.cs b/Algorithm.CSharp/MarketOnCloseOrderFillsOnCloseTradeWithTickResolutionAlgorithm.cs index e75ca4ace10c..18d1309c5780 100644 --- a/Algorithm.CSharp/MarketOnCloseOrderFillsOnCloseTradeWithTickResolutionAlgorithm.cs +++ b/Algorithm.CSharp/MarketOnCloseOrderFillsOnCloseTradeWithTickResolutionAlgorithm.cs @@ -143,7 +143,7 @@ public override void OnEndOfAlgorithm() {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"}, {"Portfolio Turnover", "0.02%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "dafe02af29d6a320da2e5dad28411559"} + {"OrderListHash", "9d53c0501981b8d3aa922bbc45b6e80f"} }; } } diff --git a/Algorithm.CSharp/MarketOnOpenOrderFillsOnOpenTradeWithTickResolutionAlgorithm.cs b/Algorithm.CSharp/MarketOnOpenOrderFillsOnOpenTradeWithTickResolutionAlgorithm.cs index d0dd0a8679dd..507bd4c794cb 100644 --- a/Algorithm.CSharp/MarketOnOpenOrderFillsOnOpenTradeWithTickResolutionAlgorithm.cs +++ b/Algorithm.CSharp/MarketOnOpenOrderFillsOnOpenTradeWithTickResolutionAlgorithm.cs @@ -143,7 +143,7 @@ public override void OnEndOfAlgorithm() {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"}, {"Portfolio Turnover", "0.02%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "8940204f430a8040b372cc22d80f1399"} + {"OrderListHash", "e1d37155b945867337ae64a1807bf0ce"} }; } } diff --git a/Algorithm.CSharp/MarketOrdersAreSupportedOnExtendedHoursForFuturesRegressionAlgorithm.cs b/Algorithm.CSharp/MarketOrdersAreSupportedOnExtendedHoursForFuturesRegressionAlgorithm.cs index da05ce7ac517..125046779e53 100644 --- a/Algorithm.CSharp/MarketOrdersAreSupportedOnExtendedHoursForFuturesRegressionAlgorithm.cs +++ b/Algorithm.CSharp/MarketOrdersAreSupportedOnExtendedHoursForFuturesRegressionAlgorithm.cs @@ -90,7 +90,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 52987; + public long DataPoints => 50978; /// /// Data Points count of the algorithm history @@ -110,31 +110,31 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Total Orders", "2"}, {"Average Win", "0%"}, {"Average Loss", "0%"}, - {"Compounding Annual Return", "113.036%"}, - {"Drawdown", "3.700%"}, + {"Compounding Annual Return", "-0.626%"}, + {"Drawdown", "2.400%"}, {"Expectancy", "0"}, {"Start Equity", "100000"}, - {"End Equity", "101041.4"}, - {"Net Profit", "1.041%"}, - {"Sharpe Ratio", "4.262"}, - {"Sortino Ratio", "29.102"}, - {"Probabilistic Sharpe Ratio", "58.720%"}, + {"End Equity", "99991.4"}, + {"Net Profit", "-0.009%"}, + {"Sharpe Ratio", "1.959"}, + {"Sortino Ratio", "4.862"}, + {"Probabilistic Sharpe Ratio", "53.257%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, - {"Alpha", "1.135"}, - {"Beta", "1.285"}, - {"Annual Standard Deviation", "0.314"}, - {"Annual Variance", "0.098"}, - {"Information Ratio", "15.206"}, - {"Tracking Error", "0.078"}, - {"Treynor Ratio", "1.04"}, + {"Alpha", "0.239"}, + {"Beta", "0.694"}, + {"Annual Standard Deviation", "0.177"}, + {"Annual Variance", "0.031"}, + {"Information Ratio", "2.05"}, + {"Tracking Error", "0.093"}, + {"Treynor Ratio", "0.501"}, {"Total Fees", "$4.30"}, - {"Estimated Strategy Capacity", "$12000000.00"}, - {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"}, - {"Portfolio Turnover", "33.61%"}, + {"Estimated Strategy Capacity", "$15000000.00"}, + {"Lowest Capacity Asset", "ES VU1EHIDJYLMP"}, + {"Portfolio Turnover", "33.51%"}, {"Drawdown Recovery", "3"}, - {"OrderListHash", "1a8899e6c1498f63634de38910878619"} + {"OrderListHash", "523d76e17b23ee0c94ded9f826cb8c22"} }; } } diff --git a/Algorithm.CSharp/NakedCallStrategyAlgorithm.cs b/Algorithm.CSharp/NakedCallStrategyAlgorithm.cs index 36f6cb83d2c7..079e92821b3c 100644 --- a/Algorithm.CSharp/NakedCallStrategyAlgorithm.cs +++ b/Algorithm.CSharp/NakedCallStrategyAlgorithm.cs @@ -129,10 +129,10 @@ protected override void LiquidateStrategy() {"Treynor Ratio", "0"}, {"Total Fees", "$2.60"}, {"Estimated Strategy Capacity", "$8000.00"}, - {"Lowest Capacity Asset", "GOOCV WBGM92QHIYO6|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV WBGM92QHN8ZQ|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "2.19%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "56c4d8b527d4a8f8d1cc659f8b2d4fc7"} + {"OrderListHash", "6942c6b893f9d77dce3c2f7b5e753718"} }; } } diff --git a/Algorithm.CSharp/NakedPutStrategyAlgorithm.cs b/Algorithm.CSharp/NakedPutStrategyAlgorithm.cs index 7cacd09e6569..fcf557dd8967 100644 --- a/Algorithm.CSharp/NakedPutStrategyAlgorithm.cs +++ b/Algorithm.CSharp/NakedPutStrategyAlgorithm.cs @@ -129,10 +129,10 @@ protected override void LiquidateStrategy() {"Treynor Ratio", "0"}, {"Total Fees", "$2.60"}, {"Estimated Strategy Capacity", "$10000.00"}, - {"Lowest Capacity Asset", "GOOCV 30AKMEIPOSS1Y|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 30AKMEIPOX2DI|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "2.13%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "be055400ff8650bd9aeabd98e7d89c4e"} + {"OrderListHash", "699eda4fdbcfa625cc7cb6c4ccbbd7ba"} }; } } diff --git a/Algorithm.CSharp/NakedShortOptionStrategyOverMarginAlgorithm.cs b/Algorithm.CSharp/NakedShortOptionStrategyOverMarginAlgorithm.cs index 3cc7943fb001..68aa60f75bf5 100644 --- a/Algorithm.CSharp/NakedShortOptionStrategyOverMarginAlgorithm.cs +++ b/Algorithm.CSharp/NakedShortOptionStrategyOverMarginAlgorithm.cs @@ -49,7 +49,7 @@ public override void Initialize() var option = AddOption("GOOG"); _optionSymbol = option.Symbol; - option.SetFilter(-2, +2, 0, 180); + option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180)); SetBenchmark("GOOG"); } @@ -172,10 +172,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "0"}, {"Total Fees", "$9.10"}, {"Estimated Strategy Capacity", "$2600000.00"}, - {"Lowest Capacity Asset", "GOOCV 30AKMEIPOSS1Y|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 30AKMEIPOX2DI|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "7.50%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "70487a4231ef2237ca24642be28652c4"} + {"OrderListHash", "67fba235c5efade156e60ed66e4b8031"} }; } } diff --git a/Algorithm.CSharp/NonDynamicOptionsFilterRegressionAlgorithm.cs b/Algorithm.CSharp/NonDynamicOptionsFilterRegressionAlgorithm.cs index 48d0c1a0ad65..c48a8f0f48c0 100644 --- a/Algorithm.CSharp/NonDynamicOptionsFilterRegressionAlgorithm.cs +++ b/Algorithm.CSharp/NonDynamicOptionsFilterRegressionAlgorithm.cs @@ -44,7 +44,7 @@ public override void Initialize() var option = AddOption(UnderlyingTicker); _optionSymbol = option.Symbol; - option.SetFilter(u => u.Strikes(-2, +2).Expiration(0, 180 * 3)); + option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180 * 3)); SetBenchmark(equity.Symbol); } diff --git a/Algorithm.CSharp/NullBuyingPowerOptionBullCallSpreadAlgorithm.cs b/Algorithm.CSharp/NullBuyingPowerOptionBullCallSpreadAlgorithm.cs index bbe1f89cd4a3..9d841ec95051 100644 --- a/Algorithm.CSharp/NullBuyingPowerOptionBullCallSpreadAlgorithm.cs +++ b/Algorithm.CSharp/NullBuyingPowerOptionBullCallSpreadAlgorithm.cs @@ -47,7 +47,7 @@ public override void Initialize() var option = AddOption(equity.Symbol); _optionSymbol = option.Symbol; - option.SetFilter(-2, +2, 0, 180); + option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180)); } public override void OnData(Slice slice) @@ -148,10 +148,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "0"}, {"Total Fees", "$1300.00"}, {"Estimated Strategy Capacity", "$36000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "2888.68%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "ce2d1d95115c73052aa0268491ff2423"} + {"OrderListHash", "8a2ee1e491737ecabd775ad5afbe2e4b"} }; } } diff --git a/Algorithm.CSharp/NullMarginComboOrderRegressionAlgorithm.cs b/Algorithm.CSharp/NullMarginComboOrderRegressionAlgorithm.cs index 18e6771e963b..b2fa12a5b0a8 100644 --- a/Algorithm.CSharp/NullMarginComboOrderRegressionAlgorithm.cs +++ b/Algorithm.CSharp/NullMarginComboOrderRegressionAlgorithm.cs @@ -75,7 +75,7 @@ protected override void PlaceTrades(OptionContract optionContract) {"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "7580.62%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "5d8c976a405e1e5d1b19af0d1cdbf05d"} + {"OrderListHash", "06de8022dfcb44c5eb0a2199bd7a7232"} }; } } diff --git a/Algorithm.CSharp/NullMarginMultipleOrdersRegressionAlgorithm.cs b/Algorithm.CSharp/NullMarginMultipleOrdersRegressionAlgorithm.cs index 45c068666bcb..8dba36b6308e 100644 --- a/Algorithm.CSharp/NullMarginMultipleOrdersRegressionAlgorithm.cs +++ b/Algorithm.CSharp/NullMarginMultipleOrdersRegressionAlgorithm.cs @@ -45,7 +45,7 @@ public override void Initialize() var option = AddOption(equity.Symbol); OptionSymbol = option.Symbol; - option.SetFilter(u => u.Strikes(-2, +2).Expiration(0, 180)); + option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180)); } protected virtual void OverrideMarginModels() @@ -75,7 +75,7 @@ public override void OnData(Slice slice) .ThenBy(x => x.Strike) .First(); - if(!_placedTrades) + if (!_placedTrades) { _placedTrades = true; PlaceTrades(atmContracts); @@ -100,7 +100,7 @@ protected virtual void AssertState(OrderTicket ticket, int expectedGroupCount, i { throw new RegressionTestException($"Unexpected position group count {Portfolio.Positions.Groups.Count} for symbol {ticket.Symbol} and quantity {ticket.Quantity}"); } - if(Portfolio.TotalMarginUsed != expectedMarginUsed) + if (Portfolio.TotalMarginUsed != expectedMarginUsed) { throw new RegressionTestException($"Unexpected margin used {expectedMarginUsed}"); } @@ -163,7 +163,7 @@ protected virtual void AssertState(OrderTicket ticket, int expectedGroupCount, i {"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "7580.62%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "ea13456d0c97785f9f2fc12842831990"} + {"OrderListHash", "4b36a135ed647a66c1ef3f1d9439cf02"} }; } } diff --git a/Algorithm.CSharp/NullOptionAssignmentRegressionAlgorithm.cs b/Algorithm.CSharp/NullOptionAssignmentRegressionAlgorithm.cs index 2e9fff489068..aa24e13b3123 100644 --- a/Algorithm.CSharp/NullOptionAssignmentRegressionAlgorithm.cs +++ b/Algorithm.CSharp/NullOptionAssignmentRegressionAlgorithm.cs @@ -72,7 +72,7 @@ public override void Initialize() {"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "26.71%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "2d12d0562e5fc5c45cf8b59398ed59b0"} + {"OrderListHash", "5d0637a25841a3eb1344e8564792acb7"} }; } } diff --git a/Algorithm.CSharp/OpenInterestFuturesRegressionAlgorithm.cs b/Algorithm.CSharp/OpenInterestFuturesRegressionAlgorithm.cs index 17715252bc39..263ccb37a919 100644 --- a/Algorithm.CSharp/OpenInterestFuturesRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OpenInterestFuturesRegressionAlgorithm.cs @@ -133,10 +133,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$9.88"}, {"Estimated Strategy Capacity", "$0"}, - {"Lowest Capacity Asset", "GC VMRHKN2NLWV1"}, + {"Lowest Capacity Asset", "GC VOFJUCDY9XNH"}, {"Portfolio Turnover", "1.32%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "cc9ca77de1272050971b5438e757df61"} + {"OrderListHash", "4a7e699024771890b97c4ab74365e4b7"} }; } } diff --git a/Algorithm.CSharp/OptionAssignmentRegressionAlgorithm.cs b/Algorithm.CSharp/OptionAssignmentRegressionAlgorithm.cs index 38b5a2296640..8622e8720b9d 100644 --- a/Algorithm.CSharp/OptionAssignmentRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionAssignmentRegressionAlgorithm.cs @@ -92,7 +92,7 @@ public override void OnData(Slice slice) /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 4025; + public long DataPoints => 4026; /// /// Data Points count of the algorithm history @@ -133,10 +133,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "-0.229"}, {"Total Fees", "$16.00"}, {"Estimated Strategy Capacity", "$710000.00"}, - {"Lowest Capacity Asset", "GOOCV 305RBQ20WHPNQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 305RBQ20WLZZA|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "218.80%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "29afd40aab156229739653124c4cab4f"} + {"OrderListHash", "590ba58e303f1f60f855f458300d08af"} }; } } diff --git a/Algorithm.CSharp/OptionAssignmentStatisticsRegressionAlgorithm.cs b/Algorithm.CSharp/OptionAssignmentStatisticsRegressionAlgorithm.cs index c5c7268adec0..42a3c3962f57 100644 --- a/Algorithm.CSharp/OptionAssignmentStatisticsRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionAssignmentStatisticsRegressionAlgorithm.cs @@ -68,11 +68,6 @@ public override void Initialize() public override void OnData(Slice slice) { - if (_goog.Price == 0 || _googCall600.Price == 0 || _googCall650.Price == 0) - { - return; - } - if (!Portfolio.Invested) { if (Time < _googCall600Symbol.ID.Date) @@ -266,7 +261,7 @@ private static bool AreEqual(decimal expected, decimal actual) /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 4358; + public long DataPoints => 4359; /// /// Data Points count of the algorithm history @@ -310,7 +305,7 @@ private static bool AreEqual(decimal expected, decimal actual) {"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "50.31%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "eaa9f229fb4efb0beaccbbd71881268a"} + {"OrderListHash", "65544a2eaccc912e8c81519f5975da1a"} }; } } diff --git a/Algorithm.CSharp/OptionChainApisConsistencyRegressionAlgorithm.cs b/Algorithm.CSharp/OptionChainApisConsistencyRegressionAlgorithm.cs index c5fa4dd360f6..bb39d036e387 100644 --- a/Algorithm.CSharp/OptionChainApisConsistencyRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionChainApisConsistencyRegressionAlgorithm.cs @@ -38,10 +38,10 @@ public override void Initialize() var option = GetOption(); - var optionChainFromAlgorithmApi = OptionChain(option.Symbol).Contracts.Values.Select(x => x.Symbol).ToList(); + var optionChainFromAlgorithmApi = OptionChain(option.Symbol).Contracts.Keys.ToList(); var exchangeTime = UtcTime.ConvertFromUtc(option.Exchange.TimeZone); - var optionChainFromProviderApi = OptionChainProvider.GetOptionContractList(option.Symbol, exchangeTime).ToList(); + var optionChainFromProviderApi = OptionChainProvider.GetOptionContractList(option.Symbol, exchangeTime).Order().ToList(); if (optionChainFromAlgorithmApi.Count == 0) { diff --git a/Algorithm.CSharp/OptionChainConsistencyRegressionAlgorithm.cs b/Algorithm.CSharp/OptionChainConsistencyRegressionAlgorithm.cs index 87b21c29067b..018693e5abe9 100644 --- a/Algorithm.CSharp/OptionChainConsistencyRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionChainConsistencyRegressionAlgorithm.cs @@ -159,10 +159,10 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Treynor Ratio", "0"}, {"Total Fees", "$2.00"}, {"Estimated Strategy Capacity", "$5000.00"}, - {"Lowest Capacity Asset", "GOOCV W6NBKPFL0ACM|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W6NBKPFL4KO6|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "9.93%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "8887ac32d29175b21e40f335437cee61"} + {"OrderListHash", "29e41c0e2a316485a2761c4e56189585"} }; } } diff --git a/Algorithm.CSharp/OptionChainFullDataRegressionAlgorithm.cs b/Algorithm.CSharp/OptionChainFullDataRegressionAlgorithm.cs index 36bb119f487b..9b1bb4dd4262 100644 --- a/Algorithm.CSharp/OptionChainFullDataRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionChainFullDataRegressionAlgorithm.cs @@ -119,10 +119,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$209.00"}, {"Estimated Strategy Capacity", "$0"}, - {"Lowest Capacity Asset", "GOOCV W6U7PD1F2WYU|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W6U7PD1F77AE|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "85.46%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "a7ab1a9e64fe9ba76ea33a40a78a4e3b"} + {"OrderListHash", "8ee1c7a1574ae0ad6f231ad0b7d15310"} }; } } diff --git a/Algorithm.CSharp/OptionChainIncludeWeeklysByDefaultRegressionAlgorithm.cs b/Algorithm.CSharp/OptionChainIncludeWeeklysByDefaultRegressionAlgorithm.cs new file mode 100644 index 000000000000..e5e83a2d686b --- /dev/null +++ b/Algorithm.CSharp/OptionChainIncludeWeeklysByDefaultRegressionAlgorithm.cs @@ -0,0 +1,143 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. +*/ + +using QuantConnect.Data; +using QuantConnect.Data.Market; +using QuantConnect.Interfaces; +using QuantConnect.Securities.Option; +using System.Collections.Generic; + +namespace QuantConnect.Algorithm.CSharp +{ + /// + /// Verifies that weekly option contracts are included when no standard contracts are available. + /// + public class OptionChainIncludeWeeklysByDefaultRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition + { + private Option _option; + private Symbol _optionSymbol; + private int _weeklyCount; + private int _totalCount; + + /// + /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized. + /// + public override void Initialize() + { + SetStartDate(2015, 12, 24); + SetEndDate(2015, 12, 24); + + _option = AddOption("GOOG"); + _optionSymbol = _option.Symbol; + + _option.SetFilter((optionFilter) => + { + return optionFilter.Strikes(-8, +8).Expiration(0, 0); + }); + } + + /// + /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. + /// + /// Slice object keyed by symbol containing the stock data + public override void OnData(Slice slice) + { + OptionChain chain; + if (slice.OptionChains.TryGetValue(_optionSymbol, out chain)) + { + _totalCount += chain.Contracts.Count; + foreach (var contract in chain.Contracts.Values) + { + if (!OptionSymbol.IsStandard(contract.Symbol)) + { + _weeklyCount++; + } + } + } + } + + public override void OnEndOfAlgorithm() + { + if (_weeklyCount == 0) + { + throw new RegressionTestException("No weekly contracts found"); + } + if (_totalCount != _weeklyCount) + { + throw new RegressionTestException("When no standard option expirations are available, the option chain must fall back to weekly contracts only"); + } + } + + /// + /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm. + /// + public bool CanRunLocally { get; } = true; + + /// + /// This is used by the regression test system to indicate which languages this algorithm is written in. + /// + public List Languages { get; } = new() { Language.CSharp, Language.Python }; + + /// + /// Data Points count of all timeslices of algorithm + /// + public long DataPoints => 22702; + + /// + /// Data Points count of the algorithm history + /// + public int AlgorithmHistoryDataPoints => 0; + + /// + /// Final status of the algorithm + /// + public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed; + + /// + /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm + /// + public Dictionary ExpectedStatistics => new Dictionary + { + {"Total Orders", "0"}, + {"Average Win", "0%"}, + {"Average Loss", "0%"}, + {"Compounding Annual Return", "0%"}, + {"Drawdown", "0%"}, + {"Expectancy", "0"}, + {"Start Equity", "100000"}, + {"End Equity", "100000"}, + {"Net Profit", "0%"}, + {"Sharpe Ratio", "0"}, + {"Sortino Ratio", "0"}, + {"Probabilistic Sharpe Ratio", "0%"}, + {"Loss Rate", "0%"}, + {"Win Rate", "0%"}, + {"Profit-Loss Ratio", "0"}, + {"Alpha", "0"}, + {"Beta", "0"}, + {"Annual Standard Deviation", "0"}, + {"Annual Variance", "0"}, + {"Information Ratio", "0"}, + {"Tracking Error", "0"}, + {"Treynor Ratio", "0"}, + {"Total Fees", "$0.00"}, + {"Estimated Strategy Capacity", "$0"}, + {"Lowest Capacity Asset", ""}, + {"Portfolio Turnover", "0%"}, + {"Drawdown Recovery", "0"}, + {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"} + }; + } +} diff --git a/Algorithm.CSharp/OptionChainProviderAlgorithm.cs b/Algorithm.CSharp/OptionChainProviderAlgorithm.cs index ad423e35029d..1d09e6dbc715 100644 --- a/Algorithm.CSharp/OptionChainProviderAlgorithm.cs +++ b/Algorithm.CSharp/OptionChainProviderAlgorithm.cs @@ -136,10 +136,10 @@ where symbol.ID.StrikePrice - underlyingPrice > 0 {"Treynor Ratio", "0"}, {"Total Fees", "$2.00"}, {"Estimated Strategy Capacity", "$6300000.00"}, - {"Lowest Capacity Asset", "GOOCV W723A0UB7HTY|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W723A0UBBS5I|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "76.04%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "d7290944d7fee84f232b47d658010730"} + {"OrderListHash", "20963045be4abe2ce837a0261329462d"} }; } } diff --git a/Algorithm.CSharp/OptionChainSubscriptionRemovalRegressionAlgorithm.cs b/Algorithm.CSharp/OptionChainSubscriptionRemovalRegressionAlgorithm.cs index 2539a3a60cd4..3751c49da7fc 100644 --- a/Algorithm.CSharp/OptionChainSubscriptionRemovalRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionChainSubscriptionRemovalRegressionAlgorithm.cs @@ -96,7 +96,7 @@ public TestOptionUniverseSelectionModel(Func> opti protected override OptionFilterUniverse Filter(OptionFilterUniverse filter) { - return filter.BackMonth().Contracts(contracts => contracts.Take(15)); + return filter.StandardsOnly().BackMonth().Contracts(contracts => contracts.Take(15)); } } @@ -113,7 +113,7 @@ protected override OptionFilterUniverse Filter(OptionFilterUniverse filter) /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 2155693; + public long DataPoints => 2155694; /// /// Data Points count of the algorithm history diff --git a/Algorithm.CSharp/OptionChainedAndUniverseSelectionRegressionAlgorithm.cs b/Algorithm.CSharp/OptionChainedAndUniverseSelectionRegressionAlgorithm.cs index 76fd1c30a248..bca3c938ae18 100644 --- a/Algorithm.CSharp/OptionChainedAndUniverseSelectionRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionChainedAndUniverseSelectionRegressionAlgorithm.cs @@ -36,7 +36,9 @@ public override void Initialize() SetStartDate(2014, 06, 05); SetEndDate(2014, 06, 09); - _aaplOption = AddOption("AAPL").Symbol; + var option = AddOption("AAPL"); + option.SetFilter(u => u.StandardsOnly().Strikes(-1, 1).Expiration(0, 35)); + _aaplOption = option.Symbol; AddUniverseSelection(new DailyUniverseSelectionModel("MyCustomSelectionModel", time => new[] { "AAPL" }, this)); } diff --git a/Algorithm.CSharp/OptionChainedUniverseSelectionModelRegressionAlgorithm.cs b/Algorithm.CSharp/OptionChainedUniverseSelectionModelRegressionAlgorithm.cs index 73cf8d03f026..77178fc1190d 100644 --- a/Algorithm.CSharp/OptionChainedUniverseSelectionModelRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionChainedUniverseSelectionModelRegressionAlgorithm.cs @@ -28,7 +28,7 @@ namespace QuantConnect.Algorithm.CSharp /// /// Regression algorithm to test the OptionChainedUniverseSelectionModel class /// - public class OptionChainedUniverseSelectionModelRegressionAlgorithm: QCAlgorithm, IRegressionAlgorithmDefinition + public class OptionChainedUniverseSelectionModelRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition { public override void Initialize() { @@ -39,7 +39,7 @@ public override void Initialize() var universe = AddUniverse("my-minute-universe-name", time => new List { "AAPL", "TWX" }); - AddUniverseSelection(new OptionChainedUniverseSelectionModel(universe, u => u.Strikes(-2, +2) + AddUniverseSelection(new OptionChainedUniverseSelectionModel(universe, u => u.StandardsOnly().Strikes(-2, +2) // Expiration method accepts TimeSpan objects or integer for days. // The following statements yield the same filtering criteria .Expiration(0, 180))); @@ -124,10 +124,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$4.00"}, {"Estimated Strategy Capacity", "$110000.00"}, - {"Lowest Capacity Asset", "AAPL 2ZTXYLO9EQPZA|AAPL R735QTJ8XC9X"}, + {"Lowest Capacity Asset", "AAPL 2ZTXYLO9EV0AU|AAPL R735QTJ8XC9X"}, {"Portfolio Turnover", "8.85%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "a542a51c6e634f2ddd9a97ce208d5a67"} + {"OrderListHash", "32f3cebb622264a2d6fd84c552ff4d0e"} }; } } diff --git a/Algorithm.CSharp/OptionChainsMultipleFullDataRegressionAlgorithm.cs b/Algorithm.CSharp/OptionChainsMultipleFullDataRegressionAlgorithm.cs index 7745ec39ea70..f1e180fe6ccd 100644 --- a/Algorithm.CSharp/OptionChainsMultipleFullDataRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionChainsMultipleFullDataRegressionAlgorithm.cs @@ -134,10 +134,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$209.00"}, {"Estimated Strategy Capacity", "$0"}, - {"Lowest Capacity Asset", "GOOCV W6U7PD1F2WYU|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W6U7PD1F77AE|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "85.46%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "a7ab1a9e64fe9ba76ea33a40a78a4e3b"} + {"OrderListHash", "8ee1c7a1574ae0ad6f231ad0b7d15310"} }; } } diff --git a/Algorithm.CSharp/OptionEquityBaseStrategyRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityBaseStrategyRegressionAlgorithm.cs index 279a5a315077..c118b97bb3fb 100644 --- a/Algorithm.CSharp/OptionEquityBaseStrategyRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityBaseStrategyRegressionAlgorithm.cs @@ -43,7 +43,7 @@ public override void Initialize() _optionSymbol = option.Symbol; // set our strike/expiry filter for this option chain - option.SetFilter(u => u.Strikes(-2, +2) + option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2) // Expiration method accepts TimeSpan objects or integer for days. // The following statements yield the same filtering criteria .Expiration(0, 180)); @@ -80,12 +80,12 @@ protected decimal GetPriceSpreadDifference(params Symbol[] symbols) { if (security.AskPrice != 0) { - spread = security.Price - security.AskPrice; + spread = security.Price - security.Holdings.AveragePrice; } } - else if(security.BidPrice != 0) + else if (security.BidPrice != 0) { - spread = security.BidPrice - security.Price; + spread = security.Holdings.AveragePrice - security.Price; } spreadPaid += spread * actualQuantity * security.SymbolProperties.ContractMultiplier; } diff --git a/Algorithm.CSharp/OptionEquityBearCallLadderRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityBearCallLadderRegressionAlgorithm.cs index 8d73f349ce29..ce26459476ba 100644 --- a/Algorithm.CSharp/OptionEquityBearCallLadderRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityBearCallLadderRegressionAlgorithm.cs @@ -118,10 +118,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$9.75"}, {"Estimated Strategy Capacity", "$47000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "11.48%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "2d7e030df7ade6d6dcc1c715a329ad32"} + {"OrderListHash", "a573795b3fb76288c1e8b71b1f2bc928"} }; } } diff --git a/Algorithm.CSharp/OptionEquityBearCallSpreadRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityBearCallSpreadRegressionAlgorithm.cs index 97629fbde1ab..1b1997fa47cb 100644 --- a/Algorithm.CSharp/OptionEquityBearCallSpreadRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityBearCallSpreadRegressionAlgorithm.cs @@ -120,10 +120,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$6.50"}, {"Estimated Strategy Capacity", "$5400000.00"}, - {"Lowest Capacity Asset", "GOOCV WBGM95TAH2LI|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV WBGM95TALCX2|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "28.44%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "e9104f749ad7055346b26e6db3bdb437"} + {"OrderListHash", "d5354d8376960b0b11a80bc1a164a6a3"} }; } } diff --git a/Algorithm.CSharp/OptionEquityBearCallSpreadSetHoldingsRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityBearCallSpreadSetHoldingsRegressionAlgorithm.cs index 5f9d628fb248..4d3c8b9a1b4d 100644 --- a/Algorithm.CSharp/OptionEquityBearCallSpreadSetHoldingsRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityBearCallSpreadSetHoldingsRegressionAlgorithm.cs @@ -119,10 +119,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$7.15"}, {"Estimated Strategy Capacity", "$45000000.00"}, - {"Lowest Capacity Asset", "GOOCV WBGM95TAH2LI|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV WBGM95TALCX2|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "6.17%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "8f1288896dafb2856b6045f8930e86a6"} + {"OrderListHash", "735ec0801dd3dcf9e03eaf3b67931910"} }; } } diff --git a/Algorithm.CSharp/OptionEquityBearPutLadderRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityBearPutLadderRegressionAlgorithm.cs index 194d9edd3389..3a55a35c5abb 100644 --- a/Algorithm.CSharp/OptionEquityBearPutLadderRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityBearPutLadderRegressionAlgorithm.cs @@ -121,10 +121,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$9.75"}, {"Estimated Strategy Capacity", "$1100000.00"}, - {"Lowest Capacity Asset", "GOOCV 306CZL2DIL4G6|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 306CZL2DIPERQ|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "9.45%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "64e3480ee2ece70a3bb24bef3e7ecdd6"} + {"OrderListHash", "344a4a84239e83eda686ea21d086b6fd"} }; } } diff --git a/Algorithm.CSharp/OptionEquityBearPutSpreadRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityBearPutSpreadRegressionAlgorithm.cs index b594fc49dca4..1f0ccfac057c 100644 --- a/Algorithm.CSharp/OptionEquityBearPutSpreadRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityBearPutSpreadRegressionAlgorithm.cs @@ -117,10 +117,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$13.00"}, {"Estimated Strategy Capacity", "$1300000.00"}, - {"Lowest Capacity Asset", "GOOCV 306CZK7GHYP9I|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 306CZK7GI2ZL2|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "13.43%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "fa96a26ab949ba2e053c2fa78930ad70"} + {"OrderListHash", "0d10d7319b27523377bb53bbd9702552"} }; } } diff --git a/Algorithm.CSharp/OptionEquityBoxSpreadRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityBoxSpreadRegressionAlgorithm.cs index e596dedfd197..97aac6aead0b 100644 --- a/Algorithm.CSharp/OptionEquityBoxSpreadRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityBoxSpreadRegressionAlgorithm.cs @@ -129,10 +129,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$26.00"}, {"Estimated Strategy Capacity", "$64000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "27.98%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "27e4456cb375fae2a15697c803bc0779"} + {"OrderListHash", "153196ec52843cf95d979e14d18b98b5"} }; } } diff --git a/Algorithm.CSharp/OptionEquityBullCallLadderRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityBullCallLadderRegressionAlgorithm.cs index e527d57f5742..4fa17dfccb4e 100644 --- a/Algorithm.CSharp/OptionEquityBullCallLadderRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityBullCallLadderRegressionAlgorithm.cs @@ -121,10 +121,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$9.75"}, {"Estimated Strategy Capacity", "$51000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "11.09%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "87d10f2406a4ce6b9d7685bea26d3daf"} + {"OrderListHash", "9412b7091b1e677c662a6bd8acc688a7"} }; } } diff --git a/Algorithm.CSharp/OptionEquityBullCallSpreadRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityBullCallSpreadRegressionAlgorithm.cs index 823d42c2264f..8d91244cb552 100644 --- a/Algorithm.CSharp/OptionEquityBullCallSpreadRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityBullCallSpreadRegressionAlgorithm.cs @@ -116,10 +116,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$4.50"}, {"Estimated Strategy Capacity", "$5400000.00"}, - {"Lowest Capacity Asset", "GOOCV WBGM95TAH2LI|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV WBGM95TALCX2|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "28.20%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "a67da2b19b248ab78686660793ddff73"} + {"OrderListHash", "8e7710ac4b8287b4746beddbc5ce9611"} }; } } diff --git a/Algorithm.CSharp/OptionEquityBullPutLadderRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityBullPutLadderRegressionAlgorithm.cs index cde8de55751e..e72818ab1b70 100644 --- a/Algorithm.CSharp/OptionEquityBullPutLadderRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityBullPutLadderRegressionAlgorithm.cs @@ -118,10 +118,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$9.75"}, {"Estimated Strategy Capacity", "$1400000.00"}, - {"Lowest Capacity Asset", "GOOCV 306CZL2DIL4G6|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 306CZL2DIPERQ|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "9.76%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "7e626752cd561e225a1990b19b220177"} + {"OrderListHash", "c94aea4f3f3af337890d430a47a078e2"} }; } } diff --git a/Algorithm.CSharp/OptionEquityBullPutSpreadRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityBullPutSpreadRegressionAlgorithm.cs index 4f0346b6a9ae..5b47e516b19f 100644 --- a/Algorithm.CSharp/OptionEquityBullPutSpreadRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityBullPutSpreadRegressionAlgorithm.cs @@ -115,10 +115,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$13.00"}, {"Estimated Strategy Capacity", "$2300000.00"}, - {"Lowest Capacity Asset", "GOOCV 306CZK7GHYP9I|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 306CZK7GI2ZL2|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "13.47%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "ee051f3093b67c6f921eaa0f517b2880"} + {"OrderListHash", "674e63d3d499cc9b6c3be48c92786536"} }; } } diff --git a/Algorithm.CSharp/OptionEquityCallBackspreadRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityCallBackspreadRegressionAlgorithm.cs index 9085b8ac5b92..35537a699cb3 100644 --- a/Algorithm.CSharp/OptionEquityCallBackspreadRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityCallBackspreadRegressionAlgorithm.cs @@ -120,10 +120,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$9.75"}, {"Estimated Strategy Capacity", "$47000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "11.81%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "6ece6c59826ea66fa7b0a1094a0021c7"} + {"OrderListHash", "d6c330a7840e7294bfa1bc6572d418bd"} }; } } diff --git a/Algorithm.CSharp/OptionEquityCallButterflyRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityCallButterflyRegressionAlgorithm.cs index 71114bfb0075..9dbaa7e10ea5 100644 --- a/Algorithm.CSharp/OptionEquityCallButterflyRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityCallButterflyRegressionAlgorithm.cs @@ -120,10 +120,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$26.00"}, {"Estimated Strategy Capacity", "$69000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "30.35%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "6d90cdf33bc1dd6e8d190021898a4e66"} + {"OrderListHash", "1f9515dab3cf62b5e1d9026a2d27a994"} }; } } diff --git a/Algorithm.CSharp/OptionEquityCallCalendarSpreadRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityCallCalendarSpreadRegressionAlgorithm.cs index 0f54f7172aea..3743ae349aa3 100644 --- a/Algorithm.CSharp/OptionEquityCallCalendarSpreadRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityCallCalendarSpreadRegressionAlgorithm.cs @@ -117,10 +117,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$13.00"}, {"Estimated Strategy Capacity", "$23000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "26.19%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "4b1bd9b5d8b0dba8ddaceeb1dfbcbbc9"} + {"OrderListHash", "2c84b684c855e060a2dced86497181e0"} }; } } diff --git a/Algorithm.CSharp/OptionEquityConversionRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityConversionRegressionAlgorithm.cs index d1e3291ec5e8..f33e0adc6c9c 100644 --- a/Algorithm.CSharp/OptionEquityConversionRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityConversionRegressionAlgorithm.cs @@ -119,10 +119,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$3.00"}, {"Estimated Strategy Capacity", "$1600000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZFMML01JA|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZFMML4BUU|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "38.88%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "8d8b71fdb1faafde96e301b4b2f9ca7d"} + {"OrderListHash", "af86d222380d975e533a88b92b16f280"} }; } } diff --git a/Algorithm.CSharp/OptionEquityCoveredCallRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityCoveredCallRegressionAlgorithm.cs index 0033db4720fb..6cafcc12dba9 100644 --- a/Algorithm.CSharp/OptionEquityCoveredCallRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityCoveredCallRegressionAlgorithm.cs @@ -121,7 +121,7 @@ public override void OnData(Slice slice) {"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "201.44%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "0eee5332f35455eb689a4ef2a27f11fc"} + {"OrderListHash", "7bbdaa6bb6a8e92177dbab76992cfea6"} }; } } diff --git a/Algorithm.CSharp/OptionEquityCoveredPutRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityCoveredPutRegressionAlgorithm.cs index 301f6a87c274..f600b73bd8e0 100644 --- a/Algorithm.CSharp/OptionEquityCoveredPutRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityCoveredPutRegressionAlgorithm.cs @@ -122,7 +122,7 @@ public override void OnData(Slice slice) {"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "399.81%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "326721b5b46d1094a5a758c60ba67da0"} + {"OrderListHash", "89db7ece35155c62319cbbb810d9a58e"} }; } } diff --git a/Algorithm.CSharp/OptionEquityIronButterflyRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityIronButterflyRegressionAlgorithm.cs index 11c0d0ae5b52..b14a42a65e88 100644 --- a/Algorithm.CSharp/OptionEquityIronButterflyRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityIronButterflyRegressionAlgorithm.cs @@ -127,10 +127,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$26.00"}, {"Estimated Strategy Capacity", "$500000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZFMML01JA|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZFMML4BUU|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "26.45%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "b92ac4977a039360c4b09232ebe9e60f"} + {"OrderListHash", "cbf6f38a1ad909fa68c926edaae45f7a"} }; } } diff --git a/Algorithm.CSharp/OptionEquityIronCondorRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityIronCondorRegressionAlgorithm.cs index 100d0a64d9f2..bbe4b329ea14 100644 --- a/Algorithm.CSharp/OptionEquityIronCondorRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityIronCondorRegressionAlgorithm.cs @@ -129,10 +129,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$26.00"}, {"Estimated Strategy Capacity", "$480000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZFMML01JA|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZFMML4BUU|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "25.26%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "ec76ffecec334bc53867752638aee2fa"} + {"OrderListHash", "21935ddaaa9549064bbeeca2cd7ba4ac"} }; } } diff --git a/Algorithm.CSharp/OptionEquityJellyRollRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityJellyRollRegressionAlgorithm.cs index d011b30a2e78..cf9bf7b9d972 100644 --- a/Algorithm.CSharp/OptionEquityJellyRollRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityJellyRollRegressionAlgorithm.cs @@ -125,10 +125,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$4.00"}, {"Estimated Strategy Capacity", "$180000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "4.70%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "34f1fe90151a1fc5dff43cd7b1205861"} + {"OrderListHash", "b3857d494d146a638a8e70d313d0e724"} }; } } diff --git a/Algorithm.CSharp/OptionEquityProtectiveCollarRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityProtectiveCollarRegressionAlgorithm.cs index 4d5553872bef..a1168c89cc09 100644 --- a/Algorithm.CSharp/OptionEquityProtectiveCollarRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityProtectiveCollarRegressionAlgorithm.cs @@ -120,10 +120,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$3.00"}, {"Estimated Strategy Capacity", "$1600000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZFMML01JA|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZFMML4BUU|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "38.71%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "74791244fa3c7fbefd47dd99c3cd6fa7"} + {"OrderListHash", "531dca5eb401dc71132dbdfeec71a4f2"} }; } } diff --git a/Algorithm.CSharp/OptionEquityPutBackspreadRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityPutBackspreadRegressionAlgorithm.cs index f500e5429b51..bf74aea0eef1 100644 --- a/Algorithm.CSharp/OptionEquityPutBackspreadRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityPutBackspreadRegressionAlgorithm.cs @@ -120,10 +120,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$9.75"}, {"Estimated Strategy Capacity", "$1100000.00"}, - {"Lowest Capacity Asset", "GOOCV 306CZL2DIL4G6|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 306CZL2DIPERQ|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "9.15%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "1a51f04db9201f960dc04668b7f5d41d"} + {"OrderListHash", "7da2977580a65c43f696a3e013fb8035"} }; } } diff --git a/Algorithm.CSharp/OptionEquityPutButterflyRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityPutButterflyRegressionAlgorithm.cs index 948bc4f8961c..5ccba48e7d0d 100644 --- a/Algorithm.CSharp/OptionEquityPutButterflyRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityPutButterflyRegressionAlgorithm.cs @@ -119,10 +119,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$26.00"}, {"Estimated Strategy Capacity", "$280000.00"}, - {"Lowest Capacity Asset", "GOOCV 306CZL2DIL4G6|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 306CZL2DIPERQ|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "25.77%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "90ff39e71c0e1dea734cd5e7e45f50d4"} + {"OrderListHash", "e4d100d6e96ad81660b800f09267a623"} }; } } diff --git a/Algorithm.CSharp/OptionEquityPutCalendarSpreadRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityPutCalendarSpreadRegressionAlgorithm.cs index fcd5e71512c0..e73dd6799436 100644 --- a/Algorithm.CSharp/OptionEquityPutCalendarSpreadRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityPutCalendarSpreadRegressionAlgorithm.cs @@ -116,10 +116,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$13.00"}, {"Estimated Strategy Capacity", "$1300000.00"}, - {"Lowest Capacity Asset", "GOOCV 306CZK7GHYP9I|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 306CZK7GI2ZL2|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "21.14%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "9d0596275684d9baa53937a13d71800e"} + {"OrderListHash", "250cf48cc95b03dd9db84ab9ba18a0c4"} }; } } diff --git a/Algorithm.CSharp/OptionEquityReverseConversionRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityReverseConversionRegressionAlgorithm.cs index bae67d2cb5de..f52a653c3953 100644 --- a/Algorithm.CSharp/OptionEquityReverseConversionRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityReverseConversionRegressionAlgorithm.cs @@ -119,10 +119,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$3.00"}, {"Estimated Strategy Capacity", "$7400000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZFMML01JA|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZFMML4BUU|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "38.84%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "722e8214812becc745646ff31fcbce1b"} + {"OrderListHash", "5e0bf1da18d2ef159f3771de4bdcc4b9"} }; } } diff --git a/Algorithm.CSharp/OptionEquityShortBoxSpreadRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityShortBoxSpreadRegressionAlgorithm.cs index 8980ecb50336..d85b18e89181 100644 --- a/Algorithm.CSharp/OptionEquityShortBoxSpreadRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityShortBoxSpreadRegressionAlgorithm.cs @@ -136,10 +136,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$26.00"}, {"Estimated Strategy Capacity", "$23000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "28.04%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "f91f438caebb667dda197418168eadd3"} + {"OrderListHash", "4f1e402bd285c0ac07a5611fe4776c5f"} }; } } diff --git a/Algorithm.CSharp/OptionEquityShortButterflyCallRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityShortButterflyCallRegressionAlgorithm.cs index 04695ccae7c4..8022893810c0 100644 --- a/Algorithm.CSharp/OptionEquityShortButterflyCallRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityShortButterflyCallRegressionAlgorithm.cs @@ -120,10 +120,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$26.00"}, {"Estimated Strategy Capacity", "$23000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "30.26%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "6588b52d6dbf36c1996fb27ca734a219"} + {"OrderListHash", "3e3d9bdac468c34733ae06ddbc4db4d8"} }; } } diff --git a/Algorithm.CSharp/OptionEquityShortButterflyPutRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityShortButterflyPutRegressionAlgorithm.cs index 9bd0c59d32ff..607c67588656 100644 --- a/Algorithm.CSharp/OptionEquityShortButterflyPutRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityShortButterflyPutRegressionAlgorithm.cs @@ -118,10 +118,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$26.00"}, {"Estimated Strategy Capacity", "$890000.00"}, - {"Lowest Capacity Asset", "GOOCV 306CZL2DIL4G6|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 306CZL2DIPERQ|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "25.69%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "96609f0e05a71aea39fd31d90b7273d1"} + {"OrderListHash", "9e1b1c3724e5981b74cb03a5c7064914"} }; } } diff --git a/Algorithm.CSharp/OptionEquityShortCallBackspreadRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityShortCallBackspreadRegressionAlgorithm.cs index ac5c262e3245..0f7e330e9e44 100644 --- a/Algorithm.CSharp/OptionEquityShortCallBackspreadRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityShortCallBackspreadRegressionAlgorithm.cs @@ -122,10 +122,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$9.75"}, {"Estimated Strategy Capacity", "$53000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "11.48%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "357f13ed9e71c4dd8bb8e51e339ba7c5"} + {"OrderListHash", "8174f45d8e7ca380e7e064cecaf3124d"} }; } } diff --git a/Algorithm.CSharp/OptionEquityShortIronButterflyRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityShortIronButterflyRegressionAlgorithm.cs index e538411db097..fd4d10a6ac43 100644 --- a/Algorithm.CSharp/OptionEquityShortIronButterflyRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityShortIronButterflyRegressionAlgorithm.cs @@ -127,10 +127,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$26.00"}, {"Estimated Strategy Capacity", "$150000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZFMML01JA|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZFMML4BUU|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "26.63%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "2e8aabda630eb75675b202456d2b085a"} + {"OrderListHash", "782c4d80f0d098b0a6dccfe54aa74e23"} }; } } diff --git a/Algorithm.CSharp/OptionEquityShortIronCondorRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityShortIronCondorRegressionAlgorithm.cs index 110bf8d5b249..ab20e24b35c6 100644 --- a/Algorithm.CSharp/OptionEquityShortIronCondorRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityShortIronCondorRegressionAlgorithm.cs @@ -124,10 +124,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$26.00"}, {"Estimated Strategy Capacity", "$150000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZFMML01JA|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZFMML4BUU|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "25.35%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "15edd05d23c67c5902994eeeaf0855c7"} + {"OrderListHash", "35e7dd1e08bd0b9f4645740b72851d1f"} }; } } diff --git a/Algorithm.CSharp/OptionEquityShortJellyRollRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityShortJellyRollRegressionAlgorithm.cs index af8ad0289d45..f5c2f779c078 100644 --- a/Algorithm.CSharp/OptionEquityShortJellyRollRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityShortJellyRollRegressionAlgorithm.cs @@ -125,10 +125,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$4.00"}, {"Estimated Strategy Capacity", "$110000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "4.70%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "e2eab12be821aad91d9760a50ef9eab9"} + {"OrderListHash", "858390f60e75ee2a501d9570ad37a925"} }; } } diff --git a/Algorithm.CSharp/OptionEquityShortPutBackspreadRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityShortPutBackspreadRegressionAlgorithm.cs index d074cb559894..5b027dfa6dbe 100644 --- a/Algorithm.CSharp/OptionEquityShortPutBackspreadRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityShortPutBackspreadRegressionAlgorithm.cs @@ -122,10 +122,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$9.75"}, {"Estimated Strategy Capacity", "$1200000.00"}, - {"Lowest Capacity Asset", "GOOCV 306CZL2DIL4G6|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 306CZL2DIPERQ|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "8.84%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "7294da06231632975e97c57721d26442"} + {"OrderListHash", "eeef2acb2fcf1b166d8884fcf8b49bbd"} }; } } diff --git a/Algorithm.CSharp/OptionEquityStraddleRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityStraddleRegressionAlgorithm.cs index 0ea9ef9f38b8..553cf76bf190 100644 --- a/Algorithm.CSharp/OptionEquityStraddleRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityStraddleRegressionAlgorithm.cs @@ -116,10 +116,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$13.00"}, {"Estimated Strategy Capacity", "$270000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZFMML01JA|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZFMML4BUU|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "14.41%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "15b312a11b54cf67489d550260c68f5c"} + {"OrderListHash", "b70cd0519217e6970f4aaaa04331ca68"} }; } } diff --git a/Algorithm.CSharp/OptionEquityStrangleRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityStrangleRegressionAlgorithm.cs index 4250c3925d6c..13a5b2002f9f 100644 --- a/Algorithm.CSharp/OptionEquityStrangleRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityStrangleRegressionAlgorithm.cs @@ -116,10 +116,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$13.00"}, {"Estimated Strategy Capacity", "$250000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZFMML01JA|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZFMML4BUU|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "13.14%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "14a2226f740e34fb9c06e5c6ace85ceb"} + {"OrderListHash", "a8bc714c098862047c37ce9389e252a5"} }; } } diff --git a/Algorithm.CSharp/OptionEquityStrategyMatcherRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityStrategyMatcherRegressionAlgorithm.cs index 1a5237dc79b1..b727b16dea5c 100644 --- a/Algorithm.CSharp/OptionEquityStrategyMatcherRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionEquityStrategyMatcherRegressionAlgorithm.cs @@ -153,10 +153,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$36.95"}, {"Estimated Strategy Capacity", "$0"}, - {"Lowest Capacity Asset", "GOOCV W78ZFMEBBB2E|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZFMEBFLDY|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "274.86%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "003871a1f5e8ed7352d41c4b66fe8944"} + {"OrderListHash", "6d0e54c4897844ae98e478045bbd1569"} }; } } diff --git a/Algorithm.CSharp/OptionExerciseAssignRegressionAlgorithm.cs b/Algorithm.CSharp/OptionExerciseAssignRegressionAlgorithm.cs index 631e31615f9e..6fe8d4fc6bd6 100644 --- a/Algorithm.CSharp/OptionExerciseAssignRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionExerciseAssignRegressionAlgorithm.cs @@ -163,7 +163,7 @@ public override void OnAssignmentOrderEvent(OrderEvent assignmentEvent) {"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "30.10%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "c32a840b8e572bce151e319354df0723"} + {"OrderListHash", "b7830811367ced9052c1623875787637"} }; } } diff --git a/Algorithm.CSharp/OptionExerciseOnExpiryAndNonTradableDateRegressionAlgorithm.cs b/Algorithm.CSharp/OptionExerciseOnExpiryAndNonTradableDateRegressionAlgorithm.cs index 0e0a8748dba4..d4867599a759 100644 --- a/Algorithm.CSharp/OptionExerciseOnExpiryAndNonTradableDateRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionExerciseOnExpiryAndNonTradableDateRegressionAlgorithm.cs @@ -112,7 +112,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public virtual long DataPoints => 16638; + public virtual long DataPoints => 16640; /// /// Data Points count of the algorithm history @@ -153,10 +153,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "0"}, {"Total Fees", "$0.00"}, {"Estimated Strategy Capacity", "$8000.00"}, - {"Lowest Capacity Asset", "SPXW Y9T7LPL1X0TQ|SPX 31"}, + {"Lowest Capacity Asset", "SPXW Y9T7LPL21B5A|SPX 31"}, {"Portfolio Turnover", "0.02%"}, {"Drawdown Recovery", "4"}, - {"OrderListHash", "764432f8c2753cb2d5120a98997da47a"} + {"OrderListHash", "a1f4c8031a753d2b73655adf94f9889b"} }; } } diff --git a/Algorithm.CSharp/OptionExerciseRegressionAlgorithm.cs b/Algorithm.CSharp/OptionExerciseRegressionAlgorithm.cs index 9abd4ea9b605..dc4b6bf6460d 100644 --- a/Algorithm.CSharp/OptionExerciseRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionExerciseRegressionAlgorithm.cs @@ -154,10 +154,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "0"}, {"Total Fees", "$23.00"}, {"Estimated Strategy Capacity", "$420000.00"}, - {"Lowest Capacity Asset", "AAPL 2ZQA0P58YFYIU|AAPL R735QTJ8XC9X"}, + {"Lowest Capacity Asset", "AAPL 2ZQA0P58YK8UE|AAPL R735QTJ8XC9X"}, {"Portfolio Turnover", "66.12%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "046413f5ee0d4c200e5a98d823ae5a61"} + {"OrderListHash", "8e667d067b15819e8626d2157ce7b0b5"} }; } } diff --git a/Algorithm.CSharp/OptionNoTimeInUniverseRegressionAlgorithm.cs b/Algorithm.CSharp/OptionNoTimeInUniverseRegressionAlgorithm.cs index 2bd1976119d9..a4bdc47104d0 100644 --- a/Algorithm.CSharp/OptionNoTimeInUniverseRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionNoTimeInUniverseRegressionAlgorithm.cs @@ -42,7 +42,7 @@ public override void Initialize() _optionSymbol = option.Symbol; // set our strike/expiry filter for this option chain - option.SetFilter(u => u.Strikes(-1, +1) + option.SetFilter(u => u.StandardsOnly().Strikes(-1, +1) // Expiration method accepts TimeSpan objects or integer for days. // The following statements yield the same filtering criteria .Expiration(0, 60)); diff --git a/Algorithm.CSharp/OptionOTMExpiryOrderHasZeroPriceRegressionAlgorithm.cs b/Algorithm.CSharp/OptionOTMExpiryOrderHasZeroPriceRegressionAlgorithm.cs index 51af45f28fed..4a0c6a701dfb 100644 --- a/Algorithm.CSharp/OptionOTMExpiryOrderHasZeroPriceRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionOTMExpiryOrderHasZeroPriceRegressionAlgorithm.cs @@ -160,7 +160,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 212196; + public long DataPoints => 212198; /// /// Data Points count of the algorithm history @@ -201,10 +201,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "-23.065"}, {"Total Fees", "$1.42"}, {"Estimated Strategy Capacity", "$180000000.00"}, - {"Lowest Capacity Asset", "ES XFH59UPHGV9G|ES XFH59UK0MYO1"}, + {"Lowest Capacity Asset", "ES XFH59UPHL5L0|ES XFH59UK0MYO1"}, {"Portfolio Turnover", "0.02%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "1d3c36cec32b24e8911d87d7b9730192"} + {"OrderListHash", "d84cd529c8535b576d63c0f9c29635c3"} }; } } diff --git a/Algorithm.CSharp/OptionOpenInterestRegressionAlgorithm.cs b/Algorithm.CSharp/OptionOpenInterestRegressionAlgorithm.cs index 1a17a8975694..15e8a8d5a63f 100644 --- a/Algorithm.CSharp/OptionOpenInterestRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionOpenInterestRegressionAlgorithm.cs @@ -164,10 +164,10 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Treynor Ratio", "0"}, {"Total Fees", "$2.00"}, {"Estimated Strategy Capacity", "$0"}, - {"Lowest Capacity Asset", "AOL W78ZERDZK1QE|AOL R735QTJ8XC9X"}, + {"Lowest Capacity Asset", "AOL W78ZERDZOC1Y|AOL R735QTJ8XC9X"}, {"Portfolio Turnover", "0.07%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "58c3e82532109b692429e1eb062296b5"} + {"OrderListHash", "020bab5fcb635e1378f404364e9495a2"} }; } } diff --git a/Algorithm.CSharp/OptionOrdersOnSplitRegressionAlgorithm.cs b/Algorithm.CSharp/OptionOrdersOnSplitRegressionAlgorithm.cs index b0e5b6f31dcd..7f09fba8d76b 100644 --- a/Algorithm.CSharp/OptionOrdersOnSplitRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionOrdersOnSplitRegressionAlgorithm.cs @@ -42,7 +42,7 @@ public override void Initialize() _aapl = AddEquity("AAPL", Resolution.Minute, extendedMarketHours: true, dataNormalizationMode: DataNormalizationMode.Raw).Symbol; var option = AddOption(_aapl, Resolution.Minute); - option.SetFilter(-1, +1, 0, 365); + option.SetFilter(u => u.StandardsOnly().Strikes(-1, +1).Expiration(0, 365)); } public override void OnData(Slice slice) diff --git a/Algorithm.CSharp/OptionPriceModelForSupportedAmericanOptionRegressionAlgorithm.cs b/Algorithm.CSharp/OptionPriceModelForSupportedAmericanOptionRegressionAlgorithm.cs index 71649af269ac..dbf8825d462f 100644 --- a/Algorithm.CSharp/OptionPriceModelForSupportedAmericanOptionRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionPriceModelForSupportedAmericanOptionRegressionAlgorithm.cs @@ -30,6 +30,8 @@ public override void Initialize() SetEndDate(2014, 6, 9); var option = AddOption("AAPL", Resolution.Minute); + option.SetFilter(u => u.StandardsOnly().Strikes(-1, 1).Expiration(0, 35)); + // BaroneAdesiWhaley model supports American style options option.PriceModel = OptionPriceModels.BaroneAdesiWhaley(); diff --git a/Algorithm.CSharp/OptionPriceModelForUnsupportedAmericanOptionRegressionAlgorithm.cs b/Algorithm.CSharp/OptionPriceModelForUnsupportedAmericanOptionRegressionAlgorithm.cs index d5873252e3f6..ca1764623e9c 100644 --- a/Algorithm.CSharp/OptionPriceModelForUnsupportedAmericanOptionRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionPriceModelForUnsupportedAmericanOptionRegressionAlgorithm.cs @@ -29,6 +29,8 @@ public override void Initialize() SetEndDate(2014, 6, 9); var option = AddOption("AAPL", Resolution.Minute); + option.SetFilter(u => u.StandardsOnly().Strikes(-1, 1).Expiration(0, 35)); + // BlackSholes model does not support American style options option.PriceModel = OptionPriceModels.BlackScholes(); diff --git a/Algorithm.CSharp/OptionRenameDailyRegressionAlgorithm.cs b/Algorithm.CSharp/OptionRenameDailyRegressionAlgorithm.cs index 0c42dd193bdc..198bb8098250 100644 --- a/Algorithm.CSharp/OptionRenameDailyRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionRenameDailyRegressionAlgorithm.cs @@ -194,10 +194,10 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Treynor Ratio", "0"}, {"Total Fees", "$2.00"}, {"Estimated Strategy Capacity", "$0"}, - {"Lowest Capacity Asset", "NWSA VJ5IKAXU7WBQ|NWSA T3MO1488O0H1"}, + {"Lowest Capacity Asset", "NWSA VJ5IKAXUC6NA|NWSA T3MO1488O0H1"}, {"Portfolio Turnover", "0.06%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "4dc221b1c1461ada80a8d494dd8f2610"} + {"OrderListHash", "bab17a4489f3ecf79df28e661de80a9f"} }; } } diff --git a/Algorithm.CSharp/OptionRenameRegressionAlgorithm.cs b/Algorithm.CSharp/OptionRenameRegressionAlgorithm.cs index 135aef3adfcb..180898b9cea5 100644 --- a/Algorithm.CSharp/OptionRenameRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionRenameRegressionAlgorithm.cs @@ -182,10 +182,10 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Treynor Ratio", "0"}, {"Total Fees", "$4.00"}, {"Estimated Strategy Capacity", "$8600000.00"}, - {"Lowest Capacity Asset", "NWSA VJ5IKAXU7WBQ|NWSA T3MO1488O0H1"}, + {"Lowest Capacity Asset", "NWSA VJ5IKAXUC6NA|NWSA T3MO1488O0H1"}, {"Portfolio Turnover", "0.13%"}, {"Drawdown Recovery", "2"}, - {"OrderListHash", "83dfb4b2f1d41429273d83335b63426c"} + {"OrderListHash", "9e6589151844ae971e04a44a72fb80cd"} }; } } diff --git a/Algorithm.CSharp/OptionResolutionRegressionAlgorithm.cs b/Algorithm.CSharp/OptionResolutionRegressionAlgorithm.cs index 7e46616f0da3..0631ad5f606b 100644 --- a/Algorithm.CSharp/OptionResolutionRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionResolutionRegressionAlgorithm.cs @@ -38,7 +38,7 @@ public override void Initialize() UniverseSettings.Resolution = Resolution.Daily; var option = AddOption("GOOG"); - option.SetFilter(u => u.Strikes(-2, +2).Expiration(0, 180)); + option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180)); _optionSymbol = option.Symbol; if (UniverseManager.TryGetValue(option.Symbol, out var universe) @@ -132,7 +132,7 @@ public override void OnData(Slice slice) {"Lowest Capacity Asset", ""}, {"Portfolio Turnover", "0%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "ce4cdd4d05199b633559cd14bc6db237"} + {"OrderListHash", "2a63ba11c7395ae4f7b710aa3a64c71a"} }; } } diff --git a/Algorithm.CSharp/OptionShortCallMarginCallEventsAlgorithm.cs b/Algorithm.CSharp/OptionShortCallMarginCallEventsAlgorithm.cs index fe34a43b590f..6192dc406e60 100644 --- a/Algorithm.CSharp/OptionShortCallMarginCallEventsAlgorithm.cs +++ b/Algorithm.CSharp/OptionShortCallMarginCallEventsAlgorithm.cs @@ -42,7 +42,7 @@ public override void Initialize() var option = AddOption(equitySymbol); _optionSymbol = option.Symbol; - option.SetFilter(u => u.Strikes(-2, +2) + option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2) .Expiration(0, 180)); Portfolio.MarginCallModel = new CustomMarginCallModel(Portfolio, DefaultOrderProperties); @@ -120,10 +120,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "-2.981"}, {"Total Fees", "$7.50"}, {"Estimated Strategy Capacity", "$66000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZFMML01JA|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZFMML4BUU|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "1.01%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "98d7ad800db7b97a373ca7edc56e3223"} + {"OrderListHash", "039fb1adfb5366ea629e3f5e0646ab8b"} }; } } diff --git a/Algorithm.CSharp/OptionSplitRegressionAlgorithm.cs b/Algorithm.CSharp/OptionSplitRegressionAlgorithm.cs index 00f0d8012051..b15887f61377 100644 --- a/Algorithm.CSharp/OptionSplitRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionSplitRegressionAlgorithm.cs @@ -165,10 +165,10 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Treynor Ratio", "0"}, {"Total Fees", "$2.00"}, {"Estimated Strategy Capacity", "$88000.00"}, - {"Lowest Capacity Asset", "AAPL VRCWOCTRR37Q|AAPL R735QTJ8XC9X"}, + {"Lowest Capacity Asset", "AAPL VRCWOCTRVDJA|AAPL R735QTJ8XC9X"}, {"Portfolio Turnover", "0.04%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "75e0d3e5d72502421287925c55de3054"} + {"OrderListHash", "6753be1c117f9528f920eb84976a070f"} }; } } diff --git a/Algorithm.CSharp/OptionSplitWarmupRegressionAlgorithm.cs b/Algorithm.CSharp/OptionSplitWarmupRegressionAlgorithm.cs index 92bc551ea1a2..98ffa66a4c14 100644 --- a/Algorithm.CSharp/OptionSplitWarmupRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionSplitWarmupRegressionAlgorithm.cs @@ -39,6 +39,7 @@ public override void Initialize() SetEndDate(2014, 06, 09); var option = AddOption("AAPL"); + option.SetFilter(u => u.StandardsOnly().Strikes(-1, 1).Expiration(0, 35)); _optionSymbol = option.Symbol; var optionContractSymbol = OptionChain(_optionSymbol) diff --git a/Algorithm.CSharp/OptionStrategyFactoryMethodsBaseAlgorithm.cs b/Algorithm.CSharp/OptionStrategyFactoryMethodsBaseAlgorithm.cs index d7e486765ee1..7f61a98a815f 100644 --- a/Algorithm.CSharp/OptionStrategyFactoryMethodsBaseAlgorithm.cs +++ b/Algorithm.CSharp/OptionStrategyFactoryMethodsBaseAlgorithm.cs @@ -45,7 +45,7 @@ public override void Initialize() var option = AddOption("GOOG"); _optionSymbol = option.Symbol; - option.SetFilter(-2, +2, 0, 180); + option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180)); SetBenchmark("GOOG"); } @@ -67,8 +67,7 @@ public override void OnData(Slice slice) var buyingPowerModel = positionGroup.BuyingPowerModel as OptionStrategyPositionGroupBuyingPowerModel; if (buyingPowerModel == null) { - throw new RegressionTestException($@"Expected position group buying power model type: {nameof(OptionStrategyPositionGroupBuyingPowerModel) - }. Actual: {positionGroup.BuyingPowerModel.GetType()}"); + throw new RegressionTestException($@"Expected position group buying power model type: {nameof(OptionStrategyPositionGroupBuyingPowerModel)}. Actual: {positionGroup.BuyingPowerModel.GetType()}"); } AssertStrategyPositionGroup(positionGroup); @@ -91,9 +90,7 @@ public override void OnEndOfAlgorithm() var ordersCount = Transactions.GetOrders((order) => order.Status == OrderStatus.Filled).Count(); if (ordersCount != ExpectedOrdersCount) { - throw new RegressionTestException($@"Expected {ExpectedOrdersCount - } orders to have been submitted and filled, half for buying the strategy and the other half for the liquidation. Actual { - ordersCount}"); + throw new RegressionTestException($@"Expected {ExpectedOrdersCount} orders to have been submitted and filled, half for buying the strategy and the other half for the liquidation. Actual {ordersCount}"); } } diff --git a/Algorithm.CSharp/OptionStrategyFilteringUniverseBoxSpreadRegressionAlgorithm.cs b/Algorithm.CSharp/OptionStrategyFilteringUniverseBoxSpreadRegressionAlgorithm.cs index cc1eed036bd0..8b7f4342044f 100644 --- a/Algorithm.CSharp/OptionStrategyFilteringUniverseBoxSpreadRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionStrategyFilteringUniverseBoxSpreadRegressionAlgorithm.cs @@ -125,10 +125,10 @@ protected override void TestFiltering(OptionChain chain) {"Treynor Ratio", "0"}, {"Total Fees", "$4.00"}, {"Estimated Strategy Capacity", "$3600000.00"}, - {"Lowest Capacity Asset", "GOOCV 306JVPQ5YT51I|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 306JVPQ5YXFD2|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "3.66%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "b498b296357ad672073c12dce73be212"} + {"OrderListHash", "b8f487d284100b6fe8cf84b0bcbd5941"} }; } } diff --git a/Algorithm.CSharp/OptionStrategyFilteringUniverseCallButterflyRegressionAlgorithm.cs b/Algorithm.CSharp/OptionStrategyFilteringUniverseCallButterflyRegressionAlgorithm.cs index 940b188dd074..4298de39e68c 100644 --- a/Algorithm.CSharp/OptionStrategyFilteringUniverseCallButterflyRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionStrategyFilteringUniverseCallButterflyRegressionAlgorithm.cs @@ -121,10 +121,10 @@ protected override void TestFiltering(OptionChain chain) {"Treynor Ratio", "0"}, {"Total Fees", "$3.30"}, {"Estimated Strategy Capacity", "$4000000.00"}, - {"Lowest Capacity Asset", "GOOCV W7FVK9Q85UPY|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W7FVK9Q8A51I|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "3.86%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "4aa7b753745ce198ab5c92ab730ddb06"} + {"OrderListHash", "8588e9d994886ac2d6118ec7bd99a37b"} }; } } diff --git a/Algorithm.CSharp/OptionStrategyFilteringUniverseCallCalendarSpreadRegressionAlgorithm.cs b/Algorithm.CSharp/OptionStrategyFilteringUniverseCallCalendarSpreadRegressionAlgorithm.cs index 4af060b69fb6..d2af342853e7 100644 --- a/Algorithm.CSharp/OptionStrategyFilteringUniverseCallCalendarSpreadRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionStrategyFilteringUniverseCallCalendarSpreadRegressionAlgorithm.cs @@ -114,10 +114,10 @@ protected override void TestFiltering(OptionChain chain) {"Treynor Ratio", "0"}, {"Total Fees", "$2.00"}, {"Estimated Strategy Capacity", "$1700000.00"}, - {"Lowest Capacity Asset", "GOOCV W7TNTL2UX5FQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W7TNTL2V1FRA|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "2.58%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "8a33a4fad0585112f230f75f03e0c2fd"} + {"OrderListHash", "89f5088049017cdefcda5b924f142ce6"} }; } } diff --git a/Algorithm.CSharp/OptionStrategyFilteringUniverseCallLadderRegressionAlgorithm.cs b/Algorithm.CSharp/OptionStrategyFilteringUniverseCallLadderRegressionAlgorithm.cs index 340180b2112c..638b1e5815f2 100644 --- a/Algorithm.CSharp/OptionStrategyFilteringUniverseCallLadderRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionStrategyFilteringUniverseCallLadderRegressionAlgorithm.cs @@ -121,10 +121,10 @@ protected override void TestFiltering(OptionChain chain) {"Treynor Ratio", "0"}, {"Total Fees", "$3.00"}, {"Estimated Strategy Capacity", "$11000000.00"}, - {"Lowest Capacity Asset", "GOOCV W7FVKA6RJBNQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W7FVKA6RNLZA|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "2.97%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "73508fbc2c2f4ee3ffdb4dc653717205"} + {"OrderListHash", "a6e4aef493f4429caa9e7495e944a77a"} }; } } diff --git a/Algorithm.CSharp/OptionStrategyFilteringUniverseCallSpreadRegressionAlgorithm.cs b/Algorithm.CSharp/OptionStrategyFilteringUniverseCallSpreadRegressionAlgorithm.cs index 6b62f1497000..c287102901e4 100644 --- a/Algorithm.CSharp/OptionStrategyFilteringUniverseCallSpreadRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionStrategyFilteringUniverseCallSpreadRegressionAlgorithm.cs @@ -114,10 +114,10 @@ protected override void TestFiltering(OptionChain chain) {"Treynor Ratio", "0"}, {"Total Fees", "$2.00"}, {"Estimated Strategy Capacity", "$10000000.00"}, - {"Lowest Capacity Asset", "GOOCV W7FVKA6RJBNQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W7FVKA6RNLZA|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "2.09%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "8efb4594409cb11fc8b25a1eedb2b3e3"} + {"OrderListHash", "0e99ad3d24cce65429344fcbc810923d"} }; } } diff --git a/Algorithm.CSharp/OptionStrategyFilteringUniverseConversionRegressionAlgorithm.cs b/Algorithm.CSharp/OptionStrategyFilteringUniverseConversionRegressionAlgorithm.cs index f4e2c167fe6f..b08201bcacb8 100644 --- a/Algorithm.CSharp/OptionStrategyFilteringUniverseConversionRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionStrategyFilteringUniverseConversionRegressionAlgorithm.cs @@ -113,10 +113,10 @@ protected override void TestFiltering(OptionChain chain) {"Treynor Ratio", "0"}, {"Total Fees", "$3.00"}, {"Estimated Strategy Capacity", "$15000000.00"}, - {"Lowest Capacity Asset", "GOOCV W7FVK9Q85UPY|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W7FVK9Q8A51I|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "39.39%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "6fb9441bb0f49a1af2fb73dac30c5982"} + {"OrderListHash", "c5615899d622d94d8b1d8a8a416977f6"} }; } } diff --git a/Algorithm.CSharp/OptionStrategyFilteringUniverseIronCondorRegressionAlgorithm.cs b/Algorithm.CSharp/OptionStrategyFilteringUniverseIronCondorRegressionAlgorithm.cs index 9c9a84039d0f..163cb4e90f4d 100644 --- a/Algorithm.CSharp/OptionStrategyFilteringUniverseIronCondorRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionStrategyFilteringUniverseIronCondorRegressionAlgorithm.cs @@ -127,10 +127,10 @@ protected override void TestFiltering(OptionChain chain) {"Treynor Ratio", "0"}, {"Total Fees", "$4.00"}, {"Estimated Strategy Capacity", "$3400000.00"}, - {"Lowest Capacity Asset", "GOOCV 306JVPPH5QXMU|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 306JVPPH5V7YE|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "2.76%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "5162055c872b1954d3c51d05391defc3"} + {"OrderListHash", "8a30c50c7eb8b1b63067a6c17481ea9f"} }; } } diff --git a/Algorithm.CSharp/OptionStrategyFilteringUniverseJellyRollRegressionAlgorithm.cs b/Algorithm.CSharp/OptionStrategyFilteringUniverseJellyRollRegressionAlgorithm.cs index c7a5d3fb9f3c..299ad4135349 100644 --- a/Algorithm.CSharp/OptionStrategyFilteringUniverseJellyRollRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionStrategyFilteringUniverseJellyRollRegressionAlgorithm.cs @@ -125,10 +125,10 @@ protected override void TestFiltering(OptionChain chain) {"Treynor Ratio", "0"}, {"Total Fees", "$4.00"}, {"Estimated Strategy Capacity", "$3200000.00"}, - {"Lowest Capacity Asset", "GOOCV W7TNTL2UX5FQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W7TNTL2V1FRA|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "4.92%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "5945821ac297e6e39dfd8549af06ba12"} + {"OrderListHash", "7f6c8cf903d0982b244c4c7fc55f9941"} }; } } diff --git a/Algorithm.CSharp/OptionStrategyFilteringUniverseProtectiveCollarRegressionAlgorithm.cs b/Algorithm.CSharp/OptionStrategyFilteringUniverseProtectiveCollarRegressionAlgorithm.cs index afde48ee186e..99ff1aee0878 100644 --- a/Algorithm.CSharp/OptionStrategyFilteringUniverseProtectiveCollarRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionStrategyFilteringUniverseProtectiveCollarRegressionAlgorithm.cs @@ -114,10 +114,10 @@ protected override void TestFiltering(OptionChain chain) {"Treynor Ratio", "0"}, {"Total Fees", "$3.00"}, {"Estimated Strategy Capacity", "$38000000.00"}, - {"Lowest Capacity Asset", "GOOCV 306JVPQ5YT51I|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 306JVPQ5YXFD2|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "39.24%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "6bbae139ff483b232448a003383f296a"} + {"OrderListHash", "92255bb1d24205b620441d2bb1f21f04"} }; } } diff --git a/Algorithm.CSharp/OptionStrategyFilteringUniversePutButterflyRegressionAlgorithm.cs b/Algorithm.CSharp/OptionStrategyFilteringUniversePutButterflyRegressionAlgorithm.cs index ea31ee639136..f7663e701b3b 100644 --- a/Algorithm.CSharp/OptionStrategyFilteringUniversePutButterflyRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionStrategyFilteringUniversePutButterflyRegressionAlgorithm.cs @@ -121,10 +121,10 @@ protected override void TestFiltering(OptionChain chain) {"Treynor Ratio", "0"}, {"Total Fees", "$3.30"}, {"Estimated Strategy Capacity", "$3400000.00"}, - {"Lowest Capacity Asset", "GOOCV 306JVPQ5YT51I|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 306JVPQ5YXFD2|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "3.43%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "4d232421a55b71dd93e47e25fff3eff7"} + {"OrderListHash", "f7baa1f5e8b8a9f59563487c1cdd08fa"} }; } } diff --git a/Algorithm.CSharp/OptionStrategyFilteringUniversePutCalendarSpreadRegressionAlgorithm.cs b/Algorithm.CSharp/OptionStrategyFilteringUniversePutCalendarSpreadRegressionAlgorithm.cs index d1d75e103fa0..71ff5e467538 100644 --- a/Algorithm.CSharp/OptionStrategyFilteringUniversePutCalendarSpreadRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionStrategyFilteringUniversePutCalendarSpreadRegressionAlgorithm.cs @@ -114,10 +114,10 @@ protected override void TestFiltering(OptionChain chain) {"Treynor Ratio", "0"}, {"Total Fees", "$2.00"}, {"Estimated Strategy Capacity", "$9100000.00"}, - {"Lowest Capacity Asset", "GOOCV 306JVPPXP4EKM|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 306JVPPXP8OW6|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "2.36%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "d2ff169cdbd21d4229b6381e5417fd33"} + {"OrderListHash", "e7c580fc19e2cc545c96277031b9d9ed"} }; } } diff --git a/Algorithm.CSharp/OptionStrategyFilteringUniversePutLadderRegressionAlgorithm.cs b/Algorithm.CSharp/OptionStrategyFilteringUniversePutLadderRegressionAlgorithm.cs index 27579dc6ac33..665a357ab517 100644 --- a/Algorithm.CSharp/OptionStrategyFilteringUniversePutLadderRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionStrategyFilteringUniversePutLadderRegressionAlgorithm.cs @@ -121,10 +121,10 @@ protected override void TestFiltering(OptionChain chain) {"Treynor Ratio", "0"}, {"Total Fees", "$3.00"}, {"Estimated Strategy Capacity", "$2900000.00"}, - {"Lowest Capacity Asset", "GOOCV 306JVPPH5QXMU|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 306JVPPH5V7YE|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "2.43%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "96a0b3dbc7070c667a169459d24ec28e"} + {"OrderListHash", "e8cbf8de4fe77a51f7b09c123d865d09"} }; } } diff --git a/Algorithm.CSharp/OptionStrategyFilteringUniversePutSpreadRegressionAlgorithm.cs b/Algorithm.CSharp/OptionStrategyFilteringUniversePutSpreadRegressionAlgorithm.cs index f6b4ed370cb8..f46cc19839e0 100644 --- a/Algorithm.CSharp/OptionStrategyFilteringUniversePutSpreadRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionStrategyFilteringUniversePutSpreadRegressionAlgorithm.cs @@ -114,10 +114,10 @@ protected override void TestFiltering(OptionChain chain) {"Treynor Ratio", "0"}, {"Total Fees", "$2.00"}, {"Estimated Strategy Capacity", "$1900000.00"}, - {"Lowest Capacity Asset", "GOOCV 306JVPPH5QXMU|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 306JVPPH5V7YE|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "1.60%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "7600923ed8d7dae66e7827fde5421cbe"} + {"OrderListHash", "4631d091180d27a2eaa4cdc06c6f4044"} }; } } diff --git a/Algorithm.CSharp/OptionStrategyFilteringUniverseSingleCallRegressionAlgorithm.cs b/Algorithm.CSharp/OptionStrategyFilteringUniverseSingleCallRegressionAlgorithm.cs index e2e62e96cb03..5821a6c71143 100644 --- a/Algorithm.CSharp/OptionStrategyFilteringUniverseSingleCallRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionStrategyFilteringUniverseSingleCallRegressionAlgorithm.cs @@ -107,10 +107,10 @@ protected override void TestFiltering(OptionChain chain) {"Treynor Ratio", "0"}, {"Total Fees", "$1.00"}, {"Estimated Strategy Capacity", "$9500000.00"}, - {"Lowest Capacity Asset", "GOOCV W7FVK9YHUL6U|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W7FVK9YHYVIE|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "0.87%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "05291a87003539134cf529870851206f"} + {"OrderListHash", "50acbede042747f30c4fe8cae47a84c0"} }; } } diff --git a/Algorithm.CSharp/OptionStrategyFilteringUniverseSinglePutRegressionAlgorithm.cs b/Algorithm.CSharp/OptionStrategyFilteringUniverseSinglePutRegressionAlgorithm.cs index 70ff6327cb34..578af95cd55e 100644 --- a/Algorithm.CSharp/OptionStrategyFilteringUniverseSinglePutRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionStrategyFilteringUniverseSinglePutRegressionAlgorithm.cs @@ -107,10 +107,10 @@ protected override void TestFiltering(OptionChain chain) {"Treynor Ratio", "0"}, {"Total Fees", "$1.00"}, {"Estimated Strategy Capacity", "$8100000.00"}, - {"Lowest Capacity Asset", "GOOCV 306JVPPXP4EKM|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 306JVPPXP8OW6|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "0.77%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "5ebd6e00d06329e3c7151407527e449f"} + {"OrderListHash", "c16233245f4266df677d9bf5d0ec2e43"} }; } } diff --git a/Algorithm.CSharp/OptionStrategyFilteringUniverseStraddleRegressionAlgorithm.cs b/Algorithm.CSharp/OptionStrategyFilteringUniverseStraddleRegressionAlgorithm.cs index 382b9f70fef5..61bd7c7bce4f 100644 --- a/Algorithm.CSharp/OptionStrategyFilteringUniverseStraddleRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionStrategyFilteringUniverseStraddleRegressionAlgorithm.cs @@ -112,10 +112,10 @@ protected override void TestFiltering(OptionChain chain) {"Treynor Ratio", "0"}, {"Total Fees", "$2.00"}, {"Estimated Strategy Capacity", "$2400000.00"}, - {"Lowest Capacity Asset", "GOOCV 306JVPPXP4EKM|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 306JVPPXP8OW6|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "1.99%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "6d7049bd413081a2ece8609841aebe02"} + {"OrderListHash", "cb036434acd9a61cb85bd4b2b5671b79"} }; } } diff --git a/Algorithm.CSharp/OptionStrategyFilteringUniverseStrangleRegressionAlgorithm.cs b/Algorithm.CSharp/OptionStrategyFilteringUniverseStrangleRegressionAlgorithm.cs index 87f99da0b489..8150e7842b0f 100644 --- a/Algorithm.CSharp/OptionStrategyFilteringUniverseStrangleRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionStrategyFilteringUniverseStrangleRegressionAlgorithm.cs @@ -113,10 +113,10 @@ protected override void TestFiltering(OptionChain chain) {"Treynor Ratio", "0"}, {"Total Fees", "$2.00"}, {"Estimated Strategy Capacity", "$2000000.00"}, - {"Lowest Capacity Asset", "GOOCV 306JVPPH5QXMU|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 306JVPPH5V7YE|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "1.64%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "dcae5f3a4eadd9acf5a72f6cf4b386a1"} + {"OrderListHash", "e0599c7737867243d62b3b3311535842"} }; } } diff --git a/Algorithm.CSharp/OptionStrategyMarginCallEventsAlgorithm.cs b/Algorithm.CSharp/OptionStrategyMarginCallEventsAlgorithm.cs index c2985e1b9662..14ab078411c5 100644 --- a/Algorithm.CSharp/OptionStrategyMarginCallEventsAlgorithm.cs +++ b/Algorithm.CSharp/OptionStrategyMarginCallEventsAlgorithm.cs @@ -143,7 +143,7 @@ public override void OnMarginCall(List requests) {"Treynor Ratio", "0"}, {"Total Fees", "$1252.00"}, {"Estimated Strategy Capacity", "$130000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZFMML01JA|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZFMML4BUU|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "1.17%"}, {"OrderListHash", "681be68373c2f38e51456d7f8010e7d3"} }; diff --git a/Algorithm.CSharp/OptionSymbolCanonicalRegressionAlgorithm.cs b/Algorithm.CSharp/OptionSymbolCanonicalRegressionAlgorithm.cs index 3e3e09fe3b62..7d625a1bc535 100644 --- a/Algorithm.CSharp/OptionSymbolCanonicalRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionSymbolCanonicalRegressionAlgorithm.cs @@ -118,10 +118,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "0"}, {"Total Fees", "$1.00"}, {"Estimated Strategy Capacity", "$5700000.00"}, - {"Lowest Capacity Asset", "AOL VRKS95ENLBYE|AOL R735QTJ8XC9X"}, + {"Lowest Capacity Asset", "AOL VRKS95ENPM9Y|AOL R735QTJ8XC9X"}, {"Portfolio Turnover", "0.59%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "cf5752ad13afe5294a9a8aad660d015a"} + {"OrderListHash", "4351c4e0db0da9c6c9e032a08ee861ff"} }; } } diff --git a/Algorithm.CSharp/OptionTimeSliceRegressionAlgorithm.cs b/Algorithm.CSharp/OptionTimeSliceRegressionAlgorithm.cs index 54aefbded57b..07de16a12246 100644 --- a/Algorithm.CSharp/OptionTimeSliceRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionTimeSliceRegressionAlgorithm.cs @@ -86,12 +86,12 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 10857; + public long DataPoints => 10869; /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 787; + public int AlgorithmHistoryDataPoints => 788; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/OptionsAutomaticSeedRegressionAlgorithm.cs b/Algorithm.CSharp/OptionsAutomaticSeedRegressionAlgorithm.cs new file mode 100644 index 000000000000..b864cf8823a0 --- /dev/null +++ b/Algorithm.CSharp/OptionsAutomaticSeedRegressionAlgorithm.cs @@ -0,0 +1,101 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. + * +*/ + +using QuantConnect.Data; +using QuantConnect.Data.UniverseSelection; + +namespace QuantConnect.Algorithm.CSharp +{ + /// + /// Regression algorithm asserting that option contracts added via universe selection get automatically seeded by default + /// + public class OptionsAutomaticSeedRegressionAlgorithm : AutomaticSeedBaseRegressionAlgorithm + { + private bool _contractsAdded; + + protected override bool ShouldHaveTradeData => true; + protected override bool ShouldHaveQuoteData => true; + protected override bool ShouldHaveOpenInterestData => true; + + public override void Initialize() + { + SetStartDate(2015, 12, 28); + SetEndDate(2015, 12, 28); + SetCash(100000); + + Settings.SeedInitialPrices = true; + UniverseSettings.Resolution = Resolution.Minute; + + var equity = AddEquity("GOOG"); + + // This security should haven been seeded right away + if (!equity.HasData || equity.Price == 0) + { + throw new RegressionTestException("Equity security was not seeded"); + } + + var option = AddOption(equity.Symbol); + + option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180)); + } + + public override void OnData(Slice slice) + { + if (Time.TimeOfDay.Hours > 12) + { + var anotherEquity = AddEquity("SPY", Resolution.Daily); + + // This security should haven been seeded right away + if (!anotherEquity.HasData || anotherEquity.Price == 0) + { + throw new RegressionTestException("Equity security was not seeded"); + } + } + } + + public override void OnSecuritiesChanged(SecurityChanges changes) + { + base.OnSecuritiesChanged(changes); + + if (!_contractsAdded) + { + foreach (var addedSecurity in changes.AddedSecurities) + { + // Just making sure we had the data to select and seed options + _contractsAdded |= addedSecurity.Symbol.SecurityType == SecurityType.Option; + } + } + } + + public override void OnEndOfAlgorithm() + { + if (!_contractsAdded) + { + throw new RegressionTestException("No option contracts were added"); + } + } + + /// + /// Data Points count of all timeslices of algorithm + /// + public override long DataPoints => 4044; + + /// + /// Data Points count of the algorithm history + /// + public override int AlgorithmHistoryDataPoints => 218; + } +} diff --git a/Algorithm.CSharp/OptionsExpiredContractRegression.cs b/Algorithm.CSharp/OptionsExpiredContractRegression.cs index fbe53061f5b9..6ce621e6bdfb 100644 --- a/Algorithm.CSharp/OptionsExpiredContractRegression.cs +++ b/Algorithm.CSharp/OptionsExpiredContractRegression.cs @@ -40,7 +40,7 @@ public override void Initialize() // Subscribe to GOOG Options var option = AddOption("GOOG"); - option.SetFilter(x => x.CallsOnly().Strikes(0, 1).Expiration(0, 30)); + option.SetFilter(x => x.StandardsOnly().CallsOnly().Strikes(0, 1).Expiration(0, 30)); } public override void OnData(Slice slice) diff --git a/Algorithm.CSharp/OrderSubmissionDataRegressionAlgorithm.cs b/Algorithm.CSharp/OrderSubmissionDataRegressionAlgorithm.cs index 0e1112e41ec0..5fb54088b678 100644 --- a/Algorithm.CSharp/OrderSubmissionDataRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OrderSubmissionDataRegressionAlgorithm.cs @@ -86,7 +86,7 @@ private void PlaceTrade(string ticker) /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 60; + public int AlgorithmHistoryDataPoints => 5; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/ProcessSplitSymbolsRegressionAlgorithm.cs b/Algorithm.CSharp/ProcessSplitSymbolsRegressionAlgorithm.cs index d30f037031ad..1be6bc4b2db4 100644 --- a/Algorithm.CSharp/ProcessSplitSymbolsRegressionAlgorithm.cs +++ b/Algorithm.CSharp/ProcessSplitSymbolsRegressionAlgorithm.cs @@ -73,7 +73,7 @@ public override void OnData(Slice slice) /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 34; + public long DataPoints => 35; /// /// Data Points count of the algorithm history diff --git a/Algorithm.CSharp/QuantConnect.Algorithm.CSharp.csproj b/Algorithm.CSharp/QuantConnect.Algorithm.CSharp.csproj index 358d8f7d7de5..318f77c54be4 100644 --- a/Algorithm.CSharp/QuantConnect.Algorithm.CSharp.csproj +++ b/Algorithm.CSharp/QuantConnect.Algorithm.CSharp.csproj @@ -4,7 +4,7 @@ AnyCPU QuantConnect.Algorithm.CSharp QuantConnect.Algorithm.CSharp - net9.0 + net10.0 false bin\$(Configuration)\ AllEnabledByDefault @@ -32,7 +32,7 @@ portable - + diff --git a/Algorithm.CSharp/RegressionTests/Collective2IndexOptionAlgorithm.cs b/Algorithm.CSharp/RegressionTests/Collective2IndexOptionAlgorithm.cs index 0f1bb5158255..bddb8bfe1e39 100644 --- a/Algorithm.CSharp/RegressionTests/Collective2IndexOptionAlgorithm.cs +++ b/Algorithm.CSharp/RegressionTests/Collective2IndexOptionAlgorithm.cs @@ -115,7 +115,7 @@ public override void OnData(Slice slice) /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 4543; + public long DataPoints => 4544; /// /// Data Points count of the algorithm history @@ -151,10 +151,10 @@ public override void OnData(Slice slice) {"Treynor Ratio", "5.946"}, {"Total Fees", "$0.00"}, {"Estimated Strategy Capacity", "$8000.00"}, - {"Lowest Capacity Asset", "SPXW XKX6S2GM9PGU|SPX 31"}, + {"Lowest Capacity Asset", "SPXW XKX6S2GMDZSE|SPX 31"}, {"Portfolio Turnover", "0.01%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "44d9880b19d4709447faf505d24aad7f"} + {"OrderListHash", "ad9c0f3aa3b311065df12bcff9a2b4de"} }; } } diff --git a/Algorithm.CSharp/RegressionTests/CorrelationLastComputedValueRegressionAlgorithm.cs b/Algorithm.CSharp/RegressionTests/CorrelationLastComputedValueRegressionAlgorithm.cs index e532ef49817b..2989c9dbdc6c 100644 --- a/Algorithm.CSharp/RegressionTests/CorrelationLastComputedValueRegressionAlgorithm.cs +++ b/Algorithm.CSharp/RegressionTests/CorrelationLastComputedValueRegressionAlgorithm.cs @@ -97,7 +97,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 72; + public int AlgorithmHistoryDataPoints => 21; /// /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm diff --git a/Algorithm.CSharp/RegressionTests/CustomData/CustomDataUnlinkedTradeBarIconicTypeConsolidationRegressionAlgorithm.cs b/Algorithm.CSharp/RegressionTests/CustomData/CustomDataUnlinkedTradeBarIconicTypeConsolidationRegressionAlgorithm.cs index ffc4d735b3fb..650cff0faf4d 100644 --- a/Algorithm.CSharp/RegressionTests/CustomData/CustomDataUnlinkedTradeBarIconicTypeConsolidationRegressionAlgorithm.cs +++ b/Algorithm.CSharp/RegressionTests/CustomData/CustomDataUnlinkedTradeBarIconicTypeConsolidationRegressionAlgorithm.cs @@ -66,7 +66,7 @@ public override void OnData(Slice slice) /// /// Incrementally updating data /// - private class IncrementallyGeneratedCustomData : UnlinkedDataTradeBar + public class IncrementallyGeneratedCustomData : UnlinkedDataTradeBar { private const decimal _start = 10.01m; private static decimal _step; diff --git a/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseCompositeDelistingRegressionAlgorithm.cs b/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseCompositeDelistingRegressionAlgorithm.cs index 8bd9ea031de5..4b918fd42be9 100644 --- a/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseCompositeDelistingRegressionAlgorithm.cs +++ b/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseCompositeDelistingRegressionAlgorithm.cs @@ -106,18 +106,17 @@ public override void OnSecuritiesChanged(SecurityChanges changes) } // if we added the etf subscription it will get added and delisted and send us a addition/removal event - var adjusment = AddETFSubscription ? 1 : 0; - var expectedChangesCount = _universeSymbolCount + adjusment; + var expectedChangesCount = _universeSymbolCount; if (_universeSelectionDone) { - // "_universeSymbolCount + 1" because selection is done right away, - // so AddedSecurities includes all ETF constituents (including APPL) plus GDVD - _universeAdded |= changes.AddedSecurities.Count == expectedChangesCount; + // manually added securities are added right away, the etf universe selection happens a few days later when data available + // AAPL was already added so it wont be counted + _universeAdded |= changes.AddedSecurities.Count == (expectedChangesCount - 1); } // TODO: shouldn't be sending AAPL as a removed security since it was added by another universe - _universeRemoved |= changes.RemovedSecurities.Count == expectedChangesCount && + _universeRemoved |= changes.RemovedSecurities.Count == (expectedChangesCount + (AddETFSubscription ? 1 : 0)) && UtcTime.Date >= _delistingDate && UtcTime.Date < EndDate; } @@ -151,7 +150,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public virtual long DataPoints => 692; + public virtual long DataPoints => 826; /// /// Data Points count of the algorithm history @@ -171,31 +170,31 @@ public override void OnEndOfAlgorithm() {"Total Orders", "1"}, {"Average Win", "0%"}, {"Average Loss", "0%"}, - {"Compounding Annual Return", "30.084%"}, + {"Compounding Annual Return", "26.315%"}, {"Drawdown", "5.400%"}, {"Expectancy", "0"}, {"Start Equity", "100000"}, - {"End Equity", "104393.19"}, - {"Net Profit", "4.393%"}, - {"Sharpe Ratio", "1.543"}, - {"Sortino Ratio", "2.111"}, - {"Probabilistic Sharpe Ratio", "58.028%"}, + {"End Equity", "103892.62"}, + {"Net Profit", "3.893%"}, + {"Sharpe Ratio", "1.291"}, + {"Sortino Ratio", "1.876"}, + {"Probabilistic Sharpe Ratio", "53.929%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, - {"Alpha", "0.166"}, - {"Beta", "0.717"}, - {"Annual Standard Deviation", "0.136"}, + {"Alpha", "0.13"}, + {"Beta", "0.697"}, + {"Annual Standard Deviation", "0.139"}, {"Annual Variance", "0.019"}, - {"Information Ratio", "1.254"}, - {"Tracking Error", "0.118"}, - {"Treynor Ratio", "0.293"}, - {"Total Fees", "$2.06"}, - {"Estimated Strategy Capacity", "$160000000.00"}, + {"Information Ratio", "0.889"}, + {"Tracking Error", "0.122"}, + {"Treynor Ratio", "0.257"}, + {"Total Fees", "$2.04"}, + {"Estimated Strategy Capacity", "$260000000.00"}, {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"}, {"Portfolio Turnover", "0.83%"}, {"Drawdown Recovery", "23"}, - {"OrderListHash", "527cba5cfdcac4b0f667bb354e80a1fe"} + {"OrderListHash", "cdf9a800c8ec7d5f9f750f32c2622f5a"} }; } } diff --git a/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseCompositeDelistingRegressionAlgorithmNoAddEquityETF.cs b/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseCompositeDelistingRegressionAlgorithmNoAddEquityETF.cs index 2b9499a1825b..213c17251b93 100644 --- a/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseCompositeDelistingRegressionAlgorithmNoAddEquityETF.cs +++ b/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseCompositeDelistingRegressionAlgorithmNoAddEquityETF.cs @@ -26,7 +26,7 @@ public class ETFConstituentUniverseCompositeDelistingRegressionAlgorithmNoAddEqu /// /// Data Points count of all timeslices of algorithm /// - public override long DataPoints => 511; + public override long DataPoints => 623; /// /// Data Points count of the algorithm history diff --git a/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseMappedCompositeRegressionAlgorithm.cs b/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseMappedCompositeRegressionAlgorithm.cs index 976b6b4b1c4e..736c48767c7c 100644 --- a/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseMappedCompositeRegressionAlgorithm.cs +++ b/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseMappedCompositeRegressionAlgorithm.cs @@ -157,7 +157,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 618; + public long DataPoints => 751; /// /// Data Points count of the algorithm history @@ -189,13 +189,13 @@ public override void OnEndOfAlgorithm() {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, - {"Alpha", "-0.084"}, - {"Beta", "0.591"}, + {"Alpha", "-0.118"}, + {"Beta", "0.445"}, {"Annual Standard Deviation", "0.078"}, {"Annual Variance", "0.006"}, - {"Information Ratio", "-1.408"}, - {"Tracking Error", "0.065"}, - {"Treynor Ratio", "-0.125"}, + {"Information Ratio", "-2.01"}, + {"Tracking Error", "0.086"}, + {"Treynor Ratio", "-0.166"}, {"Total Fees", "$22.93"}, {"Estimated Strategy Capacity", "$74000000.00"}, {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"}, diff --git a/Algorithm.CSharp/RemoveUnderlyingRegressionAlgorithm.cs b/Algorithm.CSharp/RemoveUnderlyingRegressionAlgorithm.cs index a7f60da76227..07d41de81a9d 100644 --- a/Algorithm.CSharp/RemoveUnderlyingRegressionAlgorithm.cs +++ b/Algorithm.CSharp/RemoveUnderlyingRegressionAlgorithm.cs @@ -86,7 +86,7 @@ select optionContract /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 15885; + public long DataPoints => 15886; /// /// Data Points count of the algorithm history @@ -127,10 +127,10 @@ select optionContract {"Treynor Ratio", "0"}, {"Total Fees", "$1.00"}, {"Estimated Strategy Capacity", "$28000.00"}, - {"Lowest Capacity Asset", "GOOCV 305RBQ2BZBZT2|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 305RBQ2BZGA4M|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "0.07%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "10acd880e4d9a4593efd155ba291c4e3"} + {"OrderListHash", "35f9749f41b6fd30dfcd6b74f172a93a"} }; } } diff --git a/Algorithm.CSharp/RevertComboOrderPositionsAlgorithm.cs b/Algorithm.CSharp/RevertComboOrderPositionsAlgorithm.cs index 75b20a65dcf5..ecbae4c6a7ad 100644 --- a/Algorithm.CSharp/RevertComboOrderPositionsAlgorithm.cs +++ b/Algorithm.CSharp/RevertComboOrderPositionsAlgorithm.cs @@ -49,6 +49,7 @@ public override void Initialize() var equitySymbol = AddEquity("GOOG", leverage: 4, fillForward: true).Symbol; _option = AddOption(equitySymbol, fillForward: true); _option.SetFilter(optionFilterUniverse => optionFilterUniverse + .StandardsOnly() .Strikes(-2, 2) .Expiration(0, 180)); } @@ -136,17 +137,13 @@ public override void OnEndOfAlgorithm() var expectedEntryQuantity = leg.Quantity * _comboQuantity; if (entryOrderTicket.Quantity != expectedEntryQuantity || entryOrderTicket.QuantityFilled != expectedEntryQuantity) { - throw new RegressionTestException($@"Entry order ticket quantity and filled quantity do not match expected quantity for leg {i - }. Expected: {expectedEntryQuantity}. Actual quantity: {entryOrderTicket.Quantity}. Actual filled quantity: { - entryOrderTicket.QuantityFilled}"); + throw new RegressionTestException($@"Entry order ticket quantity and filled quantity do not match expected quantity for leg {i}. Expected: {expectedEntryQuantity}. Actual quantity: {entryOrderTicket.Quantity}. Actual filled quantity: {entryOrderTicket.QuantityFilled}"); } var expectedExitQuantity = -expectedEntryQuantity; if (exitOrderTicket.Quantity != expectedExitQuantity || exitOrderTicket.QuantityFilled != expectedExitQuantity) { - throw new RegressionTestException($@"Exit order ticket quantity and filled quantity do not match expected quantity for leg {i - }. Expected: {expectedExitQuantity}. Actual quantity: {exitOrderTicket.Quantity}. Actual filled quantity: { - exitOrderTicket.QuantityFilled}"); + throw new RegressionTestException($@"Exit order ticket quantity and filled quantity do not match expected quantity for leg {i}. Expected: {expectedExitQuantity}. Actual quantity: {exitOrderTicket.Quantity}. Actual filled quantity: {exitOrderTicket.QuantityFilled}"); } } } @@ -214,10 +211,10 @@ private decimal GetComboOrderFillPrice(List orderTickets) {"Treynor Ratio", "0"}, {"Total Fees", "$36.00"}, {"Estimated Strategy Capacity", "$15000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "2088.83%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "52947bba687287a189cee038daec6918"} + {"OrderListHash", "89a786ad77fd17f19037676d3fc66d94"} }; } } diff --git a/Algorithm.CSharp/RollOutFrontMonthToBackMonthOptionUsingCalendarSpreadRegressionAlgorithm.cs b/Algorithm.CSharp/RollOutFrontMonthToBackMonthOptionUsingCalendarSpreadRegressionAlgorithm.cs index 0ae067561412..ac4631d37454 100644 --- a/Algorithm.CSharp/RollOutFrontMonthToBackMonthOptionUsingCalendarSpreadRegressionAlgorithm.cs +++ b/Algorithm.CSharp/RollOutFrontMonthToBackMonthOptionUsingCalendarSpreadRegressionAlgorithm.cs @@ -47,7 +47,7 @@ public override void Initialize() SetCash(500000); var option = AddOption("GOOG", Resolution.Minute); - option.SetFilter(universe => universe.Strikes(-1, 1).Expiration(0, 62)); + option.SetFilter(universe => universe.StandardsOnly().Strikes(-1, 1).Expiration(0, 62)); _symbol = option.Symbol; } @@ -178,10 +178,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "0"}, {"Total Fees", "$3.00"}, {"Estimated Strategy Capacity", "$190000.00"}, - {"Lowest Capacity Asset", "GOOCV 306CZK4DP0LC6|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 306CZK4DP4VNQ|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "1.19%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "007124f0e2e4f0048f367782ef7fcd02"} + {"OrderListHash", "860bacced1208f152cfc0aad369a111e"} }; } } diff --git a/Algorithm.CSharp/SecurityInitializationOnReAdditionForEquityRegressionAlgorithm.cs b/Algorithm.CSharp/SecurityInitializationOnReAdditionForEquityRegressionAlgorithm.cs index aa5ab9fe6138..193b76e2bb79 100644 --- a/Algorithm.CSharp/SecurityInitializationOnReAdditionForEquityRegressionAlgorithm.cs +++ b/Algorithm.CSharp/SecurityInitializationOnReAdditionForEquityRegressionAlgorithm.cs @@ -187,12 +187,12 @@ protected virtual void AssertSecurityInitializationCount(Dictionary /// Data Points count of all timeslices of algorithm /// - public virtual long DataPoints => 4036; + public virtual long DataPoints => 4072; /// /// Data Points count of the algorithm history /// - public virtual int AlgorithmHistoryDataPoints => 3848; + public virtual int AlgorithmHistoryDataPoints => 2948; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/SecurityInitializationOnReAdditionForManuallyAddedFutureContractRegressionAlgorithm.cs b/Algorithm.CSharp/SecurityInitializationOnReAdditionForManuallyAddedFutureContractRegressionAlgorithm.cs index 3546d5423298..fe86a481efbf 100644 --- a/Algorithm.CSharp/SecurityInitializationOnReAdditionForManuallyAddedFutureContractRegressionAlgorithm.cs +++ b/Algorithm.CSharp/SecurityInitializationOnReAdditionForManuallyAddedFutureContractRegressionAlgorithm.cs @@ -44,12 +44,12 @@ protected override Security AddSecurity() /// /// Data Points count of all timeslices of algorithm /// - public override long DataPoints => 85; + public override long DataPoints => 101; /// /// Data Points count of the algorithm history /// - public override int AlgorithmHistoryDataPoints => 48; + public override int AlgorithmHistoryDataPoints => 80; /// /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm diff --git a/Algorithm.CSharp/SecurityInitializationOnReAdditionForManuallyAddedOptionRegressionAlgorithm.cs b/Algorithm.CSharp/SecurityInitializationOnReAdditionForManuallyAddedOptionRegressionAlgorithm.cs index 61765e123bd5..efee84720b72 100644 --- a/Algorithm.CSharp/SecurityInitializationOnReAdditionForManuallyAddedOptionRegressionAlgorithm.cs +++ b/Algorithm.CSharp/SecurityInitializationOnReAdditionForManuallyAddedOptionRegressionAlgorithm.cs @@ -83,7 +83,7 @@ protected override void AssertSecurityInitializationCount(Dictionary /// Data Points count of all timeslices of algorithm /// - public override long DataPoints => 115; + public override long DataPoints => 139; /// /// Data Points count of the algorithm history diff --git a/Algorithm.CSharp/SecuritySessionWithChangeOfResolutionRegressionAlgorithm.cs b/Algorithm.CSharp/SecuritySessionWithChangeOfResolutionRegressionAlgorithm.cs index c484e18df742..00773ce5fd4e 100644 --- a/Algorithm.CSharp/SecuritySessionWithChangeOfResolutionRegressionAlgorithm.cs +++ b/Algorithm.CSharp/SecuritySessionWithChangeOfResolutionRegressionAlgorithm.cs @@ -55,7 +55,7 @@ public override void OnEndOfDay(Symbol symbol) /// /// Data Points count of all timeslices of algorithm /// - public override long DataPoints => 3170; + public override long DataPoints => 3172; /// /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm diff --git a/Algorithm.CSharp/SecuritySessionWithFutureContractRegressionAlgorithm.cs b/Algorithm.CSharp/SecuritySessionWithFutureContractRegressionAlgorithm.cs index b55bd7f46687..ea952a6b4d7d 100644 --- a/Algorithm.CSharp/SecuritySessionWithFutureContractRegressionAlgorithm.cs +++ b/Algorithm.CSharp/SecuritySessionWithFutureContractRegressionAlgorithm.cs @@ -36,7 +36,7 @@ public override void InitializeSecurity() SetEndDate(2013, 10, 08); Security = AddFuture(Futures.Metals.Gold, Resolution.Minute, extendedMarketHours: ExtendedMarketHours); - _futureContract = AddFutureContract(FuturesChain(Security.Symbol).First()); + _futureContract = AddFutureContract(FuturesChain(Security.Symbol).OrderBy(x => x.Symbol.ID.Date).First()); // Manually add consolidators to simulate Session behavior _continuousContractConsolidator = new MarketHourAwareConsolidator(false, Resolution.Daily, typeof(QuoteBar), TickType.Quote, false); diff --git a/Algorithm.CSharp/SetAccountCurrencyCashBuyingPowerModelRegressionAlgorithm.cs b/Algorithm.CSharp/SetAccountCurrencyCashBuyingPowerModelRegressionAlgorithm.cs index 9210b5a0ff33..0f1c623141ed 100644 --- a/Algorithm.CSharp/SetAccountCurrencyCashBuyingPowerModelRegressionAlgorithm.cs +++ b/Algorithm.CSharp/SetAccountCurrencyCashBuyingPowerModelRegressionAlgorithm.cs @@ -239,7 +239,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 120; + public int AlgorithmHistoryDataPoints => 15; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/SetAccountCurrencySecurityMarginModelRegressionAlgorithm.cs b/Algorithm.CSharp/SetAccountCurrencySecurityMarginModelRegressionAlgorithm.cs index a07fef771bfe..860ec82a273e 100644 --- a/Algorithm.CSharp/SetAccountCurrencySecurityMarginModelRegressionAlgorithm.cs +++ b/Algorithm.CSharp/SetAccountCurrencySecurityMarginModelRegressionAlgorithm.cs @@ -198,7 +198,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 60; + public int AlgorithmHistoryDataPoints => 5; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/SingleOptionPositionGroupBuyingPowerModelRegressionAlgorithm.cs b/Algorithm.CSharp/SingleOptionPositionGroupBuyingPowerModelRegressionAlgorithm.cs index ce8a9afbb5ab..9a58bcf25e16 100644 --- a/Algorithm.CSharp/SingleOptionPositionGroupBuyingPowerModelRegressionAlgorithm.cs +++ b/Algorithm.CSharp/SingleOptionPositionGroupBuyingPowerModelRegressionAlgorithm.cs @@ -44,7 +44,7 @@ public override void Initialize() var option = AddOption(equitySymbol); _optionSymbol = option.Symbol; - option.SetFilter(u => u.Strikes(-2, +2).Expiration(0, 180)); + option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180)); } public override void OnData(Slice slice) @@ -124,8 +124,7 @@ private void PerfomQuantityCalculations(IPositionGroup positionGroup, Security s if (positionQuantityForDeltaWithPositionGroupBuyingPowerModel != expectedQuantity) { - throw new RegressionTestException($@"Expected position quantity for delta buying power to be {expectedQuantity} but was { - positionQuantityForDeltaWithPositionGroupBuyingPowerModel}"); + throw new RegressionTestException($@"Expected position quantity for delta buying power to be {expectedQuantity} but was {positionQuantityForDeltaWithPositionGroupBuyingPowerModel}"); } var position = positionGroup.Positions.Single(); @@ -144,8 +143,7 @@ private void PerfomQuantityCalculations(IPositionGroup positionGroup, Security s if (positionQuantityForDeltaWithSecurityPositionGroupBuyingPowerModel != expectedSingleSecurityModelsQuantity || positionQuantityForDeltaWithSecurityBuyingPowerModel != expectedSingleSecurityModelsQuantity) { - throw new RegressionTestException($@"Expected order quantity for delta buying power calls from default buying power models to return { - expectedSingleSecurityModelsQuantity}. Results were:" + + throw new RegressionTestException($@"Expected order quantity for delta buying power calls from default buying power models to return {expectedSingleSecurityModelsQuantity}. Results were:" + $" \nSecurityPositionGroupBuyingPowerModel: {positionQuantityForDeltaWithSecurityPositionGroupBuyingPowerModel}" + $" \nBuyingPowerModel: {positionQuantityForDeltaWithSecurityBuyingPowerModel}\n"); } @@ -205,10 +203,10 @@ private void PerfomQuantityCalculations(IPositionGroup positionGroup, Security s {"Treynor Ratio", "-4.737"}, {"Total Fees", "$19.50"}, {"Estimated Strategy Capacity", "$49000.00"}, - {"Lowest Capacity Asset", "GOOCV W78ZFMML01JA|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV W78ZFMML4BUU|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "0.45%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "5d2df7cb88dbc63da13518c0195eea60"} + {"OrderListHash", "8b8bafd11c0c2a868dbbc28db36d4ce0"} }; } } diff --git a/Algorithm.CSharp/StartingCapitalRegressionAlgorithm.cs b/Algorithm.CSharp/StartingCapitalRegressionAlgorithm.cs index 0b6e2bafeff9..de6681e61c76 100644 --- a/Algorithm.CSharp/StartingCapitalRegressionAlgorithm.cs +++ b/Algorithm.CSharp/StartingCapitalRegressionAlgorithm.cs @@ -77,7 +77,7 @@ public override void OnData(Slice slice) /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 180; + public int AlgorithmHistoryDataPoints => 25; /// /// Final status of the algorithm @@ -95,7 +95,7 @@ public override void OnData(Slice slice) {"Compounding Annual Return", "0%"}, {"Drawdown", "0%"}, {"Expectancy", "0"}, - {"Start Equity", "76970482.10"}, + {"Start Equity", "77011732.10"}, {"End Equity", "71490762.61"}, {"Net Profit", "0%"}, {"Sharpe Ratio", "0"}, diff --git a/Algorithm.CSharp/SwitchDataModeRegressionAlgorithm.cs b/Algorithm.CSharp/SwitchDataModeRegressionAlgorithm.cs index f609455b1441..8028d79d1642 100644 --- a/Algorithm.CSharp/SwitchDataModeRegressionAlgorithm.cs +++ b/Algorithm.CSharp/SwitchDataModeRegressionAlgorithm.cs @@ -54,7 +54,8 @@ public override void OnData(Slice slice) { if (Time.Hour == 9 && Time.Minute == 58) { - AddOption(UnderlyingTicker); + var option = AddOption(UnderlyingTicker); + option.SetFilter(u => u.StandardsOnly().Strikes(-1, 1).Expiration(0, 35)); } AssertValue(slice); diff --git a/Algorithm.CSharp/TwoLegCurrencyConversionRegressionAlgorithm.cs b/Algorithm.CSharp/TwoLegCurrencyConversionRegressionAlgorithm.cs index ec6492821a38..cad8d5c8a156 100644 --- a/Algorithm.CSharp/TwoLegCurrencyConversionRegressionAlgorithm.cs +++ b/Algorithm.CSharp/TwoLegCurrencyConversionRegressionAlgorithm.cs @@ -111,7 +111,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 120; + public int AlgorithmHistoryDataPoints => 20; /// /// Final status of the algorithm @@ -129,7 +129,7 @@ public override void OnEndOfAlgorithm() {"Compounding Annual Return", "0%"}, {"Drawdown", "0%"}, {"Expectancy", "0"}, - {"Start Equity", "132348.63"}, + {"Start Equity", "132337.76"}, {"End Equity", "131620.05"}, {"Net Profit", "0%"}, {"Sharpe Ratio", "0"}, diff --git a/Algorithm.CSharp/UniverseSelectionSymbolCacheRemovalRegressionTest.cs b/Algorithm.CSharp/UniverseSelectionSymbolCacheRemovalRegressionTest.cs index 3f218de4e2a6..aff4c7fb7d1c 100644 --- a/Algorithm.CSharp/UniverseSelectionSymbolCacheRemovalRegressionTest.cs +++ b/Algorithm.CSharp/UniverseSelectionSymbolCacheRemovalRegressionTest.cs @@ -100,7 +100,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 24288; + public long DataPoints => 24289; /// /// Data Points count of the algorithm history diff --git a/Algorithm.CSharp/UniverseSharingSecurityDifferentSubscriptionRequestRegressionAlgorithm.cs b/Algorithm.CSharp/UniverseSharingSecurityDifferentSubscriptionRequestRegressionAlgorithm.cs index 08255b804a7a..fd243770ccfe 100644 --- a/Algorithm.CSharp/UniverseSharingSecurityDifferentSubscriptionRequestRegressionAlgorithm.cs +++ b/Algorithm.CSharp/UniverseSharingSecurityDifferentSubscriptionRequestRegressionAlgorithm.cs @@ -134,7 +134,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 7000; + public long DataPoints => 7001; /// /// Data Points count of the algorithm history diff --git a/Algorithm.CSharp/UniverseSharingSubscriptionTradableRegressionAlgorithm.cs b/Algorithm.CSharp/UniverseSharingSubscriptionTradableRegressionAlgorithm.cs index 3c7e89deb603..510a26f91332 100644 --- a/Algorithm.CSharp/UniverseSharingSubscriptionTradableRegressionAlgorithm.cs +++ b/Algorithm.CSharp/UniverseSharingSubscriptionTradableRegressionAlgorithm.cs @@ -114,7 +114,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes) /// /// Data Points count of all timeslices of algorithm /// - public long DataPoints => 228; + public long DataPoints => 229; /// /// Data Points count of the algorithm history diff --git a/Algorithm.CSharp/UnsettledCashWhenQuoteCurrencyIsNotAccountCurrencyAlgorithm.cs b/Algorithm.CSharp/UnsettledCashWhenQuoteCurrencyIsNotAccountCurrencyAlgorithm.cs index 858bcd24f6d8..2bb42245d952 100644 --- a/Algorithm.CSharp/UnsettledCashWhenQuoteCurrencyIsNotAccountCurrencyAlgorithm.cs +++ b/Algorithm.CSharp/UnsettledCashWhenQuoteCurrencyIsNotAccountCurrencyAlgorithm.cs @@ -169,7 +169,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 7594; + public int AlgorithmHistoryDataPoints => 50; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/WarmupConversionRatesRegressionAlgorithm.cs b/Algorithm.CSharp/WarmupConversionRatesRegressionAlgorithm.cs index 96c1b0fb5cd1..9c96947d10d8 100644 --- a/Algorithm.CSharp/WarmupConversionRatesRegressionAlgorithm.cs +++ b/Algorithm.CSharp/WarmupConversionRatesRegressionAlgorithm.cs @@ -86,7 +86,7 @@ public override void OnData(Slice slice) /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 180; + public int AlgorithmHistoryDataPoints => 20; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/WarmupDataTypesBarCountWarmupRegressionAlgorithm.cs b/Algorithm.CSharp/WarmupDataTypesBarCountWarmupRegressionAlgorithm.cs index 0cc28198afd6..2249add732c9 100644 --- a/Algorithm.CSharp/WarmupDataTypesBarCountWarmupRegressionAlgorithm.cs +++ b/Algorithm.CSharp/WarmupDataTypesBarCountWarmupRegressionAlgorithm.cs @@ -33,6 +33,6 @@ public override void Initialize() /// /// Data Points count of all timeslices of algorithm /// - public override long DataPoints => 5298; + public override long DataPoints => 5299; } } diff --git a/Algorithm.CSharp/WarmupDataTypesRegressionAlgorithm.cs b/Algorithm.CSharp/WarmupDataTypesRegressionAlgorithm.cs index b00eec8b0849..db08422c87f9 100644 --- a/Algorithm.CSharp/WarmupDataTypesRegressionAlgorithm.cs +++ b/Algorithm.CSharp/WarmupDataTypesRegressionAlgorithm.cs @@ -99,12 +99,12 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of all timeslices of algorithm /// - public virtual long DataPoints => 3763; + public virtual long DataPoints => 3764; /// /// Data Points count of the algorithm history /// - public virtual int AlgorithmHistoryDataPoints => 41; + public virtual int AlgorithmHistoryDataPoints => 5; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/WarmupLowerResolutionOptionRegressionAlgorithm.cs b/Algorithm.CSharp/WarmupLowerResolutionOptionRegressionAlgorithm.cs index 266ba4b4d371..764fedd6a9eb 100644 --- a/Algorithm.CSharp/WarmupLowerResolutionOptionRegressionAlgorithm.cs +++ b/Algorithm.CSharp/WarmupLowerResolutionOptionRegressionAlgorithm.cs @@ -167,10 +167,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "0"}, {"Total Fees", "$2.00"}, {"Estimated Strategy Capacity", "$5000.00"}, - {"Lowest Capacity Asset", "AAPL 2ZTXYMUME0LUU|AAPL R735QTJ8XC9X"}, + {"Lowest Capacity Asset", "AAPL 2ZTXYMUME4W6E|AAPL R735QTJ8XC9X"}, {"Portfolio Turnover", "1.08%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "1dfc2281fd254870f2e32528e7bb7842"} + {"OrderListHash", "94523a9f34b004d45970aa5ed06f8672"} }; } } diff --git a/Algorithm.CSharp/WarmupOptionRegressionAlgorithm.cs b/Algorithm.CSharp/WarmupOptionRegressionAlgorithm.cs index af40df66beb9..0490920a8664 100644 --- a/Algorithm.CSharp/WarmupOptionRegressionAlgorithm.cs +++ b/Algorithm.CSharp/WarmupOptionRegressionAlgorithm.cs @@ -154,10 +154,10 @@ public override void OnEndOfAlgorithm() {"Treynor Ratio", "0"}, {"Total Fees", "$2.00"}, {"Estimated Strategy Capacity", "$1300000.00"}, - {"Lowest Capacity Asset", "GOOCV 30AKMEIPOSS1Y|GOOCV VP83T1ZUHROL"}, + {"Lowest Capacity Asset", "GOOCV 30AKMEIPOX2DI|GOOCV VP83T1ZUHROL"}, {"Portfolio Turnover", "10.71%"}, {"Drawdown Recovery", "0"}, - {"OrderListHash", "8a36462ee0349c04d01d464e592dd347"} + {"OrderListHash", "19ba1220073493495880581b38df2da9"} }; } } diff --git a/Algorithm.CSharp/WarmupTrainRegressionAlgorithm.cs b/Algorithm.CSharp/WarmupTrainRegressionAlgorithm.cs index f5a8a55f05b0..584b04234ae9 100644 --- a/Algorithm.CSharp/WarmupTrainRegressionAlgorithm.cs +++ b/Algorithm.CSharp/WarmupTrainRegressionAlgorithm.cs @@ -73,7 +73,7 @@ public override void OnEndOfAlgorithm() /// /// Data Points count of the algorithm history /// - public int AlgorithmHistoryDataPoints => 7494; + public int AlgorithmHistoryDataPoints => 48; /// /// Final status of the algorithm diff --git a/Algorithm.CSharp/YearlyUniverseSelectionScheduleRegressionAlgorithm.cs b/Algorithm.CSharp/YearlyUniverseSelectionScheduleRegressionAlgorithm.cs new file mode 100644 index 000000000000..0570b76fda4f --- /dev/null +++ b/Algorithm.CSharp/YearlyUniverseSelectionScheduleRegressionAlgorithm.cs @@ -0,0 +1,135 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. +*/ + +using QuantConnect.Data; +using QuantConnect.Interfaces; +using System.Collections.Generic; +using QuantConnect.Data.Fundamental; +using QuantConnect.Data.UniverseSelection; + +namespace QuantConnect.Algorithm.CSharp +{ + /// + /// Regression test algorithm for scheduled universe selection GH 3890 + /// + public class YearlyUniverseSelectionScheduleRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition + { + private int _yearlyDateSelection; + private readonly Symbol _symbol = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA); + + /// + /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized. + /// + public override void Initialize() + { + SetStartDate(2014, 03, 25); + SetEndDate(2014, 05, 10); + UniverseSettings.Resolution = Resolution.Daily; + + AddUniverse(DateRules.YearStart(), SelectionFunction); + } + + public IEnumerable SelectionFunction(IEnumerable coarse) + { + _yearlyDateSelection++; + if (Time != StartDate) + { + throw new RegressionTestException($"SelectionFunction_SpecificDate unexpected selection: {Time}"); + } + return new[] { _symbol }; + } + + /// + /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. + /// + /// Slice object keyed by symbol containing the stock data + public override void OnData(Slice slice) + { + if (!Portfolio.Invested) + { + SetHoldings(_symbol, 1); + Debug($"Purchased Stock {_symbol}"); + } + } + + public override void OnEndOfAlgorithm() + { + if (_yearlyDateSelection != 1) + { + throw new RegressionTestException($"Initial yearly selection didn't happen!"); + } + } + + /// + /// Data Points count of all timeslices of algorithm + /// + public long DataPoints => 271; + + /// + /// Data Points count of the algorithm history + /// + public int AlgorithmHistoryDataPoints => 0; + + /// + /// Final status of the algorithm + /// + public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed; + + /// + /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm. + /// + public bool CanRunLocally { get; } = true; + + /// + /// This is used by the regression test system to indicate which languages this algorithm is written in. + /// + public List Languages { get; } = new() { Language.CSharp }; + + /// + /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm + /// + public Dictionary ExpectedStatistics => new Dictionary + { + {"Total Orders", "1"}, + {"Average Win", "0%"}, + {"Average Loss", "0%"}, + {"Compounding Annual Return", "4.334%"}, + {"Drawdown", "3.900%"}, + {"Expectancy", "0"}, + {"Start Equity", "100000"}, + {"End Equity", "100532.22"}, + {"Net Profit", "0.532%"}, + {"Sharpe Ratio", "0.28"}, + {"Sortino Ratio", "0.283"}, + {"Probabilistic Sharpe Ratio", "39.422%"}, + {"Loss Rate", "0%"}, + {"Win Rate", "0%"}, + {"Profit-Loss Ratio", "0"}, + {"Alpha", "-0.022"}, + {"Beta", "1.018"}, + {"Annual Standard Deviation", "0.099"}, + {"Annual Variance", "0.01"}, + {"Information Ratio", "-2.462"}, + {"Tracking Error", "0.009"}, + {"Treynor Ratio", "0.027"}, + {"Total Fees", "$3.07"}, + {"Estimated Strategy Capacity", "$920000000.00"}, + {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"}, + {"Portfolio Turnover", "2.20%"}, + {"Drawdown Recovery", "5"}, + {"OrderListHash", "87438e51988f37757a2d7f97389483ea"} + }; + } +} diff --git a/Algorithm.Framework/Alphas/BasePairsTradingAlphaModel.cs b/Algorithm.Framework/Alphas/BasePairsTradingAlphaModel.cs index d9c1f9c60e0d..b4a7aa1d484c 100644 --- a/Algorithm.Framework/Alphas/BasePairsTradingAlphaModel.cs +++ b/Algorithm.Framework/Alphas/BasePairsTradingAlphaModel.cs @@ -117,7 +117,16 @@ public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges /// The first asset's symbol in the pair /// The second asset's symbol in the pair /// True if the statistical test for the pair is successful - public virtual bool HasPassedTest(QCAlgorithm algorithm, Symbol asset1, Symbol asset2) => true; + public virtual bool HasPassedTest(QCAlgorithm algorithm, Symbol asset1, Symbol asset2) + { + // Check if this method was overridden in Python + if (TryInvokePythonOverride(nameof(HasPassedTest), out bool result, algorithm, asset1, asset2)) + { + return result; + } + + return true; + } private void UpdatePairs(QCAlgorithm algorithm) { diff --git a/Algorithm.Framework/Alphas/ConstantAlphaModel.cs b/Algorithm.Framework/Alphas/ConstantAlphaModel.cs index ca0c190a5487..4aaa302e10f8 100644 --- a/Algorithm.Framework/Alphas/ConstantAlphaModel.cs +++ b/Algorithm.Framework/Alphas/ConstantAlphaModel.cs @@ -36,17 +36,6 @@ public class ConstantAlphaModel : AlphaModel private readonly HashSet _securities; private readonly Dictionary _insightsTimeBySymbol; - /// - /// Initializes a new instance of the class - /// - /// The type of insight - /// The direction of the insight - /// The period over which the insight with come to fruition - public ConstantAlphaModel(InsightType type, InsightDirection direction, TimeSpan period) - : this(type, direction, period, null, null) - { - } - /// /// Initializes a new instance of the class /// @@ -56,7 +45,7 @@ public ConstantAlphaModel(InsightType type, InsightDirection direction, TimeSpan /// The predicted change in magnitude as a +- percentage /// The confidence in the insight /// The portfolio weight of the insights - public ConstantAlphaModel(InsightType type, InsightDirection direction, TimeSpan period, double? magnitude, double? confidence, double? weight = null) + public ConstantAlphaModel(InsightType type, InsightDirection direction, TimeSpan period, double? magnitude = null, double? confidence = null, double? weight = null) { _type = type; _direction = direction; @@ -127,7 +116,7 @@ public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges /// The symbol to emit an insight for protected virtual bool ShouldEmitInsight(DateTime utcTime, Symbol symbol) { - if(symbol.IsCanonical()) + if (symbol.IsCanonical()) { // canonical futures & options are none tradable return false; diff --git a/Algorithm.Framework/Alphas/PearsonCorrelationPairsTradingAlphaModel.cs b/Algorithm.Framework/Alphas/PearsonCorrelationPairsTradingAlphaModel.cs index ba39c197ef14..97a30441e3ff 100644 --- a/Algorithm.Framework/Alphas/PearsonCorrelationPairsTradingAlphaModel.cs +++ b/Algorithm.Framework/Alphas/PearsonCorrelationPairsTradingAlphaModel.cs @@ -1,4 +1,4 @@ -/* +/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * @@ -92,6 +92,12 @@ public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges /// True if the statistical test for the pair is successful public override bool HasPassedTest(QCAlgorithm algorithm, Symbol asset1, Symbol asset2) { + // Check if this method was overridden in Python + if (TryInvokePythonOverride(nameof(HasPassedTest), out bool result, algorithm, asset1, asset2)) + { + return result; + } + return _bestPair != null && asset1 == _bestPair.Item1 && asset2 == _bestPair.Item2; } diff --git a/Algorithm.Framework/Execution/SpreadExecutionModel.cs b/Algorithm.Framework/Execution/SpreadExecutionModel.cs index 3a612616e8cd..0d30fb89053e 100644 --- a/Algorithm.Framework/Execution/SpreadExecutionModel.cs +++ b/Algorithm.Framework/Execution/SpreadExecutionModel.cs @@ -83,6 +83,12 @@ public override void Execute(QCAlgorithm algorithm, IPortfolioTarget[] targets) /// protected virtual bool PriceIsFavorable(Security security) { + // Check if this method was overridden in Python + if (TryInvokePythonOverride(nameof(PriceIsFavorable), out bool result, security)) + { + return result; + } + // Has to be in opening hours of exchange to avoid extreme spread in OTC period // Price has to be larger than zero to avoid zero division error, or negative price causing the spread percentage lower than preset value by accident return security.Exchange.ExchangeOpen diff --git a/Algorithm.Framework/Execution/StandardDeviationExecutionModel.cs b/Algorithm.Framework/Execution/StandardDeviationExecutionModel.cs index 75e42904fb7a..97f85f5bf547 100644 --- a/Algorithm.Framework/Execution/StandardDeviationExecutionModel.cs +++ b/Algorithm.Framework/Execution/StandardDeviationExecutionModel.cs @@ -147,6 +147,12 @@ public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges /// protected virtual bool PriceIsFavorable(SymbolData data, decimal unorderedQuantity) { + // Check if this method was overridden in Python + if (TryInvokePythonOverride(nameof(PriceIsFavorable), out bool result, data, unorderedQuantity)) + { + return result; + } + var deviations = _deviations * data.STD; return unorderedQuantity > 0 ? data.Security.BidPrice < data.SMA - deviations @@ -158,6 +164,12 @@ protected virtual bool PriceIsFavorable(SymbolData data, decimal unorderedQuanti /// protected virtual bool IsSafeToRemove(QCAlgorithm algorithm, Symbol symbol) { + // Check if this method was overridden in Python + if (TryInvokePythonOverride(nameof(IsSafeToRemove), out bool result, algorithm, symbol)) + { + return result; + } + // confirm the security isn't currently a member of any universe return !algorithm.UniverseManager.Any(kvp => kvp.Value.ContainsMember(symbol)); } diff --git a/Algorithm.Framework/Execution/VolumeWeightedAveragePriceExecutionModel.cs b/Algorithm.Framework/Execution/VolumeWeightedAveragePriceExecutionModel.cs index 45b066d2a8f1..7cb385bac893 100644 --- a/Algorithm.Framework/Execution/VolumeWeightedAveragePriceExecutionModel.cs +++ b/Algorithm.Framework/Execution/VolumeWeightedAveragePriceExecutionModel.cs @@ -131,6 +131,12 @@ public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges /// protected virtual bool IsSafeToRemove(QCAlgorithm algorithm, Symbol symbol) { + // Check if this method was overridden in Python + if (TryInvokePythonOverride(nameof(IsSafeToRemove), out bool result, algorithm, symbol)) + { + return result; + } + // confirm the security isn't currently a member of any universe return !algorithm.UniverseManager.Any(kvp => kvp.Value.ContainsMember(symbol)); } @@ -140,6 +146,12 @@ protected virtual bool IsSafeToRemove(QCAlgorithm algorithm, Symbol symbol) /// protected virtual bool PriceIsFavorable(SymbolData data, decimal unorderedQuantity) { + // Check if this method was overridden in Python + if (TryInvokePythonOverride(nameof(PriceIsFavorable), out bool result, data, unorderedQuantity)) + { + return result; + } + if (unorderedQuantity > 0) { if (data.Security.BidPrice < data.VWAP) @@ -188,7 +200,7 @@ public SymbolData(QCAlgorithm algorithm, Security security) var name = algorithm.CreateIndicatorName(security.Symbol, "VWAP", security.Resolution); VWAP = new IntradayVwap(name); - algorithm.RegisterIndicator(security.Symbol, VWAP, Consolidator, bd => (BaseData) bd); + algorithm.RegisterIndicator(security.Symbol, VWAP, Consolidator, bd => (BaseData)bd); } } } diff --git a/Algorithm.Framework/QuantConnect.Algorithm.Framework.csproj b/Algorithm.Framework/QuantConnect.Algorithm.Framework.csproj index 46d7734a7ba2..1cd1d678d750 100644 --- a/Algorithm.Framework/QuantConnect.Algorithm.Framework.csproj +++ b/Algorithm.Framework/QuantConnect.Algorithm.Framework.csproj @@ -4,7 +4,7 @@ AnyCPU QuantConnect.Algorithm.Framework QuantConnect.Algorithm.Framework - net9.0 + net10.0 false bin\$(Configuration)\ AllEnabledByDefault @@ -29,7 +29,7 @@ LICENSE - + diff --git a/Algorithm.Framework/Selection/CoarseFundamentalUniverseSelectionModel.cs b/Algorithm.Framework/Selection/CoarseFundamentalUniverseSelectionModel.cs index 414336b03606..99373adcbcbb 100644 --- a/Algorithm.Framework/Selection/CoarseFundamentalUniverseSelectionModel.cs +++ b/Algorithm.Framework/Selection/CoarseFundamentalUniverseSelectionModel.cs @@ -17,7 +17,6 @@ using System.Collections.Generic; using Python.Runtime; using QuantConnect.Data.UniverseSelection; -using QuantConnect.Securities; namespace QuantConnect.Algorithm.Framework.Selection { @@ -61,6 +60,11 @@ public CoarseFundamentalUniverseSelectionModel( /// public override IEnumerable SelectCoarse(QCAlgorithm algorithm, IEnumerable coarse) { + // Check if this method was overridden in Python + if (TryInvokePythonOverride(nameof(SelectCoarse), out IEnumerable result, algorithm, coarse)) + { + return result; + } return _coarseSelector(coarse); } } diff --git a/Algorithm.Framework/Selection/EmaCrossUniverseSelectionModel.cs b/Algorithm.Framework/Selection/EmaCrossUniverseSelectionModel.cs index 774797f14379..5a1df09c201f 100644 --- a/Algorithm.Framework/Selection/EmaCrossUniverseSelectionModel.cs +++ b/Algorithm.Framework/Selection/EmaCrossUniverseSelectionModel.cs @@ -1,4 +1,4 @@ -/* +/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * @@ -65,17 +65,23 @@ public EmaCrossUniverseSelectionModel( /// An enumerable of symbols passing the filter public override IEnumerable SelectCoarse(QCAlgorithm algorithm, IEnumerable coarse) { + // Check if this method was overridden in Python + if (TryInvokePythonOverride(nameof(SelectCoarse), out IEnumerable result, algorithm, coarse)) + { + return result; + } + return (from cf in coarse // grab th SelectionData instance for this symbol - let avg = _averages.GetOrAdd(cf.Symbol, sym => new SelectionData(_fastPeriod, _slowPeriod)) - // Update returns true when the indicators are ready, so don't accept until they are - where avg.Update(cf.EndTime, cf.AdjustedPrice) - // only pick symbols who have their _fastPeriod-day ema over their _slowPeriod-day ema - where avg.Fast > avg.Slow * (1 + _tolerance) - // prefer symbols with a larger delta by percentage between the two averages - orderby avg.ScaledDelta descending - // we only need to return the symbol and return 'Count' symbols - select cf.Symbol).Take(_universeCount); + let avg = _averages.GetOrAdd(cf.Symbol, sym => new SelectionData(_fastPeriod, _slowPeriod)) + // Update returns true when the indicators are ready, so don't accept until they are + where avg.Update(cf.EndTime, cf.AdjustedPrice) + // only pick symbols who have their _fastPeriod-day ema over their _slowPeriod-day ema + where avg.Fast > avg.Slow * (1 + _tolerance) + // prefer symbols with a larger delta by percentage between the two averages + orderby avg.ScaledDelta descending + // we only need to return the symbol and return 'Count' symbols + select cf.Symbol).Take(_universeCount); } // class used to improve readability of the coarse selection function @@ -97,4 +103,4 @@ public SelectionData(int fastPeriod, int slowPeriod) public bool Update(DateTime time, decimal value) => Fast.Update(time, value) & Slow.Update(time, value); } } -} \ No newline at end of file +} diff --git a/Algorithm.Framework/Selection/FineFundamentalUniverseSelectionModel.cs b/Algorithm.Framework/Selection/FineFundamentalUniverseSelectionModel.cs index e5f549808643..c209b1e884d4 100644 --- a/Algorithm.Framework/Selection/FineFundamentalUniverseSelectionModel.cs +++ b/Algorithm.Framework/Selection/FineFundamentalUniverseSelectionModel.cs @@ -71,12 +71,24 @@ public FineFundamentalUniverseSelectionModel( /// public override IEnumerable SelectCoarse(QCAlgorithm algorithm, IEnumerable coarse) { + // Check if this method was overridden in Python + if (TryInvokePythonOverride(nameof(SelectCoarse), out IEnumerable result, algorithm, coarse)) + { + return result; + } + return _coarseSelector(coarse); } /// public override IEnumerable SelectFine(QCAlgorithm algorithm, IEnumerable fine) { + // Check if this method was overridden in Python + if (TryInvokePythonOverride(nameof(SelectFine), out IEnumerable result, algorithm, fine)) + { + return result; + } + return _fineSelector(fine); } } diff --git a/Algorithm.Framework/Selection/FundamentalUniverseSelectionModel.cs b/Algorithm.Framework/Selection/FundamentalUniverseSelectionModel.cs index 710898d9d9db..1ba078e51a64 100644 --- a/Algorithm.Framework/Selection/FundamentalUniverseSelectionModel.cs +++ b/Algorithm.Framework/Selection/FundamentalUniverseSelectionModel.cs @@ -175,6 +175,12 @@ public override IEnumerable CreateUniverses(QCAlgorithm algorithm) /// The coarse fundamental universe public virtual Universe CreateCoarseFundamentalUniverse(QCAlgorithm algorithm) { + // Check if this method was overridden in Python + if (TryInvokePythonOverride(nameof(CreateCoarseFundamentalUniverse), out Universe result, algorithm)) + { + return result; + } + var universeSettings = _universeSettings ?? algorithm.UniverseSettings; return new CoarseFundamentalUniverse(universeSettings, coarse => { @@ -198,9 +204,15 @@ public virtual Universe CreateCoarseFundamentalUniverse(QCAlgorithm algorithm) /// An enumerable of symbols passing the filter public virtual IEnumerable Select(QCAlgorithm algorithm, IEnumerable fundamental) { - if(_selector == null) + // Check if this method was overridden in Python + if (TryInvokePythonOverride(nameof(Select), out IEnumerable result, algorithm, fundamental)) + { + return result; + } + + if (_selector == null) { - throw new NotImplementedException("If inheriting, please overrride the 'Select' fundamental function, else provide it as a constructor parameter"); + throw new NotImplementedException("If inheriting, please override the 'Select' fundamental function, else provide it as a constructor parameter"); } return _selector(fundamental); } @@ -214,7 +226,13 @@ public virtual IEnumerable Select(QCAlgorithm algorithm, IEnumerable)'")] public virtual IEnumerable SelectCoarse(QCAlgorithm algorithm, IEnumerable coarse) { - throw new NotImplementedException("Please overrride the 'Select' fundamental function"); + // Check if this method was overridden in Python + if (TryInvokePythonOverride(nameof(SelectCoarse), out IEnumerable result, algorithm, coarse)) + { + return result; + } + + throw new NotImplementedException("Please override the 'Select' fundamental function"); } /// @@ -226,6 +244,12 @@ public virtual IEnumerable SelectCoarse(QCAlgorithm algorithm, IEnumerab [Obsolete("Fine and Coarse selection are merged, please use 'Select(QCAlgorithm, IEnumerable)'")] public virtual IEnumerable SelectFine(QCAlgorithm algorithm, IEnumerable fine) { + // Check if this method was overridden in Python + if (TryInvokePythonOverride(nameof(SelectFine), out IEnumerable result, algorithm, fine)) + { + return result; + } + // default impl performs no filtering of fine data return fine.Select(f => f.Symbol); } diff --git a/Algorithm.Framework/Selection/FundamentalUniverseSelectionModel.py b/Algorithm.Framework/Selection/FundamentalUniverseSelectionModel.py index daa9ac734346..47ba76f32071 100644 --- a/Algorithm.Framework/Selection/FundamentalUniverseSelectionModel.py +++ b/Algorithm.Framework/Selection/FundamentalUniverseSelectionModel.py @@ -17,19 +17,19 @@ class FundamentalUniverseSelectionModel: '''Provides a base class for defining equity coarse/fine fundamental selection models''' def __init__(self, - filterFineData = None, - universeSettings = None): + filter_fine_data = None, + universe_settings = None): '''Initializes a new instance of the FundamentalUniverseSelectionModel class Args: - filterFineData: [Obsolete] Fine and Coarse selection are merged - universeSettings: The settings used when adding symbols to the algorithm, specify null to use algorithm.UniverseSettings''' - self.filter_fine_data = filterFineData + filter_fine_data: [Obsolete] Fine and Coarse selection are merged + universeSettings: The settings used when adding symbols to the algorithm, specify null to use algorithm.universe_settings''' + self.filter_fine_data = filter_fine_data if self.filter_fine_data == None: self.fundamental_data = True else: self.fundamental_data = False self.market = Market.USA - self.universe_settings = universeSettings + self.universe_settings = universe_settings def create_universes(self, algorithm: QCAlgorithm) -> list[Universe]: diff --git a/Algorithm.Framework/Selection/FutureUniverseSelectionModel.cs b/Algorithm.Framework/Selection/FutureUniverseSelectionModel.cs index 23851199e6cc..fb9c35e141e3 100644 --- a/Algorithm.Framework/Selection/FutureUniverseSelectionModel.cs +++ b/Algorithm.Framework/Selection/FutureUniverseSelectionModel.cs @@ -28,7 +28,6 @@ namespace QuantConnect.Algorithm.Framework.Selection public class FutureUniverseSelectionModel : UniverseSelectionModel { private DateTime _nextRefreshTimeUtc; - private readonly TimeSpan _refreshInterval; private readonly UniverseSettings _universeSettings; private readonly Func> _futureChainSymbolSelector; @@ -121,6 +120,11 @@ public override IEnumerable CreateUniverses(QCAlgorithm algorithm) /// protected virtual FutureFilterUniverse Filter(FutureFilterUniverse filter) { + // Check if this method was overridden in Python + if (TryInvokePythonOverride(nameof(Filter), out FutureFilterUniverse result, filter)) + { + return result; + } // NOP return filter; } diff --git a/Algorithm.Framework/Selection/InceptionDateUniverseSelectionModel.cs b/Algorithm.Framework/Selection/InceptionDateUniverseSelectionModel.cs index f31aba87d7ce..f46cccb77c32 100644 --- a/Algorithm.Framework/Selection/InceptionDateUniverseSelectionModel.cs +++ b/Algorithm.Framework/Selection/InceptionDateUniverseSelectionModel.cs @@ -16,7 +16,6 @@ using QuantConnect.Data.UniverseSelection; using System; using System.Collections.Generic; -using System.Linq; using Python.Runtime; namespace QuantConnect.Algorithm.Framework.Selection @@ -36,7 +35,7 @@ public class InceptionDateUniverseSelectionModel : CustomUniverseSelectionModel /// A unique name for this universe /// Dictionary of DateTime keyed by String that represent the Inception date for each ticker public InceptionDateUniverseSelectionModel(string name, Dictionary tickersByDate) : - base(name, (Func>) null) + base(name, (Func>)null) { _queue = new Queue>(tickersByDate); _symbols = new List(); @@ -57,6 +56,12 @@ public InceptionDateUniverseSelectionModel(string name, PyObject tickersByDate) /// public override IEnumerable Select(QCAlgorithm algorithm, DateTime date) { + // Check if this method was overridden in Python + if (TryInvokePythonOverride(nameof(Select), out IEnumerable result, algorithm, date)) + { + return result; + } + // Move Symbols that are trading from the queue to a list var added = new List(); while (_queue.TryPeek(out var keyValuePair) && keyValuePair.Value <= date) diff --git a/Algorithm.Framework/Selection/OpenInterestFutureUniverseSelectionModel.cs b/Algorithm.Framework/Selection/OpenInterestFutureUniverseSelectionModel.cs index 6726fc304eca..952c83f31e04 100644 --- a/Algorithm.Framework/Selection/OpenInterestFutureUniverseSelectionModel.cs +++ b/Algorithm.Framework/Selection/OpenInterestFutureUniverseSelectionModel.cs @@ -74,6 +74,12 @@ public OpenInterestFutureUniverseSelectionModel(IAlgorithm algorithm, PyObject f /// protected override FutureFilterUniverse Filter(FutureFilterUniverse filter) { + // Check if this method was overridden in Python + if (TryInvokePythonOverride(nameof(Filter), out FutureFilterUniverse result, filter)) + { + return result; + } + // Remove duplicated keys return filter.Contracts(FilterByOpenInterest( filter.DistinctBy(x => x).ToDictionary(x => x.Symbol, x => _marketHoursDatabase.GetEntry(x.ID.Market, x, x.ID.SecurityType)))); diff --git a/Algorithm.Framework/Selection/OptionUniverseSelectionModel.cs b/Algorithm.Framework/Selection/OptionUniverseSelectionModel.cs index e832e5e3261e..3c78638f3e74 100644 --- a/Algorithm.Framework/Selection/OptionUniverseSelectionModel.cs +++ b/Algorithm.Framework/Selection/OptionUniverseSelectionModel.cs @@ -28,7 +28,6 @@ namespace QuantConnect.Algorithm.Framework.Selection public class OptionUniverseSelectionModel : UniverseSelectionModel { private DateTime _nextRefreshTimeUtc; - private readonly TimeSpan _refreshInterval; private readonly UniverseSettings _universeSettings; private readonly Func> _optionChainSymbolSelector; @@ -118,6 +117,12 @@ public override IEnumerable CreateUniverses(QCAlgorithm algorithm) /// protected virtual OptionFilterUniverse Filter(OptionFilterUniverse filter) { + // Check if this method was overridden in Python + if (TryInvokePythonOverride(nameof(Filter), out OptionFilterUniverse result, filter)) + { + return result; + } + // NOP return filter; } diff --git a/Algorithm.Framework/Selection/QC500UniverseSelectionModel.cs b/Algorithm.Framework/Selection/QC500UniverseSelectionModel.cs index 08c8f2df75dd..946fe0018ffa 100644 --- a/Algorithm.Framework/Selection/QC500UniverseSelectionModel.cs +++ b/Algorithm.Framework/Selection/QC500UniverseSelectionModel.cs @@ -33,7 +33,7 @@ public class QC500UniverseSelectionModel : FundamentalUniverseSelectionModel // rebalances at the start of each month private int _lastMonth = -1; - private readonly Dictionary _dollarVolumeBySymbol = new (); + private readonly Dictionary _dollarVolumeBySymbol = new(); /// /// Initializes a new default instance of the @@ -60,6 +60,12 @@ public QC500UniverseSelectionModel(UniverseSettings universeSettings) /// public override IEnumerable SelectCoarse(QCAlgorithm algorithm, IEnumerable coarse) { + // Check if this method was overridden in Python + if (TryInvokePythonOverride(nameof(SelectCoarse), out IEnumerable result, algorithm, coarse)) + { + return result; + } + if (algorithm.Time.Month == _lastMonth) { return Universe.Unchanged; @@ -96,6 +102,12 @@ orderby x.DollarVolume descending /// public override IEnumerable SelectFine(QCAlgorithm algorithm, IEnumerable fine) { + // Check if this method was overridden in Python + if (TryInvokePythonOverride(nameof(SelectFine), out IEnumerable result, algorithm, fine)) + { + return result; + } + var filteredFine = (from x in fine where x.CompanyReference.CountryId == "USA" && @@ -121,7 +133,7 @@ public override IEnumerable SelectFine(QCAlgorithm algorithm, IEnumerabl // select stocks with top dollar volume in every single sector var topFineBySector = (from x in filteredFine - // Group by sector + // Group by sector group x by x.CompanyReference.IndustryTemplateCode into g let y = from item in g orderby _dollarVolumeBySymbol[item.Symbol] descending diff --git a/Algorithm.Python/BasicTemplateOptionEquityStrategyAlgorithm.py b/Algorithm.Python/BasicTemplateOptionEquityStrategyAlgorithm.py index 3fb20107fa2e..baf9ab4d59b0 100644 --- a/Algorithm.Python/BasicTemplateOptionEquityStrategyAlgorithm.py +++ b/Algorithm.Python/BasicTemplateOptionEquityStrategyAlgorithm.py @@ -33,7 +33,7 @@ def initialize(self) -> None: self._option_symbol = option.symbol # set our strike/expiry filter for this option chain - option.set_filter(lambda u: (u.strikes(-2, +2) + option.set_filter(lambda u: (u.standards_only().strikes(-2, +2) # Expiration method accepts TimeSpan objects or integer for days. # The following statements yield the same filtering criteria .expiration(0, 180))) diff --git a/Algorithm.Python/BasicTemplateOptionStrategyAlgorithm.py b/Algorithm.Python/BasicTemplateOptionStrategyAlgorithm.py index f4414a3f0f9e..f4fefbbb4fc9 100644 --- a/Algorithm.Python/BasicTemplateOptionStrategyAlgorithm.py +++ b/Algorithm.Python/BasicTemplateOptionStrategyAlgorithm.py @@ -39,8 +39,7 @@ def initialize(self): # set our strike/expiry filter for this option chain # SetFilter method accepts timedelta objects or integer for days. # The following statements yield the same filtering criteria - option.set_filter(-2, +2, 0, 180) - # option.set_filter(-2,2, timedelta(0), timedelta(180)) + option.set_filter(lambda u: (u.standards_only().strikes(-2, +2).expiration(0, 180))) # use the underlying equity as the benchmark self.set_benchmark("GOOG") diff --git a/Algorithm.Python/BasicTemplateOptionsAlgorithm.py b/Algorithm.Python/BasicTemplateOptionsAlgorithm.py index 3a319c65038e..93272b8f1f5c 100644 --- a/Algorithm.Python/BasicTemplateOptionsAlgorithm.py +++ b/Algorithm.Python/BasicTemplateOptionsAlgorithm.py @@ -34,7 +34,7 @@ def initialize(self): self.option_symbol = option.symbol # set our strike/expiry filter for this option chain - option.set_filter(lambda u: (u.strikes(-2, +2) + option.set_filter(lambda u: (u.standards_only().strikes(-2, +2) # Expiration method accepts TimeSpan objects or integer for days. # The following statements yield the same filtering criteria .expiration(0, 180))) diff --git a/Algorithm.Python/BasicTemplateOptionsHourlyAlgorithm.py b/Algorithm.Python/BasicTemplateOptionsHourlyAlgorithm.py index 18c9e127ac18..836838c49c69 100644 --- a/Algorithm.Python/BasicTemplateOptionsHourlyAlgorithm.py +++ b/Algorithm.Python/BasicTemplateOptionsHourlyAlgorithm.py @@ -34,7 +34,7 @@ def initialize(self): self.option_symbol = option.symbol # set our strike/expiry filter for this option chain - option.set_filter(lambda u: (u.strikes(-2, +2) + option.set_filter(lambda u: (u.standards_only().strikes(-2, +2) # Expiration method accepts TimeSpan objects or integer for days. # The following statements yield the same filtering criteria .expiration(0, 180))) diff --git a/Algorithm.Python/Benchmarks/EmptySPXOptionChainBenchmark.py b/Algorithm.Python/Benchmarks/EmptySPXOptionChainBenchmark.py new file mode 100644 index 000000000000..526c28ab24ae --- /dev/null +++ b/Algorithm.Python/Benchmarks/EmptySPXOptionChainBenchmark.py @@ -0,0 +1,23 @@ +# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. +# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. +# +# Licensed under the Apache License, Version 2.0 (the "License"); +# you may not use this file except in compliance with the License. +# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 +# +# Unless required by applicable law or agreed to in writing, software +# distributed under the License is distributed on an "AS IS" BASIS, +# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +# See the License for the specific language governing permissions and +# limitations under the License. + +from AlgorithmImports import * + +class EmptySPXOptionChainBenchmark(QCAlgorithm): + + def initialize(self): + self.set_start_date(2018, 1, 1) + self.set_end_date(2020, 6, 1) + self._index = self.add_index("SPX") + option = self.add_option(self._index) + option.set_filter(lambda u: u.include_weeklys().strikes(-30, 30).expiration(0, 7)) diff --git a/Algorithm.Python/ComboOrderTicketDemoAlgorithm.py b/Algorithm.Python/ComboOrderTicketDemoAlgorithm.py index 41b6516bca4c..350d6d409719 100644 --- a/Algorithm.Python/ComboOrderTicketDemoAlgorithm.py +++ b/Algorithm.Python/ComboOrderTicketDemoAlgorithm.py @@ -28,7 +28,7 @@ def initialize(self) -> None: option = self.add_option(equity.symbol, fill_forward=True) self._option_symbol = option.symbol - option.set_filter(lambda u: u.strikes(-2, +2).expiration(0, 180)) + option.set_filter(lambda u: u.standards_only().strikes(-2, +2).expiration(0, 180)) self._open_market_orders = [] self._open_leg_limit_orders = [] diff --git a/Algorithm.Python/ConsolidateRegressionAlgorithm.py b/Algorithm.Python/ConsolidateRegressionAlgorithm.py index 90b54060b310..bf3f9eead8a7 100644 --- a/Algorithm.Python/ConsolidateRegressionAlgorithm.py +++ b/Algorithm.Python/ConsolidateRegressionAlgorithm.py @@ -25,7 +25,7 @@ def initialize(self): self.set_end_date(2020, 1, 20) SP500 = Symbol.create(Futures.Indices.SP_500_E_MINI, SecurityType.FUTURE, Market.CME) - symbol = list(self.futures_chain(SP500))[0] + symbol = list(sorted(self.futures_chain(SP500).contracts.keys(), key=lambda symbol: symbol.id.date))[0] self._future = self.add_future_contract(symbol) tradable_dates_count = len(list(Time.each_tradeable_day_in_time_zone(self._future.exchange.hours, @@ -69,17 +69,12 @@ def initialize(self): # custom data self._custom_data_consolidator = 0 - custom_symbol = self.add_data(Bitcoin, "BTC", Resolution.DAILY).symbol + custom_symbol = self.add_data(Bitcoin, "BTC", Resolution.MINUTE).symbol self.consolidate(custom_symbol, timedelta(1), lambda bar: self.increment_counter(1)) - self._custom_data_consolidator2 = 0 - self.consolidate(custom_symbol, Resolution.DAILY, lambda bar: self.increment_counter(2)) - def increment_counter(self, id): if id == 1: self._custom_data_consolidator += 1 - if id == 2: - self._custom_data_consolidator2 += 1 def update_trade_bar(self, bar, position): self._smas[position].update(bar.end_time, bar.volume) @@ -113,9 +108,6 @@ def on_end_of_algorithm(self): if self._custom_data_consolidator == 0: raise ValueError("Custom data consolidator did not consolidate any data") - if self._custom_data_consolidator2 == 0: - raise ValueError("Custom data consolidator 2 did not consolidate any data") - for i, sma in enumerate(self._smas): if sma.samples != self._expected_consolidation_counts[i]: raise AssertionError(f"Expected {self._expected_consolidation_counts[i]} samples in each SMA but found {sma.samples} in SMA in index {i}") diff --git a/Algorithm.Python/CustomDataUniverseRegressionAlgorithm.py b/Algorithm.Python/CustomDataUniverseRegressionAlgorithm.py index 871fd2b22174..c7f16e7080a9 100644 --- a/Algorithm.Python/CustomDataUniverseRegressionAlgorithm.py +++ b/Algorithm.Python/CustomDataUniverseRegressionAlgorithm.py @@ -67,16 +67,18 @@ def on_end_of_algorithm(self): if len(self._selection_time) != 0: raise ValueError(f"Unexpected selection times, missing {len(self._selection_time)}") - def OnSecuritiesChanged(self, changes): - for security in changes.AddedSecurities: + def on_securities_changed(self, changes): + for security in changes.added_securities: if security.symbol.security_type == SecurityType.BASE: continue - self.current_underlying_symbols.add(security.Symbol) + self.current_underlying_symbols.add(security.symbol) - for security in changes.RemovedSecurities: - if security.symbol.security_type == SecurityType.BASE: + for security in changes.removed_securities: + if (security.symbol.security_type == SecurityType.BASE or + # This check can be removed after GH issue #9055 is resolved + not security.symbol in self.current_underlying_symbols): continue - self.current_underlying_symbols.remove(security.Symbol) + self.current_underlying_symbols.remove(security.symbol) class MyPyCustomData(PythonData): diff --git a/Algorithm.Python/ETFConstituentUniverseCompositeDelistingRegressionAlgorithm.py b/Algorithm.Python/ETFConstituentUniverseCompositeDelistingRegressionAlgorithm.py index 43beb8cf3a61..9563b7f66d49 100644 --- a/Algorithm.Python/ETFConstituentUniverseCompositeDelistingRegressionAlgorithm.py +++ b/Algorithm.Python/ETFConstituentUniverseCompositeDelistingRegressionAlgorithm.py @@ -59,16 +59,16 @@ def on_securities_changed(self, changes): raise AssertionError("New securities added after ETF constituents were delisted") # Since we added the etf subscription it will get delisted and send us a removal event - expected_changes_count = self.universe_symbol_count + 1 + expected_changes_count = self.universe_symbol_count if self.universe_selection_done: # "_universe_symbol_count + 1" because selection is done right away, # so AddedSecurities includes all ETF constituents (including APPL) plus GDVD - self.universe_added = self.universe_added or len(changes.added_securities) == expected_changes_count + self.universe_added = self.universe_added or len(changes.added_securities) == (expected_changes_count - 1) # TODO: shouldn't be sending AAPL as a removed security since it was added by another universe self.universe_removed = self.universe_removed or ( - len(changes.removed_securities) == expected_changes_count and + len(changes.removed_securities) == (expected_changes_count + 1) and self.utc_time.date() >= self.delisting_date and self.utc_time.date() < self.end_date.date()) diff --git a/Algorithm.Python/ETFConstituentUniverseCompositeDelistingRegressionAlgorithmNoAddEquityETF.py b/Algorithm.Python/ETFConstituentUniverseCompositeDelistingRegressionAlgorithmNoAddEquityETF.py index 7d43efabcc91..84eb91912beb 100644 --- a/Algorithm.Python/ETFConstituentUniverseCompositeDelistingRegressionAlgorithmNoAddEquityETF.py +++ b/Algorithm.Python/ETFConstituentUniverseCompositeDelistingRegressionAlgorithmNoAddEquityETF.py @@ -59,7 +59,7 @@ def on_securities_changed(self, changes): raise AssertionError("New securities added after ETF constituents were delisted") if self.universe_selection_done: - self.universe_added = self.universe_added or len(changes.added_securities) == self.universe_symbol_count + self.universe_added = self.universe_added or len(changes.added_securities) == self.universe_symbol_count - 1 # TODO: shouldn't be sending AAPL as a removed security since it was added by another universe self.universe_removed = self.universe_removed or ( diff --git a/Algorithm.Python/FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm.py b/Algorithm.Python/FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm.py index 3c03d01ea882..9fef1513b7f2 100644 --- a/Algorithm.Python/FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm.py +++ b/Algorithm.Python/FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm.py @@ -26,7 +26,7 @@ def initialize(self): self._create_option(datetime(2020, 2, 25), OptionRight.CALL, 1600.0): False, self._create_option(datetime(2020, 2, 25), OptionRight.PUT, 1545.0): False } - + # Required for FOPs to use extended hours, until GH #6491 is addressed self.universe_settings.extended_market_hours = True @@ -34,9 +34,9 @@ def initialize(self): self.set_end_date(2020, 1, 6) gold_futures = self.add_future("GC", Resolution.MINUTE, Market.COMEX, extended_market_hours=True) - gold_futures.SetFilter(0, 365) + gold_futures.set_filter(0, 365) - self.add_future_option(gold_futures.Symbol) + self.add_future_option(gold_futures.symbol) def on_data(self, data: Slice): for symbol in data.quote_bars.keys(): diff --git a/Algorithm.Python/HistoryAlgorithm.py b/Algorithm.Python/HistoryAlgorithm.py index 999341caa90a..988dc35c96ef 100644 --- a/Algorithm.Python/HistoryAlgorithm.py +++ b/Algorithm.Python/HistoryAlgorithm.py @@ -32,7 +32,7 @@ def initialize(self): self.add_equity("SPY", Resolution.DAILY) IBM = self.add_data(CustomDataEquity, "IBM", Resolution.DAILY) # specifying the exchange will allow the history methods that accept a number of bars to return to work properly - IBM.Exchange = EquityExchange() + IBM.exchange = EquityExchange() # we can get history in initialize to set up indicators and such self.daily_sma = SimpleMovingAverage(14) @@ -96,7 +96,7 @@ def initialize(self): self.assert_history_count("History(CustomDataEquity, self.securities.keys(), 14)", all_custom_data, 14 * 2) # NOTE: Using different resolutions require that they are properly implemented in your data type. If your - # custom data source has different resolutions, it would need to be implemented in the GetSource and + # custom data source has different resolutions, it would need to be implemented in the GetSource and # Reader methods properly. #custom_data_history = self.history(CustomDataEquity, "IBM", timedelta(7), Resolution.MINUTE) #custom_data_history = self.history(CustomDataEquity, "IBM", 14, Resolution.MINUTE) diff --git a/Algorithm.Python/HistoryWithCustomDataSourceRegressionAlgorithm.py b/Algorithm.Python/HistoryWithCustomDataSourceRegressionAlgorithm.py index 7574caf39008..282b1ecf95bc 100644 --- a/Algorithm.Python/HistoryWithCustomDataSourceRegressionAlgorithm.py +++ b/Algorithm.Python/HistoryWithCustomDataSourceRegressionAlgorithm.py @@ -55,6 +55,7 @@ def get_source(self, config, date, is_live_mode): def reader(self, config, line, date, is_live_mode): trade_bar = TradeBar.parse_equity(config, line, date) data = CustomData() + data.Symbol = config.symbol data.time = trade_bar.time data.value = trade_bar.value data.close = trade_bar.close diff --git a/Algorithm.Python/NullBuyingPowerOptionBullCallSpreadAlgorithm.py b/Algorithm.Python/NullBuyingPowerOptionBullCallSpreadAlgorithm.py index f11f467b7458..65774782a1d8 100644 --- a/Algorithm.Python/NullBuyingPowerOptionBullCallSpreadAlgorithm.py +++ b/Algorithm.Python/NullBuyingPowerOptionBullCallSpreadAlgorithm.py @@ -33,7 +33,7 @@ def initialize(self): option = self.add_option(equity.symbol) self.option_symbol = option.symbol - option.set_filter(-2, 2, 0, 180) + option.set_filter(lambda u: u.standards_only().strikes(-2, +2).expiration(0, 180)) def on_data(self, slice): if self.portfolio.invested or not self.is_market_open(self.option_symbol): diff --git a/Algorithm.Python/NullMarginMultipleOrdersRegressionAlgorithm.py b/Algorithm.Python/NullMarginMultipleOrdersRegressionAlgorithm.py index 6a90364af53d..818b576a14d2 100644 --- a/Algorithm.Python/NullMarginMultipleOrdersRegressionAlgorithm.py +++ b/Algorithm.Python/NullMarginMultipleOrdersRegressionAlgorithm.py @@ -32,7 +32,7 @@ def initialize(self): option = self.add_option(equity.symbol, fill_forward=True) self._option_symbol = option.symbol - option.set_filter(lambda u: u.strikes(-2, +2).expiration(0, 180)) + option.set_filter(lambda u: u.standards_only().strikes(-2, +2).expiration(0, 180)) def on_data(self, data: Slice): if not self.portfolio.invested: diff --git a/Algorithm.Python/OptionChainApisConsistencyRegressionAlgorithm.py b/Algorithm.Python/OptionChainApisConsistencyRegressionAlgorithm.py index 12d31d6919ab..702a20dd7bb6 100644 --- a/Algorithm.Python/OptionChainApisConsistencyRegressionAlgorithm.py +++ b/Algorithm.Python/OptionChainApisConsistencyRegressionAlgorithm.py @@ -28,10 +28,10 @@ def initialize(self) -> None: option = self.get_option() - option_chain_from_algorithm_api = [x.symbol for x in self.option_chain(option.symbol).contracts.values()] + option_chain_from_algorithm_api = self.option_chain(option.symbol).contracts.keys() exchange_time = Extensions.convert_from_utc(self.utc_time, option.exchange.time_zone) - option_chain_from_provider_api = list(self.option_chain_provider.get_option_contract_list(option.symbol, exchange_time)) + option_chain_from_provider_api = list(sorted(self.option_chain_provider.get_option_contract_list(option.symbol, exchange_time))) if len(option_chain_from_algorithm_api) == 0: raise AssertionError("No options in chain from algorithm API") diff --git a/Algorithm.Python/OptionChainIncludeWeeklysByDefaultRegressionAlgorithm.py b/Algorithm.Python/OptionChainIncludeWeeklysByDefaultRegressionAlgorithm.py new file mode 100644 index 000000000000..c914d2d62dca --- /dev/null +++ b/Algorithm.Python/OptionChainIncludeWeeklysByDefaultRegressionAlgorithm.py @@ -0,0 +1,46 @@ +# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. +# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. +# +# Licensed under the Apache License, Version 2.0 (the "License"); +# you may not use this file except in compliance with the License. +# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 +# +# Unless required by applicable law or agreed to in writing, software +# distributed under the License is distributed on an "AS IS" BASIS, +# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +# See the License for the specific language governing permissions and +# limitations under the License. + +from AlgorithmImports import * + +### +### Verifies that weekly option contracts are included when no standard contracts are available. +### +class OptionChainIncludeWeeklysByDefaultRegressionAlgorithm(QCAlgorithm): + + def initialize(self): + self.set_start_date(2015, 12, 24) + self.set_end_date(2015, 12, 24) + + self.option = self.add_option("GOOG") + self.option_symbol = self.option.Symbol + + self.option.set_filter(lambda u: u.strikes(-8, 8).expiration(0, 0)) + + self.weekly_count = 0 + self.total_count = 0 + + def on_data(self, data): + chain = data.option_chains.get(self.option_symbol) + if chain: + self.total_count += len(chain.contracts) + for contract in chain.contracts.values(): + if not OptionSymbol.is_standard(contract.symbol): + self.weekly_count += 1 + + def on_end_of_algorithm(self): + if self.weekly_count == 0: + raise RegressionTestException("No weekly contracts found") + + if self.total_count != self.weekly_count: + raise RegressionTestException("When no standard option expirations are available, the option chain must fall back to weekly contracts only") \ No newline at end of file diff --git a/Algorithm.Python/OptionChainedUniverseSelectionModelRegressionAlgorithm.py b/Algorithm.Python/OptionChainedUniverseSelectionModelRegressionAlgorithm.py index e800f1fa47e6..d42a5a0d7948 100644 --- a/Algorithm.Python/OptionChainedUniverseSelectionModelRegressionAlgorithm.py +++ b/Algorithm.Python/OptionChainedUniverseSelectionModelRegressionAlgorithm.py @@ -28,7 +28,7 @@ def initialize(self): self.add_universe_selection( OptionChainedUniverseSelectionModel( universe, - lambda u: (u.strikes(-2, +2) + lambda u: (u.standards_only().strikes(-2, +2) # Expiration method accepts TimeSpan objects or integer for days. # The following statements yield the same filtering criteria .expiration(0, 180)) diff --git a/Algorithm.Python/OptionPriceModelForSupportedAmericanOptionRegressionAlgorithm.py b/Algorithm.Python/OptionPriceModelForSupportedAmericanOptionRegressionAlgorithm.py index a9b495c4bbaa..a87ff4cbe450 100644 --- a/Algorithm.Python/OptionPriceModelForSupportedAmericanOptionRegressionAlgorithm.py +++ b/Algorithm.Python/OptionPriceModelForSupportedAmericanOptionRegressionAlgorithm.py @@ -24,6 +24,8 @@ def initialize(self): self.set_end_date(2014, 6, 9) option = self.add_option("AAPL", Resolution.MINUTE) + option.set_filter(lambda u: u.standards_only().strikes(-1, 1).expiration(0, 35)) + # BaroneAdesiWhaley model supports American style options option.price_model = OptionPriceModels.barone_adesi_whaley() diff --git a/Algorithm.Python/OptionPriceModelForUnsupportedAmericanOptionRegressionAlgorithm.py b/Algorithm.Python/OptionPriceModelForUnsupportedAmericanOptionRegressionAlgorithm.py index ce78c8e0adb6..072af5b2496b 100644 --- a/Algorithm.Python/OptionPriceModelForUnsupportedAmericanOptionRegressionAlgorithm.py +++ b/Algorithm.Python/OptionPriceModelForUnsupportedAmericanOptionRegressionAlgorithm.py @@ -24,6 +24,8 @@ def initialize(self): self.set_end_date(2014, 6, 9) option = self.add_option("AAPL", Resolution.MINUTE) + option.set_filter(lambda u: u.standards_only().strikes(-1, 1).expiration(0, 35)) + # BlackSholes model does not support American style options option.price_model = OptionPriceModels.black_scholes() diff --git a/Algorithm.Python/OptionStrategyFactoryMethodsBaseAlgorithm.py b/Algorithm.Python/OptionStrategyFactoryMethodsBaseAlgorithm.py index 08bc1ba27175..a2fb5fe8f16f 100644 --- a/Algorithm.Python/OptionStrategyFactoryMethodsBaseAlgorithm.py +++ b/Algorithm.Python/OptionStrategyFactoryMethodsBaseAlgorithm.py @@ -27,7 +27,7 @@ def initialize(self): option = self.add_option("GOOG") self._option_symbol = option.symbol - option.set_filter(-2, +2, 0, 180) + option.set_filter(lambda u: u.standards_only().strikes(-2, +2).expiration(0, 180)) self.set_benchmark("GOOG") diff --git a/Algorithm.Python/QuantConnect.Algorithm.Python.csproj b/Algorithm.Python/QuantConnect.Algorithm.Python.csproj index 27d959076f69..28a7eb1304fc 100644 --- a/Algorithm.Python/QuantConnect.Algorithm.Python.csproj +++ b/Algorithm.Python/QuantConnect.Algorithm.Python.csproj @@ -4,7 +4,7 @@ AnyCPU QuantConnect.Algorithm.Python QuantConnect.Algorithm.Python - net9.0 + net10.0 AllEnabledByDefault bin\$(Configuration)\ false @@ -37,7 +37,7 @@ - + diff --git a/Algorithm.Python/ScheduledQueuingAlgorithm.py b/Algorithm.Python/ScheduledQueuingAlgorithm.py index fc826a7dfe98..dc1866d847ab 100644 --- a/Algorithm.Python/ScheduledQueuingAlgorithm.py +++ b/Algorithm.Python/ScheduledQueuingAlgorithm.py @@ -20,18 +20,18 @@ def initialize(self) -> None: self.set_start_date(2020, 9, 1) self.set_end_date(2020, 9, 2) self.set_cash(100000) - + self.__number_of_symbols = 2000 self.__number_of_symbols_fine = 1000 self.set_universe_selection(FineFundamentalUniverseSelectionModel(self.coarse_selection_function, self.fine_selection_function, None)) - + self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel()) - + self.set_execution(ImmediateExecutionModel()) - + self._queue = Queue() self._dequeue_size = 100 - + self.add_equity("SPY", Resolution.MINUTE) self.schedule.on(self.date_rules.every_day("SPY"), self.time_rules.at(0, 0), self.fill_queue) self.schedule.on(self.date_rules.every_day("SPY"), self.time_rules.every(timedelta(minutes=60)), self.take_from_queue) @@ -40,22 +40,22 @@ def coarse_selection_function(self, coarse: list[CoarseFundamental]) -> list[Sym has_fundamentals = [security for security in coarse if security.has_fundamental_data] sorted_by_dollar_volume = sorted(has_fundamentals, key=lambda x: x.dollar_volume, reverse=True) return [ x.symbol for x in sorted_by_dollar_volume[:self.__number_of_symbols] ] - + def fine_selection_function(self, fine: list[FineFundamental]) -> list[Symbol]: sorted_by_pe_ratio = sorted(fine, key=lambda x: x.valuation_ratios.pe_ratio, reverse=True) return [ x.symbol for x in sorted_by_pe_ratio[:self.__number_of_symbols_fine] ] - + def fill_queue(self) -> None: - securities = [security for security in self.active_securities.values if security.fundamentals] - + securities = [security for security in self.active_securities.values() if security.fundamentals] + # Fill queue with symbols sorted by PE ratio (decreasing order) self._queue.queue.clear() sorted_by_pe_ratio = sorted(securities, key=lambda x: x.fundamentals.valuation_ratios.pe_ratio, reverse=True) for security in sorted_by_pe_ratio: self._queue.put(security.symbol) - + def take_from_queue(self) -> None: symbols = [self._queue.get() for _ in range(min(self._dequeue_size, self._queue.qsize()))] self.history(symbols, 10, Resolution.DAILY) - + self.log(f"Symbols at {self.time}: {[str(symbol) for symbol in symbols]}") diff --git a/Algorithm/Alphas/AlphaModel.cs b/Algorithm/Alphas/AlphaModel.cs index 578b48ac8d20..1d284ddb3531 100644 --- a/Algorithm/Alphas/AlphaModel.cs +++ b/Algorithm/Alphas/AlphaModel.cs @@ -17,13 +17,14 @@ using System.Collections.Generic; using QuantConnect.Data; using QuantConnect.Data.UniverseSelection; +using QuantConnect.Python; namespace QuantConnect.Algorithm.Framework.Alphas { /// /// Provides a base class for alpha models. /// - public class AlphaModel : IAlphaModel, INamedModel + public class AlphaModel : BasePythonWrapper, IAlphaModel, INamedModel { /// /// Defines a name for a framework model @@ -47,7 +48,7 @@ public AlphaModel() /// The new insights generated public virtual IEnumerable Update(QCAlgorithm algorithm, Slice data) { - throw new System.NotImplementedException("Types deriving from 'AlphaModel' must implement the 'IEnumerable Update(QCAlgorithm, Slice) method."); + throw new NotImplementedException("Types deriving from 'AlphaModel' must implement the 'IEnumerable Update(QCAlgorithm, Slice) method."); } /// diff --git a/Algorithm/Alphas/AlphaModelPythonWrapper.cs b/Algorithm/Alphas/AlphaModelPythonWrapper.cs index a12410f8cad9..32fb50c69397 100644 --- a/Algorithm/Alphas/AlphaModelPythonWrapper.cs +++ b/Algorithm/Alphas/AlphaModelPythonWrapper.cs @@ -27,8 +27,6 @@ namespace QuantConnect.Algorithm.Framework.Alphas /// public class AlphaModelPythonWrapper : AlphaModel { - private readonly BasePythonWrapper _model; - /// /// Defines a name for a framework model /// @@ -39,13 +37,13 @@ public override string Name using (Py.GIL()) { // if the model defines a Name property then use that - if (_model.HasAttr(nameof(Name))) + if (HasAttr(nameof(Name))) { - return _model.GetProperty(nameof(Name)); + return GetProperty(nameof(Name)); } // if the model does not define a name property, use the python type name - return _model.GetProperty(" __class__" ).GetAttr("__name__").GetAndDispose(); + return GetProperty(" __class__").GetAttr("__name__").GetAndDispose(); } } } @@ -56,14 +54,20 @@ public override string Name /// >Model that generates alpha public AlphaModelPythonWrapper(PyObject model) { - _model = new BasePythonWrapper(model, false); + SetPythonInstance(model, false); foreach (var attributeName in new[] { "Update", "OnSecuritiesChanged" }) { - if (!_model.HasAttr(attributeName)) + if (!HasAttr(attributeName)) { throw new NotImplementedException($"IAlphaModel.{attributeName} must be implemented. Please implement this missing method on {model.GetPythonType()}"); } } + + var methodName = nameof(SetPythonInstance); + if (HasAttr(methodName)) + { + InvokeMethod(methodName, model); + } } /// @@ -75,7 +79,7 @@ public AlphaModelPythonWrapper(PyObject model) /// The new insights generated public override IEnumerable Update(QCAlgorithm algorithm, Slice data) { - return _model.InvokeMethodAndEnumerate(nameof(Update), algorithm, data); + return InvokeMethodAndEnumerate(nameof(Update), algorithm, data); } /// @@ -85,7 +89,7 @@ public override IEnumerable Update(QCAlgorithm algorithm, Slice data) /// The security additions and removals from the algorithm public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes) { - _model.InvokeVoidMethod(nameof(OnSecuritiesChanged), algorithm, changes); + InvokeVoidMethod(nameof(OnSecuritiesChanged), algorithm, changes); } } } diff --git a/Algorithm/Alphas/CompositeAlphaModel.cs b/Algorithm/Alphas/CompositeAlphaModel.cs index b203805307b0..068b6d2b5503 100644 --- a/Algorithm/Alphas/CompositeAlphaModel.cs +++ b/Algorithm/Alphas/CompositeAlphaModel.cs @@ -116,11 +116,10 @@ public void AddAlpha(IAlphaModel alphaModel) /// The alpha model to add public void AddAlpha(PyObject pyAlphaModel) { - IAlphaModel alphaModel; - if (!pyAlphaModel.TryConvert(out alphaModel)) - { - alphaModel = new AlphaModelPythonWrapper(pyAlphaModel); - } + var alphaModel = PythonUtil.CreateInstanceOrWrapper( + pyAlphaModel, + py => new AlphaModelPythonWrapper(py) + ); _alphaModels.Add(alphaModel); } } diff --git a/Algorithm/ConstituentUniverseDefinitions.cs b/Algorithm/ConstituentUniverseDefinitions.cs index e83ffebc92a7..54b1e63c62eb 100644 --- a/Algorithm/ConstituentUniverseDefinitions.cs +++ b/Algorithm/ConstituentUniverseDefinitions.cs @@ -29,7 +29,7 @@ public class ConstituentUniverseDefinitions private readonly IAlgorithm _algorithm; /// - /// Universe which selects companies whose revenues and earnings have both been growing significantly faster than + /// which selects companies whose revenues and earnings have both been growing significantly faster than /// the general economy. /// public Universe AggressiveGrowth(UniverseSettings universeSettings = null) @@ -40,7 +40,7 @@ public Universe AggressiveGrowth(UniverseSettings universeSettings = null) } /// - /// Universe which selects companies that are growing respectably faster than the general economy, and often pay a + /// which selects companies that are growing respectably faster than the general economy, and often pay a /// steady dividend. They tend to be mature and solidly profitable businesses. /// public Universe ClassicGrowth(UniverseSettings universeSettings = null) @@ -51,7 +51,7 @@ public Universe ClassicGrowth(UniverseSettings universeSettings = null) } /// - /// Universe which selects companies in the cyclicals and durables sectors, except those in the three types below. + /// which selects companies in the cyclicals and durables sectors, except those in the three types below. /// The profits of cyclicals tend to rise and fall with the general economy. /// public Universe Cyclicals(UniverseSettings universeSettings = null) @@ -62,7 +62,7 @@ public Universe Cyclicals(UniverseSettings universeSettings = null) } /// - /// Universe which selects companies that have had consistently declining cash flows and earnings over the past + /// which selects companies that have had consistently declining cash flows and earnings over the past /// three years, and/or very high debt. /// public Universe Distressed(UniverseSettings universeSettings = null) @@ -73,7 +73,7 @@ public Universe Distressed(UniverseSettings universeSettings = null) } /// - /// Universe which selects companies that deal in assets such as oil, metals, and real estate, which tend to do + /// which selects companies that deal in assets such as oil, metals, and real estate, which tend to do /// well in inflationary environments. /// public Universe HardAsset(UniverseSettings universeSettings = null) @@ -84,7 +84,7 @@ public Universe HardAsset(UniverseSettings universeSettings = null) } /// - /// Universe which selects companies that have dividend yields at least twice the average for large-cap stocks. + /// which selects companies that have dividend yields at least twice the average for large-cap stocks. /// They tend to be mature, slow-growing companies. /// public Universe HighYield(UniverseSettings universeSettings = null) @@ -95,7 +95,7 @@ public Universe HighYield(UniverseSettings universeSettings = null) } /// - /// Universe which selects companies that have shown slow revenue and earnings growth (typically less than the rate + /// which selects companies that have shown slow revenue and earnings growth (typically less than the rate /// of GDP growth) over at least three years. /// public Universe SlowGrowth(UniverseSettings universeSettings = null) @@ -106,7 +106,7 @@ public Universe SlowGrowth(UniverseSettings universeSettings = null) } /// - /// Universe which selects companies that have shown strong revenue growth but slower or spotty earnings growth. + /// which selects companies that have shown strong revenue growth but slower or spotty earnings growth. /// Very small or young companies also tend to fall into this class. /// public Universe SpeculativeGrowth(UniverseSettings universeSettings = null) diff --git a/Algorithm/DollarVolumeUniverseDefinitions.cs b/Algorithm/DollarVolumeUniverseDefinitions.cs index 191f911a2101..bee8d69de266 100644 --- a/Algorithm/DollarVolumeUniverseDefinitions.cs +++ b/Algorithm/DollarVolumeUniverseDefinitions.cs @@ -40,14 +40,14 @@ public DollarVolumeUniverseDefinitions(QCAlgorithm algorithm) } /// - /// Creates a new coarse universe that contains the top count of stocks + /// Creates a new coarse that contains the top count of stocks /// by daily dollar volume /// /// The number of stock to select /// The settings for stocks added by this universe. /// Defaults to /// A new coarse universe for the top count of stocks by dollar volume - [Obsolete("This method is deprecated. Use method `Universe.DollarVolume.Top(...)` instead")] + [Obsolete("This method is deprecated. Use method `Universe.Top(...)` instead")] public Universe Top(int count, UniverseSettings universeSettings = null) { return _algorithm.Universe.Top(count, universeSettings); diff --git a/Algorithm/Execution/ExecutionModel.cs b/Algorithm/Execution/ExecutionModel.cs index b1498fae6033..5407cd10876d 100644 --- a/Algorithm/Execution/ExecutionModel.cs +++ b/Algorithm/Execution/ExecutionModel.cs @@ -16,13 +16,14 @@ using QuantConnect.Algorithm.Framework.Portfolio; using QuantConnect.Data.UniverseSelection; using QuantConnect.Orders; +using QuantConnect.Python; namespace QuantConnect.Algorithm.Framework.Execution { /// /// Provides a base class for execution models /// - public class ExecutionModel : IExecutionModel + public class ExecutionModel : BasePythonWrapper, IExecutionModel { /// /// If true, orders should be submitted asynchronously. diff --git a/Algorithm/Execution/ExecutionModelPythonWrapper.cs b/Algorithm/Execution/ExecutionModelPythonWrapper.cs index 3b1520d02980..bfc7848ab390 100644 --- a/Algorithm/Execution/ExecutionModelPythonWrapper.cs +++ b/Algorithm/Execution/ExecutionModelPythonWrapper.cs @@ -27,8 +27,6 @@ namespace QuantConnect.Algorithm.Framework.Execution /// public class ExecutionModelPythonWrapper : ExecutionModel { - private readonly BasePythonWrapper _model; - private readonly bool _onOrderEventsDefined; /// @@ -37,16 +35,22 @@ public class ExecutionModelPythonWrapper : ExecutionModel /// Model defining how to execute trades to reach a portfolio target public ExecutionModelPythonWrapper(PyObject model) { - _model = new BasePythonWrapper(model, false); + SetPythonInstance(model, false); foreach (var attributeName in new[] { "Execute", "OnSecuritiesChanged" }) { - if (!_model.HasAttr(attributeName)) + if (!HasAttr(attributeName)) { throw new NotImplementedException($"IExecutionModel.{attributeName} must be implemented. Please implement this missing method on {model.GetPythonType()}"); } } - _onOrderEventsDefined = _model.HasAttr("OnOrderEvent"); + _onOrderEventsDefined = HasAttr("OnOrderEvent"); + + var methodName = nameof(SetPythonInstance); + if (HasAttr(methodName)) + { + InvokeMethod(methodName, model); + } } /// @@ -57,7 +61,7 @@ public ExecutionModelPythonWrapper(PyObject model) /// The portfolio targets to be ordered public override void Execute(QCAlgorithm algorithm, IPortfolioTarget[] targets) { - _model.InvokeMethod(nameof(Execute), algorithm, targets).Dispose(); + InvokeMethod(nameof(Execute), algorithm, targets).Dispose(); } /// @@ -67,7 +71,7 @@ public override void Execute(QCAlgorithm algorithm, IPortfolioTarget[] targets) /// The security additions and removals from the algorithm public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes) { - _model.InvokeMethod(nameof(OnSecuritiesChanged), algorithm, changes).Dispose(); + InvokeMethod(nameof(OnSecuritiesChanged), algorithm, changes).Dispose(); } /// @@ -79,7 +83,7 @@ public override void OnOrderEvent(QCAlgorithm algorithm, OrderEvent orderEvent) { if (_onOrderEventsDefined) { - _model.InvokeMethod(nameof(OnOrderEvent), algorithm, orderEvent).Dispose(); + InvokeMethod(nameof(OnOrderEvent), algorithm, orderEvent).Dispose(); } } } diff --git a/Algorithm/QCAlgorithm.Framework.Python.cs b/Algorithm/QCAlgorithm.Framework.Python.cs index bb21eaccf23f..2848b5ce32dc 100644 --- a/Algorithm/QCAlgorithm.Framework.Python.cs +++ b/Algorithm/QCAlgorithm.Framework.Python.cs @@ -19,6 +19,7 @@ using QuantConnect.Algorithm.Framework.Portfolio; using QuantConnect.Algorithm.Framework.Risk; using QuantConnect.Algorithm.Framework.Selection; +using QuantConnect.Util; namespace QuantConnect.Algorithm { @@ -31,15 +32,10 @@ public partial class QCAlgorithm [DocumentationAttribute(AlgorithmFramework)] public void SetAlpha(PyObject alpha) { - IAlphaModel model; - if (alpha.TryConvert(out model)) - { - SetAlpha(model); - } - else - { - Alpha = new AlphaModelPythonWrapper(alpha); - } + Alpha = PythonUtil.CreateInstanceOrWrapper( + alpha, + py => new AlphaModelPythonWrapper(py) + ); } /// @@ -49,15 +45,11 @@ public void SetAlpha(PyObject alpha) [DocumentationAttribute(AlgorithmFramework)] public void AddAlpha(PyObject alpha) { - IAlphaModel model; - if (alpha.TryConvert(out model)) - { - AddAlpha(model); - } - else - { - AddAlpha(new AlphaModelPythonWrapper(alpha)); - } + var model = PythonUtil.CreateInstanceOrWrapper( + alpha, + py => new AlphaModelPythonWrapper(py) + ); + AddAlpha(model); } /// @@ -68,15 +60,10 @@ public void AddAlpha(PyObject alpha) [DocumentationAttribute(TradingAndOrders)] public void SetExecution(PyObject execution) { - IExecutionModel model; - if (execution.TryConvert(out model)) - { - SetExecution(model); - } - else - { - Execution = new ExecutionModelPythonWrapper(execution); - } + Execution = PythonUtil.CreateInstanceOrWrapper( + execution, + py => new ExecutionModelPythonWrapper(py) + ); } /// @@ -87,15 +74,10 @@ public void SetExecution(PyObject execution) [DocumentationAttribute(TradingAndOrders)] public void SetPortfolioConstruction(PyObject portfolioConstruction) { - IPortfolioConstructionModel model; - if (portfolioConstruction.TryConvert(out model)) - { - SetPortfolioConstruction(model); - } - else - { - PortfolioConstruction = new PortfolioConstructionModelPythonWrapper(portfolioConstruction); - } + PortfolioConstruction = PythonUtil.CreateInstanceOrWrapper( + portfolioConstruction, + py => new PortfolioConstructionModelPythonWrapper(py) + ); } /// @@ -106,12 +88,10 @@ public void SetPortfolioConstruction(PyObject portfolioConstruction) [DocumentationAttribute(Universes)] public void SetUniverseSelection(PyObject universeSelection) { - IUniverseSelectionModel model; - if (!universeSelection.TryConvert(out model)) - { - model = new UniverseSelectionModelPythonWrapper(universeSelection); - } - SetUniverseSelection(model); + UniverseSelection = PythonUtil.CreateInstanceOrWrapper( + universeSelection, + py => new UniverseSelectionModelPythonWrapper(py) + ); } /// @@ -122,11 +102,10 @@ public void SetUniverseSelection(PyObject universeSelection) [DocumentationAttribute(Universes)] public void AddUniverseSelection(PyObject universeSelection) { - IUniverseSelectionModel model; - if (!universeSelection.TryConvert(out model)) - { - model = new UniverseSelectionModelPythonWrapper(universeSelection); - } + var model = PythonUtil.CreateInstanceOrWrapper( + universeSelection, + py => new UniverseSelectionModelPythonWrapper(py) + ); AddUniverseSelection(model); } @@ -138,15 +117,10 @@ public void AddUniverseSelection(PyObject universeSelection) [DocumentationAttribute(TradingAndOrders)] public void SetRiskManagement(PyObject riskManagement) { - IRiskManagementModel model; - if (riskManagement.TryConvert(out model)) - { - SetRiskManagement(model); - } - else - { - RiskManagement = new RiskManagementModelPythonWrapper(riskManagement); - } + RiskManagement = PythonUtil.CreateInstanceOrWrapper( + riskManagement, + py => new RiskManagementModelPythonWrapper(py) + ); } /// @@ -157,11 +131,10 @@ public void SetRiskManagement(PyObject riskManagement) [DocumentationAttribute(TradingAndOrders)] public void AddRiskManagement(PyObject riskManagement) { - IRiskManagementModel model; - if (!riskManagement.TryConvert(out model)) - { - model = new RiskManagementModelPythonWrapper(riskManagement); - } + var model = PythonUtil.CreateInstanceOrWrapper( + riskManagement, + py => new RiskManagementModelPythonWrapper(py) + ); AddRiskManagement(model); } } diff --git a/Algorithm/QCAlgorithm.Framework.cs b/Algorithm/QCAlgorithm.Framework.cs index ab7bf74bd673..ef46f760f651 100644 --- a/Algorithm/QCAlgorithm.Framework.cs +++ b/Algorithm/QCAlgorithm.Framework.cs @@ -79,8 +79,8 @@ public partial class QCAlgorithm public IRiskManagementModel RiskManagement { get; set; } /// - /// Called by setup handlers after Initialize and allows the algorithm a chance to organize - /// the data gather in the Initialize method + /// Called by setup handlers after and allows the algorithm a chance to organize + /// the data gather in the method /// [DocumentationAttribute(AlgorithmFramework)] public void FrameworkPostInitialize() @@ -100,7 +100,7 @@ public void FrameworkPostInitialize() /// /// Used to send data updates to algorithm framework models /// - /// The current data slice + /// The current data [DocumentationAttribute(AlgorithmFramework)] [DocumentationAttribute(HandlingData)] public void OnFrameworkData(Slice slice) @@ -166,12 +166,12 @@ public void OnFrameworkData(Slice slice) } /// - /// They different framework models will process the new provided insight. + /// They different framework models will process the new provided . /// The will create targets, /// the will adjust the targets /// and the will execute the /// - /// The insight to process + /// The to process [DocumentationAttribute(AlgorithmFramework)] private void ProcessInsights(Insight[] insights) { @@ -179,7 +179,7 @@ private void ProcessInsights(Insight[] insights) var targetsEnumerable = PortfolioConstruction.CreateTargets(this, insights); // for performance only call 'ToArray' if not empty enumerable (which is static) var targets = targetsEnumerable == Enumerable.Empty() - ? new IPortfolioTarget[] {} : targetsEnumerable.ToArray(); + ? new IPortfolioTarget[] { } : targetsEnumerable.ToArray(); // set security targets w/ those generated via portfolio construction module foreach (var target in targets) diff --git a/Algorithm/QCAlgorithm.History.cs b/Algorithm/QCAlgorithm.History.cs index 75d178995e62..41caa59528cc 100644 --- a/Algorithm/QCAlgorithm.History.cs +++ b/Algorithm/QCAlgorithm.History.cs @@ -25,12 +25,17 @@ using QuantConnect.Python; using Python.Runtime; using QuantConnect.Data.UniverseSelection; -using QuantConnect.Data.Auxiliary; +using QuantConnect.Configuration; namespace QuantConnect.Algorithm { public partial class QCAlgorithm { + private static readonly int SeedLookbackPeriod = Config.GetInt("seed-lookback-period", 5); + private static readonly int SeedRetryMinuteLookbackPeriod = Config.GetInt("seed-retry-minute-lookback-period", 24 * 60); + private static readonly int SeedRetryHourLookbackPeriod = Config.GetInt("seed-retry-hour-lookback-period", 24); + private static readonly int SeedRetryDailyLookbackPeriod = Config.GetInt("seed-retry-daily-lookback-period", 10); + private bool _dataDictionaryTickWarningSent; /// @@ -713,7 +718,7 @@ public IEnumerable GetLastKnownPrices(Security security) } /// - /// Yields data to warmup a security for all it's subscribed data types + /// Yields data to warm up a security for all its subscribed data types /// /// The symbol we want to get seed data for /// Securities historical data @@ -726,61 +731,47 @@ public IEnumerable GetLastKnownPrices(Symbol symbol) return Enumerable.Empty(); } - var result = new Dictionary(); - Resolution? resolution = null; - Func requestData = period => - { - var historyRequests = CreateBarCountHistoryRequests(new[] { symbol }, period) - .Select(request => - { - // For speed and memory usage, use Resolution.Minute as the minimum resolution - request.Resolution = (Resolution)Math.Max((int)Resolution.Minute, (int)request.Resolution); - // force no fill forward behavior - request.FillForwardResolution = null; + var data = GetLastKnownPrices([symbol]); + return data.Values.FirstOrDefault() ?? Enumerable.Empty(); + } - resolution = request.Resolution; - return request; - }) - // request only those tick types we didn't get the data we wanted - .Where(request => !result.ContainsKey(request.TickType)) - .ToList(); - foreach (var slice in History(historyRequests)) - { - for (var i = 0; i < historyRequests.Count; i++) - { - var historyRequest = historyRequests[i]; - var data = slice.Get(historyRequest.DataType); - if (data.ContainsKey(symbol)) - { - // keep the last data point per tick type - result[historyRequest.TickType] = (BaseData)data[symbol]; - } - } - } - // true when all history requests tick types have a data point - return historyRequests.All(request => result.ContainsKey(request.TickType)); - }; + /// + /// Yields data to warm up multiple securities for all their subscribed data types + /// + /// The securities we want to get seed data for + /// Securities historical data + [DocumentationAttribute(AddingData)] + [DocumentationAttribute(HistoricalData)] + public DataDictionary> GetLastKnownPrices(IEnumerable securities) + { + return GetLastKnownPrices(securities.Select(s => s.Symbol)); + } - if (!requestData(5)) + /// + /// Yields data to warm up multiple securities for all their subscribed data types + /// + /// The symbols we want to get seed data for + /// Securities historical data + [DocumentationAttribute(AddingData)] + [DocumentationAttribute(HistoricalData)] + public DataDictionary> GetLastKnownPrices(IEnumerable symbols) + { + if (HistoryProvider == null) { - if (resolution.HasValue) - { - // If the first attempt to get the last know price returns null, it maybe the case of an illiquid security. - // We increase the look-back period for this case accordingly to the resolution to cover 3 trading days - var periods = - resolution.Value == Resolution.Daily ? 3 : - resolution.Value == Resolution.Hour ? 24 : 1440; - requestData(periods); - } - else - { - // this shouldn't happen but just in case - QuantConnect.Logging.Log.Error( - $"QCAlgorithm.GetLastKnownPrices(): no history request was created for symbol {symbol} at {Time}"); - } + return new DataDictionary>(); } - // return the data ordered by time ascending - return result.Values.OrderBy(data => data.Time); + + var data = new Dictionary<(Symbol, Type, TickType), BaseData>(); + GetLastKnownPricesImpl(symbols, data); + + return data + .GroupBy(kvp => kvp.Key.Item1) + .ToDataDictionary( + g => g.Key, + g => g.OrderBy(kvp => kvp.Value.Time) + .ThenBy(kvp => GetTickTypeOrder(kvp.Key.Item1.SecurityType, kvp.Key.Item3)) + .Select(kvp => kvp.Value) + ); } /// @@ -795,12 +786,149 @@ public IEnumerable GetLastKnownPrices(Symbol symbol) [DocumentationAttribute(HistoricalData)] public BaseData GetLastKnownPrice(Security security) { - return GetLastKnownPrices(security.Symbol) + return GetLastKnownPrice(security.Symbol); + } + + /// + /// Get the last known price using the history provider. + /// Useful for seeding securities with the correct price + /// + /// Symbol for which to retrieve historical data + /// A single object with the last known price + [Obsolete("This method is obsolete please use 'GetLastKnownPrices' which will return the last data point" + + " for each type associated with the requested security")] + [DocumentationAttribute(AddingData)] + [DocumentationAttribute(HistoricalData)] + public BaseData GetLastKnownPrice(Symbol symbol) + { + return GetLastKnownPrices(symbol) // since we are returning a single data point let's respect order .OrderByDescending(data => GetTickTypeOrder(data.Symbol.SecurityType, LeanData.GetCommonTickTypeForCommonDataTypes(data.GetType(), data.Symbol.SecurityType))) .LastOrDefault(); } + private void GetLastKnownPricesImpl(IEnumerable symbols, Dictionary<(Symbol, Type, TickType), BaseData> result, + int attempts = 0, IEnumerable failedRequests = null) + { + IEnumerable historyRequests; + var isRetry = failedRequests != null; + + symbols = symbols?.Where(x => !x.IsCanonical() || x.SecurityType == SecurityType.Future); + + if (attempts == 0) + { + historyRequests = CreateBarCountHistoryRequests(symbols, SeedLookbackPeriod, + fillForward: false, useAllSubscriptions: true) + .SelectMany(request => + { + // Make open interest request daily, higher resolutions will need greater periods to return data + if (request.DataType == typeof(OpenInterest) && request.Resolution < Resolution.Daily) + { + return CreateBarCountHistoryRequests([request.Symbol], typeof(OpenInterest), SeedLookbackPeriod, + Resolution.Daily, fillForward: false, useAllSubscriptions: true); + } + + if (request.Resolution < Resolution.Minute) + { + var dataType = request.DataType; + if (dataType == typeof(Tick)) + { + dataType = request.TickType == TickType.Trade ? typeof(TradeBar) : typeof(QuoteBar); + } + + return CreateBarCountHistoryRequests([request.Symbol], dataType, SeedLookbackPeriod, + Resolution.Minute, fillForward: false, useAllSubscriptions: true); + } + + return [request]; + }); + } + else if (attempts == 1) + { + // If the first attempt to get the last know price returns no data, it maybe the case of an illiquid security. + // We increase the look-back period for this case accordingly to the resolution to cover a longer period + historyRequests = failedRequests + .GroupBy(request => request.Symbol) + .Select(group => + { + var symbolRequests = group.ToArray(); + var resolution = symbolRequests[0].Resolution; + var periods = resolution == Resolution.Daily + ? SeedRetryDailyLookbackPeriod + : resolution == Resolution.Hour ? SeedRetryHourLookbackPeriod : SeedRetryMinuteLookbackPeriod; + return CreateBarCountHistoryRequests([group.Key], periods, resolution, fillForward: false, useAllSubscriptions: true) + .Where(request => symbolRequests.Any(x => x.DataType == request.DataType)); + }) + .SelectMany(x => x); + } + else + { + // Fall back to bigger daily requests as a last resort + historyRequests = CreateBarCountHistoryRequests(failedRequests.Select(x => x.Symbol).Distinct(), + Math.Min(60, 5 * SeedRetryDailyLookbackPeriod), Resolution.Daily, fillForward: false, useAllSubscriptions: true); + } + + var requests = historyRequests.ToArray(); + if (requests.Length == 0) + { + return; + } + + foreach (var slice in History(requests)) + { + for (var i = 0; i < requests.Length; i++) + { + var historyRequest = requests[i]; + + // keep the last data point per tick type + BaseData data = null; + + if (historyRequest.DataType == typeof(QuoteBar)) + { + if (slice.QuoteBars.TryGetValue(historyRequest.Symbol, out var quoteBar)) + { + data = quoteBar; + } + } + else if (historyRequest.DataType == typeof(TradeBar)) + { + if (slice.Bars.TryGetValue(historyRequest.Symbol, out var quoteBar)) + { + data = quoteBar; + } + } + else if (historyRequest.DataType == typeof(OpenInterest)) + { + if (slice.Ticks.TryGetValue(historyRequest.Symbol, out var openInterests)) + { + data = openInterests[0]; + } + } + // No Tick data, resolution is limited to Minute as minimum + else + { + var typeData = slice.Get(historyRequest.DataType); + if (typeData.ContainsKey(historyRequest.Symbol)) + { + data = typeData[historyRequest.Symbol]; + } + } + + if (data != null) + { + result[(historyRequest.Symbol, historyRequest.DataType, historyRequest.TickType)] = data; + } + } + } + + if (attempts < 2) + { + // Give it another try to get data for all symbols and all data types + GetLastKnownPricesImpl(null, result, attempts + 1, + requests.Where((request, i) => !result.ContainsKey((request.Symbol, request.DataType, request.TickType)))); + } + } + /// /// Centralized logic to get data typed history given a list of requests for the specified symbol. /// This method is used to keep backwards compatibility for those History methods that expect an ArgumentException to be thrown @@ -990,7 +1118,7 @@ protected IEnumerable CreateDateRangeHistoryRequests(IEnumerable /// private IEnumerable CreateBarCountHistoryRequests(IEnumerable symbols, int periods, Resolution? resolution = null, bool? fillForward = null, bool? extendedMarketHours = null, DataMappingMode? dataMappingMode = null, - DataNormalizationMode? dataNormalizationMode = null, int? contractDepthOffset = null) + DataNormalizationMode? dataNormalizationMode = null, int? contractDepthOffset = null, bool useAllSubscriptions = false) { // Materialize the symbols to avoid multiple enumeration var symbolsArray = symbols.ToArray(); @@ -1003,7 +1131,8 @@ private IEnumerable CreateBarCountHistoryRequests(IEnumerable @@ -1011,12 +1140,12 @@ private IEnumerable CreateBarCountHistoryRequests(IEnumerable private IEnumerable CreateBarCountHistoryRequests(IEnumerable symbols, Type requestedType, int periods, Resolution? resolution = null, bool? fillForward = null, bool? extendedMarketHours = null, DataMappingMode? dataMappingMode = null, - DataNormalizationMode? dataNormalizationMode = null, int? contractDepthOffset = null) + DataNormalizationMode? dataNormalizationMode = null, int? contractDepthOffset = null, bool useAllSubscriptions = false) { return symbols.Where(HistoryRequestValid).SelectMany(symbol => { // Match or create configs for the symbol - var configs = GetMatchingSubscriptions(symbol, requestedType, resolution).ToList(); + var configs = GetMatchingSubscriptions(symbol, requestedType, resolution, useAllSubscriptions).ToList(); if (configs.Count == 0) { return Enumerable.Empty(); @@ -1043,7 +1172,7 @@ private int GetTickTypeOrder(SecurityType securityType, TickType tickType) return SubscriptionManager.AvailableDataTypes[securityType].IndexOf(tickType); } - private IEnumerable GetMatchingSubscriptions(Symbol symbol, Type type, Resolution? resolution = null) + private IEnumerable GetMatchingSubscriptions(Symbol symbol, Type type, Resolution? resolution = null, bool useAllSubscriptions = false) { var subscriptions = SubscriptionManager.SubscriptionDataConfigService // we add internal subscription so that history requests are covered, this allows us to warm them up too @@ -1068,7 +1197,7 @@ private IEnumerable GetMatchingSubscriptions(Symbol symb else { // Filter subscriptions matching the requested type - matchingSubscriptions = subscriptions.Where(s => SubscriptionDataConfigTypeFilter(type, s.Type)); + matchingSubscriptions = subscriptions.Where(s => SubscriptionDataConfigTypeFilter(type, s.Type, filterOutOpenInterest: !useAllSubscriptions)); } var internalConfig = new List(); @@ -1091,9 +1220,16 @@ private IEnumerable GetMatchingSubscriptions(Symbol symb { configs = userConfig; } - else if (internalConfig.Count != 0) + if ((useAllSubscriptions || configs == null) && internalConfig.Count != 0) { - configs = internalConfig; + if (configs == null) + { + configs = internalConfig; + } + else + { + configs.AddRange(internalConfig); + } } // we use the subscription manager registered configurations here, we can not rely on the Securities collection @@ -1147,6 +1283,15 @@ private IEnumerable GetMatchingSubscriptions(Symbol symb } else { + // let's try to respect already added user settings, even if resolution/type don't match, like Tick vs Bars + var userConfigIfAny = subscriptions.FirstOrDefault(x => LeanData.IsCommonLeanDataType(x.Type) && !x.IsInternalFeed); + + // Inherit values from existing subscriptions or use defaults + var extendedMarketHours = userConfigIfAny?.ExtendedMarketHours ?? UniverseSettings.ExtendedMarketHours; + var dataNormalizationMode = userConfigIfAny?.DataNormalizationMode ?? UniverseSettings.GetUniverseNormalizationModeOrDefault(symbol.SecurityType); + var dataMappingMode = userConfigIfAny?.DataMappingMode ?? UniverseSettings.GetUniverseMappingModeOrDefault(symbol.SecurityType, symbol.ID.Market); + var contractDepthOffset = userConfigIfAny?.ContractDepthOffset ?? (uint)Math.Abs(UniverseSettings.ContractDepthOffset); + // If type was specified and not a lean data type and also not abstract, we create a new subscription if (type != null && !LeanData.IsCommonLeanDataType(type) && !type.IsAbstract) { @@ -1170,23 +1315,22 @@ private IEnumerable GetMatchingSubscriptions(Symbol symb entry.DataTimeZone, entry.ExchangeHours.TimeZone, UniverseSettings.FillForward, - UniverseSettings.ExtendedMarketHours, + extendedMarketHours, true, isCustom, LeanData.GetCommonTickTypeForCommonDataTypes(dataType, symbol.SecurityType), true, - UniverseSettings.GetUniverseNormalizationModeOrDefault(symbol.SecurityType))}; + dataNormalizationMode, + dataMappingMode, + contractDepthOffset)}; } - // let's try to respect already added user settings, even if resolution/type don't match, like Tick vs Bars - var userConfigIfAny = subscriptions.FirstOrDefault(x => LeanData.IsCommonLeanDataType(x.Type) && !x.IsInternalFeed); - var res = GetResolution(symbol, resolution, type); return SubscriptionManager .LookupSubscriptionConfigDataTypes(symbol.SecurityType, res, // for continuous contracts, if we are given a type (or none) that's common (like trade/quote), we respect it symbol.IsCanonical() && (symbol.SecurityType != SecurityType.Future || type != null && !LeanData.IsCommonLeanDataType(type))) - .Where(tuple => SubscriptionDataConfigTypeFilter(type, tuple.Item1)) + .Where(tuple => SubscriptionDataConfigTypeFilter(type, tuple.Item1, filterOutOpenInterest: !useAllSubscriptions)) .Select(x => { var configType = x.Item1; @@ -1201,14 +1345,14 @@ private IEnumerable GetMatchingSubscriptions(Symbol symb entry.DataTimeZone, entry.ExchangeHours.TimeZone, UniverseSettings.FillForward, - userConfigIfAny?.ExtendedMarketHours ?? UniverseSettings.ExtendedMarketHours, + extendedMarketHours, true, false, x.Item2, true, - userConfigIfAny?.DataNormalizationMode ?? UniverseSettings.GetUniverseNormalizationModeOrDefault(symbol.SecurityType), - userConfigIfAny?.DataMappingMode ?? UniverseSettings.GetUniverseMappingModeOrDefault(symbol.SecurityType, symbol.ID.Market), - userConfigIfAny?.ContractDepthOffset ?? (uint)Math.Abs(UniverseSettings.ContractDepthOffset)); + dataNormalizationMode, + dataMappingMode, + contractDepthOffset); }) // lets make sure to respect the order of the data types, if used on a history request will affect outcome when using pushthrough for example .OrderByDescending(config => GetTickTypeOrder(config.SecurityType, config.TickType)); @@ -1220,16 +1364,16 @@ private IEnumerable GetMatchingSubscriptions(Symbol symb /// /// If the target type is , config types will return false. /// This is useful to filter OpenInterest by default from history requests unless it's explicitly requested - private bool SubscriptionDataConfigTypeFilter(Type targetType, Type configType) + private bool SubscriptionDataConfigTypeFilter(Type targetType, Type configType, bool filterOutOpenInterest = true) { if (targetType == null) { - return configType != typeof(OpenInterest); + return !filterOutOpenInterest || configType != typeof(OpenInterest); } var targetIsGenericType = targetType == typeof(BaseData); - return targetType.IsAssignableFrom(configType) && (!targetIsGenericType || configType != typeof(OpenInterest)); + return targetType.IsAssignableFrom(configType) && (!targetIsGenericType || !filterOutOpenInterest || configType != typeof(OpenInterest)); } private SecurityExchangeHours GetExchangeHours(Symbol symbol, Type type = null) diff --git a/Algorithm/QCAlgorithm.Indicators.cs b/Algorithm/QCAlgorithm.Indicators.cs index adae8e3107f9..2662f7de3eeb 100644 --- a/Algorithm/QCAlgorithm.Indicators.cs +++ b/Algorithm/QCAlgorithm.Indicators.cs @@ -53,7 +53,8 @@ public partial class QCAlgorithm "IsReady", "Window", "Item", - "WarmUpPeriod" + "WarmUpPeriod", + "Period" }; /// @@ -489,6 +490,26 @@ public Correlation C(Symbol target, Symbol reference, int period, CorrelationTyp return correlation; } + /// + /// Creates a Covariance indicator for the given target symbol in relation with the reference used. + /// The indicator will be automatically updated on the given resolution. + /// + /// The target symbol whose Covariance value we want + /// The reference symbol to compare with the target symbol + /// The period of the Covariance indicator + /// The resolution + /// Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar + /// The Covariance indicator for the given parameters + [DocumentationAttribute(Indicators)] + public Covariance COV(Symbol target, Symbol reference, int period, Resolution? resolution = null, Func selector = null) + { + var name = CreateIndicatorName(QuantConnect.Symbol.None, $"COV({period})", resolution); + var covariance = new Covariance(name, target, reference, period); + InitializeIndicator(covariance, resolution, selector, target, reference); + + return covariance; + } + /// /// Creates a new CommodityChannelIndex indicator. The indicator will be automatically /// updated on the given resolution. @@ -1435,7 +1456,7 @@ public MesaAdaptiveMovingAverage MAMA(Symbol symbol, decimal fastLimit = 0.5m, d [DocumentationAttribute(Indicators)] public VolumeProfile VP(Symbol symbol, int period = 2, decimal valueAreaVolumePercentage = 0.70m, decimal priceRangeRoundOff = 0.05m, Resolution resolution = Resolution.Daily, Func selector = null) { - var name = CreateIndicatorName(symbol, $"VP({period})", resolution); + var name = CreateIndicatorName(symbol, $"VP({period},{valueAreaVolumePercentage},{priceRangeRoundOff})", resolution); var marketProfile = new VolumeProfile(name, period, valueAreaVolumePercentage, priceRangeRoundOff); InitializeIndicator(marketProfile, resolution, selector, symbol); @@ -1456,7 +1477,7 @@ public VolumeProfile VP(Symbol symbol, int period = 2, decimal valueAreaVolumePe [DocumentationAttribute(Indicators)] public TimeProfile TP(Symbol symbol, int period = 2, decimal valueAreaVolumePercentage = 0.70m, decimal priceRangeRoundOff = 0.05m, Resolution resolution = Resolution.Daily, Func selector = null) { - var name = CreateIndicatorName(symbol, $"TP({period})", resolution); + var name = CreateIndicatorName(symbol, $"TP({period},{valueAreaVolumePercentage},{priceRangeRoundOff})", resolution); var marketProfile = new TimeProfile(name, period, valueAreaVolumePercentage, priceRangeRoundOff); InitializeIndicator(marketProfile, resolution, selector, symbol); @@ -1691,6 +1712,50 @@ public NormalizedAverageTrueRange NATR(Symbol symbol, int period, Resolution? re return normalizedAverageTrueRange; } + /// + /// Creates a new New Highs - New Lows indicator + /// + /// The symbols whose NHNL we want + /// The period over which to compute the NHNL + /// The resolution + /// Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a IBaseDataBar + /// The NewHighsNewLows indicator for the requested symbols over the specified period + [DocumentationAttribute(Indicators)] + public NewHighsNewLows NHNL(IEnumerable symbols, int period, Resolution? resolution = null, Func selector = null) + { + var name = CreateIndicatorName(QuantConnect.Symbol.None, $"NH/NL({period})", resolution ?? GetSubscription(symbols.First()).Resolution); + var nhnlDifference = new NewHighsNewLows(name, period); + foreach (var symbol in symbols) + { + nhnlDifference.Add(symbol); + } + InitializeIndicator(nhnlDifference, resolution, selector, symbols.ToArray()); + + return nhnlDifference; + } + + /// + /// Creates a new New Highs - New Lows Volume indicator + /// + /// The symbols whose NHNLV we want + /// The period over which to compute the NHNLV + /// The resolution + /// Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar + /// The NewHighsNewLowsVolume indicator for the requested symbols over the specified period + [DocumentationAttribute(Indicators)] + public NewHighsNewLowsVolume NHNLV(IEnumerable symbols, int period, Resolution? resolution = null, Func selector = null) + { + var name = CreateIndicatorName(QuantConnect.Symbol.None, $"NH/NL Volume({period})", resolution ?? GetSubscription(symbols.First()).Resolution); + var nhnlVolume = new NewHighsNewLowsVolume(name, period); + foreach (var symbol in symbols) + { + nhnlVolume.Add(symbol); + } + InitializeIndicator(nhnlVolume, resolution, selector, symbols.ToArray()); + + return nhnlVolume; + } + /// /// Creates a new On Balance Volume indicator. This will compute the cumulative total volume /// based on whether the close price being higher or lower than the previous period. @@ -2215,7 +2280,7 @@ public TargetDownsideDeviation TDD(Symbol symbol, int period, double minimumAcce return targetDownsideDeviation; } - + /// /// Creates a new TomDemark Sequential candlestick indicator for the symbol. The indicator will be automatically /// updated on the symbol's subscription resolution. diff --git a/Algorithm/QCAlgorithm.Plotting.cs b/Algorithm/QCAlgorithm.Plotting.cs index 23abbae02a4f..a8c68999dd4b 100644 --- a/Algorithm/QCAlgorithm.Plotting.cs +++ b/Algorithm/QCAlgorithm.Plotting.cs @@ -497,6 +497,12 @@ public void SetRuntimeStatistic(string name, double value) [DocumentationAttribute(StatisticsTag)] public void SetSummaryStatistic(string name, string value) { + if (int.TryParse(name, NumberStyles.Integer, CultureInfo.InvariantCulture, out var intName) && + intName >= 0 && intName <= 100) + { + throw new ArgumentException($"'{name}' is a reserved statistic name."); + } + _statisticsService.SetSummaryStatistic(name, value); } @@ -508,7 +514,7 @@ public void SetSummaryStatistic(string name, string value) [DocumentationAttribute(StatisticsTag)] public void SetSummaryStatistic(string name, int value) { - _statisticsService.SetSummaryStatistic(name, value.ToStringInvariant()); + SetSummaryStatistic(name, value.ToStringInvariant()); } /// @@ -519,7 +525,7 @@ public void SetSummaryStatistic(string name, int value) [DocumentationAttribute(StatisticsTag)] public void SetSummaryStatistic(string name, double value) { - _statisticsService.SetSummaryStatistic(name, value.ToStringInvariant()); + SetSummaryStatistic(name, value.ToStringInvariant()); } /// @@ -530,7 +536,7 @@ public void SetSummaryStatistic(string name, double value) [DocumentationAttribute(StatisticsTag)] public void SetSummaryStatistic(string name, decimal value) { - _statisticsService.SetSummaryStatistic(name, value.ToStringInvariant()); + SetSummaryStatistic(name, value.ToStringInvariant()); } /// diff --git a/Algorithm/QCAlgorithm.Python.cs b/Algorithm/QCAlgorithm.Python.cs index 8d1fbb94e678..a2af01ea34fc 100644 --- a/Algorithm/QCAlgorithm.Python.cs +++ b/Algorithm/QCAlgorithm.Python.cs @@ -1372,12 +1372,10 @@ public void SetBenchmark(PyObject benchmark) [DocumentationAttribute(Modeling)] public void SetBrokerageModel(PyObject model) { - IBrokerageModel brokerageModel; - if (!model.TryConvert(out brokerageModel)) - { - brokerageModel = new BrokerageModelPythonWrapper(model); - } - + var brokerageModel = PythonUtil.CreateInstanceOrWrapper( + model, + py => new BrokerageModelPythonWrapper(py) + ); SetBrokerageModel(brokerageModel); } @@ -1392,11 +1390,10 @@ public void SetBrokerageModel(PyObject model) [DocumentationAttribute(Logging)] public void SetBrokerageMessageHandler(PyObject handler) { - if (!handler.TryConvert(out IBrokerageMessageHandler brokerageMessageHandler)) - { - brokerageMessageHandler = new BrokerageMessageHandlerPythonWrapper(handler); - } - + var brokerageMessageHandler = PythonUtil.CreateInstanceOrWrapper( + handler, + py => new BrokerageMessageHandlerPythonWrapper(py) + ); SetBrokerageMessageHandler(brokerageMessageHandler); } @@ -1407,7 +1404,11 @@ public void SetBrokerageMessageHandler(PyObject handler) [DocumentationAttribute(Modeling)] public void SetRiskFreeInterestRateModel(PyObject model) { - SetRiskFreeInterestRateModel(RiskFreeInterestRateModelPythonWrapper.FromPyObject(model)); + var riskFreeInterestRateModel = PythonUtil.CreateInstanceOrWrapper( + model, + py => new RiskFreeInterestRateModelPythonWrapper(py) + ); + SetRiskFreeInterestRateModel(riskFreeInterestRateModel); } /// diff --git a/Algorithm/QCAlgorithm.Universe.cs b/Algorithm/QCAlgorithm.Universe.cs index 8dac58fd2d71..3f249e067498 100644 --- a/Algorithm/QCAlgorithm.Universe.cs +++ b/Algorithm/QCAlgorithm.Universe.cs @@ -16,6 +16,7 @@ using System; using System.Collections.Generic; using System.Linq; +using System.Collections.Specialized; using NodaTime; using QuantConnect.Algorithm.Selection; using QuantConnect.Data; @@ -33,7 +34,7 @@ public partial class QCAlgorithm // this removes temporal dependencies from w/in initialize method // original motivation: adding equity/options to enforce equity raw data mode private readonly object _pendingUniverseAdditionsLock = new object(); - private readonly List _pendingUserDefinedUniverseSecurityAdditions = new List(); + private readonly List _pendingUserDefinedUniverseSecurityChanges = new(); private bool _pendingUniverseAdditions; private ConcurrentSet _rawNormalizationWarningSymbols = new ConcurrentSet(); private readonly int _rawNormalizationWarningSymbolsMaxCount = 10; @@ -69,16 +70,16 @@ public void OnEndOfTimeStep() // rewrite securities w/ derivatives to be in raw mode lock (_pendingUniverseAdditionsLock) { - if (!_pendingUniverseAdditions && _pendingUserDefinedUniverseSecurityAdditions.Count == 0) + if (!_pendingUniverseAdditions && _pendingUserDefinedUniverseSecurityChanges.Count == 0) { // no point in looping through everything if there's no pending changes return; } - var requiredHistoryRequests = new Dictionary(); + var securitiesToSeed = new HashSet(); foreach (var security in Securities.Select(kvp => kvp.Value).Union( - _pendingUserDefinedUniverseSecurityAdditions.Select(x => x.Security))) + _pendingUserDefinedUniverseSecurityChanges.Where(x => x.IsAddition).Select(x => x.Security))) { // check for any derivative securities and mark the underlying as raw if (security.Type == SecurityType.Equity && @@ -123,22 +124,9 @@ public void OnEndOfTimeStep() ConfigureUnderlyingSecurity(underlyingSecurity); } - if (LiveMode && underlyingSecurity.GetLastData() == null) + if (LiveMode && !Settings.SeedInitialPrices && underlyingSecurity.GetLastData() == null) { - if (requiredHistoryRequests.ContainsKey(underlyingSecurity)) - { - // lets request the higher resolution - var currentResolutionRequest = requiredHistoryRequests[underlyingSecurity]; - if (currentResolutionRequest != Resolution.Minute // Can not be less than Minute - && resolution < currentResolutionRequest) - { - requiredHistoryRequests[underlyingSecurity] = (Resolution)Math.Max((int)resolution, (int)Resolution.Minute); - } - } - else - { - requiredHistoryRequests.Add(underlyingSecurity, (Resolution)Math.Max((int)resolution, (int)Resolution.Minute)); - } + securitiesToSeed.Add(underlyingSecurity); } // set the underlying security on the derivative -- we do this in two places since it's possible // to do AddOptionContract w/out the underlying already added and normalized properly @@ -150,30 +138,32 @@ public void OnEndOfTimeStep() } } - if (!requiredHistoryRequests.IsNullOrEmpty()) + if (!securitiesToSeed.IsNullOrEmpty()) { - // Create requests - var historyRequests = Enumerable.Empty(); - foreach (var byResolution in requiredHistoryRequests.GroupBy(x => x.Value)) - { - historyRequests = historyRequests.Concat( - CreateBarCountHistoryRequests(byResolution.Select(x => x.Key.Symbol), 3, byResolution.Key)); - } - // Request data - var historicLastData = History(historyRequests); - historicLastData.PushThrough(x => - { - var security = requiredHistoryRequests.Keys.FirstOrDefault(y => y.Symbol == x.Symbol); - security?.Cache.AddData(x); - }); + AlgorithmUtils.SeedSecurities(securitiesToSeed, this); } // add subscriptionDataConfig to their respective user defined universes - foreach (var userDefinedUniverseAddition in _pendingUserDefinedUniverseSecurityAdditions) + foreach (var userDefinedUniverseAddition in _pendingUserDefinedUniverseSecurityChanges) { - foreach (var subscriptionDataConfig in userDefinedUniverseAddition.SubscriptionDataConfigs) + var changedCollection = false; + var action = NotifyCollectionChangedAction.Add; + if (userDefinedUniverseAddition.IsAddition) + { + foreach (var subscriptionDataConfig in userDefinedUniverseAddition.SubscriptionDataConfigs) + { + changedCollection |= userDefinedUniverseAddition.Universe.Add(subscriptionDataConfig); + } + } + else + { + action = NotifyCollectionChangedAction.Replace; + changedCollection |= userDefinedUniverseAddition.Universe.Remove(userDefinedUniverseAddition.Security); + } + + if (changedCollection) { - userDefinedUniverseAddition.Universe.Add(subscriptionDataConfig); + UniverseManager.Update(userDefinedUniverseAddition.Universe.Symbol, userDefinedUniverseAddition.Universe, action); } } @@ -183,7 +173,7 @@ public void OnEndOfTimeStep() UniverseManager.ProcessChanges(); _pendingUniverseAdditions = false; - _pendingUserDefinedUniverseSecurityAdditions.Clear(); + _pendingUserDefinedUniverseSecurityChanges.Clear(); } if (!_rawNormalizationWarningSymbols.IsNullOrEmpty()) @@ -645,8 +635,7 @@ private Security AddToUserDefinedUniverse( { lock (_pendingUniverseAdditionsLock) { - _pendingUserDefinedUniverseSecurityAdditions.Add( - new UserDefinedUniverseAddition(userDefinedUniverse, configurations, security)); + _pendingUserDefinedUniverseSecurityChanges.Add(new UserDefinedUniverseUpdate(userDefinedUniverse, configurations, security)); } } else @@ -743,13 +732,14 @@ private Universe AddUniverseSymbolSelector(Type dataType, string name = null, Re /// Helper class used to store additions. /// They will be consumed at /// - private class UserDefinedUniverseAddition + private class UserDefinedUniverseUpdate { + public bool IsAddition => SubscriptionDataConfigs != null; public Security Security { get; } public UserDefinedUniverse Universe { get; } public List SubscriptionDataConfigs { get; } - public UserDefinedUniverseAddition( + public UserDefinedUniverseUpdate( UserDefinedUniverse universe, List subscriptionDataConfigs, Security security) diff --git a/Algorithm/QCAlgorithm.cs b/Algorithm/QCAlgorithm.cs index 6d7aafd186b7..7c383f0c072d 100644 --- a/Algorithm/QCAlgorithm.cs +++ b/Algorithm/QCAlgorithm.cs @@ -58,6 +58,7 @@ using Newtonsoft.Json; using QuantConnect.Securities.Index; using QuantConnect.Api; +using Common.Util; namespace QuantConnect.Algorithm { @@ -256,7 +257,7 @@ public QCAlgorithm() public event AlgorithmEvent InsightsGenerated; /// - /// Security collection is an array of the security objects such as Equities and FOREX. Securities data + /// Security collection is an array of the security objects such as and . Securities data /// manages the properties of tradeable assets such as price, open and close time and holdings information. /// [DocumentationAttribute(SecuritiesAndPortfolio)] @@ -271,7 +272,7 @@ public SecurityManager Securities /// a security that is currently selected by the universe or has holdings or open orders. /// [DocumentationAttribute(SecuritiesAndPortfolio)] - public IReadOnlyDictionary ActiveSecurities => UniverseManager.ActiveSecurities; + public ReadOnlyExtendedDictionary ActiveSecurities => UniverseManager.ActiveSecurities; /// /// Portfolio object provieds easy access to the underlying security-holding properties; summed together in a way to make them useful. @@ -839,11 +840,6 @@ public virtual void PostInitialize() SetFinishedWarmingUp(); } - if (Settings.DailyPreciseEndTime) - { - Debug("Accurate daily end-times now enabled by default. See more at https://qnt.co/3YHaWHL. To disable it and use legacy daily bars set self.settings.daily_precise_end_time = False."); - } - // perform end of time step checks, such as enforcing underlying securities are in raw data mode OnEndOfTimeStep(); } @@ -914,9 +910,9 @@ public decimal GetParameter(string name, decimal defaultValue) /// Gets a read-only dictionary with all current parameters /// [DocumentationAttribute(ParameterAndOptimization)] - public IReadOnlyDictionary GetParameters() + public ReadOnlyExtendedDictionary GetParameters() { - return _parameters.ToReadOnlyDictionary(); + return _parameters.ToReadOnlyExtendedDictionary(); } /// @@ -1247,6 +1243,7 @@ public virtual void OnAssignmentOrderEvent(OrderEvent assignmentEvent) /// /// Brokerage message event handler. This method is called for all types of brokerage messages. /// + /// The brokerage message event instance containing the message details. [DocumentationAttribute(LiveTrading)] [DocumentationAttribute(Modeling)] [DocumentationAttribute(TradingAndOrders)] @@ -1440,7 +1437,7 @@ public void SetRiskFreeInterestRateModel(IRiskFreeInterestRateModel model) /// Sets the benchmark used for computing statistics of the algorithm to the specified symbol /// /// symbol to use as the benchmark - /// Is the symbol an equity, forex, base, etc. Default SecurityType.Equity + /// Is the symbol an equity, forex, base, etc. Default /// /// Must use symbol that is available to the trade engine in your data store(not strictly enforced) /// @@ -1462,12 +1459,12 @@ public void SetBenchmark(SecurityType securityType, string symbol) } /// - /// Sets the benchmark used for computing statistics of the algorithm to the specified ticker, defaulting to SecurityType.Equity + /// Sets the benchmark used for computing statistics of the algorithm to the specified ticker, defaulting to /// if the ticker doesn't exist in the algorithm /// /// Ticker to use as the benchmark /// - /// Overload to accept ticker without passing SecurityType. If ticker is in portfolio it will use that SecurityType, otherwise will default to SecurityType.Equity + /// Overload to accept ticker without passing . If ticker is in portfolio it will use that , otherwise will default to /// [DocumentationAttribute(TradingAndOrders)] [DocumentationAttribute(SecuritiesAndPortfolio)] @@ -1531,9 +1528,9 @@ public void SetBenchmark(Func benchmark) } /// - /// Benchmark + /// The for the algorithm /// - /// Use Benchmark to override default symbol based benchmark, and create your own benchmark. For example a custom moving average benchmark + /// Use for the algorithm to override default symbol based benchmark, and create your own benchmark. For example a custom moving average benchmark /// [DocumentationAttribute(TradingAndOrders)] [DocumentationAttribute(SecuritiesAndPortfolio)] @@ -1622,7 +1619,7 @@ public void SetAccountCurrency(string accountCurrency, decimal? startingCash = n /// and replaced with the actual cash of your brokerage account. /// /// Starting cash for the strategy backtest - /// Alias of SetCash(decimal) + /// Alias of [DocumentationAttribute(SecuritiesAndPortfolio)] public void SetCash(double startingCash) { @@ -1634,7 +1631,7 @@ public void SetCash(double startingCash) /// and replaced with the actual cash of your brokerage account. /// /// Starting cash for the strategy backtest - /// Alias of SetCash(decimal) + /// Alias of [DocumentationAttribute(SecuritiesAndPortfolio)] public void SetCash(int startingCash) { @@ -1746,7 +1743,7 @@ public void SetAlgorithmId(string algorithmId) /// /// Set the start date for the backtest /// - /// Datetime Start date for backtest + /// The start date for the backtest /// Must be less than end date and within data available /// [DocumentationAttribute(HandlingData)] @@ -2148,7 +2145,7 @@ public Option AddOption(string underlying, Resolution? resolution = null, string /// /// Underlying asset Symbol to use as the option's underlying /// The of market data, Tick, Second, Minute, Hour, or Daily. Default is - /// The option's market, . Default value is null, but will be resolved using BrokerageModel.DefaultMarkets in + /// The option's market, . Default value is null, but will be resolved using in /// If true, data will be provided to the algorithm every Second, Minute, Hour, or Day, while the asset is open and depending on the Resolution this option was configured to use. /// The requested leverage for the /// The new option security instance @@ -2167,7 +2164,7 @@ public Option AddOption(Symbol underlying, Resolution? resolution = null, string /// Underlying asset Symbol to use as the option's underlying /// The target option ticker. This is useful when the option ticker does not match the underlying, e.g. SPX index and the SPXW weekly option. If null is provided will use underlying /// The of market data, Tick, Second, Minute, Hour, or Daily. Default is - /// The option's market, . Default value is null, but will be resolved using BrokerageModel.DefaultMarkets in + /// The option's market, . Default value is null, but will be resolved using in /// If true, data will be provided to the algorithm every Second, Minute, Hour, or Day, while the asset is open and depending on the Resolution this option was configured to use. /// The requested leverage for the /// The new option security instance @@ -2206,9 +2203,9 @@ public Option AddOption(Symbol underlying, string targetOption, Resolution? reso /// /// The future ticker /// The of market data, Tick, Second, Minute, Hour, or Daily. Default is - /// The futures market, . Default is value null and looked up using BrokerageModel.DefaultMarkets in + /// The futures market, . Default is value null and looked up using in /// If true, returns the last available data even if none in that timeslice. Default is true - /// The requested leverage for this equity. Default is set by + /// The requested leverage for this future. Default is set by /// Use extended market hours data /// The contract mapping mode to use for the continuous future contract /// The price scaling mode to use for the continuous future contract @@ -2241,7 +2238,7 @@ public Future AddFuture(string ticker, Resolution? resolution = null, string mar /// The futures contract symbol /// The of market data, Tick, Second, Minute, Hour, or Daily. Default is /// If true, returns the last available data even if none in that timeslice. Default is true - /// The requested leverage for this equity. Default is set by + /// The requested leverage for this future. Default is set by /// Use extended market hours data /// The new security [DocumentationAttribute(AddingData)] @@ -2301,12 +2298,13 @@ public Option AddFutureOptionContract(Symbol symbol, Resolution? resolution = nu /// /// Creates and adds index options to the algorithm. /// - /// The underlying ticker of the Index Option + /// The underlying ticker of the /// Resolution of the index option contracts, i.e. the granularity of the data - /// The foreign exchange trading market, . Default value is null and looked up using BrokerageModel.DefaultMarkets in + /// The foreign exchange trading market, . Default value is null and looked up using in /// If true, this will fill in missing data points with the previous data point /// Canonical Option security [DocumentationAttribute(AddingData)] + public IndexOption AddIndexOption(string underlying, Resolution? resolution = null, string market = null, bool fillForward = true) { return AddIndexOption(underlying, null, resolution, market, fillForward); @@ -2350,7 +2348,7 @@ public IndexOption AddIndexOption(Symbol symbol, string targetOption, Resolution /// The underlying ticker of the Index Option /// The target option ticker. This is useful when the option ticker does not match the underlying, e.g. SPX index and the SPXW weekly option. If null is provided will use underlying /// Resolution of the index option contracts, i.e. the granularity of the data - /// The foreign exchange trading market, . Default value is null and looked up using BrokerageModel.DefaultMarkets in + /// The foreign exchange trading market, . Default value is null and looked up using in /// If true, this will fill in missing data points with the previous data point /// Canonical Option security [DocumentationAttribute(AddingData)] @@ -2368,7 +2366,7 @@ public IndexOption AddIndexOption(string underlying, string targetOption, Resolu /// Resolution of the index option contract, i.e. the granularity of the data /// If true, this will fill in missing data points with the previous data point /// Index Option Contract - /// The provided Symbol is not an Index Option + /// The provided Symbol is not an [DocumentationAttribute(AddingData)] public IndexOption AddIndexOptionContract(Symbol symbol, Resolution? resolution = null, bool fillForward = true) { @@ -2386,7 +2384,7 @@ public IndexOption AddIndexOptionContract(Symbol symbol, Resolution? resolution /// The option contract symbol /// The of market data, Tick, Second, Minute, Hour, or Daily. Default is /// If true, returns the last available data even if none in that timeslice. Default is true - /// The requested leverage for this equity. Default is set by + /// The requested leverage for this option. Default is set by /// Use extended market hours data /// The new security [DocumentationAttribute(AddingData)] @@ -2467,9 +2465,9 @@ public Option AddOptionContract(Symbol symbol, Resolution? resolution = null, bo var optionUniverse = universe as OptionContractUniverse; if (optionUniverse != null) { - foreach (var subscriptionDataConfig in configs.Concat(underlyingConfigs)) + lock (_pendingUniverseAdditionsLock) { - optionUniverse.Add(subscriptionDataConfig); + _pendingUserDefinedUniverseSecurityChanges.Add(new UserDefinedUniverseUpdate(optionUniverse, [.. configs, .. underlyingConfigs], option)); } } @@ -2481,9 +2479,9 @@ public Option AddOptionContract(Symbol symbol, Resolution? resolution = null, bo /// /// The currency pair /// The of market data, Tick, Second, Minute, Hour, or Daily. Default is - /// The foreign exchange trading market, . Default value is null and looked up using BrokerageModel.DefaultMarkets in + /// The foreign exchange trading market, . Default value is null and looked up using in /// If true, returns the last available data even if none in that timeslice. Default is true - /// The requested leverage for this equity. Default is set by + /// The requested leverage for this forex security. Default is set by /// The new security [DocumentationAttribute(AddingData)] public Forex AddForex(string ticker, Resolution? resolution = null, string market = null, bool fillForward = true, decimal leverage = Security.NullLeverage) @@ -2494,11 +2492,11 @@ public Forex AddForex(string ticker, Resolution? resolution = null, string marke /// /// Creates and adds a new security to the algorithm /// - /// The currency pair + /// The CFD ticker symbol /// The of market data, Tick, Second, Minute, Hour, or Daily. Default is - /// The cfd trading market, . Default value is null and looked up using BrokerageModel.DefaultMarkets in + /// The cfd trading market, . Default value is null and looked up using in /// If true, returns the last available data even if none in that timeslice. Default is true - /// The requested leverage for this equity. Default is set by + /// The requested leverage for this CFD. Default is set by /// The new security [DocumentationAttribute(AddingData)] public Cfd AddCfd(string ticker, Resolution? resolution = null, string market = null, bool fillForward = true, decimal leverage = Security.NullLeverage) @@ -2510,9 +2508,9 @@ public Cfd AddCfd(string ticker, Resolution? resolution = null, string market = /// /// Creates and adds a new security to the algorithm /// - /// The currency pair + /// The index ticker /// The of market data, Tick, Second, Minute, Hour, or Daily. Default is - /// The index trading market, . Default value is null and looked up using BrokerageModel.DefaultMarkets in + /// The index trading market, . Default value is null and looked up using in /// If true, returns the last available data even if none in that timeslice. Default is true /// The new security [DocumentationAttribute(AddingData)] @@ -2525,11 +2523,11 @@ public Index AddIndex(string ticker, Resolution? resolution = null, string marke /// /// Creates and adds a new security to the algorithm /// - /// The currency pair + /// The crypto ticker symbol/param> /// The of market data, Tick, Second, Minute, Hour, or Daily. Default is - /// The cfd trading market, . Default value is null and looked up using BrokerageModel.DefaultMarkets in + /// The The crypto trading market, . Default value is null and looked up using in /// If true, returns the last available data even if none in that timeslice. Default is true - /// The requested leverage for this equity. Default is set by + /// The requested leverage for this crypto. Default is set by /// The new security [DocumentationAttribute(AddingData)] public Crypto AddCrypto(string ticker, Resolution? resolution = null, string market = null, bool fillForward = true, decimal leverage = Security.NullLeverage) @@ -2540,11 +2538,11 @@ public Crypto AddCrypto(string ticker, Resolution? resolution = null, string mar /// /// Creates and adds a new security to the algorithm /// - /// The currency pair + /// The crypto future ticker symbol /// The of market data, Tick, Second, Minute, Hour, or Daily. Default is - /// The cfd trading market, . Default value is null and looked up using BrokerageModel.DefaultMarkets in + /// The The crypto future trading market, . Default value is null and looked up using in /// If true, returns the last available data even if none in that timeslice. Default is true - /// The requested leverage for this equity. Default is set by + /// The requested leverage for this crypto future. Default is set by /// The new security [DocumentationAttribute(AddingData)] public CryptoFuture AddCryptoFuture(string ticker, Resolution? resolution = null, string market = null, bool fillForward = true, decimal leverage = Security.NullLeverage) @@ -2558,7 +2556,7 @@ public CryptoFuture AddCryptoFuture(string ticker, Resolution? resolution = null /// /// The symbol of the security to be removed /// Optional tag to indicate the cause of removal - /// Sugar syntax for + /// Sugar syntax for [DocumentationAttribute(AddingData)] public bool RemoveOptionContract(Symbol symbol, string tag = null) { @@ -2632,14 +2630,15 @@ public bool RemoveSecurity(Symbol symbol, string tag = null) { lock (_pendingUniverseAdditionsLock) { + // for existing universes we need to purge pending additions too, also handled at OnEndOfTimeStep() + _pendingUserDefinedUniverseSecurityChanges.RemoveAll(addition => addition.Security.Symbol == symbol); + // we need to handle existing universes and pending to be added universes, that will be pushed // at the end of this time step see OnEndOfTimeStep() - foreach (var universe in UniverseManager.Select(x => x.Value).OfType()) + foreach (var universe in UniverseManager.Where(x => x.Value.ContainsMember(security)).Select(x => x.Value).OfType()) { - universe.Remove(symbol); + _pendingUserDefinedUniverseSecurityChanges.Add(new UserDefinedUniverseUpdate(universe, null, security)); } - // for existing universes we need to purge pending additions too, also handled at OnEndOfTimeStep() - _pendingUserDefinedUniverseSecurityAdditions.RemoveAll(addition => addition.Security.Symbol == symbol); } } return true; @@ -2787,7 +2786,7 @@ public Security AddData(string ticker, SymbolProperties properties, SecurityE public void Debug(string message) { if (!_liveMode && (string.IsNullOrEmpty(message) || _previousDebugMessage == message)) return; - _debugMessages.Enqueue(message); + _debugMessages.Enqueue(FormatLog(message)); _previousDebugMessage = message; } @@ -2837,7 +2836,7 @@ public void Debug(decimal message) public void Log(string message) { if (!_liveMode && string.IsNullOrEmpty(message)) return; - _logMessages.Enqueue(message); + _logMessages.Enqueue(FormatLog(message)); } /// @@ -2886,7 +2885,7 @@ public void Log(decimal message) public void Error(string message) { if (!_liveMode && (string.IsNullOrEmpty(message) || _previousErrorMessage == message)) return; - _errorMessages.Enqueue(message); + _errorMessages.Enqueue(FormatLog(message)); _previousErrorMessage = message; } @@ -2935,10 +2934,7 @@ public void Error(decimal message) [DocumentationAttribute(Logging)] public void Error(Exception error) { - var message = error.Message; - if (!_liveMode && (string.IsNullOrEmpty(message) || _previousErrorMessage == message)) return; - _errorMessages.Enqueue(message); - _previousErrorMessage = message; + Error(error.Message); } /// @@ -3816,5 +3812,10 @@ private DateTime GetTimeInExchangeTimeZone(Symbol symbol) var exchange = MarketHoursDatabase.GetExchangeHours(symbol.ID.Market, symbol, symbol.SecurityType); return UtcTime.ConvertFromUtc(exchange.TimeZone); } + + private string FormatLog(string message) + { + return $"{Time.ToStringInvariant(DateFormat.UI)} {message}"; + } } } diff --git a/Algorithm/QuantConnect.Algorithm.csproj b/Algorithm/QuantConnect.Algorithm.csproj index 030e18be98c2..2408b10fbce1 100644 --- a/Algorithm/QuantConnect.Algorithm.csproj +++ b/Algorithm/QuantConnect.Algorithm.csproj @@ -4,7 +4,7 @@ AnyCPU QuantConnect.Algorithm QuantConnect.Algorithm - net9.0 + net10.0 ..\ false AllEnabledByDefault @@ -29,7 +29,7 @@ LICENSE - + diff --git a/Algorithm/Risk/CompositeRiskManagementModel.cs b/Algorithm/Risk/CompositeRiskManagementModel.cs index ae60e5836219..3f57989116d7 100644 --- a/Algorithm/Risk/CompositeRiskManagementModel.cs +++ b/Algorithm/Risk/CompositeRiskManagementModel.cs @@ -49,7 +49,7 @@ public CompositeRiskManagementModel(params IRiskManagementModel[] riskManagement /// Initializes a new instance of the class /// /// The individual risk management models defining this composite model - public CompositeRiskManagementModel(IEnumerableriskManagementModels) + public CompositeRiskManagementModel(IEnumerable riskManagementModels) { foreach (var riskManagementModel in riskManagementModels) { @@ -129,11 +129,10 @@ public void AddRiskManagement(IRiskManagementModel riskManagementModel) /// The risk management model to add public void AddRiskManagement(PyObject pyRiskManagementModel) { - IRiskManagementModel riskManagementModel; - if (!pyRiskManagementModel.TryConvert(out riskManagementModel)) - { - riskManagementModel = new RiskManagementModelPythonWrapper(pyRiskManagementModel); - } + var riskManagementModel = PythonUtil.CreateInstanceOrWrapper( + pyRiskManagementModel, + py => new RiskManagementModelPythonWrapper(py) + ); _riskManagementModels.Add(riskManagementModel); } } diff --git a/Algorithm/Selection/CustomUniverseSelectionModel.cs b/Algorithm/Selection/CustomUniverseSelectionModel.cs index 0b0dd71b29e0..eafc69ecc6b3 100644 --- a/Algorithm/Selection/CustomUniverseSelectionModel.cs +++ b/Algorithm/Selection/CustomUniverseSelectionModel.cs @@ -30,7 +30,6 @@ namespace QuantConnect.Algorithm.Framework.Selection public class CustomUniverseSelectionModel : UniverseSelectionModel { private static readonly MarketHoursDatabase MarketHours = MarketHoursDatabase.FromDataFolder(); - private readonly Symbol _symbol; private readonly Func> _selector; private readonly UniverseSettings _universeSettings; @@ -105,7 +104,7 @@ public CustomUniverseSelectionModel(SecurityType securityType, string name, stri public override IEnumerable CreateUniverses(QCAlgorithm algorithm) { var universeSettings = _universeSettings ?? algorithm.UniverseSettings; - var entry = MarketHours.GetEntry(_symbol.ID.Market, (string) null, _symbol.SecurityType); + var entry = MarketHours.GetEntry(_symbol.ID.Market, (string)null, _symbol.SecurityType); var config = new SubscriptionDataConfig( universeSettings.Resolution == Resolution.Tick ? typeof(Tick) : typeof(TradeBar), @@ -129,6 +128,12 @@ public override IEnumerable CreateUniverses(QCAlgorithm algorithm) /// public virtual IEnumerable Select(QCAlgorithm algorithm, DateTime date) { + // Check if this method was overridden in Python + if (TryInvokePythonOverride(nameof(Select), out IEnumerable result, algorithm, date)) + { + return result; + } + if (_selector == null) { throw new ArgumentNullException(nameof(_selector)); diff --git a/Algorithm/Selection/UniverseSelectionModel.cs b/Algorithm/Selection/UniverseSelectionModel.cs index e74d88940f55..68f070fcca9f 100644 --- a/Algorithm/Selection/UniverseSelectionModel.cs +++ b/Algorithm/Selection/UniverseSelectionModel.cs @@ -17,14 +17,23 @@ using System.Collections.Generic; using QuantConnect.Data.UniverseSelection; using QuantConnect.Interfaces; +using QuantConnect.Python; namespace QuantConnect.Algorithm.Framework.Selection { /// /// Provides a base class for universe selection models. /// - public class UniverseSelectionModel : IUniverseSelectionModel + public class UniverseSelectionModel : BasePythonWrapper, IUniverseSelectionModel { + + /// + /// Initializes a new instance of the class. + /// + public UniverseSelectionModel() + { + } + /// /// Gets the next time the framework should invoke the `CreateUniverses` method to refresh the set of universes. /// @@ -40,7 +49,7 @@ public virtual DateTime GetNextRefreshTimeUtc() /// The universes to be used by the algorithm public virtual IEnumerable CreateUniverses(QCAlgorithm algorithm) { - throw new System.NotImplementedException("Types deriving from 'UniverseSelectionModel' must implement the 'IEnumerable CreateUniverses(QCAlgorithm) method."); + throw new NotImplementedException("Types deriving from 'UniverseSelectionModel' must implement the 'IEnumerable CreateUniverses(QCAlgorithm) method."); } } } \ No newline at end of file diff --git a/Algorithm/Selection/UniverseSelectionModelPythonWrapper.cs b/Algorithm/Selection/UniverseSelectionModelPythonWrapper.cs index cbbcd4e3b1a5..8f2c88e14804 100644 --- a/Algorithm/Selection/UniverseSelectionModelPythonWrapper.cs +++ b/Algorithm/Selection/UniverseSelectionModelPythonWrapper.cs @@ -27,7 +27,6 @@ namespace QuantConnect.Algorithm.Framework.Selection /// public class UniverseSelectionModelPythonWrapper : UniverseSelectionModel { - private readonly BasePythonWrapper _model; private readonly bool _modelHasGetNextRefreshTime; /// @@ -40,7 +39,7 @@ public override DateTime GetNextRefreshTimeUtc() return DateTime.MaxValue; } - return _model.InvokeMethod(nameof(GetNextRefreshTimeUtc)); + return InvokeMethod(nameof(GetNextRefreshTimeUtc)); } /// @@ -49,18 +48,24 @@ public override DateTime GetNextRefreshTimeUtc() /// Model defining universes for the algorithm public UniverseSelectionModelPythonWrapper(PyObject model) { - _model = new BasePythonWrapper(model, false); + SetPythonInstance(model, false); using (Py.GIL()) { - _modelHasGetNextRefreshTime = _model.HasAttr(nameof(IUniverseSelectionModel.GetNextRefreshTimeUtc)); + _modelHasGetNextRefreshTime = HasAttr(nameof(IUniverseSelectionModel.GetNextRefreshTimeUtc)); foreach (var attributeName in new[] { "CreateUniverses" }) { - if (!_model.HasAttr(attributeName)) + if (!HasAttr(attributeName)) { throw new NotImplementedException($"UniverseSelectionModel.{attributeName} must be implemented. Please implement this missing method on {model.GetPythonType()}"); } } + + var methodName = nameof(SetPythonInstance); + if (HasAttr(methodName)) + { + InvokeMethod(methodName, model); + } } } @@ -71,7 +76,7 @@ public UniverseSelectionModelPythonWrapper(PyObject model) /// The universes to be used by the algorithm public override IEnumerable CreateUniverses(QCAlgorithm algorithm) { - return _model.InvokeMethodAndEnumerate(nameof(CreateUniverses), algorithm); + return InvokeMethodAndEnumerate(nameof(CreateUniverses), algorithm); } } } diff --git a/AlgorithmFactory/Python/Wrappers/AlgorithmPythonWrapper.cs b/AlgorithmFactory/Python/Wrappers/AlgorithmPythonWrapper.cs index 4f9eb40171b0..7b9ff0cd4916 100644 --- a/AlgorithmFactory/Python/Wrappers/AlgorithmPythonWrapper.cs +++ b/AlgorithmFactory/Python/Wrappers/AlgorithmPythonWrapper.cs @@ -40,6 +40,7 @@ using QuantConnect.Commands; using QuantConnect.Algorithm.Framework.Portfolio.SignalExports; using QuantConnect.Algorithm.Framework.Execution; +using Common.Util; namespace QuantConnect.AlgorithmFactory.Python.Wrappers { @@ -181,7 +182,7 @@ public AlgorithmPythonWrapper(string moduleName) catch (Exception e) { // perform exception interpretation for error in module import - var interpreter = StackExceptionInterpreter.CreateFromAssemblies(AppDomain.CurrentDomain.GetAssemblies()); + var interpreter = StackExceptionInterpreter.CreateFromAssemblies(); e = interpreter.Interpret(e, interpreter); throw new Exception($"AlgorithmPythonWrapper(): {interpreter.GetExceptionMessageHeader(e)}"); @@ -681,7 +682,7 @@ public void OnEndOfTimeStep() /// /// Gets a read-only dictionary with all current parameters /// - public IReadOnlyDictionary GetParameters() => _baseAlgorithm.GetParameters(); + public ReadOnlyExtendedDictionary GetParameters() => _baseAlgorithm.GetParameters(); /// /// Gets the parameter with the specified name. If a parameter with the specified name does not exist, @@ -1087,9 +1088,23 @@ public void OnWarmupFinished() /// Get the last known price using the history provider. /// Useful for seeding securities with the correct price /// - /// object for which to retrieve historical data + /// Symbol for which to retrieve historical data /// A single object with the last known price - public BaseData GetLastKnownPrice(Security security) => _baseAlgorithm.GetLastKnownPrice(security); + public BaseData GetLastKnownPrice(Symbol symbol) => _baseAlgorithm.GetLastKnownPrice(symbol); + + /// + /// Yields data to warmup a security for all it's subscribed data types + /// + /// Symbol for which to retrieve historical data + /// Securities historical data + public IEnumerable GetLastKnownPrices(Symbol symbol) => _baseAlgorithm.GetLastKnownPrices(symbol); + + /// + /// Yields data to warm up multiple securities for all their subscribed data types + /// + /// The symbols we want to get seed data for + /// Securities historical data + public DataDictionary> GetLastKnownPrices(IEnumerable symbols) => _baseAlgorithm.GetLastKnownPrices(symbols); /// /// Set the runtime error diff --git a/AlgorithmFactory/QuantConnect.AlgorithmFactory.csproj b/AlgorithmFactory/QuantConnect.AlgorithmFactory.csproj index c0d552c13880..ac91612d6dba 100644 --- a/AlgorithmFactory/QuantConnect.AlgorithmFactory.csproj +++ b/AlgorithmFactory/QuantConnect.AlgorithmFactory.csproj @@ -4,7 +4,7 @@ AnyCPU QuantConnect.AlgorithmFactory QuantConnect.AlgorithmFactory - net9.0 + net10.0 false bin\$(Configuration)\ AllEnabledByDefault @@ -28,7 +28,7 @@ LICENSE - + diff --git a/Api/Api.cs b/Api/Api.cs index 72fc0e3175e5..37fc246a1a3e 100644 --- a/Api/Api.cs +++ b/Api/Api.cs @@ -20,9 +20,6 @@ using System.Net; using System.Net.Http; using Newtonsoft.Json; -using Newtonsoft.Json.Linq; -using RestSharp; -using RestSharp.Extensions; using QuantConnect.Interfaces; using QuantConnect.Logging; using QuantConnect.Optimizer.Objectives; @@ -85,7 +82,7 @@ public Api() /// public virtual void Initialize(int userId, string token, string dataFolder) { - ApiConnection = new ApiConnection(userId, token); + ApiConnection = CreateApiConnection(userId, token); _dataFolder = dataFolder?.Replace("\\", "/", StringComparison.InvariantCulture); //Allow proper decoding of orders from the API. @@ -111,34 +108,11 @@ public virtual void Initialize(int userId, string token, string dataFolder) public ProjectResponse CreateProject(string name, Language language, string organizationId = null) { - var request = new RestRequest("projects/create", Method.POST) - { - RequestFormat = DataFormat.Json - }; + object payload = string.IsNullOrEmpty(organizationId) + ? new { name, language } + : new { name, language, organizationId }; + TryJsonPost("projects/create", out ProjectResponse result, payload); - // Only include organization Id if its not null or empty - string jsonParams; - if (string.IsNullOrEmpty(organizationId)) - { - jsonParams = JsonConvert.SerializeObject(new - { - name, - language - }); - } - else - { - jsonParams = JsonConvert.SerializeObject(new - { - name, - language, - organizationId - }); - } - - request.AddParameter("application/json", jsonParams, ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out ProjectResponse result); return result; } @@ -150,17 +124,7 @@ public ProjectResponse CreateProject(string name, Language language, string orga public ProjectResponse ReadProject(int projectId) { - var request = new RestRequest("projects/read", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - projectId - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out ProjectResponse result); + TryJsonPost("projects/read", out ProjectResponse result, new { projectId }); return result; } @@ -171,12 +135,7 @@ public ProjectResponse ReadProject(int projectId) public ProjectResponse ListProjects() { - var request = new RestRequest("projects/read", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - ApiConnection.TryRequest(request, out ProjectResponse result); + TryJsonPost("projects/read", out ProjectResponse result); return result; } @@ -191,23 +150,10 @@ public ProjectResponse ListProjects() public RestResponse AddProjectFile(int projectId, string name, string content) { - var request = new RestRequest("files/create", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - projectId, - name, - content - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out RestResponse result); + TryJsonPost("files/create", out RestResponse result, new { projectId, name, content }); return result; } - /// /// Update the name of a file /// @@ -218,19 +164,13 @@ public RestResponse AddProjectFile(int projectId, string name, string content) public RestResponse UpdateProjectFileName(int projectId, string oldFileName, string newFileName) { - var request = new RestRequest("files/update", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new + var payload = new { projectId, name = oldFileName, newName = newFileName - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out RestResponse result); + }; + TryJsonPost("files/update", out RestResponse result, payload); return result; } @@ -245,19 +185,13 @@ public RestResponse UpdateProjectFileName(int projectId, string oldFileName, str public RestResponse UpdateProjectFileContent(int projectId, string fileName, string newFileContents) { - var request = new RestRequest("files/update", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new + var payload = new { projectId, name = fileName, content = newFileContents - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out RestResponse result); + }; + TryJsonPost("files/update", out RestResponse result, payload); return result; } @@ -270,17 +204,7 @@ public RestResponse UpdateProjectFileContent(int projectId, string fileName, str public ProjectFilesResponse ReadProjectFiles(int projectId) { - var request = new RestRequest("files/read", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - projectId - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out ProjectFilesResponse result); + TryJsonPost("files/read", out ProjectFilesResponse result, new { projectId }); return result; } @@ -291,17 +215,7 @@ public ProjectFilesResponse ReadProjectFiles(int projectId) /// that includes the information about all nodes in the project public ProjectNodesResponse ReadProjectNodes(int projectId) { - var request = new RestRequest("projects/nodes/read", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - projectId - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out ProjectNodesResponse result); + TryJsonPost("projects/nodes/read", out ProjectNodesResponse result, new { projectId }); return result; } @@ -314,18 +228,7 @@ public ProjectNodesResponse ReadProjectNodes(int projectId) /// that includes the information about all nodes in the project public ProjectNodesResponse UpdateProjectNodes(int projectId, string[] nodes) { - var request = new RestRequest("projects/nodes/update", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - projectId, - nodes - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out ProjectNodesResponse result); + TryJsonPost("projects/nodes/update", out ProjectNodesResponse result, new { projectId, nodes }); return result; } @@ -338,18 +241,7 @@ public ProjectNodesResponse UpdateProjectNodes(int projectId, string[] nodes) public ProjectFilesResponse ReadProjectFile(int projectId, string fileName) { - var request = new RestRequest("files/read", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - projectId, - name = fileName - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out ProjectFilesResponse result); + TryJsonPost("files/read", out ProjectFilesResponse result, new { projectId, name = fileName }); return result; } @@ -358,12 +250,7 @@ public ProjectFilesResponse ReadProjectFile(int projectId, string fileName) /// public VersionsResponse ReadLeanVersions() { - var request = new RestRequest("lean/versions/read", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - ApiConnection.TryRequest(request, out VersionsResponse result); + TryPost("lean/versions/read", out VersionsResponse result); return result; } @@ -376,18 +263,7 @@ public VersionsResponse ReadLeanVersions() public RestResponse DeleteProjectFile(int projectId, string name) { - var request = new RestRequest("files/delete", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - projectId, - name, - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out RestResponse result); + TryJsonPost("files/delete", out RestResponse result, new { projectId, name }); return result; } @@ -399,17 +275,7 @@ public RestResponse DeleteProjectFile(int projectId, string name) public RestResponse DeleteProject(int projectId) { - var request = new RestRequest("projects/delete", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - projectId - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out RestResponse result); + TryJsonPost("projects/delete", out RestResponse result, new { projectId }); return result; } @@ -421,17 +287,7 @@ public RestResponse DeleteProject(int projectId) public Compile CreateCompile(int projectId) { - var request = new RestRequest("compile/create", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - projectId - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out Compile result); + TryJsonPost("compile/create", out Compile result, new { projectId }); return result; } @@ -444,18 +300,7 @@ public Compile CreateCompile(int projectId) public Compile ReadCompile(int projectId, string compileId) { - var request = new RestRequest("compile/read", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - projectId, - compileId - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out Compile result); + TryJsonPost("compile/read", out Compile result, new { projectId, compileId }); return result; } @@ -480,19 +325,14 @@ public virtual RestResponse SendNotification(Notification notification, int proj public Backtest CreateBacktest(int projectId, string compileId, string backtestName) { - var request = new RestRequest("backtests/create", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - projectId, - compileId, - backtestName - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out BacktestResponseWrapper result); + TryJsonPost("backtests/create", + out BacktestResponseWrapper result, + new + { + projectId, + compileId, + backtestName + }); // Use API Response values for Backtest Values result.Backtest.Success = result.Success; @@ -512,18 +352,7 @@ public Backtest CreateBacktest(int projectId, string compileId, string backtestN public Backtest ReadBacktest(int projectId, string backtestId, bool getCharts = true) { - var request = new RestRequest("backtests/read", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - projectId, - backtestId - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out BacktestResponseWrapper result); + TryJsonPost("backtests/read", out BacktestResponseWrapper result, new { projectId, backtestId }); if (result == null) { @@ -550,21 +379,14 @@ public Backtest ReadBacktest(int projectId, string backtestId, bool getCharts = continue; } - var chartRequest = new RestRequest("backtests/chart/read", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - chartRequest.AddParameter("application/json", JsonConvert.SerializeObject(new + var payload = new { projectId, backtestId, name = chart.Key, count = 100 - }), ParameterType.RequestBody); - - // Add this chart to our updated collection - if (ApiConnection.TryRequest(chartRequest, out ReadChartResponse chartResponse) && chartResponse.Success) + }; + if (TryJsonPost("backtests/chart/read", out ReadChartResponse chartResponse, payload) && chartResponse.Success) { updatedCharts.Add(chart.Key, chartResponse.Chart); } @@ -597,18 +419,13 @@ public Backtest ReadBacktest(int projectId, string backtestId, bool getCharts = public List ReadBacktestOrders(int projectId, string backtestId, int start = 0, int end = 100) { - var request = new RestRequest("backtests/orders/read", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new + using var request = ApiUtils.CreateJsonPostRequest("backtests/orders/read", new { start, end, projectId, backtestId - }), ParameterType.RequestBody); + }); return MakeRequestOrThrow(request, nameof(ReadBacktestOrders)).Orders; } @@ -625,12 +442,9 @@ public List ReadBacktestOrders(int projectId, string backtestI /// The chart public ReadChartResponse ReadBacktestChart(int projectId, string name, int start, int end, uint count, string backtestId) { - var request = new RestRequest("backtests/chart/read", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new + const string resource = "backtests/chart/read"; + // Serialize just once + var payloadStr = JsonConvert.SerializeObject(new { projectId, name, @@ -638,16 +452,17 @@ public ReadChartResponse ReadBacktestChart(int projectId, string name, int start end, count, backtestId, - }), ParameterType.RequestBody); - - ReadChartResponse result; - ApiConnection.TryRequest(request, out result); + }); + TryJsonPost(resource, out ReadChartResponse result, payloadStr); - var finish = DateTime.UtcNow.AddMinutes(1); - while (DateTime.UtcNow < finish && result.Chart == null) + if (result.Chart == null) { - Thread.Sleep(5000); - ApiConnection.TryRequest(request, out result); + var finish = DateTime.UtcNow.AddMinutes(1); + while (DateTime.UtcNow < finish && result.Chart == null) + { + Thread.Sleep(5000); + TryJsonPost(resource, out result, payloadStr); + } } return result; @@ -664,23 +479,10 @@ public ReadChartResponse ReadBacktestChart(int projectId, string name, int start public RestResponse UpdateBacktest(int projectId, string backtestId, string name = null, string note = "") { - var request = new RestRequest("backtests/update", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - string payload; - if (string.IsNullOrEmpty(name)) - { - payload = JsonConvert.SerializeObject(new { projectId, backtestId, note }); - } - else - { - payload = JsonConvert.SerializeObject(new { projectId, backtestId, note, name }); - } - request.AddParameter("application/json", payload, ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out RestResponse result); + object payload = string.IsNullOrEmpty(name) + ? new { projectId, backtestId, note } + : new { projectId, backtestId, note, name }; + TryJsonPost("backtests/update", out RestResponse result, payload); return result; } @@ -693,20 +495,7 @@ public RestResponse UpdateBacktest(int projectId, string backtestId, string name public BacktestSummaryList ListBacktests(int projectId, bool includeStatistics = true) { - var request = new RestRequest("backtests/list", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - var obj = new Dictionary() - { - { "projectId", projectId }, - { "includeStatistics", includeStatistics } - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(obj), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out BacktestSummaryList result); + TryJsonPost("backtests/list", out BacktestSummaryList result, new { projectId, includeStatistics }); return result; } @@ -719,18 +508,7 @@ public BacktestSummaryList ListBacktests(int projectId, bool includeStatistics = public RestResponse DeleteBacktest(int projectId, string backtestId) { - var request = new RestRequest("backtests/delete", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - projectId, - backtestId - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out RestResponse result); + TryJsonPost("backtests/delete", out RestResponse result, new { projectId, backtestId }); return result; } @@ -743,19 +521,7 @@ public RestResponse DeleteBacktest(int projectId, string backtestId) /// public RestResponse UpdateBacktestTags(int projectId, string backtestId, IReadOnlyCollection tags) { - var request = new RestRequest("backtests/tags/update", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - projectId, - backtestId, - tags - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out RestResponse result); + TryJsonPost("backtests/tags/update", out RestResponse result, new { projectId, backtestId, tags }); return result; } @@ -770,11 +536,7 @@ public RestResponse UpdateBacktestTags(int projectId, string backtestId, IReadOn /// public InsightResponse ReadBacktestInsights(int projectId, string backtestId, int start = 0, int end = 0) { - var request = new RestRequest("backtests/insights/read", Method.POST) - { - RequestFormat = DataFormat.Json, - }; - + //var reque var diff = end - start; if (diff > 100) { @@ -785,17 +547,7 @@ public InsightResponse ReadBacktestInsights(int projectId, string backtestId, in end = start + 100; } - JObject obj = new() - { - { "projectId", projectId }, - { "backtestId", backtestId }, - { "start", start }, - { "end", end }, - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(obj), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out InsightResponse result); + TryJsonPost("backtests/insights/read", out InsightResponse result, new { projectId, backtestId, start, end }); return result; } @@ -827,23 +579,14 @@ public CreateLiveAlgorithmResponse CreateLiveAlgorithm(int projectId, string versionId = "-1", Dictionary dataProviders = null) { - var request = new RestRequest("live/create", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject( - new LiveAlgorithmApiSettingsWrapper - (projectId, + var payload = new LiveAlgorithmApiSettingsWrapper( + projectId, compileId, nodeId, brokerageSettings, versionId, - dataProviders - ) - ), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out CreateLiveAlgorithmResponse result); + dataProviders); + TryJsonPost("live/create", out CreateLiveAlgorithmResponse result, payload); return result; } @@ -905,21 +648,10 @@ public LiveList ListLiveAlgorithms(AlgorithmStatus? status = null) "The Api only supports Algorithm Statuses of Running, Stopped, RuntimeError and Liquidated"); } - var request = new RestRequest("live/list", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - var obj = new JObject(); - - if (status.HasValue) - { - obj["status"] = status.ToString(); - } - - request.AddParameter("application/json", JsonConvert.SerializeObject(obj), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out LiveList result); + var payload = status.HasValue + ? new { status = status.ToString() } + : null; + TryJsonPost("live/list", out LiveList result, payload); return result; } @@ -932,18 +664,7 @@ public LiveList ListLiveAlgorithms(AlgorithmStatus? status = null) public LiveAlgorithmResults ReadLiveAlgorithm(int projectId, string deployId) { - var request = new RestRequest("live/read", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - projectId, - deployId - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out LiveAlgorithmResults result); + TryJsonPost("live/read", out LiveAlgorithmResults result, new { projectId, deployId }); return result; } @@ -954,17 +675,7 @@ public LiveAlgorithmResults ReadLiveAlgorithm(int projectId, string deployId) /// public PortfolioResponse ReadLivePortfolio(int projectId) { - var request = new RestRequest("live/portfolio/read", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - projectId - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out PortfolioResponse result); + TryJsonPost("live/portfolio/read", out PortfolioResponse result, new { projectId }); return result; } @@ -979,17 +690,12 @@ public PortfolioResponse ReadLivePortfolio(int projectId) public List ReadLiveOrders(int projectId, int start = 0, int end = 100) { - var request = new RestRequest("live/orders/read", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new + using var request = ApiUtils.CreateJsonPostRequest("live/orders/read", new { start, end, projectId - }), ParameterType.RequestBody); + }); return MakeRequestOrThrow(request, nameof(ReadLiveOrders)).Orders; } @@ -1002,17 +708,7 @@ public List ReadLiveOrders(int projectId, int start = 0, int e public RestResponse LiquidateLiveAlgorithm(int projectId) { - var request = new RestRequest("live/update/liquidate", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - projectId - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out RestResponse result); + TryJsonPost("live/update/liquidate", out RestResponse result, new { projectId }); return result; } @@ -1023,17 +719,7 @@ public RestResponse LiquidateLiveAlgorithm(int projectId) /// public RestResponse StopLiveAlgorithm(int projectId) { - var request = new RestRequest("live/update/stop", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - projectId - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out RestResponse result); + TryJsonPost("live/update/stop", out RestResponse result, new { projectId }); return result; } @@ -1045,18 +731,7 @@ public RestResponse StopLiveAlgorithm(int projectId) /// public RestResponse CreateLiveCommand(int projectId, object command) { - var request = new RestRequest("live/commands/create", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - projectId, - command - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out RestResponse result); + TryJsonPost("live/commands/create", out RestResponse result, new { projectId, command }); return result; } @@ -1069,19 +744,7 @@ public RestResponse CreateLiveCommand(int projectId, object command) /// public RestResponse BroadcastLiveCommand(string organizationId, int? excludeProjectId, object command) { - var request = new RestRequest("live/commands/broadcast", Method.POST) - { - RequestFormat = DataFormat.Json, - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - organizationId, - excludeProjectId, - command - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out RestResponse result); + TryJsonPost("live/commands/broadcast", out RestResponse result, new { organizationId, excludeProjectId, command }); return result; } @@ -1101,21 +764,16 @@ public LiveLog ReadLiveLogs(int projectId, string algorithmId, int startLine, in throw new ArgumentException($"The maximum number of log lines allowed is 250. But the number of log lines was {logLinesNumber}."); } - var request = new RestRequest("live/logs/read", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - format = "json", - projectId, - algorithmId, - startLine, - endLine, - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out LiveLog result); + TryJsonPost("live/logs/read", + out LiveLog result, + new + { + format = "json", + projectId, + algorithmId, + startLine, + endLine, + }); return result; } @@ -1130,29 +788,27 @@ public LiveLog ReadLiveLogs(int projectId, string algorithmId, int startLine, in /// The chart public ReadChartResponse ReadLiveChart(int projectId, string name, int start, int end, uint count) { - var request = new RestRequest("live/chart/read", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new + const string resource = "live/chart/read"; + var payloadStr = JsonConvert.SerializeObject(new { projectId, name, start, end, count - }), ParameterType.RequestBody); - - ReadChartResponse result = default; - ApiConnection.TryRequest(request, out result); + }); + TryJsonPost(resource, out ReadChartResponse result, payloadStr); - var finish = DateTime.UtcNow.AddMinutes(1); - while (DateTime.UtcNow < finish && result.Chart == null) + if (result.Chart == null) { - Thread.Sleep(5000); - ApiConnection.TryRequest(request, out result); + var finish = DateTime.UtcNow.AddMinutes(1); + while (DateTime.UtcNow < finish && result.Chart == null) + { + Thread.Sleep(5000); + TryJsonPost(resource, out result, payloadStr); + } } + return result; } @@ -1166,11 +822,6 @@ public ReadChartResponse ReadLiveChart(int projectId, string name, int start, in /// public InsightResponse ReadLiveInsights(int projectId, int start = 0, int end = 0) { - var request = new RestRequest("live/insights/read", Method.POST) - { - RequestFormat = DataFormat.Json, - }; - var diff = end - start; if (diff > 100) { @@ -1181,16 +832,7 @@ public InsightResponse ReadLiveInsights(int projectId, int start = 0, int end = end = start + 100; } - JObject obj = new JObject - { - { "projectId", projectId }, - { "start", start }, - { "end", end }, - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(obj), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out InsightResponse result); + TryJsonPost("live/insights/read", out InsightResponse result, new { projectId, start, end }); return result; } @@ -1210,19 +852,14 @@ public DataLink ReadDataLink(string filePath, string organizationId) // Prepare filePath for request filePath = FormatPathForDataRequest(filePath); - var request = new RestRequest("data/read", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - format = "link", - filePath, - organizationId - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out DataLink result); + TryJsonPost("data/read", + out DataLink result, + new + { + format = "link", + filePath, + organizationId + }); return result; } @@ -1248,17 +885,7 @@ public DataList ReadDataDirectory(string filePath) $" three directories deep. FilePath: {filePath}"); } - var request = new RestRequest("data/list", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - filePath - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out DataList result); + TryJsonPost("data/list", out DataList result, new { filePath }); return result; } @@ -1267,17 +894,7 @@ public DataList ReadDataDirectory(string filePath) /// public DataPricesList ReadDataPrices(string organizationId) { - var request = new RestRequest("data/prices", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - organizationId - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out DataPricesList result); + TryJsonPost("data/prices", out DataPricesList result, new { organizationId }); return result; } @@ -1289,22 +906,13 @@ public DataPricesList ReadDataPrices(string organizationId) /// public BacktestReport ReadBacktestReport(int projectId, string backtestId) { - var request = new RestRequest("backtests/read/report", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - backtestId, - projectId - }), ParameterType.RequestBody); - - BacktestReport report = new BacktestReport(); + var payloadStr = JsonConvert.SerializeObject(new { backtestId, projectId }); + var report = new BacktestReport(); var finish = DateTime.UtcNow.AddMinutes(1); while (DateTime.UtcNow < finish && !report.Success) { Thread.Sleep(10000); + using var request = ApiUtils.CreateJsonPostRequest("backtests/read/report", payloadStr); ApiConnection.TryRequest(request, out report); } return report; @@ -1487,6 +1095,7 @@ public virtual void Dispose() } } _clientPool.DisposeSafely(); + ApiConnection?.DisposeSafely(); } /// @@ -1507,17 +1116,7 @@ public static string CreateSecureHash(int timestamp, string token) /// The target organization id, if null will return default organization public Account ReadAccount(string organizationId = null) { - var request = new RestRequest("account/read", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - if (organizationId != null) - { - request.AddParameter("application/json", JsonConvert.SerializeObject(new { organizationId }), ParameterType.RequestBody); - } - - ApiConnection.TryRequest(request, out Account account); + TryJsonPost("account/read", out Account account, organizationId != null ? new { organizationId } : null); return account; } @@ -1528,17 +1127,7 @@ public Account ReadAccount(string organizationId = null) /// public Organization ReadOrganization(string organizationId = null) { - var request = new RestRequest("organizations/read", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - if (organizationId != null) - { - request.AddParameter("application/json", JsonConvert.SerializeObject(new { organizationId }), ParameterType.RequestBody); - } - - ApiConnection.TryRequest(request, out OrganizationResponse response); + TryJsonPost("organizations/read", out OrganizationResponse response, organizationId != null ? new { organizationId } : null); return response.Organization; } @@ -1566,25 +1155,21 @@ public Estimate EstimateOptimization( HashSet parameters, IReadOnlyList constraints) { - var request = new RestRequest("optimizations/estimate", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - projectId, - name, - target, - targetTo, - targetValue, - strategy, - compileId, - parameters, - constraints - }, SerializerSettings), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out EstimateResponseWrapper response); + TryJsonPost("optimizations/estimate", + out EstimateResponseWrapper response, + new + { + projectId, + name, + target, + targetTo, + targetValue, + strategy, + compileId, + parameters, + constraints + }, + jsonSerializerSettings: SerializerSettings); return response.Estimate; } @@ -1618,28 +1203,24 @@ public OptimizationSummary CreateOptimization( string nodeType, int parallelNodes) { - var request = new RestRequest("optimizations/create", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - projectId, - name, - target, - targetTo, - targetValue, - strategy, - compileId, - parameters, - constraints, - estimatedCost, - nodeType, - parallelNodes - }, SerializerSettings), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out OptimizationList result); + TryJsonPost("optimizations/create", + out OptimizationList result, + new + { + projectId, + name, + target, + targetTo, + targetValue, + strategy, + compileId, + parameters, + constraints, + estimatedCost, + nodeType, + parallelNodes + }, + jsonSerializerSettings: SerializerSettings); return result.Optimizations.FirstOrDefault(); } @@ -1650,17 +1231,7 @@ public OptimizationSummary CreateOptimization( /// A list of BaseOptimization objects, public List ListOptimizations(int projectId) { - var request = new RestRequest("optimizations/list", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - projectId, - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out OptimizationList result); + TryJsonPost("optimizations/list", out OptimizationList result, new { projectId }); return result.Optimizations; } @@ -1671,17 +1242,7 @@ public List ListOptimizations(int projectId) /// public Optimization ReadOptimization(string optimizationId) { - var request = new RestRequest("optimizations/read", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - optimizationId - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out OptimizationResponseWrapper response); + TryJsonPost("optimizations/read", out OptimizationResponseWrapper response, new { optimizationId }); return response.Optimization; } @@ -1692,17 +1253,7 @@ public Optimization ReadOptimization(string optimizationId) /// public RestResponse AbortOptimization(string optimizationId) { - var request = new RestRequest("optimizations/abort", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - optimizationId - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out RestResponse result); + TryJsonPost("optimizations/abort", out RestResponse result, new { optimizationId }); return result; } @@ -1714,24 +1265,10 @@ public RestResponse AbortOptimization(string optimizationId) /// public RestResponse UpdateOptimization(string optimizationId, string name = null) { - var request = new RestRequest("optimizations/update", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - var obj = new JObject - { - { "optimizationId", optimizationId } - }; - - if (name.HasValue()) - { - obj.Add("name", name); - } - - request.AddParameter("application/json", JsonConvert.SerializeObject(obj), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out RestResponse result); + object paylaod = !string.IsNullOrEmpty(name) + ? new { optimizationId, name } + : new { optimizationId }; + TryJsonPost("optimizations/update", out RestResponse result, paylaod); return result; } @@ -1742,17 +1279,7 @@ public RestResponse UpdateOptimization(string optimizationId, string name = null /// public RestResponse DeleteOptimization(string optimizationId) { - var request = new RestRequest("optimizations/delete", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - optimizationId - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out RestResponse result); + TryJsonPost("optimizations/delete", out RestResponse result, new { optimizationId }); return result; } @@ -1765,18 +1292,7 @@ public RestResponse DeleteOptimization(string optimizationId) /// True if the object store files were retrieved correctly, false otherwise public bool GetObjectStore(string organizationId, List keys, string destinationFolder = null) { - var request = new RestRequest("object/get", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(new - { - organizationId, - keys - }), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out GetObjectStoreResponse result); + TryJsonPost("object/get", out GetObjectStoreResponse result, new { organizationId, keys }); if (result == null || !result.Success) { @@ -1786,21 +1302,17 @@ public bool GetObjectStore(string organizationId, List keys, string dest } var jobId = result.JobId; - var getUrlRequest = new RestRequest("object/get", Method.POST) - { - RequestFormat = DataFormat.Json - }; - getUrlRequest.AddParameter("application/json", JsonConvert.SerializeObject(new + var getUrlPayloadStr = JsonConvert.SerializeObject(new { organizationId, jobId - }), ParameterType.RequestBody); + }); var frontier = DateTime.UtcNow + TimeSpan.FromMinutes(5); while (string.IsNullOrEmpty(result?.Url) && (DateTime.UtcNow < frontier)) { Thread.Sleep(3000); - ApiConnection.TryRequest(getUrlRequest, out result); + TryJsonPost("object/get", out result, getUrlPayloadStr); } if (result == null || string.IsNullOrEmpty(result.Url)) @@ -1848,15 +1360,7 @@ public bool GetObjectStore(string organizationId, List keys, string dest /// It does not work when the object store is a directory public PropertiesObjectStoreResponse GetObjectStoreProperties(string organizationId, string key) { - var request = new RestRequest("object/properties", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - request.AddParameter("organizationId", organizationId); - request.AddParameter("key", key); - - ApiConnection.TryRequest(request, out PropertiesObjectStoreResponse result); + TryJsonPost("object/properties", out PropertiesObjectStoreResponse result, new { organizationId, key }); if (result == null || !result.Success) { @@ -1874,16 +1378,18 @@ public PropertiesObjectStoreResponse GetObjectStoreProperties(string organizatio /// public RestResponse SetObjectStore(string organizationId, string key, byte[] objectData) { - var request = new RestRequest("object/set", Method.POST) + // HttpRequestMessage will dispose of the content and MultipartFormDataContent will dispose of its children +#pragma warning disable CA2000 // Dispose objects before losing scope + using var request = new HttpRequestMessage(HttpMethod.Post, "object/set") { - RequestFormat = DataFormat.Json + Content = new MultipartFormDataContent() + { + { new StringContent(organizationId), "organizationId" }, + { new StringContent(key), "key" }, + { new ByteArrayContent(objectData), "objectData", "objectData" } + } }; - - request.AddParameter("organizationId", organizationId); - request.AddParameter("key", key); - request.AddFileBytes("objectData", objectData, "objectData"); - request.AlwaysMultipartFormData = true; - +#pragma warning restore CA2000 // Dispose objects before losing scope ApiConnection.TryRequest(request, out RestResponse result); return result; } @@ -1896,20 +1402,7 @@ public RestResponse SetObjectStore(string organizationId, string key, byte[] obj /// public RestResponse DeleteObjectStore(string organizationId, string key) { - var request = new RestRequest("object/delete", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - var obj = new Dictionary - { - { "organizationId", organizationId }, - { "key", key } - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(obj), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out RestResponse result); + TryJsonPost("object/delete", out RestResponse result, new { organizationId, key }); return result; } @@ -1921,20 +1414,7 @@ public RestResponse DeleteObjectStore(string organizationId, string key) /// public ListObjectStoreResponse ListObjectStore(string organizationId, string path) { - var request = new RestRequest("object/list", Method.POST) - { - RequestFormat = DataFormat.Json - }; - - var obj = new Dictionary - { - { "organizationId", organizationId }, - { "path", path } - }; - - request.AddParameter("application/json", JsonConvert.SerializeObject(obj), ParameterType.RequestBody); - - ApiConnection.TryRequest(request, out ListObjectStoreResponse result); + TryJsonPost("object/list", out ListObjectStoreResponse result, new { organizationId, path }); return result; } @@ -1968,10 +1448,42 @@ public static string FormatPathForDataRequest(string filePath, string dataFolder return filePath; } + /// + /// Makes a simple POST request to the specified endpoint with the given payload + /// + protected bool TryPost(string endpoint, out T result, IEnumerable> payload = null, + ApiConnection apiConnection = null, TimeSpan? timeout = null) + where T : RestResponse + { + using var request = ApiUtils.CreatePostRequest(endpoint, payload); + + return (apiConnection ?? ApiConnection).TryRequest(request, out result, timeout); + } + + /// + /// Makes a simple POST request to the specified endpoint with the given payload + /// + protected bool TryJsonPost(string endpoint, out T result, object payload = null, + ApiConnection apiConnection = null, JsonSerializerSettings jsonSerializerSettings = null, TimeSpan? timeout = null) + where T : RestResponse + { + using var request = ApiUtils.CreateJsonPostRequest(endpoint, payload, jsonSerializerSettings); + + return (apiConnection ?? ApiConnection).TryRequest(request, out result, timeout); + } + + /// + /// Create the api connection instance to use + /// + protected virtual ApiConnection CreateApiConnection(int userId, string token) + { + return new ApiConnection(userId, token); + } + /// /// Helper method that will execute the given api request and throw an exception if it fails /// - private T MakeRequestOrThrow(RestRequest request, string callerName) + private T MakeRequestOrThrow(HttpRequestMessage request, string callerName) where T : RestResponse { if (!ApiConnection.TryRequest(request, out T result)) diff --git a/Api/ApiConnection.cs b/Api/ApiConnection.cs index b3e9afa5ab91..3152751d312a 100644 --- a/Api/ApiConnection.cs +++ b/Api/ApiConnection.cs @@ -15,24 +15,32 @@ using System; using RestSharp; -using Newtonsoft.Json; -using QuantConnect.Orders; using QuantConnect.Logging; using System.Threading.Tasks; -using RestSharp.Authenticators; +using System.Net.Http; +using System.Net.Http.Headers; +using System.Text; +using System.Collections.Generic; +using QuantConnect.Util; +using System.IO; +using System.Threading; namespace QuantConnect.Api { /// /// API Connection and Hash Manager /// - public class ApiConnection + public class ApiConnection : IDisposable { - private readonly static JsonSerializerSettings _jsonSettings = new() { Converters = { new LiveAlgorithmResultsJsonConverter(), new OrderJsonConverter() } }; + /// + /// Authorized client to use for requests. + /// + private HttpClient _httpClient; /// /// Authorized client to use for requests. /// + [Obsolete("RestSharp is deprecated and will be removed in a future release. Please use the SetClient method or the request methods that take an HttpRequestMessage")] public RestClient Client { get; set; } // Authorization Credentials @@ -47,10 +55,23 @@ public class ApiConnection /// User Id number from QuantConnect.com account. Found at www.quantconnect.com/account /// Access token for the QuantConnect account. Found at www.quantconnect.com/account public ApiConnection(int userId, string token) + : this(userId, token, null) + { + } + + /// + /// Create a new Api Connection Class. + /// + /// User Id number from QuantConnect.com account. Found at www.quantconnect.com/account + /// Access token for the QuantConnect account. Found at www.quantconnect.com/account + /// The client's base address + /// Default headers for the client + /// The client timeout in seconds + public ApiConnection(int userId, string token, string baseUrl = null, Dictionary defaultHeaders = null, int timeout = 0) { _token = token; _userId = userId.ToStringInvariant(); - Client = new RestClient(Globals.Api); + SetClient(!string.IsNullOrEmpty(baseUrl) ? baseUrl : Globals.Api, defaultHeaders, timeout); } /// @@ -60,16 +81,55 @@ public bool Connected { get { - var request = new RestRequest("authenticate", Method.GET); - AuthenticationResponse response; - if (TryRequest(request, out response)) + using var request = new HttpRequestMessage(HttpMethod.Get, "authenticate"); + return TryRequest(request, out AuthenticationResponse response) && response.Success; + } + } + + /// + /// Overrides the current client + /// + /// The client's base address + /// Default headers for the client + /// The client timeout in seconds + public void SetClient(string baseUrl, Dictionary defaultHeaders = null, int timeout = 0) + { + if (_httpClient != null) + { + _httpClient.DisposeSafely(); + } + + _httpClient = new HttpClient() { BaseAddress = new Uri($"{baseUrl.TrimEnd('/')}/") }; + Client = new RestClient(baseUrl); + + if (defaultHeaders != null) + { + foreach (var header in defaultHeaders) { - return response.Success; + _httpClient.DefaultRequestHeaders.Add(header.Key, header.Value); } - return false; + Client.AddDefaultHeaders(defaultHeaders); + } + + if (timeout > 0) + { + _httpClient.Timeout = TimeSpan.FromSeconds(timeout); + Client.Timeout = timeout * 1000; + } + else + { + _httpClient.Timeout = Timeout.InfiniteTimeSpan; } } + /// + /// Disposes of the HTTP client + /// + public void Dispose() + { + _httpClient.Dispose(); + } + /// /// Place a secure request and get back an object of type T. /// @@ -77,6 +137,7 @@ public bool Connected /// /// Result object from the /// T typed object response + [Obsolete("RestSharp is deprecated and will be removed in a future release. Please use the TryRequest(HttpRequestMessage)")] public bool TryRequest(RestRequest request, out T result) where T : RestResponse { @@ -90,7 +151,24 @@ public bool TryRequest(RestRequest request, out T result) /// /// /// + /// Result object from the + /// Timeout for the request /// T typed object response + public bool TryRequest(HttpRequestMessage request, out T result, TimeSpan? timeout = null) + where T : RestResponse + { + var resultTuple = TryRequestAsync(request, timeout).SynchronouslyAwaitTaskResult(); + result = resultTuple.Item2; + return resultTuple.Item1; + } + + /// + /// Place a secure request and get back an object of type T. + /// + /// + /// + /// T typed object response + [Obsolete("RestSharp is deprecated and will be removed in a future release. Please use the TryRequestAsync(HttpRequestMessage)")] public async Task> TryRequestAsync(RestRequest request) where T : RestResponse { @@ -116,7 +194,7 @@ public async Task> TryRequestAsync(RestRequest request) } responseContent = restsharpResponse.Content; - result = JsonConvert.DeserializeObject(responseContent, _jsonSettings); + result = responseContent.DeserializeJson(); if (result == null || !result.Success) { @@ -133,10 +211,106 @@ public async Task> TryRequestAsync(RestRequest request) return new Tuple(true, result); } + /// + /// Place a secure request and get back an object of type T. + /// + /// + /// + /// Timeout for the request + /// T typed object response + public async Task> TryRequestAsync(HttpRequestMessage request, TimeSpan? timeout = null) + where T : RestResponse + { + HttpResponseMessage response = null; + Stream responseContentStream = null; + T result = null; + + // Default to 100 seconds (since we disabled the default client timeout) + timeout ??= TimeSpan.FromSeconds(100); + + try + { + if (request.RequestUri.OriginalString.StartsWith('/')) + { + request.RequestUri = new Uri(request.RequestUri.ToString().TrimStart('/'), UriKind.Relative); + } + + SetAuthenticator(request); + + // Execute the authenticated REST API Call + using var cancellationTokenSource = new CancellationTokenSource(timeout.Value); + response = await _httpClient.SendAsync(request, cancellationTokenSource.Token).ConfigureAwait(false); + responseContentStream = await response.Content.ReadAsStreamAsync(cancellationTokenSource.Token).ConfigureAwait(false); + + result = responseContentStream.DeserializeJson(leaveOpen: true); + + if (!response.IsSuccessStatusCode) + { + Log.Error($"ApiConnect.TryRequest({request.RequestUri}): HTTP Error: {(int)response.StatusCode} {response.ReasonPhrase}. " + + $"Content: {GetRawResponseContent(responseContentStream)}"); + } + if (result == null || !result.Success) + { + if (Log.DebuggingEnabled) + { + Log.Debug($"ApiConnection.TryRequest({request.RequestUri}): Raw response: '{GetRawResponseContent(responseContentStream)}'"); + } + return new Tuple(false, result); + } + } + catch (Exception err) + { + Log.Error($"ApiConnection.TryRequest({request.RequestUri}): Error: {err.Message}, Response content: {GetRawResponseContent(responseContentStream)}"); + return new Tuple(false, null); + } + finally + { + response?.DisposeSafely(); + responseContentStream?.DisposeSafely(); + } + + return new Tuple(true, result); + } + + private static string GetRawResponseContent(Stream stream) + { + if (stream == null) + { + return string.Empty; + } + + try + { + stream.Position = 0; + using var reader = new StreamReader(stream, leaveOpen: true); + return reader.ReadToEnd(); + } + catch (Exception) + { + return string.Empty; + } + } + private void SetAuthenticator(RestRequest request) { - var newTimeStamp = (int)Time.TimeStamp(); + var base64EncodedAuthenticationString = GetAuthenticatorHeader(out var timeStamp); + request.AddOrUpdateHeader("Authorization", $"Basic {base64EncodedAuthenticationString}"); + request.AddOrUpdateHeader("Timestamp", timeStamp); + } + + private void SetAuthenticator(HttpRequestMessage request) + { + request.Headers.Remove("Authorization"); + request.Headers.Remove("Timestamp"); + + var base64EncodedAuthenticationString = GetAuthenticatorHeader(out var timeStamp); + _httpClient.DefaultRequestHeaders.Authorization = new AuthenticationHeaderValue("Basic", base64EncodedAuthenticationString); + request.Headers.Add("Timestamp", timeStamp); + } + private string GetAuthenticatorHeader(out string timeStamp) + { + var newTimeStamp = (int)Time.TimeStamp(); var currentAuth = _authenticator; if (currentAuth == null || newTimeStamp - currentAuth.TimeStamp > 7000) { @@ -144,25 +318,25 @@ private void SetAuthenticator(RestRequest request) // Add the UTC timestamp to the request header. // Timestamps older than 7200 seconds will not work. var hash = Api.CreateSecureHash(newTimeStamp, _token); - var authenticator = new HttpBasicAuthenticator(_userId, hash); - _authenticator = currentAuth = new LeanAuthenticator(authenticator, newTimeStamp); - - Client.Authenticator = currentAuth.Authenticator; + var authenticationString = $"{_userId}:{hash}"; + var base64EncodedAuthenticationString = Convert.ToBase64String(Encoding.UTF8.GetBytes(authenticationString)); + _authenticator = currentAuth = new LeanAuthenticator(newTimeStamp, base64EncodedAuthenticationString); } - request.AddHeader("Timestamp", currentAuth.TimeStampStr); + timeStamp = currentAuth.TimeStampStr; + return currentAuth.Base64EncodedAuthenticationString; } private class LeanAuthenticator { public int TimeStamp { get; } public string TimeStampStr { get; } - public HttpBasicAuthenticator Authenticator { get; } - public LeanAuthenticator(HttpBasicAuthenticator authenticator, int timeStamp) + public string Base64EncodedAuthenticationString { get; } + public LeanAuthenticator(int timeStamp, string base64EncodedAuthenticationString) { TimeStamp = timeStamp; - Authenticator = authenticator; TimeStampStr = timeStamp.ToStringInvariant(); + Base64EncodedAuthenticationString = base64EncodedAuthenticationString; } } } diff --git a/Api/ApiUtils.cs b/Api/ApiUtils.cs new file mode 100644 index 000000000000..1fcebdcf4dee --- /dev/null +++ b/Api/ApiUtils.cs @@ -0,0 +1,65 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. +*/ + +using System.Net.Http; +using System.Collections.Generic; +using Newtonsoft.Json; +using System.Net.Http.Headers; +using System.Net.Mime; + +namespace QuantConnect.Api +{ + /// + /// API utility methods + /// + public static class ApiUtils + { + /// + /// Creates a POST with the specified endpoint and payload as form url encoded content. + /// + /// The request endpoint + /// The request payload + /// The POST request + public static HttpRequestMessage CreatePostRequest(string endpoint, IEnumerable> payload = null) + { + var request = new HttpRequestMessage(HttpMethod.Post, endpoint); + if (payload != null) + { + request.Content = new FormUrlEncodedContent(payload); + } + + return request; + } + + /// + /// Creates a POST with the specified endpoint and payload as json body + /// + /// The request endpoint + /// The request payload + /// Settings for the json serializer + /// The POST request + public static HttpRequestMessage CreateJsonPostRequest(string endpoint, object payload = null, JsonSerializerSettings jsonSerializerSettings = null) + { + var request = new HttpRequestMessage(HttpMethod.Post, endpoint); + if (payload != null) + { + request.Content = new StringContent(payload as string ?? JsonConvert.SerializeObject(payload, jsonSerializerSettings), + new MediaTypeHeaderValue(MediaTypeNames.Application.Json)); + } + + return request; + } + } +} diff --git a/Api/QuantConnect.Api.csproj b/Api/QuantConnect.Api.csproj index 20fb363b8669..4c06a2e5213e 100644 --- a/Api/QuantConnect.Api.csproj +++ b/Api/QuantConnect.Api.csproj @@ -4,7 +4,7 @@ AnyCPU QuantConnect.Api QuantConnect.Api - net9.0 + net10.0 ..\ true AllEnabledByDefault diff --git a/Brokerages/Authentication/OAuthTokenHandler.cs b/Brokerages/Authentication/OAuthTokenHandler.cs index d82ed48e175b..f3bac7279ddb 100644 --- a/Brokerages/Authentication/OAuthTokenHandler.cs +++ b/Brokerages/Authentication/OAuthTokenHandler.cs @@ -14,7 +14,6 @@ */ using System; -using RestSharp; using QuantConnect.Api; using System.Threading; @@ -76,8 +75,7 @@ public override TokenCredentials GetAccessToken(CancellationToken cancellationTo try { - var request = new RestRequest("live/auth0/refresh", Method.POST); - request.AddJsonBody(_jsonBodyRequest); + using var request = ApiUtils.CreateJsonPostRequest("live/auth0/refresh", _jsonBodyRequest); if (_apiClient.TryRequest(request, out var response)) { diff --git a/Brokerages/Backtesting/BacktestingBrokerage.cs b/Brokerages/Backtesting/BacktestingBrokerage.cs index 8e6c6064e840..8f6b2e1068d8 100644 --- a/Brokerages/Backtesting/BacktestingBrokerage.cs +++ b/Brokerages/Backtesting/BacktestingBrokerage.cs @@ -27,6 +27,7 @@ using QuantConnect.Securities; using QuantConnect.Securities.Option; using QuantConnect.Util; +using System.Collections.Specialized; namespace QuantConnect.Brokerages.Backtesting { @@ -553,10 +554,12 @@ public void ProcessDelistings(Delistings delistings) var universe = ukvp.Value; if (universe.ContainsMember(security.Symbol)) { - var userUniverse = universe as UserDefinedUniverse; - if (userUniverse != null) + if (universe is UserDefinedUniverse userUniverse) { - userUniverse.Remove(security.Symbol); + if (userUniverse.Remove(security.Symbol)) + { + Algorithm.UniverseManager.Update(userUniverse.Symbol, userUniverse, NotifyCollectionChangedAction.Replace); + } } else { @@ -564,6 +567,7 @@ public void ProcessDelistings(Delistings delistings) } } } + Algorithm.UniverseManager.ProcessChanges(); if (!Algorithm.IsWarmingUp) { diff --git a/Brokerages/BaseWebsocketsBrokerage.cs b/Brokerages/BaseWebsocketsBrokerage.cs index 2385abaa1f42..12f932e7ed23 100644 --- a/Brokerages/BaseWebsocketsBrokerage.cs +++ b/Brokerages/BaseWebsocketsBrokerage.cs @@ -21,6 +21,7 @@ using System.Collections.Concurrent; using System.Collections.Generic; using System.Linq; +using System.Net.Http; using System.Threading; namespace QuantConnect.Brokerages @@ -33,6 +34,9 @@ public abstract class BaseWebsocketsBrokerage : Brokerage { private const int ConnectionTimeout = 30000; + private IRestClient _restClient; + private HttpClient _httpClient; + /// /// True if the current brokerage is already initialized /// @@ -46,7 +50,41 @@ public abstract class BaseWebsocketsBrokerage : Brokerage /// /// The rest client instance /// - protected IRestClient RestClient { get; set; } + [Obsolete("RestClient is deprecated. Use HttpClient property instead")] + protected IRestClient RestClient + { + get + { + if (_restClient == null) + { + throw new InvalidOperationException("RestClient not initialized"); + } + return _restClient; + } + set + { + _restClient = value; + } + } + + /// + /// The HTTP client instance + /// + protected HttpClient HttpClient + { + get + { + if (_httpClient == null) + { + throw new InvalidOperationException("HttpClient not initialized"); + } + return _httpClient; + } + set + { + _httpClient = value; + } + } /// /// standard json parsing settings @@ -81,11 +119,36 @@ public abstract class BaseWebsocketsBrokerage : Brokerage /// instance of rest client /// api key /// api secret + [Obsolete("This Initialize method is deprecated. Use the overload that takes an HttpClient instance instead.")] protected void Initialize(string wssUrl, IWebSocket websocket, IRestClient restClient, string apiKey, string apiSecret) + { + if (TryInitialize(wssUrl, websocket, apiKey, apiSecret)) + { + RestClient = restClient; + } + } + + /// + /// Initialize the instance of this class + /// + /// The web socket base url + /// Instance of websockets client + /// Instance of HTTP client + /// Api key + /// Api secret + protected void Initialize(string wssUrl, IWebSocket websocket, HttpClient httpClient, string apiKey, string apiSecret) + { + if (TryInitialize(wssUrl, websocket, apiKey, apiSecret)) + { + HttpClient = httpClient; + } + } + + private bool TryInitialize(string wssUrl, IWebSocket websocket, string apiKey, string apiSecret) { if (IsInitialized) { - return; + return false; } IsInitialized = true; JsonSettings = new JsonSerializerSettings { FloatParseHandling = FloatParseHandling.Decimal }; @@ -101,9 +164,10 @@ protected void Initialize(string wssUrl, IWebSocket websocket, IRestClient restC Subscribe(GetSubscribed()); }; - RestClient = restClient; ApiSecret = apiSecret; ApiKey = apiKey; + + return true; } /// diff --git a/Brokerages/Brokerage.cs b/Brokerages/Brokerage.cs index 418e10fe74c5..6af0b2dc6e2a 100644 --- a/Brokerages/Brokerage.cs +++ b/Brokerages/Brokerage.cs @@ -27,6 +27,7 @@ using System.Collections.Generic; using System.Collections.Concurrent; using QuantConnect.Brokerages.CrossZero; +using QuantConnect.Util; namespace QuantConnect.Brokerages { @@ -509,6 +510,11 @@ public virtual bool PerformCashSync(IAlgorithm algorithm, DateTime currentTimeUt { if (!algorithm.Portfolio.CashBook.ContainsKey(balance.Currency)) { + if (!CashAmountUtil.ShouldAddCashBalance(balance, algorithm.AccountCurrency)) + { + Log.Trace($"Brokerage.PerformCashSync(): Skipping {balance.Currency} cash because quantity is zero"); + continue; + } Log.Trace($"Brokerage.PerformCashSync(): Unexpected cash found {balance.Currency} {balance.Amount}", true); algorithm.Portfolio.SetCash(balance.Currency, balance.Amount, 0); } @@ -756,7 +762,7 @@ protected bool TryGetOrRemoveCrossZeroOrder(string brokerageOrderId, OrderStatus case OrderStatus.Invalid: LeanOrderByZeroCrossBrokerageOrderId.TryRemove(brokerageOrderId, out var _); break; - }; + } return true; } // Return false if the brokerage order ID does not correspond to a cross-zero order @@ -787,7 +793,7 @@ protected bool TryHandleRemainingCrossZeroOrder(Order leanOrder, OrderEvent orde return false; default: return false; - }; + } OnOrderEvent(orderEvent); diff --git a/Brokerages/QuantConnect.Brokerages.csproj b/Brokerages/QuantConnect.Brokerages.csproj index 96f6221d4106..e44042df0a51 100644 --- a/Brokerages/QuantConnect.Brokerages.csproj +++ b/Brokerages/QuantConnect.Brokerages.csproj @@ -4,7 +4,7 @@ AnyCPU QuantConnect.Brokerages QuantConnect.Brokerages - net9.0 + net10.0 AllEnabledByDefault false bin\$(Configuration)\ diff --git a/Common/Algorithm/Framework/Alphas/Analysis/InsightManager.cs b/Common/Algorithm/Framework/Alphas/Analysis/InsightManager.cs index 6a7909e01ac2..2c6da8a21c5b 100644 --- a/Common/Algorithm/Framework/Alphas/Analysis/InsightManager.cs +++ b/Common/Algorithm/Framework/Alphas/Analysis/InsightManager.cs @@ -17,6 +17,7 @@ using Python.Runtime; using QuantConnect.Interfaces; using System.Collections.Generic; +using QuantConnect.Util; namespace QuantConnect.Algorithm.Framework.Alphas.Analysis { @@ -61,15 +62,10 @@ public void SetInsightScoreFunction(IInsightScoreFunction insightScoreFunction) /// Model that scores insights public void SetInsightScoreFunction(PyObject insightScoreFunction) { - IInsightScoreFunction model; - if (insightScoreFunction.TryConvert(out model)) - { - SetInsightScoreFunction(model); - } - else - { - _insightScoreFunction = new InsightScoreFunctionPythonWrapper(insightScoreFunction); - } + _insightScoreFunction = PythonUtil.CreateInstanceOrWrapper( + insightScoreFunction, + py => new InsightScoreFunctionPythonWrapper(py) + ); } /// diff --git a/Common/Algorithm/Framework/Portfolio/SignalExports/SignalExportManager.cs b/Common/Algorithm/Framework/Portfolio/SignalExports/SignalExportManager.cs index 017d6f097977..65d74d9c96e3 100644 --- a/Common/Algorithm/Framework/Portfolio/SignalExports/SignalExportManager.cs +++ b/Common/Algorithm/Framework/Portfolio/SignalExports/SignalExportManager.cs @@ -84,10 +84,10 @@ public void AddSignalExportProvider(ISignalExportTarget signalExport) /// Signal export provider public void AddSignalExportProvider(PyObject signalExport) { - if (!signalExport.TryConvert(out var managedSignalExport)) - { - managedSignalExport = new SignalExportTargetPythonWrapper(signalExport); - } + var managedSignalExport = PythonUtil.CreateInstanceOrWrapper( + signalExport, + py => new SignalExportTargetPythonWrapper(py) + ); AddSignalExportProvider(managedSignalExport); } @@ -172,7 +172,7 @@ public bool SetTargetPortfolio(params PortfolioTarget[] portfolioTargets) } if (_signalExports.IsNullOrEmpty()) - { + { return false; } diff --git a/Common/AlgorithmSettings.cs b/Common/AlgorithmSettings.cs index e8eaec146a7e..ae79dfd43544 100644 --- a/Common/AlgorithmSettings.cs +++ b/Common/AlgorithmSettings.cs @@ -173,6 +173,11 @@ public Resolution? WarmUpResolution /// public TimeSpan PerformanceSamplePeriod { get; set; } + /// + /// Determines whether to seed initial prices for all selected and manually added securities. + /// + public bool SeedInitialPrices { get; set; } + /// /// Initializes a new instance of the class /// @@ -189,6 +194,7 @@ public AlgorithmSettings() MinAbsolutePortfolioTargetPercentage = 0.0000000001m; DatabasesRefreshPeriod = _defaultDatabasesRefreshPeriod; IgnoreUnknownAssetHoldings = _defaultIgnoreUnknownAssetHoldings; + SeedInitialPrices = false; } } } diff --git a/Common/AlgorithmUtils.cs b/Common/AlgorithmUtils.cs new file mode 100644 index 000000000000..df62c3b46b93 --- /dev/null +++ b/Common/AlgorithmUtils.cs @@ -0,0 +1,50 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. +*/ + +using QuantConnect.Interfaces; +using QuantConnect.Securities; +using System.Collections.Generic; +using System.Linq; + +namespace QuantConnect +{ + /// + /// Provides utility methods for or related to algorithms + /// + public static class AlgorithmUtils + { + /// + /// Seeds the provided securities with their last known prices from the algorithm + /// + /// The securities to seed + /// The algorithm instance + public static void SeedSecurities(IReadOnlyCollection securities, IAlgorithm algorithm) + { + var securitiesToSeed = securities.Where(x => x.Price == 0); + var data = algorithm.GetLastKnownPrices(securitiesToSeed.Select(x => x.Symbol)); + + foreach (var security in securitiesToSeed) + { + if (data.TryGetValue(security.Symbol, out var seedData)) + { + foreach (var datum in seedData) + { + security.SetMarketPrice(datum); + } + } + } + } + } +} diff --git a/Common/Api/Nodes.cs b/Common/Api/Nodes.cs index 1cc97e9e7046..f1a39da30b15 100644 --- a/Common/Api/Nodes.cs +++ b/Common/Api/Nodes.cs @@ -243,12 +243,20 @@ public override string ToString() /// public enum NodeType { - /// A node for running backtests - Backtest, //0 - /// A node for running research - Research, //1 - /// A node for live trading - Live //2 + /// + /// A node for running backtests (0) + /// + Backtest, + + /// + /// A node for running research (1) + /// + Research, + + /// + /// A node for live trading (2) + /// + Live } /// diff --git a/Common/Api/OptimizationBacktestJsonConverter.cs b/Common/Api/OptimizationBacktestJsonConverter.cs index a2fea19201a8..5308cbce835a 100644 --- a/Common/Api/OptimizationBacktestJsonConverter.cs +++ b/Common/Api/OptimizationBacktestJsonConverter.cs @@ -15,8 +15,8 @@ using System; using System.Collections.Generic; -using System.Globalization; using System.Linq; +using System.Runtime.CompilerServices; using Newtonsoft.Json; using Newtonsoft.Json.Linq; using QuantConnect.Optimizer.Parameters; @@ -30,6 +30,43 @@ namespace QuantConnect.Api /// public class OptimizationBacktestJsonConverter : JsonConverter { + private static Dictionary StatisticsIndices = new() + { + { PerformanceMetrics.Alpha, 0 }, + { PerformanceMetrics.AnnualStandardDeviation, 1 }, + { PerformanceMetrics.AnnualVariance, 2 }, + { PerformanceMetrics.AverageLoss, 3 }, + { PerformanceMetrics.AverageWin, 4 }, + { PerformanceMetrics.Beta, 5 }, + { PerformanceMetrics.CompoundingAnnualReturn, 6 }, + { PerformanceMetrics.Drawdown, 7 }, + { PerformanceMetrics.EstimatedStrategyCapacity, 8 }, + { PerformanceMetrics.Expectancy, 9 }, + { PerformanceMetrics.InformationRatio, 10 }, + { PerformanceMetrics.LossRate, 11 }, + { PerformanceMetrics.NetProfit, 12 }, + { PerformanceMetrics.ProbabilisticSharpeRatio, 13 }, + { PerformanceMetrics.ProfitLossRatio, 14 }, + { PerformanceMetrics.SharpeRatio, 15 }, + { PerformanceMetrics.TotalFees, 16 }, + { PerformanceMetrics.TotalOrders, 17 }, + { PerformanceMetrics.TrackingError, 18 }, + { PerformanceMetrics.TreynorRatio, 19 }, + { PerformanceMetrics.WinRate, 20 }, + { PerformanceMetrics.SortinoRatio, 21 }, + { PerformanceMetrics.StartEquity, 22 }, + { PerformanceMetrics.EndEquity, 23 }, + { PerformanceMetrics.DrawdownRecovery, 24 }, + }; + + private static string[] StatisticNames { get; } = StatisticsIndices + .OrderBy(kvp => kvp.Value) + .Select(kvp => kvp.Key) + .ToArray(); + + // Only 21 Lean statistics where supported when the serialized statistics where a json array + private static int ArrayStatisticsCount = 21; + /// /// Determines whether this instance can convert the specified object type. /// @@ -97,25 +134,23 @@ public override void WriteJson(JsonWriter writer, object value, JsonSerializer s if (!optimizationBacktest.Statistics.IsNullOrEmpty()) { writer.WritePropertyName("statistics"); - writer.WriteStartArray(); - foreach (var keyValuePair in optimizationBacktest.Statistics.OrderBy(pair => pair.Key)) + writer.WriteStartObject(); + + var customStatisticsNames = new HashSet(); + + foreach (var (name, statisticValue, index) in optimizationBacktest.Statistics + .Select(kvp => (Name: kvp.Key, kvp.Value, Index: StatisticsIndices.TryGetValue(kvp.Key, out var index) ? index : int.MaxValue)) + .OrderBy(t => t.Index) + .ThenByDescending(t => t.Name)) { - switch (keyValuePair.Key) - { - case PerformanceMetrics.PortfolioTurnover: - case PerformanceMetrics.SortinoRatio: - case PerformanceMetrics.StartEquity: - case PerformanceMetrics.EndEquity: - case PerformanceMetrics.DrawdownRecovery: - continue; - } - var statistic = keyValuePair.Value.Replace("%", string.Empty); + var statistic = statisticValue.Replace("%", string.Empty, StringComparison.InvariantCulture); if (Currencies.TryParse(statistic, out var result)) { + writer.WritePropertyName(index < StatisticsIndices.Count ? index.ToStringInvariant() : name); writer.WriteValue(result); } } - writer.WriteEndArray(); + writer.WriteEndObject(); } if (optimizationBacktest.ParameterSet != null) @@ -164,34 +199,25 @@ public override object ReadJson(JsonReader reader, Type objectType, object exist Dictionary statistics = default; if (jStatistics != null) { - statistics = new Dictionary + if (jStatistics.Type == JTokenType.Array) { - { PerformanceMetrics.Alpha, jStatistics[0].Value() }, - { PerformanceMetrics.AnnualStandardDeviation, jStatistics[1].Value() }, - { PerformanceMetrics.AnnualVariance, jStatistics[2].Value() }, - { PerformanceMetrics.AverageLoss, jStatistics[3].Value() }, - { PerformanceMetrics.AverageWin, jStatistics[4].Value() }, - { PerformanceMetrics.Beta, jStatistics[5].Value() }, - { PerformanceMetrics.CompoundingAnnualReturn, jStatistics[6].Value() }, - { PerformanceMetrics.Drawdown, jStatistics[7].Value() }, - { PerformanceMetrics.EstimatedStrategyCapacity, jStatistics[8].Value() }, - { PerformanceMetrics.Expectancy, jStatistics[9].Value() }, - { PerformanceMetrics.InformationRatio, jStatistics[10].Value() }, - { PerformanceMetrics.LossRate, jStatistics[11].Value() }, - { PerformanceMetrics.NetProfit, jStatistics[12].Value() }, - { PerformanceMetrics.ProbabilisticSharpeRatio, jStatistics[13].Value() }, - { PerformanceMetrics.ProfitLossRatio, jStatistics[14].Value() }, - { PerformanceMetrics.SharpeRatio, jStatistics[15].Value() }, - // TODO: Add SortinoRatio - // TODO: Add StartingEquity - // TODO: Add EndingEquity - // TODO: Add DrawdownRecovery - { PerformanceMetrics.TotalFees, jStatistics[16].Value() }, - { PerformanceMetrics.TotalOrders, jStatistics[17].Value() }, - { PerformanceMetrics.TrackingError, jStatistics[18].Value() }, - { PerformanceMetrics.TreynorRatio, jStatistics[19].Value() }, - { PerformanceMetrics.WinRate, jStatistics[20].Value() }, - }; + var statsCount = Math.Min(ArrayStatisticsCount, (jStatistics as JArray).Count); + statistics = new Dictionary(StatisticsIndices + .Where(kvp => kvp.Value < statsCount) + .Select(kvp => KeyValuePair.Create(kvp.Key, jStatistics[kvp.Value].Value())) + .Where(kvp => kvp.Value != null)); + } + else + { + statistics = new(); + foreach (var statistic in jStatistics.Children()) + { + var statisticName = TryConvertToLeanStatisticIndex(statistic.Name, out var index) + ? StatisticNames[index] + : statistic.Name; + statistics[statisticName] = statistic.Value.Value(); + } + } } var parameterSet = serializer.Deserialize(jObject["parameterSet"].CreateReader()); @@ -220,5 +246,11 @@ public override object ReadJson(JsonReader reader, Type objectType, object exist return optimizationBacktest; } + + [MethodImpl(MethodImplOptions.AggressiveInlining)] + private static bool TryConvertToLeanStatisticIndex(string statistic, out int index) + { + return int.TryParse(statistic, out index) && index >= 0 && index < StatisticsIndices.Count; + } } } diff --git a/Common/Api/Organization.cs b/Common/Api/Organization.cs index 5244ab90d642..a3fcfaa32fcf 100644 --- a/Common/Api/Organization.cs +++ b/Common/Api/Organization.cs @@ -69,6 +69,7 @@ public class DataAgreement /// DateTime the agreement was signed. /// Uses EpochSignedTime converted to a standard datetime. /// + [JsonIgnore] public DateTime? SignedTime => EpochSignedTime.HasValue ? DateTimeOffset.FromUnixTimeSeconds(EpochSignedTime.Value).DateTime : null; /// @@ -108,7 +109,7 @@ public class Product } /// - /// QuantConnect ProductItem + /// QuantConnect ProductItem /// public class ProductItem { diff --git a/Common/Api/Project.cs b/Common/Api/Project.cs index c9f437410abf..7a7cb74e22d4 100644 --- a/Common/Api/Project.cs +++ b/Common/Api/Project.cs @@ -27,7 +27,7 @@ public class Collaborator /// User ID /// [JsonProperty(PropertyName = "uid")] - public int Uid { get; set; } + public int? Uid { get; set; } /// /// Indicate if the user have live control @@ -46,7 +46,7 @@ public class Collaborator /// The user public ID /// [JsonProperty(PropertyName = "publicId")] - public string PublicId { get; set; } + public string PublicId { get; set; } /// /// The url of the user profile image @@ -119,7 +119,7 @@ public class GridChart /// The chart name /// [JsonProperty(PropertyName = "chartName")] - public string ChartName { get; set;} + public string ChartName { get; set; } /// /// Width of the chart @@ -328,7 +328,7 @@ public class Project : RestResponse /// /// Configuration of the backtest view grid /// - [JsonProperty(PropertyName = "grid" )] + [JsonProperty(PropertyName = "grid")] public Grid Grid { get; set; } /// @@ -365,7 +365,7 @@ public class Project : RestResponse /// Indicates if the project is running or not /// [JsonProperty(PropertyName = "codeRunning")] - public bool CodeRunning { get; set; } + public bool CodeRunning { get; set; } /// /// LEAN environment of the project running on diff --git a/Common/Brokerages/BrokerageName.cs b/Common/Brokerages/BrokerageName.cs index 5cfc19b3ee19..7f6edaab7a5e 100644 --- a/Common/Brokerages/BrokerageName.cs +++ b/Common/Brokerages/BrokerageName.cs @@ -163,7 +163,7 @@ public enum BrokerageName /// Transaction and submit/execution rules will use Axos models /// Axos, - + /// /// Transaction and submit/execution rules will use Coinbase broker's model /// @@ -192,6 +192,11 @@ public enum BrokerageName /// /// Transaction and submit/execution rules will use interactive brokers Fix models /// - InteractiveBrokersFix + InteractiveBrokersFix, + + /// + /// Transaction and submit/execution rules will use dYdX models + /// + DYDX } } diff --git a/Common/Brokerages/DelistingNotificationEventArgs.cs b/Common/Brokerages/DelistingNotificationEventArgs.cs index 118a346b64e5..fbcfbaffbccf 100644 --- a/Common/Brokerages/DelistingNotificationEventArgs.cs +++ b/Common/Brokerages/DelistingNotificationEventArgs.cs @@ -35,5 +35,13 @@ public DelistingNotificationEventArgs(Symbol symbol) { Symbol = symbol; } + + /// + /// Returns a string describing the delisting notification. + /// + public override string ToString() + { + return $"Symbol: {Symbol}"; + } } } diff --git a/Common/Brokerages/IBrokerageModel.cs b/Common/Brokerages/IBrokerageModel.cs index a79294ed7ed2..4544c388d8c1 100644 --- a/Common/Brokerages/IBrokerageModel.cs +++ b/Common/Brokerages/IBrokerageModel.cs @@ -288,6 +288,9 @@ public static IBrokerageModel Create(IOrderProvider orderProvider, BrokerageName case BrokerageName.Tastytrade: return new TastytradeBrokerageModel(accountType); + case BrokerageName.DYDX: + return new dYdXBrokerageModel(accountType); + default: throw new ArgumentOutOfRangeException(nameof(brokerage), brokerage, null); } diff --git a/Common/Brokerages/NewBrokerageOrderNotificationEventArgs.cs b/Common/Brokerages/NewBrokerageOrderNotificationEventArgs.cs index 8965fd8bd576..f77212acde1f 100644 --- a/Common/Brokerages/NewBrokerageOrderNotificationEventArgs.cs +++ b/Common/Brokerages/NewBrokerageOrderNotificationEventArgs.cs @@ -35,5 +35,13 @@ public NewBrokerageOrderNotificationEventArgs(Order order) { Order = order; } + + /// + /// Returns a string describing the new brokerage order notification. + /// + override public string ToString() + { + return Order.ToString(); + } } } diff --git a/Common/Brokerages/TradingTechnologiesBrokerageModel.cs b/Common/Brokerages/TradingTechnologiesBrokerageModel.cs index 28f580039cb2..82912eb470d8 100644 --- a/Common/Brokerages/TradingTechnologiesBrokerageModel.cs +++ b/Common/Brokerages/TradingTechnologiesBrokerageModel.cs @@ -140,7 +140,7 @@ public override bool CanSubmitOrder(Security security, Order order, out Brokerag var stopLimit = order as StopLimitOrder; if (stopLimit != null) { - return IsValidOrderPrices(security, OrderType.StopMarket, stopLimit.Direction, stopLimit.StopPrice, stopLimit.LimitPrice, ref message); + return IsValidOrderPrices(security, OrderType.StopLimit, stopLimit.Direction, stopLimit.StopPrice, stopLimit.LimitPrice, ref message); } return true; diff --git a/Common/Brokerages/dYdXBrokerageModel.cs b/Common/Brokerages/dYdXBrokerageModel.cs new file mode 100644 index 000000000000..d8b342aeddba --- /dev/null +++ b/Common/Brokerages/dYdXBrokerageModel.cs @@ -0,0 +1,168 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. + */ + +using System; +using System.Collections.Generic; +using System.Linq; +using QuantConnect.Benchmarks; +using QuantConnect.Orders; +using QuantConnect.Orders.Fees; +using QuantConnect.Securities; +using QuantConnect.Securities.CryptoFuture; +using QuantConnect.Util; + +namespace QuantConnect.Brokerages; + +public class dYdXBrokerageModel : DefaultBrokerageModel +{ + /// + /// Gets a map of the default markets to be used for each security type + /// + public override IReadOnlyDictionary DefaultMarkets { get; } = GetDefaultMarkets(Market.DYDX); + + /// + /// Initializes a new instance of the class + /// + /// The type of account to be modeled, defaults to + public dYdXBrokerageModel(AccountType accountType = AccountType.Margin) : base(accountType) + { + if (accountType != AccountType.Margin) + { + throw new ArgumentException("dYdXBrokerageModel only supports margin accounts", nameof(accountType)); + } + } + + /// + /// Gets a new buying power model for the security, returning the default model with the security's configured leverage. + /// For cash accounts, leverage = 1 is used. + /// + /// The security to get a buying power model for + /// The buying power model for this brokerage/security + public override IBuyingPowerModel GetBuyingPowerModel(Security security) + { + return security?.Type switch + { + SecurityType.CryptoFuture => new SecurityMarginModel(GetLeverage(security)), + _ => base.GetBuyingPowerModel(security) + }; + } + + /// + /// Provides dYdX fee model + /// + /// + /// + public override IFeeModel GetFeeModel(Security security) + { + return security.Type switch + { + SecurityType.CryptoFuture => new dYdXFeeModel(), + _ => base.GetFeeModel(security) + }; + } + + /// + /// Gets a new margin interest rate model for the security + /// + /// The security to get a margin interest rate model for + /// The margin interest rate model for this brokerage + public override IMarginInterestRateModel GetMarginInterestRateModel(Security security) + { + // only applies for perpetual futures + return security.Type switch + { + SecurityType.CryptoFuture => new dYdXFutureMarginInterestRateModel(), + _ => base.GetMarginInterestRateModel(security) + }; + } + + /// + /// Get the benchmark for this model + /// + /// SecurityService to create the security with if needed + /// The benchmark for this brokerage + public override IBenchmark GetBenchmark(SecurityManager securities) + { + var symbol = Symbol.Create("BTCUSD", SecurityType.CryptoFuture, Market.DYDX); + return SecurityBenchmark.CreateInstance(securities, symbol); + //todo default conversion? + } + + /// + /// Returns true if the brokerage could accept this order update. This takes into account + /// order type, security type, and order size limits. dYdX can only update inverse, linear, and option orders + /// + /// The security of the order + /// The order to be updated + /// The requested update to be made to the order + /// If this function returns false, a brokerage message detailing why the order may not be updated + /// True if the brokerage could update the order, false otherwise + public override bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request, + out BrokerageMessageEvent message) + { + message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported", + Messages.DefaultBrokerageModel.OrderUpdateNotSupported); + return false; + } + + /// + /// Returns true if the brokerage could accept this order. This takes into account + /// order type, security type, and order size limits. + /// + /// + /// For example, a brokerage may have no connectivity at certain times, or an order rate/size limit + /// + /// The security of the order + /// The order to be processed + /// If this function returns false, a brokerage message detailing why the order may not be submitted + /// True if the brokerage could process the order, false otherwise + public override bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message) + { + if (security.Type != SecurityType.CryptoFuture) + { + message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported", + Messages.DefaultBrokerageModel.UnsupportedSecurityType(this, security)); + + return false; + } + + message = null; + bool quantityIsValid; + + switch (order) + { + case StopLimitOrder: + case StopMarketOrder: + case LimitOrder: + case MarketOrder: + quantityIsValid = IsValidOrderSize(security, Math.Abs(order.Quantity), out message); + break; + default: + message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported", + Messages.DefaultBrokerageModel.UnsupportedOrderType(this, order, + [OrderType.StopMarket, OrderType.StopLimit, OrderType.Market, OrderType.Limit])); + return false; + } + + return quantityIsValid; + } + + private static IReadOnlyDictionary GetDefaultMarkets(string marketName) + { + var map = DefaultMarketMap.ToDictionary(); + map[SecurityType.CryptoFuture] = marketName; + return map.ToReadOnlyDictionary(); + } +} diff --git a/Common/Currencies.cs b/Common/Currencies.cs index 81251832ba1b..894693b15232 100644 --- a/Common/Currencies.cs +++ b/Common/Currencies.cs @@ -228,7 +228,7 @@ public static class Currencies }; /// - /// Define some StableCoins that don't have direct pairs for base currencies in our SPDB in Binance market + /// Define some StableCoins that don't have direct pairs for base currencies in our SPDB in Bybit market /// This is because some CryptoExchanges do not define direct pairs with the stablecoins they offer. /// /// We use this to allow setting cash amounts for these stablecoins without needing a conversion @@ -246,6 +246,18 @@ public static class Currencies "DAIUSD" }; + /// + /// Define some StableCoins that don't have direct pairs for base currencies in our SPDB in dYdX market + /// This is because some CryptoExchanges do not define direct pairs with the stablecoins they offer. + /// + /// We use this to allow setting cash amounts for these stablecoins without needing a conversion + /// security. + /// + private static readonly HashSet _stableCoinsWithoutPairsdYdX = new HashSet + { + "USDCUSD" + }; + /// /// Dictionary to save StableCoins in different Markets /// @@ -255,6 +267,7 @@ public static class Currencies { Market.Bitfinex , _stableCoinsWithoutPairsBitfinex}, { Market.Coinbase, _stableCoinsWithoutPairsCoinbase}, { Market.Bybit , _stableCoinsWithoutPairsBybit}, + { Market.DYDX , _stableCoinsWithoutPairsdYdX} }; /// diff --git a/Common/Data/Market/DataDictionary.cs b/Common/Data/Market/DataDictionary.cs index cd15648d02e4..f41ea0017828 100644 --- a/Common/Data/Market/DataDictionary.cs +++ b/Common/Data/Market/DataDictionary.cs @@ -13,10 +13,12 @@ * limitations under the License. */ +using Common.Util; using QuantConnect.Python; using System; -using System.Collections; using System.Collections.Generic; +using System.Linq; +using System.Runtime.CompilerServices; namespace QuantConnect.Data.Market { @@ -24,15 +26,25 @@ namespace QuantConnect.Data.Market /// Provides a base class for types holding base data instances keyed by symbol /// [PandasNonExpandable] - public class DataDictionary : ExtendedDictionary, IDictionary + public class DataDictionary : BaseExtendedDictionary { - // storage for the data - private readonly IDictionary _data = new Dictionary(); + /// + /// Used to cache the sorted items in the dictionary. + /// We do this instead of using a SortedDictionary to keep the O(1) access time. + /// + private List> _items; + private List _keys; + private List _values; + + /// + /// Gets or sets the time associated with this collection of data + /// + public DateTime Time { get; set; } /// /// Initializes a new instance of the class. /// - public DataDictionary() + public DataDictionary() : base() { } @@ -43,254 +55,174 @@ public DataDictionary() /// The data source for this data dictionary /// Delegate used to select a key from the value public DataDictionary(IEnumerable data, Func keySelector) + : base(data, keySelector) { - foreach (var datum in data) - { - this[keySelector(datum)] = datum; - } } /// /// Initializes a new instance of the class. /// /// The time this data was emitted. - public DataDictionary(DateTime time) + public DataDictionary(DateTime time) : base() { -#pragma warning disable 618 // This assignment is left here until the Time property is removed. Time = time; -#pragma warning restore 618 } /// - /// Gets or sets the time associated with this collection of data - /// - public DateTime Time { get; set; } - - /// - /// Returns an enumerator that iterates through the collection. - /// - /// - /// A that can be used to iterate through the collection. - /// - /// 1 - public IEnumerator> GetEnumerator() - { - return _data.GetEnumerator(); - } - /// - /// Returns an enumerator that iterates through a collection. - /// - /// - /// An object that can be used to iterate through the collection. - /// - /// 2 - IEnumerator IEnumerable.GetEnumerator() - { - return ((IEnumerable)_data).GetEnumerator(); - } - - /// - /// Adds an item to the . + /// Gets or sets the element with the specified key. /// - /// The object to add to the .The is read-only. - public void Add(KeyValuePair item) + public override T this[Symbol symbol] { - _data.Add(item); + get + { + T data; + if (TryGetValue(symbol, out data)) + { + return data; + } + CheckForImplicitlyCreatedSymbol(symbol); + throw new KeyNotFoundException($"'{symbol}' wasn't found in the {GetType().GetBetterTypeName()} object, likely because there was no-data at this moment in time and it wasn't possible to fillforward historical data. Please check the data exists before accessing it with data.ContainsKey(\"{symbol}\")"); + } + set + { + _items = null; + base[symbol] = value; + } } /// - /// Removes all items from the . + /// Gets the value associated with the specified key. /// - /// The is read-only. - public override void Clear() + public virtual T GetValue(Symbol key) { - _data.Clear(); + T value; + TryGetValue(key, out value); + return value; } /// - /// Determines whether the contains a specific value. + /// Gets all the items in the dictionary /// - /// - /// true if is found in the ; otherwise, false. - /// - /// The object to locate in the . - public virtual bool Contains(KeyValuePair item) + /// All the items in the dictionary + public override IEnumerable> GetItems() { - return _data.Contains(item); + if (_items == null) + { + _items = base.GetItems().OrderBy(x => x.Key).ToList(); + } + return _items; } /// - /// Copies the elements of the to an , starting at a particular index. + /// Gets a collection containing the keys of the dictionary /// - /// The one-dimensional that is the destination of the elements copied from . The must have zero-based indexing.The zero-based index in at which copying begins. is null. is less than 0.The number of elements in the source is greater than the available space from to the end of the destination . - public void CopyTo(KeyValuePair[] array, int arrayIndex) + public override ICollection Keys { - _data.CopyTo(array, arrayIndex); + get + { + if (_keys == null) + { + _keys = (_items == null ? base.Keys.OrderBy(x => x) : _items.Select(x => x.Key)).ToList(); + } + return _keys; + } } /// - /// Removes the first occurrence of a specific object from the . + /// Gets a collection containing the values of the dictionary /// - /// - /// true if was successfully removed from the ; otherwise, false. This method also returns false if is not found in the original . - /// - /// The object to remove from the .The is read-only. - public virtual bool Remove(KeyValuePair item) + public override ICollection Values { - return _data.Remove(item); + get + { + if (_values == null) + { + var items = _items == null + ? base.GetItems().OrderBy(x => x.Key) + : (IEnumerable>)_items; + _values = items.Select(x => x.Value).ToList(); + } + return _values; + } } /// - /// Gets the number of elements contained in the . + /// Gets a collection containing the keys in the dictionary /// - /// - /// The number of elements contained in the . - /// - public override int Count - { - get { return _data.Count; } - } + protected override IEnumerable GetKeys => Keys; /// - /// Gets a value indicating whether the is read-only. + /// Gets a collection containing the values in the dictionary /// - /// - /// true if the is read-only; otherwise, false. - /// - public override bool IsReadOnly - { - get { return _data.IsReadOnly; } - } + protected override IEnumerable GetValues => Values; /// - /// Determines whether the contains an element with the specified key. + /// Returns an enumerator that iterates through the dictionary /// - /// - /// true if the contains an element with the key; otherwise, false. - /// - /// The key to locate in the . is null. - public override bool ContainsKey(Symbol key) + /// An enumerator for the dictionary + public override IEnumerator> GetEnumerator() { - return _data.ContainsKey(key); + return GetItems().GetEnumerator(); } /// - /// Gets all the items in the dictionary + /// Removes all items from the dictionary /// - /// All the items in the dictionary - public override IEnumerable> GetItems() => _data; - - /// - /// Adds an element with the provided key and value to the . - /// - /// The object to use as the key of the element to add.The object to use as the value of the element to add. is null.An element with the same key already exists in the .The is read-only. - public virtual void Add(Symbol key, T value) + public override void Clear() { - _data.Add(key, value); + ClearCache(); + base.Clear(); } /// - /// Removes the element with the specified key from the . + /// Removes the value with the specified key /// - /// - /// true if the element is successfully removed; otherwise, false. This method also returns false if was not found in the original . - /// - /// The key of the element to remove. is null.The is read-only. + /// The key of the element to remove + /// true if the element was successfully found and removed; otherwise, false public override bool Remove(Symbol key) { - return _data.Remove(key); + ClearCache(); + return base.Remove(key); } /// - /// Gets the value associated with the specified key. + /// Removes the first occurrence of a specific object from the dictionary /// - /// - /// true if the object that implements contains an element with the specified key; otherwise, false. - /// - /// The key whose value to get.When this method returns, the value associated with the specified key, if the key is found; otherwise, the default value for the type of the parameter. This parameter is passed uninitialized. is null. - public override bool TryGetValue(Symbol key, out T value) + /// The key-value pair to remove + /// true if the key-value pair was successfully removed; otherwise, false + public override bool Remove(KeyValuePair item) { - return _data.TryGetValue(key, out value); + ClearCache(); + return base.Remove(item); } /// - /// Gets or sets the element with the specified key. + /// Adds an element with the provided key and value to the dictionary /// - /// - /// The element with the specified key. - /// - /// The key of the element to get or set. - /// is null. - /// The property is retrieved and is not found. - /// The property is set and the is read-only. - public override T this[Symbol symbol] + /// The key of the element to add + /// The value of the element to add + public override void Add(Symbol key, T value) { - get - { - T data; - if (TryGetValue(symbol, out data)) - { - return data; - } - CheckForImplicitlyCreatedSymbol(symbol); - throw new KeyNotFoundException($"'{symbol}' wasn't found in the {GetType().GetBetterTypeName()} object, likely because there was no-data at this moment in time and it wasn't possible to fillforward historical data. Please check the data exists before accessing it with data.ContainsKey(\"{symbol}\")"); - } - set - { - _data[symbol] = value; - } + ClearCache(); + base.Add(key, value); } /// - /// Gets an containing the keys of the . + /// Adds an element with the provided key-value pair to the dictionary /// - /// - /// An containing the keys of the object that implements . - /// - public ICollection Keys + /// The key-value pair to add + public override void Add(KeyValuePair item) { - get { return _data.Keys; } + ClearCache(); + base.Add(item); } - /// - /// Gets an containing the values in the . - /// - /// - /// An containing the values in the object that implements . - /// - public ICollection Values - { - get { return _data.Values; } - } - - /// - /// Gets an containing the Symbol objects of the . - /// - /// - /// An containing the Symbol objects of the object that implements . - /// - protected override IEnumerable GetKeys => Keys; - - /// - /// Gets an containing the values in the . - /// - /// - /// An containing the values in the object that implements . - /// - protected override IEnumerable GetValues => Values; - - /// - /// Gets the value associated with the specified key. - /// - /// The key whose value to get. - /// - /// The value associated with the specified key, if the key is found; otherwise, the default value for the type of the parameter. - /// - public virtual T GetValue(Symbol key) + [MethodImpl(MethodImplOptions.AggressiveInlining)] + private void ClearCache() { - T value; - TryGetValue(key, out value); - return value; + _items = null; + _keys = null; + _values = null; } } diff --git a/Common/Data/Market/FuturesContract.cs b/Common/Data/Market/FuturesContract.cs index 8bf0e11bfbaa..56918c97f530 100644 --- a/Common/Data/Market/FuturesContract.cs +++ b/Common/Data/Market/FuturesContract.cs @@ -80,7 +80,16 @@ public override long Volume { return (long)_universeData.Volume; } - return (long)(_tradeBar?.Volume ?? 0); + + if (_tradeBar == null && _tradeTick == null) + { + return 0L; + } + if (_tradeBar != null) + { + return (long)(_tradeTick != null && _tradeTick.EndTime > _tradeBar.EndTime ? _tradeTick.Quantity : _tradeBar.Volume); + } + return (long)_tradeTick.Quantity; } } @@ -101,7 +110,12 @@ public override decimal BidPrice } if (_quoteBar != null) { - return _quoteTick != null && _quoteTick.EndTime > _quoteBar.EndTime ? _quoteTick.BidPrice : _quoteBar.Bid.Close; + var quoteBarPrice = _quoteBar.Bid?.Close ?? decimal.Zero; + if (_quoteTick != null) + { + return _quoteTick.EndTime > _quoteBar.EndTime ? _quoteTick.BidPrice : quoteBarPrice; + } + return quoteBarPrice; } return _quoteTick.BidPrice; } @@ -143,7 +157,12 @@ public override decimal AskPrice } if (_quoteBar != null) { - return _quoteTick != null && _quoteTick.EndTime > _quoteBar.EndTime ? _quoteTick.AskPrice : _quoteBar.Ask.Close; + var quoteBarPrice = _quoteBar.Ask?.Close ?? decimal.Zero; + if (_quoteTick != null) + { + return _quoteTick.EndTime > _quoteBar.EndTime ? _quoteTick.AskPrice : quoteBarPrice; + } + return quoteBarPrice; } return _quoteTick.AskPrice; } diff --git a/Common/Data/Market/SessionBar.cs b/Common/Data/Market/SessionBar.cs index b544a17dcaf9..03c050b8b08f 100644 --- a/Common/Data/Market/SessionBar.cs +++ b/Common/Data/Market/SessionBar.cs @@ -51,6 +51,23 @@ public class SessionBar : TradeBar /// public override decimal Close => _bar?.Close ?? 0m; + /// + /// The closing time of this bar, computed via the Time and Period + /// + public override DateTime EndTime + { + get + { + if (Time == DateTime.MaxValue) + { + // Prevent overflow from Time + Period when Time is DateTime.MaxValue + return Time; + } + + return base.EndTime; + } + } + /// /// The period of this session bar /// diff --git a/Common/Data/Slice.cs b/Common/Data/Slice.cs index d7009e3342f4..18c5a3ade2fb 100644 --- a/Common/Data/Slice.cs +++ b/Common/Data/Slice.cs @@ -54,7 +54,7 @@ public class Slice : ExtendedDictionary, IEnumerable /// All the data hold in this slice /// - public List AllData { get; private set; } + public IEnumerable AllData { get; private set; } /// /// Gets the timestamp for this slice of data @@ -571,19 +571,21 @@ public void MergeSlice(Slice inputSlice) _symbolChangedEvents = (SymbolChangedEvents)UpdateCollection(_symbolChangedEvents, inputSlice.SymbolChangedEvents); _marginInterestRates = (MarginInterestRates)UpdateCollection(_marginInterestRates, inputSlice.MarginInterestRates); - if (inputSlice.AllData.Count != 0) + var ourDataList = (List)AllData; + var othersDataList = (List)inputSlice.AllData; + if (othersDataList.Count != 0) { - if (AllData.Count == 0) + if (ourDataList.Count == 0) { - AllData = inputSlice.AllData; + AllData = othersDataList; _data = inputSlice._data; } else { // Should keep this._rawDataList last so that selected data points are not overriden // while creating _data - inputSlice.AllData.AddRange(AllData); - AllData = inputSlice.AllData; + othersDataList.AddRange(ourDataList); + AllData = othersDataList; _data = new Lazy>(() => CreateDynamicDataDictionary(AllData)); } } diff --git a/Common/Data/SubscriptionDataConfigExtensions.cs b/Common/Data/SubscriptionDataConfigExtensions.cs index d87c83a5ca02..2a47c5788f50 100644 --- a/Common/Data/SubscriptionDataConfigExtensions.cs +++ b/Common/Data/SubscriptionDataConfigExtensions.cs @@ -1,4 +1,4 @@ -/* +/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * @@ -160,6 +160,14 @@ public static bool EmitSplitsAndDividends(this SubscriptionDataConfig config) return !config.IsCustomData && !config.Symbol.Value.Contains("UNIVERSE") && config.SecurityType == SecurityType.Equity; } + /// + /// True if this configuration is associated with an asset which can have delisting events + /// + public static bool CanBeDelisted(this SubscriptionDataConfig config) + { + return config.SecurityType.IsOption() || config.SecurityType == SecurityType.Future || config.SecurityType == SecurityType.Equity; + } + /// /// Initializes a new instance of the type defined in with the symbol properly set /// diff --git a/Common/Data/SubscriptionManager.cs b/Common/Data/SubscriptionManager.cs index eb27871e039e..682f79be85ac 100644 --- a/Common/Data/SubscriptionManager.cs +++ b/Common/Data/SubscriptionManager.cs @@ -216,11 +216,10 @@ public void AddConsolidator(Symbol symbol, IDataConsolidator consolidator, TickT /// The custom python consolidator public void AddConsolidator(Symbol symbol, PyObject pyConsolidator) { - if (!pyConsolidator.TryConvert(out IDataConsolidator consolidator)) - { - consolidator = new DataConsolidatorPythonWrapper(pyConsolidator); - } - + var consolidator = PythonUtil.CreateInstanceOrWrapper( + pyConsolidator, + py => new DataConsolidatorPythonWrapper(py) + ); AddConsolidator(symbol, consolidator); } diff --git a/Common/Exceptions/StackExceptionInterpreter.cs b/Common/Exceptions/StackExceptionInterpreter.cs index 04892d06f365..315a2d612db4 100644 --- a/Common/Exceptions/StackExceptionInterpreter.cs +++ b/Common/Exceptions/StackExceptionInterpreter.cs @@ -15,6 +15,7 @@ using System; using System.Linq; +using QuantConnect.Util; using System.Reflection; using QuantConnect.Logging; using System.Collections.Generic; @@ -32,7 +33,7 @@ public class StackExceptionInterpreter : IExceptionInterpreter /// Stack interpreter instance /// public static readonly Lazy Instance = new Lazy( - () => StackExceptionInterpreter.CreateFromAssemblies(AppDomain.CurrentDomain.GetAssemblies())); + () => StackExceptionInterpreter.CreateFromAssemblies()); /// /// Determines the order that an instance of this class should be called @@ -111,23 +112,15 @@ public string GetExceptionMessageHeader(Exception exception) /// /// Creates a new by loading implementations with default constructors from the specified assemblies /// - /// The assemblies to scan /// A new containing interpreters from the specified assemblies - public static StackExceptionInterpreter CreateFromAssemblies(IEnumerable assemblies) + public static StackExceptionInterpreter CreateFromAssemblies() { var interpreters = - from assembly in assemblies.Where(x => - (!x.FullName?.StartsWith("System.", StringComparison.InvariantCultureIgnoreCase) ?? false) - && (!x.FullName?.StartsWith("Microsoft.", StringComparison.InvariantCultureIgnoreCase) ?? false)) - from type in assembly.GetTypes() - // ignore non-public and non-instantiable abstract types - where type.IsPublic && !type.IsAbstract // type implements IExceptionInterpreter - where typeof(IExceptionInterpreter).IsAssignableFrom(type) - // type is not mocked with MOQ library - where type.FullName != null && !type.FullName.StartsWith("Castle.Proxies.ObjectProxy", StringComparison.InvariantCultureIgnoreCase) + from type in Composer.Instance.GetExportedTypes() + // ignore non-public and non-instantiable abstract types // type has default parameterless ctor - where type.GetConstructor(new Type[0]) != null + where type.IsPublic && !type.IsAbstract && type.GetConstructor([]) != null // provide guarantee of deterministic ordering orderby type.FullName select (IExceptionInterpreter) Activator.CreateInstance(type); diff --git a/Common/Extensions.cs b/Common/Extensions.cs index 9ecf5dcc33ca..0c45efb93aa1 100644 --- a/Common/Extensions.cs +++ b/Common/Extensions.cs @@ -60,6 +60,8 @@ using QuantConnect.Statistics; using Newtonsoft.Json.Linq; using QuantConnect.Orders.Fees; +using Newtonsoft.Json.Serialization; +using QuantConnect.Api; namespace QuantConnect { @@ -87,6 +89,22 @@ private static readonly Dictionary PythonActivators /// private static readonly ZoneLocalMappingResolver _mappingResolver = Resolvers.CreateMappingResolver(Resolvers.ReturnLater, Resolvers.ReturnStartOfIntervalAfter); + /// + /// Json converter deserializer for streams + /// + private static readonly JsonSerializer JsonSerializer = new() + { + Converters = { new LiveAlgorithmResultsJsonConverter(), new OrderJsonConverter() }, + ContractResolver = new DefaultContractResolver + { + NamingStrategy = new CamelCaseNamingStrategy + { + ProcessDictionaryKeys = false, + OverrideSpecifiedNames = true + } + } + }; + /// /// The offset span from the market close to liquidate or exercise a security on the delisting date /// @@ -262,33 +280,54 @@ public static List DeserializeList(this string jsonArray) /// /// The http client to use /// The url to download data from + /// The downloaded data + /// The request status code /// Add custom headers for the request - public static string DownloadData(this HttpClient client, string url, Dictionary headers = null) + public static bool TryDownloadData(this HttpClient client, string url, out string data, out HttpStatusCode? statusCode, Dictionary headers = null) { + data = null; + statusCode = null; + using var request = new HttpRequestMessage(HttpMethod.Get, url); if (headers != null) { foreach (var kvp in headers) { - client.DefaultRequestHeaders.Add(kvp.Key, kvp.Value); + request.Headers.TryAddWithoutValidation(kvp.Key, kvp.Value); } } try { - using (var response = client.GetAsync(url).Result) + using var response = client.SendAsync(request).SynchronouslyAwaitTaskResult(); + statusCode = response.StatusCode; + + if (!response.IsSuccessStatusCode) { - using (var content = response.Content) - { - return content.ReadAsStringAsync().Result; - } + Log.Error($"DownloadData(): {Messages.Extensions.DownloadDataFailed(url)}. Status code: {response.StatusCode}"); + return false; } + + data = response.Content.ReadAsStringAsync().SynchronouslyAwaitTaskResult(); + return true; } catch (WebException ex) { Log.Error(ex, $"DownloadData(): {Messages.Extensions.DownloadDataFailed(url)}"); - return null; + return false; } } + /// + /// Helper method to download a provided url as a string + /// + /// The http client to use + /// The url to download data from + /// Add custom headers for the request + public static string DownloadData(this HttpClient client, string url, Dictionary headers = null) + { + client.TryDownloadData(url, out var data, out _, headers); + return data; + } + /// /// Helper method to download a provided url as a string /// @@ -903,6 +942,62 @@ public static byte[] GetBytes(this Stream stream) return memoryStream.ToArray(); } + /// + /// Deserialize a json stream into an object of type T + /// + /// The stream to deserialize + /// The json serializer to use + /// Whether to leave the source stream open + /// The deserialized object + public static T DeserializeJson(this Stream stream, JsonSerializer serializer = null, bool leaveOpen = true) + { + using var streamReader = new StreamReader(stream, leaveOpen: leaveOpen); + using var jsonReader = new JsonTextReader(streamReader); + return (serializer ?? JsonSerializer).Deserialize(jsonReader); + } + + /// + /// Deserialize a json stream into an object of type T + /// + /// The string to deserialize + /// The json serializer to use + /// The deserialized object + public static T DeserializeJson(this string content, JsonSerializer serializer = null) + { + using var stringReader = new StringReader(content); + using var jsonReader = new JsonTextReader(stringReader); + return (serializer ?? JsonSerializer).Deserialize(jsonReader); + } + + /// + /// Serialize an object of type T into a json stream + /// + /// The object to serialize + /// The stream to serialize the object to + /// The json serializer to use + public static void SerializeJsonToStream(this T value, Stream target, JsonSerializer serializer = null) + { + using var writer = new StreamWriter(target, leaveOpen: true); + using var jsonWriter = new JsonTextWriter(writer); + (serializer ?? JsonSerializer).Serialize(jsonWriter, value); + jsonWriter.Flush(); + target.Position = 0; + } + + /// + /// Serialize an object of type T into a json stream + /// + /// The object to serialize + /// The json serializer to use + /// The serialized string + public static string SerializeJsonToString(this T value, JsonSerializer serializer = null) + { + using var stringWriter = new StringWriter(); + using var jsonWriter = new JsonTextWriter(stringWriter); + (serializer ?? JsonSerializer).Serialize(jsonWriter, value); + return stringWriter.ToString(); + } + /// /// Extentsion method to clear all items from a thread safe queue /// diff --git a/Common/Global.cs b/Common/Global.cs index c03edebed771..60fd027d4411 100644 --- a/Common/Global.cs +++ b/Common/Global.cs @@ -443,19 +443,39 @@ public enum AccountType /// public enum MarketDataType { + /// /// Base market data type (0) + /// Base, + + /// /// TradeBar market data type (OHLC summary bar) (1) + /// TradeBar, + + /// /// Tick market data type (price-time pair) (2) + /// Tick, + + /// /// Data associated with an instrument (3) + /// Auxiliary, + + /// /// QuoteBar market data type (4) [Bid(OHLC), Ask(OHLC) and Mid(OHLC) summary bar] + /// QuoteBar, + + /// /// Option chain data (5) + /// OptionChain, + + /// /// Futures chain data (6) + /// FuturesChain } @@ -464,13 +484,24 @@ public enum MarketDataType /// public enum DataFeedEndpoint { + /// /// Backtesting Datafeed Endpoint (0) + /// Backtesting, + + /// /// Loading files off the local system (1) + /// FileSystem, + + /// /// Getting datafeed from a QC-Live-Cloud (2) + /// LiveTrading, + + /// /// Database (3) + /// Database } @@ -479,10 +510,14 @@ public enum DataFeedEndpoint /// public enum StoragePermissions { + /// /// Public Storage Permissions (0) + /// Public, + /// /// Authenticated Read Storage Permissions (1) + /// Authenticated } @@ -492,11 +527,19 @@ public enum StoragePermissions /// QuantConnect currently only has trade, quote, open interest tick data. public enum TickType { + /// /// Trade type tick object (0) - Trade , + /// + Trade, + + /// /// Quote type tick object (1) + /// Quote, + + /// /// Open Interest type tick object (for options, futures) (2) + /// OpenInterest } @@ -538,15 +581,29 @@ public enum SplitType /// Always sort the enum from the smallest to largest resolution public enum Resolution { + /// /// Tick Resolution (0) + /// Tick, + + /// /// Second Resolution (1) + /// Second, + + /// /// Minute Resolution (2) + /// Minute, + + /// /// Hour Resolution (3) + /// Hour, + + /// /// Daily Resolution (4) + /// Daily } @@ -662,29 +719,64 @@ public AlgorithmControl() /// public enum AlgorithmStatus { + /// /// Error compiling algorithm at start (0) + /// DeployError, + + /// /// Waiting for a server (1) + /// InQueue, + + /// /// Running algorithm (2) + /// Running, + + /// /// Stopped algorithm or exited with runtime errors (3) + /// Stopped, + + /// /// Liquidated algorithm (4) + /// Liquidated, + + /// /// Algorithm has been deleted (5) + /// Deleted, + + /// /// Algorithm completed running (6) + /// Completed, + + /// /// Runtime Error Stoped Algorithm (7) + /// RuntimeError, + + /// /// Error in the algorithm id (not used) (8) + /// Invalid, + + /// /// The algorithm is logging into the brokerage (9) + /// LoggingIn, + + /// /// The algorithm is initializing (10) + /// Initializing, + + /// /// History status update (11) + /// History } @@ -745,33 +837,74 @@ public enum WritePolicy /// public enum Period { + /// /// Period Short Codes - 10 + /// TenSeconds = 10, + + /// /// Period Short Codes - 30 Second + /// ThirtySeconds = 30, + + /// /// Period Short Codes - 60 Second + /// OneMinute = 60, + + /// /// Period Short Codes - 120 Second + /// TwoMinutes = 120, + + /// /// Period Short Codes - 180 Second + /// ThreeMinutes = 180, + + /// /// Period Short Codes - 300 Second + /// FiveMinutes = 300, + + /// /// Period Short Codes - 600 Second + /// TenMinutes = 600, + + /// /// Period Short Codes - 900 Second + /// FifteenMinutes = 900, + + /// /// Period Short Codes - 1200 Second + /// TwentyMinutes = 1200, + + /// /// Period Short Codes - 1800 Second + /// ThirtyMinutes = 1800, + + /// /// Period Short Codes - 3600 Second + /// OneHour = 3600, + + /// /// Period Short Codes - 7200 Second + /// TwoHours = 7200, + + /// /// Period Short Codes - 14400 Second + /// FourHours = 14400, + + /// /// Period Short Codes - 21600 Second + /// SixHours = 21600 } diff --git a/Common/Interfaces/IAlgorithm.cs b/Common/Interfaces/IAlgorithm.cs index 4fb640376b27..4534c2fd6eed 100644 --- a/Common/Interfaces/IAlgorithm.cs +++ b/Common/Interfaces/IAlgorithm.cs @@ -33,6 +33,7 @@ using QuantConnect.Algorithm.Framework.Alphas; using QuantConnect.Algorithm.Framework.Alphas.Analysis; using QuantConnect.Commands; +using Common.Util; namespace QuantConnect.Interfaces { @@ -429,7 +430,7 @@ InsightManager Insights /// /// Gets a read-only dictionary with all current parameters /// - IReadOnlyDictionary GetParameters(); + ReadOnlyExtendedDictionary GetParameters(); /// /// Gets the parameter with the specified name. If a parameter with the specified name does not exist, @@ -839,9 +840,23 @@ Security AddSecurity(Symbol symbol, Resolution? resolution = null, bool fillForw /// Get the last known price using the history provider. /// Useful for seeding securities with the correct price /// - /// object for which to retrieve historical data + /// The symbol for which to retrieve historical data /// A single object with the last known price - BaseData GetLastKnownPrice(Security security); + BaseData GetLastKnownPrice(Symbol symbol); + + /// + /// Yields data to warmup a security for all it's subscribed data types + /// + /// The symbol for which to retrieve historical data + /// Securities historical data + IEnumerable GetLastKnownPrices(Symbol symbol); + + /// + /// Yields data to warm up multiple securities for all their subscribed data types + /// + /// The symbols we want to get seed data for + /// Securities historical data + DataDictionary> GetLastKnownPrices(IEnumerable symbols); /// /// Set the runtime error diff --git a/Common/Interfaces/IAlgorithmSettings.cs b/Common/Interfaces/IAlgorithmSettings.cs index e30072063e1f..7e71531f1078 100644 --- a/Common/Interfaces/IAlgorithmSettings.cs +++ b/Common/Interfaces/IAlgorithmSettings.cs @@ -143,5 +143,10 @@ public interface IAlgorithmSettings /// Performance tracking sample period to use if any, useful to debug performance issues /// TimeSpan PerformanceSamplePeriod { get; set; } + + /// + /// Determines whether to seed initial prices for all selected and manually added securities. + /// + bool SeedInitialPrices { get; set; } } } diff --git a/Common/Interfaces/ISecurityService.cs b/Common/Interfaces/ISecurityService.cs index 5d7f362f389d..466fcb8c7cc1 100644 --- a/Common/Interfaces/ISecurityService.cs +++ b/Common/Interfaces/ISecurityService.cs @@ -34,7 +34,8 @@ Security CreateSecurity(Symbol symbol, List subscriptionDataConfigList, decimal leverage = 0, bool addToSymbolCache = true, - Security underlying = null); + Security underlying = null, + bool seedSecurity = true); /// /// Creates a new security @@ -45,7 +46,8 @@ Security CreateSecurity(Symbol symbol, SubscriptionDataConfig subscriptionDataConfig, decimal leverage = 0, bool addToSymbolCache = true, - Security underlying = null); + Security underlying = null, + bool seedSecurity = true); /// /// Creates a new benchmark security diff --git a/Common/Market.cs b/Common/Market.cs index b2a1692cbd68..e4745023ce2f 100644 --- a/Common/Market.cs +++ b/Common/Market.cs @@ -70,7 +70,8 @@ public static class Market Tuple.Create(Coinbase, 38), Tuple.Create(InteractiveBrokers, 39), Tuple.Create(EUREX, 40), - Tuple.Create(OSE, 41) + Tuple.Create(OSE, 41), + Tuple.Create(DYDX, 42) }; static Market() @@ -261,6 +262,11 @@ static Market() /// public const string InteractiveBrokers = "interactivebrokers"; + /// + /// dYdX market + /// + public const string DYDX = "dydx"; + /// /// Adds the specified market to the map of available markets with the specified identifier. /// diff --git a/Common/Messages/Messages.Orders.cs b/Common/Messages/Messages.Orders.cs index 1562593b46ce..47033d5192eb 100644 --- a/Common/Messages/Messages.Orders.cs +++ b/Common/Messages/Messages.Orders.cs @@ -527,7 +527,7 @@ public static string ToString(Orders.SubmitOrderRequest request) { // create a proxy order object to steal its ToString method var proxy = Orders.Order.CreateOrder(request); - return Invariant($"{request.Time} UTC: Submit Order: ({request.OrderId}) - {proxy} {request.Tag} Status: {request.Status}"); + return Invariant($"{request.Time} UTC: Submit Order: ({request.OrderId}) - {proxy} {request.Tag} Status: {request.Status} Async: {request.Asynchronous}"); } } diff --git a/Common/Orders/Fees/dYdXFeeModel.cs b/Common/Orders/Fees/dYdXFeeModel.cs new file mode 100644 index 000000000000..4a9163c5aa74 --- /dev/null +++ b/Common/Orders/Fees/dYdXFeeModel.cs @@ -0,0 +1,93 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. + */ + +using QuantConnect.Securities; +using QuantConnect.Util; + +namespace QuantConnect.Orders.Fees; + +/// +/// dYdX fee model implementation +/// +public class dYdXFeeModel : FeeModel +{ + /// + /// Tier 1 maker fees + /// https://dydx.trade/portfolio/fees + /// + private const decimal MakerTier1Fee = 0.0001m; + + /// + /// Tier 1 taker fees + /// https://dydx.trade/portfolio/fees + /// + private const decimal TakerTier1Fee = 0.0005m; + + private readonly decimal _makerFee; + private readonly decimal _takerFee; + + /// + /// Creates Binance fee model setting fees values + /// + /// Maker fee value + /// Taker fee value + public dYdXFeeModel(decimal mFee = MakerTier1Fee, decimal tFee = TakerTier1Fee) + { + _makerFee = mFee; + _takerFee = tFee; + } + + /// + /// Gets the order fee associated with the specified order. + /// + /// A object + /// containing the security and order + /// The cost of the order in a instance + public override OrderFee GetOrderFee(OrderFeeParameters parameters) + { + var security = parameters.Security; + var order = parameters.Order; + + var fee = GetFee(order); + var positionValue = security.Holdings.GetQuantityValue(order.AbsoluteQuantity, security.Price); + + return new OrderFee(new CashAmount(positionValue.Amount * fee, positionValue.Cash.Symbol)); + } + + /// + /// Gets the fee factor for the given order + /// + /// The order to get the fee factor for + /// The fee factor for the given order + protected virtual decimal GetFee(Order order) + { + return GetFee(order, _makerFee, _takerFee); + } + + private static decimal GetFee(Order order, decimal makerFee, decimal takerFee) + { + // apply fee factor, currently we do not model 30-day volume, so we use the first tier + var fee = takerFee; + var props = order.Properties as dYdXOrderProperties; + + if (order.Type == OrderType.Limit && (props is { PostOnly: true } || !order.IsMarketable)) + { + // limit order posted to the order book + fee = makerFee; + } + + return fee; + } +} diff --git a/Common/Orders/dYdXOrderProperties.cs b/Common/Orders/dYdXOrderProperties.cs new file mode 100644 index 000000000000..3f646c9a9277 --- /dev/null +++ b/Common/Orders/dYdXOrderProperties.cs @@ -0,0 +1,86 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. + */ + +using QuantConnect.Interfaces; + +namespace QuantConnect.Orders +{ + /// + /// Contains additional properties and settings for an order submitted to Binance brokerage + /// + public class dYdXOrderProperties : OrderProperties + { + /// + /// This flag will ensure the order executes only as a maker (no fee) order. + /// If part of the order results in taking liquidity rather than providing, + /// it will be rejected and no part of the order will execute. + /// Note: this flag is only applied to Limit orders. + /// + public bool PostOnly + { + get; + set + { + if (value && IOC) + { + throw new System.InvalidOperationException("Cannot set PostOnly when IOC is already set. Only one execution type can be active at a time."); + } + field = value; + } + } + + /// + /// Enforces that an order only be placed + /// on the book as a maker order. Note this means that validators will cancel + /// any newly placed post only orders that would cross with other maker + /// orders. + /// + public bool IOC + { + get; + set + { + if (value && PostOnly) + { + throw new System.InvalidOperationException("Cannot set IOC when PostOnly is already set. Only one execution type can be active at a time."); + } + field = value; + } + } + + /// + /// The maximum amount of gas to use for the order. + /// + public ulong GasLimit { get; set; } = 1_000_000; + + /// + /// If you send a reduce-only order, it will only trade if it decreases your position size. + /// + public bool ReduceOnly { get; set; } + + /// + /// The block height at which the order expires. + /// + public uint GoodTilBlockOffset { get; set; } = 20; + + /// + /// Returns a new instance clone of this object + /// + public override IOrderProperties Clone() + { + return (dYdXOrderProperties)MemberwiseClone(); + } + } +} diff --git a/Common/Packets/BacktestResultPacket.cs b/Common/Packets/BacktestResultPacket.cs index 7a6e2317dd78..6a33c47e1465 100644 --- a/Common/Packets/BacktestResultPacket.cs +++ b/Common/Packets/BacktestResultPacket.cs @@ -208,11 +208,6 @@ public class BacktestResult : Result /// public Dictionary RollingWindow { get; set; } = new Dictionary(); - /// - /// Rolling window detailed statistics. - /// - public AlgorithmPerformance TotalPerformance { get; set; } - /// /// Default Constructor /// @@ -226,7 +221,6 @@ public BacktestResult() public BacktestResult(BacktestResultParameters parameters) : base(parameters) { RollingWindow = parameters.RollingWindow; - TotalPerformance = parameters.TotalPerformance; } } } // End of Namespace: diff --git a/Common/Packets/BacktestResultParameters.cs b/Common/Packets/BacktestResultParameters.cs index 31a89506876a..7481750c5617 100644 --- a/Common/Packets/BacktestResultParameters.cs +++ b/Common/Packets/BacktestResultParameters.cs @@ -18,7 +18,6 @@ using QuantConnect.Orders; using QuantConnect.Statistics; using System.Collections.Generic; -using QuantConnect.Securities.Positions; namespace QuantConnect.Packets { @@ -32,10 +31,6 @@ public class BacktestResultParameters : BaseResultParameters /// public Dictionary RollingWindow { get; set; } - /// - /// Rolling window detailed statistics. - /// - public AlgorithmPerformance TotalPerformance { get; set; } /// /// Creates a new instance /// @@ -49,10 +44,9 @@ public BacktestResultParameters(IDictionary charts, AlgorithmPerformance totalPerformance = null, AlgorithmConfiguration algorithmConfiguration = null, IDictionary state = null) - : base(charts, orders, profitLoss, statistics, runtimeStatistics, orderEvents, algorithmConfiguration, state) + : base(charts, orders, profitLoss, statistics, runtimeStatistics, orderEvents, totalPerformance, algorithmConfiguration, state) { RollingWindow = rollingWindow; - TotalPerformance = totalPerformance; } } } diff --git a/Common/Packets/BaseResultParameters.cs b/Common/Packets/BaseResultParameters.cs index fcf6cfe2d8c3..e75c7001c412 100644 --- a/Common/Packets/BaseResultParameters.cs +++ b/Common/Packets/BaseResultParameters.cs @@ -14,8 +14,9 @@ * */ -using System; using QuantConnect.Orders; +using QuantConnect.Statistics; +using System; using System.Collections.Generic; namespace QuantConnect.Packets @@ -65,6 +66,11 @@ public class BaseResultParameters /// public AlgorithmConfiguration AlgorithmConfiguration { get; set; } + /// + /// Rolling window detailed statistics. + /// + public AlgorithmPerformance TotalPerformance { get; set; } + /// /// Creates a new instance /// @@ -74,6 +80,7 @@ public BaseResultParameters(IDictionary charts, IDictionary statistics, IDictionary runtimeStatistics, List orderEvents, + AlgorithmPerformance totalPerformance = null, AlgorithmConfiguration algorithmConfiguration = null, IDictionary state = null) { @@ -85,6 +92,7 @@ public BaseResultParameters(IDictionary charts, OrderEvents = orderEvents; AlgorithmConfiguration = algorithmConfiguration; State = state; + TotalPerformance = totalPerformance; } } } diff --git a/Common/Packets/LiveResultPacket.cs b/Common/Packets/LiveResultPacket.cs index f054c61beb87..38d032328a62 100644 --- a/Common/Packets/LiveResultPacket.cs +++ b/Common/Packets/LiveResultPacket.cs @@ -14,13 +14,13 @@ * */ -using System; -using System.Linq; using Newtonsoft.Json; -using QuantConnect.Orders; using QuantConnect.Logging; +using QuantConnect.Orders; using QuantConnect.Securities; +using System; using System.Collections.Generic; +using System.Linq; namespace QuantConnect.Packets { @@ -109,7 +109,7 @@ public static LiveResultPacket CreateEmpty(LiveNodePacket job) return new LiveResultPacket(job, new LiveResult(new LiveResultParameters( new Dictionary(), new Dictionary(), new Dictionary(), new Dictionary(), new CashBook(), new Dictionary(), - new SortedDictionary(), new List(), new Dictionary(), + new SortedDictionary(), new List(), null, new Dictionary(), new AlgorithmConfiguration(), new Dictionary()))); } } // End Queue Packet: diff --git a/Common/Packets/LiveResultParameters.cs b/Common/Packets/LiveResultParameters.cs index cc4b4a3b2b2f..60e14fa246ea 100644 --- a/Common/Packets/LiveResultParameters.cs +++ b/Common/Packets/LiveResultParameters.cs @@ -14,9 +14,10 @@ * */ -using System; using QuantConnect.Orders; using QuantConnect.Securities; +using QuantConnect.Statistics; +using System; using System.Collections.Generic; namespace QuantConnect.Packets @@ -52,10 +53,11 @@ public LiveResultParameters(IDictionary charts, IDictionary statistics, IDictionary runtimeStatistics, List orderEvents, + AlgorithmPerformance totalPerformance = null, IDictionary serverStatistics = null, AlgorithmConfiguration algorithmConfiguration = null, IDictionary state = null) - : base(charts, orders, profitLoss, statistics, runtimeStatistics, orderEvents, algorithmConfiguration, state) + : base(charts, orders, profitLoss, statistics, runtimeStatistics, orderEvents, totalPerformance, algorithmConfiguration, state) { Holdings = holdings; CashBook = cashBook; diff --git a/Common/Packets/Packet.cs b/Common/Packets/Packet.cs index 831d0c44a195..f4b308663cd6 100644 --- a/Common/Packets/Packet.cs +++ b/Common/Packets/Packet.cs @@ -51,160 +51,264 @@ public Packet(PacketType type) [JsonConverter(typeof(StringEnumConverter))] public enum PacketType { + /// /// Default, unset: + /// None, + /// /// Base type for backtest and live work + /// AlgorithmNode, + /// /// Autocomplete Work Packet + /// AutocompleteWork, + /// /// Result of the Autocomplete Job: + /// AutocompleteResult, + /// /// Controller->Backtest Node Packet: + /// BacktestNode, + /// /// Packet out of backtest node: + /// BacktestResult, + /// /// API-> Controller Work Packet: + /// BacktestWork, + /// /// Controller -> Live Node Packet: + /// LiveNode, + /// /// Live Node -> User Packet: + /// LiveResult, + /// /// API -> Controller Packet: + /// LiveWork, + /// /// Node -> User Algo Security Types + /// SecurityTypes, + /// /// Controller -> User Error in Backtest Settings: + /// BacktestError, + /// /// Nodes -> User Algorithm Status Packet: + /// AlgorithmStatus, + /// /// API -> Compiler Work Packet: + /// BuildWork, + /// /// Compiler -> User Build Success + /// BuildSuccess, + /// /// Compiler -> User, Compile Error + /// BuildError, + /// /// Node -> User Algorithm Runtime Error + /// RuntimeError, + /// /// Error is an internal handled error packet inside users algorithm + /// HandledError, + /// /// Nodes -> User Log Message + /// Log, + /// /// Nodes -> User Debug Message + /// Debug, + /// /// Nodes -> User, Order Update Event + /// OrderEvent, + /// /// Boolean true/false success + /// Success, + /// /// History live job packets + /// History, + /// /// Result from a command + /// CommandResult, + /// /// Hook from git hub + /// GitHubHook, + /// /// Documentation result from docs server + /// DocumentationResult, + /// /// Documentation request to the docs server + /// Documentation, + /// /// Debug packet generated by Lean + /// SystemDebug, + /// /// Packet containing insights generated by the algorithm + /// AlphaResult, + /// /// Alpha API -> Controller packet + /// AlphaWork, + /// /// Alpha Controller -> Alpha Node packet + /// AlphaNode, + /// /// Packet containing list of algorithms to run as a regression test + /// RegressionAlgorithm, + /// /// Packet containing a heartbeat + /// AlphaHeartbeat, + /// /// Used when debugging to send status updates + /// DebuggingStatus, + /// /// Optimization Node Packet: + /// OptimizationNode, + /// /// Optimization Estimate Packet: + /// OptimizationEstimate, + /// /// Optimization work status update + /// OptimizationStatus, + /// /// Optimization work result + /// OptimizationResult, + /// /// Aggregated packets + /// Aggregated, + /// /// Query the language model + /// LanguageModelQuery, + /// /// Send feedback to a language model response + /// LanguageModelFeedback, + /// /// The language models response + /// LanguageModelResponse, + /// /// Language model code analysis + /// LanguageModelCodeAnalysis, + /// /// Language model chat work + /// LanguageModelChatWork, + /// /// Language model chat response + /// LanguageModelChatResponse, + /// /// Algorithm name update + /// AlgorithmNameUpdate, + /// /// Algorithm tags update + /// AlgorithmTagsUpdate, + /// /// Research job packet + /// ResearchNode, + /// /// Organization update + /// OrganizationUpdate, + /// /// Compiler -> User Build Warnings + /// BuildWarning, + /// /// Language model function call related packet + /// LanguageModelFunctionCall, + /// /// Language model agent message + /// LanguageModelAgentMessage, } } diff --git a/Common/Python/BasePythonWrapper.cs b/Common/Python/BasePythonWrapper.cs index 956a5ca6b2ea..956c20c90593 100644 --- a/Common/Python/BasePythonWrapper.cs +++ b/Common/Python/BasePythonWrapper.cs @@ -15,7 +15,6 @@ using System; using Python.Runtime; -using QuantConnect.Util; using System.Collections.Generic; namespace QuantConnect.Python @@ -30,7 +29,7 @@ public class BasePythonWrapper : IEquatable _pythonMethods; private Dictionary _pythonPropertyNames; - private readonly bool _validateInterface; + private bool _validateInterface; /// /// Gets the underlying python instance @@ -43,8 +42,6 @@ public class BasePythonWrapper : IEquatableWhether to perform validations for interface implementation public BasePythonWrapper(bool validateInterface = true) { - _pythonMethods = new(); - _pythonPropertyNames = new(); _validateInterface = validateInterface; } @@ -65,14 +62,34 @@ public BasePythonWrapper(PyObject instance, bool validateInterface = true) /// The underlying python instance public void SetPythonInstance(PyObject instance) { - if (_instance != null) + InitializeContainers(); + + _instance = _validateInterface ? instance.ValidateImplementationOf() : instance; + _instance.TryConvert(out _underlyingClrObject); + } + + /// + /// Sets the python instance and sets the validate interface flag + /// + /// The underlying python instance + /// Whether to perform validations for interface implementation + protected void SetPythonInstance(PyObject instance, bool validateInterface) + { + _validateInterface = validateInterface; + SetPythonInstance(instance); + } + + private void InitializeContainers() + { + if (_pythonMethods != null && _pythonPropertyNames != null) { _pythonMethods.Clear(); _pythonPropertyNames.Clear(); + return; } - _instance = _validateInterface ? instance.ValidateImplementationOf() : instance; - _instance.TryConvert(out _underlyingClrObject); + _pythonMethods = new(); + _pythonPropertyNames = new(); } /// @@ -131,12 +148,13 @@ public bool HasAttr(string name) /// Gets the Python instances method with the specified name and caches it /// /// The name of the method + /// Whether to only return python methods /// The matched method - public PyObject GetMethod(string methodName) + public PyObject GetMethod(string methodName, bool pythonOnly = false) { if (!_pythonMethods.TryGetValue(methodName, out var method)) { - method = _instance.GetMethod(methodName); + method = pythonOnly ? _instance.GetPythonMethod(methodName) : _instance.GetMethod(methodName); _pythonMethods = AddToDictionary(_pythonMethods, methodName, method); } @@ -331,6 +349,7 @@ private bool Equals(PyObject other) return PythonReferenceComparer.Instance.Equals(_instance, other); } + /// /// Dispose of this instance /// @@ -348,6 +367,31 @@ public virtual void Dispose() _instance?.Dispose(); } + /// + /// Attempts to invoke the method if it has been overridden in Python. + /// + /// The expected return type of the Python method. + /// The name of the method to call on the Python instance. + /// When this method returns, contains the method result if the call succeeded. + /// The arguments to pass to the Python method. + /// true if the Python method was successfully invoked, otherwise, false. + protected bool TryInvokePythonOverride(string methodName, out T result, params object[] args) + { + + if (_instance != null) + { + var method = GetMethod(methodName, true); + if (method != null) + { + result = PythonRuntimeChecker.InvokeMethod(method, methodName, args); + return true; + } + } + + result = default; + return false; + } + /// /// Set of helper methods to invoke Python methods with runtime checks for return values and out parameter's conversions. /// diff --git a/Common/Python/DividendYieldModelPythonWrapper.cs b/Common/Python/DividendYieldModelPythonWrapper.cs index 513058857ee6..25a300392ff4 100644 --- a/Common/Python/DividendYieldModelPythonWrapper.cs +++ b/Common/Python/DividendYieldModelPythonWrapper.cs @@ -16,6 +16,7 @@ using System; using Python.Runtime; using QuantConnect.Data; +using QuantConnect.Util; namespace QuantConnect.Python { @@ -62,11 +63,10 @@ public decimal GetDividendYield(DateTime date, decimal securityPrice) /// The converted instance public static IDividendYieldModel FromPyObject(PyObject model) { - if (!model.TryConvert(out IDividendYieldModel dividendYieldModel)) - { - dividendYieldModel = new DividendYieldModelPythonWrapper(model); - } - + var dividendYieldModel = PythonUtil.CreateInstanceOrWrapper( + model, + py => new DividendYieldModelPythonWrapper(py) + ); return dividendYieldModel; } } diff --git a/Common/Python/RiskFreeInterestRateModelPythonWrapper.cs b/Common/Python/RiskFreeInterestRateModelPythonWrapper.cs index 1eb58a97fa3a..f104007ca255 100644 --- a/Common/Python/RiskFreeInterestRateModelPythonWrapper.cs +++ b/Common/Python/RiskFreeInterestRateModelPythonWrapper.cs @@ -16,6 +16,7 @@ using System; using Python.Runtime; using QuantConnect.Data; +using QuantConnect.Util; namespace QuantConnect.Python { @@ -50,11 +51,10 @@ public decimal GetInterestRate(DateTime date) /// The converted instance public static IRiskFreeInterestRateModel FromPyObject(PyObject model) { - if (!model.TryConvert(out IRiskFreeInterestRateModel riskFreeInterestRateModel)) - { - riskFreeInterestRateModel = new RiskFreeInterestRateModelPythonWrapper(model); - } - + var riskFreeInterestRateModel = PythonUtil.CreateInstanceOrWrapper( + model, + py => new RiskFreeInterestRateModelPythonWrapper(py) + ); return riskFreeInterestRateModel; } } diff --git a/Common/QuantConnect.csproj b/Common/QuantConnect.csproj index 9fa973efd104..e39b3a918c5f 100644 --- a/Common/QuantConnect.csproj +++ b/Common/QuantConnect.csproj @@ -2,7 +2,7 @@ Debug AnyCPU - net9.0 + net10.0 QuantConnect.Common ..\ true @@ -35,7 +35,7 @@ - + diff --git a/Common/Result.cs b/Common/Result.cs index 932a571c257c..13f040b83ad6 100644 --- a/Common/Result.cs +++ b/Common/Result.cs @@ -13,10 +13,11 @@ * limitations under the License. */ -using System; using Newtonsoft.Json; using QuantConnect.Orders; using QuantConnect.Packets; +using QuantConnect.Statistics; +using System; using System.Collections.Generic; namespace QuantConnect @@ -83,6 +84,12 @@ public class Result [JsonProperty(NullValueHandling = NullValueHandling.Ignore)] public AlgorithmConfiguration AlgorithmConfiguration { get; set; } + /// + /// Rolling window detailed statistics. + /// + [JsonProperty(NullValueHandling = NullValueHandling.Ignore)] + public AlgorithmPerformance TotalPerformance { get; set; } + /// /// Creates new empty instance /// @@ -103,6 +110,7 @@ public Result(BaseResultParameters parameters) OrderEvents = parameters.OrderEvents; AlgorithmConfiguration = parameters.AlgorithmConfiguration; State = parameters.State; + TotalPerformance = parameters.TotalPerformance; } } } diff --git a/Common/Securities/Cash.cs b/Common/Securities/Cash.cs index 6858ab484c9e..0c317ab21814 100644 --- a/Common/Securities/Cash.cs +++ b/Common/Securities/Cash.cs @@ -262,6 +262,14 @@ public List EnsureCurrencyDataFeed(SecurityManager secur var cfdEntries = GetAvailableSymbolPropertiesDatabaseEntries(SecurityType.Cfd, marketMap, markets); var cryptoEntries = GetAvailableSymbolPropertiesDatabaseEntries(SecurityType.Crypto, marketMap, markets); + if (marketMap.TryGetValue(SecurityType.CryptoFuture, out var cryptoFutureMarket) && cryptoFutureMarket == Market.DYDX) + { + // Put additional logic for dYdX crypto futures as they don't have Crypto (Spot) market + // Also need to add them first to give the priority + // TODO: remove once dydx SPOT market will be imlemented + cryptoEntries = GetAvailableSymbolPropertiesDatabaseEntries(SecurityType.CryptoFuture, marketMap, markets).Concat(cryptoEntries); + } + var potentialEntries = forexEntries .Concat(cfdEntries) .Concat(cryptoEntries) @@ -316,7 +324,9 @@ public List EnsureCurrencyDataFeed(SecurityManager secur var newSecurity = securityService.CreateSecurity(symbol, config, - addToSymbolCache: false); + addToSymbolCache: false, + // All securities added for currency conversion will be seeded in batch after all are created + seedSecurity: false); Log.Trace("Cash.EnsureCurrencyDataFeed(): " + Messages.Cash.AddingSecuritySymbolForCashCurrencyFeed(symbol, Symbol)); diff --git a/Common/Securities/ContractSecurityFilterUniverse.cs b/Common/Securities/ContractSecurityFilterUniverse.cs index 2aed39f428b8..7611150f0d7f 100644 --- a/Common/Securities/ContractSecurityFilterUniverse.cs +++ b/Common/Securities/ContractSecurityFilterUniverse.cs @@ -27,8 +27,8 @@ namespace QuantConnect.Securities /// Used by OptionFilterUniverse and FutureFilterUniverse /// public abstract class ContractSecurityFilterUniverse : IDerivativeSecurityFilterUniverse - where T: ContractSecurityFilterUniverse - where TData: IChainUniverseData + where T : ContractSecurityFilterUniverse + where TData : IChainUniverseData { private bool _alreadyAppliedTypeFilters; @@ -51,11 +51,16 @@ protected enum ContractExpirationType : int Weekly = 2 } + /// + /// The default expiration type filter value + /// + protected static readonly ContractExpirationType DefaultExpirationType = ContractExpirationType.Standard | ContractExpirationType.Weekly; + /// /// Expiration Types allowed through the filter /// Standards only by default /// - protected ContractExpirationType Type { get; set; } = ContractExpirationType.Standard; + protected ContractExpirationType Type { get; set; } = DefaultExpirationType; /// /// The local exchange current time @@ -107,6 +112,7 @@ internal IEnumerable AllSymbols /// protected ContractSecurityFilterUniverse() { + Type = DefaultExpirationType; } /// @@ -116,7 +122,7 @@ protected ContractSecurityFilterUniverse(IEnumerable allData, DateTime lo { Data = allData; LocalTime = localTime; - Type = ContractExpirationType.Standard; + Type = DefaultExpirationType; } /// @@ -139,7 +145,7 @@ internal T ApplyTypesFilter() { if (_alreadyAppliedTypeFilters) { - return (T) this; + return (T)this; } // memoization map for ApplyTypesFilter() @@ -174,7 +180,7 @@ internal T ApplyTypesFilter() }).ToList(); _alreadyAppliedTypeFilters = true; - return (T) this; + return (T)this; } /// @@ -186,7 +192,7 @@ public virtual void Refresh(IEnumerable allData, DateTime localTime) { Data = allData; LocalTime = localTime; - Type = ContractExpirationType.Standard; + Type = DefaultExpirationType; _alreadyAppliedTypeFilters = false; } @@ -211,6 +217,7 @@ public T StandardsOnly() /// Includes universe of non-standard weeklys contracts (if any) into selection /// /// Universe with filter applied + [Obsolete("IncludeWeeklys is obsolete because weekly contracts are now included by default.")] public T IncludeWeeklys() { if (_alreadyAppliedTypeFilters) @@ -241,11 +248,11 @@ public virtual T FrontMonth() { ApplyTypesFilter(); var ordered = Data.OrderBy(x => x.ID.Date).ToList(); - if (ordered.Count == 0) return (T) this; + if (ordered.Count == 0) return (T)this; var frontMonth = ordered.TakeWhile(x => ordered[0].ID.Date == x.ID.Date); Data = frontMonth.ToList(); - return (T) this; + return (T)this; } /// @@ -256,11 +263,11 @@ public virtual T BackMonths() { ApplyTypesFilter(); var ordered = Data.OrderBy(x => x.ID.Date).ToList(); - if (ordered.Count == 0) return (T) this; + if (ordered.Count == 0) return (T)this; var backMonths = ordered.SkipWhile(x => ordered[0].ID.Date == x.ID.Date); Data = backMonths.ToList(); - return (T) this; + return (T)this; } /// @@ -351,7 +358,7 @@ public T Contracts(PyObject contracts) public T Contracts(IEnumerable contracts) { AllSymbols = contracts.ToList(); - return (T) this; + return (T)this; } /// @@ -376,7 +383,7 @@ public T Contracts(Func, IEnumerable> contractSelecto { // force materialization using ToList AllSymbols = contractSelector(Data).ToList(); - return (T) this; + return (T)this; } /// @@ -400,7 +407,7 @@ public T Contracts(Func, IEnumerable> contractSelector [Obsolete("Deprecated as of 2023-12-13. Filters are always non-dynamic as of now, which means they will only bee applied daily.")] public T OnlyApplyFilterAtMarketOpen() { - return (T) this; + return (T)this; } /// diff --git a/Common/Securities/CryptoFuture/dYdXFutureMarginInterestRateModel.cs b/Common/Securities/CryptoFuture/dYdXFutureMarginInterestRateModel.cs new file mode 100644 index 000000000000..42c7fa2371fa --- /dev/null +++ b/Common/Securities/CryptoFuture/dYdXFutureMarginInterestRateModel.cs @@ -0,0 +1,25 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. + * +*/ + +namespace QuantConnect.Securities.CryptoFuture +{ + /// + /// The responsibility of this model is to apply future funding rate cash flows to the portfolio based on open positions + /// + public class dYdXFutureMarginInterestRateModel : BinanceFutureMarginInterestRateModel + { + } +} diff --git a/Common/Securities/Future/FuturesExpiryFunctions.cs b/Common/Securities/Future/FuturesExpiryFunctions.cs index 56946b03e0da..c0cbc9fe9d74 100644 --- a/Common/Securities/Future/FuturesExpiryFunctions.cs +++ b/Common/Securities/Future/FuturesExpiryFunctions.cs @@ -158,7 +158,7 @@ public static Func FuturesExpiryFunction(Symbol symbol) } // Trading can occur up to 9:30 a.m. Eastern Time (ET) on the 3rd Friday of the contract month - var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time); + var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time, Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME)); return thirdFriday.Add(new TimeSpan(13,30,0)); }) }, @@ -217,7 +217,7 @@ public static Func FuturesExpiryFunction(Symbol symbol) } // Trading can occur up to 9:30 a.m. Eastern Time (ET) on the 3rd Friday of the contract month - var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time); + var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time, Symbol.Create(Futures.Indices.NASDAQ100EMini, SecurityType.Future, Market.CME)); return thirdFriday.Add(new TimeSpan(13,30,0)); }) }, @@ -231,7 +231,7 @@ public static Func FuturesExpiryFunction(Symbol symbol) } // Trading can occur up to 9:30 a.m. Eastern Time (ET) on the 3rd Friday of the contract month - var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time); + var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time, Symbol.Create(Futures.Indices.Dow30EMini, SecurityType.Future, Market.CBOT)); return thirdFriday.Add(new TimeSpan(13,30,0)); }) }, @@ -245,7 +245,7 @@ public static Func FuturesExpiryFunction(Symbol symbol) } // Trading can occur up to 9:30 a.m. Eastern Time (ET) on the 3rd Friday of the contract month - var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time); + var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time, Symbol.Create(Futures.Indices.Russell2000EMini, SecurityType.Future, Market.CME)); return thirdFriday.Add(new TimeSpan (13,30,0)); }) }, @@ -3208,7 +3208,7 @@ Dec listed in June } // Trading terminates at 9:30 a.m. ET on the 3rd Friday of the contract month. - var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time); + var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time, Symbol.Create(Futures.Indices.MicroSP500EMini, SecurityType.Future, Market.CME)); return thirdFriday.Add(new TimeSpan(13,30,0)); }) }, @@ -3222,7 +3222,7 @@ Dec listed in June } // Trading terminates at 9:30 a.m. ET on the 3rd Friday of the contract month. - var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time); + var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time, Symbol.Create(Futures.Indices.MicroNASDAQ100EMini, SecurityType.Future, Market.CME)); return thirdFriday.Add(new TimeSpan(13,30,0)); }) }, @@ -3236,7 +3236,7 @@ Dec listed in June } // Trading terminates at 9:30 a.m. ET on the 3rd Friday of the contract month. - var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time); + var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time, Symbol.Create(Futures.Indices.MicroRussell2000EMini, SecurityType.Future, Market.CME)); return thirdFriday.Add(new TimeSpan(13,30,0)); }) }, @@ -3250,7 +3250,7 @@ Dec listed in June } // Trading can occur up to 9:30 a.m. Eastern Time (ET) on the 3rd Friday of the contract month - var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time); + var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time, Symbol.Create(Futures.Indices.MicroDow30EMini, SecurityType.Future, Market.CBOT)); return thirdFriday.Add(new TimeSpan(13,30,0)); }) }, diff --git a/Common/Securities/Future/FuturesListings.cs b/Common/Securities/Future/FuturesListings.cs index 3e3a9007309b..dad4e6d430a5 100644 --- a/Common/Securities/Future/FuturesListings.cs +++ b/Common/Securities/Future/FuturesListings.cs @@ -36,6 +36,12 @@ public static class FuturesListings private static readonly Symbol _zl = Symbol.Create("ZL", SecurityType.Future, Market.CBOT); private static readonly Symbol _zw = Symbol.Create("ZW", SecurityType.Future, Market.CBOT); private static readonly Symbol _tn = Symbol.Create("TN", SecurityType.Future, Market.CBOT); + private static readonly Symbol _aud = Symbol.Create("6A", SecurityType.Future, Market.CME); + private static readonly Symbol _gbp = Symbol.Create("6B", SecurityType.Future, Market.CME); + private static readonly Symbol _mxn = Symbol.Create("6M", SecurityType.Future, Market.CME); + private static readonly Symbol _jpy = Symbol.Create("6J", SecurityType.Future, Market.CME); + private static readonly Symbol _eur = Symbol.Create("6E", SecurityType.Future, Market.CME); + private static readonly Symbol _cad = Symbol.Create("6C", SecurityType.Future, Market.CME); private static Dictionary>> _futuresListingRules = new Dictionary>> { @@ -71,7 +77,13 @@ public static class FuturesListings _zw, t, 7, - new FuturesListingCycles(new[] { 3, 5, 7, 9, 12 }, 15)) } + new FuturesListingCycles(new[] { 3, 5, 7, 9, 12 }, 15)) }, + { "6A", t => QuarterlyContracts(_aud, t, 8) }, + { "6B", t => QuarterlyContracts(_gbp, t, 8) }, + { "6M", t => QuarterlyContracts(_mxn, t, 8) }, + { "6J", t => QuarterlyContracts(_jpy, t, 8) }, + { "6E", t => QuarterlyContracts(_eur, t, 8) }, + { "6C", t => QuarterlyContracts(_cad, t, 8) }, }; /// diff --git a/Common/Securities/FutureOption/FuturesOptionsExpiryFunctions.cs b/Common/Securities/FutureOption/FuturesOptionsExpiryFunctions.cs index e46ebea1c952..a6695fdb0a7a 100644 --- a/Common/Securities/FutureOption/FuturesOptionsExpiryFunctions.cs +++ b/Common/Securities/FutureOption/FuturesOptionsExpiryFunctions.cs @@ -50,6 +50,7 @@ public static class FuturesOptionsExpiryFunctions private static readonly Symbol _jpu = Symbol.CreateCanonicalOption(Symbol.Create("6J", SecurityType.Future, Market.CME)); private static readonly Symbol _chu = Symbol.CreateCanonicalOption(Symbol.Create("6S", SecurityType.Future, Market.CME)); private static readonly Symbol _nzd = Symbol.CreateCanonicalOption(Symbol.Create("6N", SecurityType.Future, Market.CME)); + private static readonly Symbol _mxn = Symbol.CreateCanonicalOption(Symbol.Create("6M", SecurityType.Future, Market.CME)); private static readonly Symbol _le = Symbol.CreateCanonicalOption(Symbol.Create("LE", SecurityType.Future, Market.CME)); private static readonly Symbol _he = Symbol.CreateCanonicalOption(Symbol.Create("HE", SecurityType.Future, Market.CME)); private static readonly Symbol _lbr = Symbol.CreateCanonicalOption(Symbol.Create("LBR", SecurityType.Future, Market.CME)); @@ -97,6 +98,7 @@ public static class FuturesOptionsExpiryFunctions { _jpu, expiryMonth => SecondFridayBeforeThirdWednesdayOfContractMonth(_jpu.Underlying, expiryMonth) }, { _chu, expiryMonth => SecondFridayBeforeThirdWednesdayOfContractMonth(_chu.Underlying, expiryMonth) }, { _nzd, expiryMonth => SecondFridayBeforeThirdWednesdayOfContractMonth(_nzd.Underlying, expiryMonth) }, + { _mxn, expiryMonth => SecondFridayBeforeThirdWednesdayOfContractMonth(_mxn.Underlying, expiryMonth) }, { _le, expiryMonth => FirstFridayOfContractMonth(_le.Underlying, expiryMonth) }, { _he, expiryMonth => TenthBusinessDayOfContractMonth(_he.Underlying, expiryMonth) }, { _lbr, expiryMonth => LastBusinessDayInPrecedingMonthFromContractMonth(_lbr.Underlying, expiryMonth) }, diff --git a/Common/Securities/FutureOption/FuturesOptionsUnderlyingMapper.cs b/Common/Securities/FutureOption/FuturesOptionsUnderlyingMapper.cs index 3aa254e63b38..17ef2ba373af 100644 --- a/Common/Securities/FutureOption/FuturesOptionsUnderlyingMapper.cs +++ b/Common/Securities/FutureOption/FuturesOptionsUnderlyingMapper.cs @@ -60,7 +60,15 @@ public static class FuturesOptionsUnderlyingMapper // COMEX { "HG", (d, _) => ContractMonthYearStartThreeMonthsThenEvenOddMonthsSkipRule(d, true) }, { "SI", (d, _) => ContractMonthYearStartThreeMonthsThenEvenOddMonthsSkipRule(d, true) }, - { "GC", (d, _) => ContractMonthEvenOddMonth(d, false) } + { "GC", (d, _) => ContractMonthEvenOddMonth(d, false) }, + + // CME + { "6A", (d, ld) => ContractMonthSerialLookupRule(Symbol.Create("6A", SecurityType.Future, Market.CME), d, ld.Value) }, + { "6B", (d, ld) => ContractMonthSerialLookupRule(Symbol.Create("6B", SecurityType.Future, Market.CME), d, ld.Value) }, + { "6M", (d, ld) => ContractMonthSerialLookupRule(Symbol.Create("6M", SecurityType.Future, Market.CME), d, ld.Value) }, + { "6J", (d, ld) => ContractMonthSerialLookupRule(Symbol.Create("6J", SecurityType.Future, Market.CME), d, ld.Value) }, + { "6E", (d, ld) => ContractMonthSerialLookupRule(Symbol.Create("6E", SecurityType.Future, Market.CME), d, ld.Value) }, + { "6C", (d, ld) => ContractMonthSerialLookupRule(Symbol.Create("6C", SecurityType.Future, Market.CME), d, ld.Value) }, }; /// diff --git a/Common/Securities/Interfaces/IContinuousContractModel.cs b/Common/Securities/Interfaces/IContinuousContractModel.cs index 1af3560d3166..d3d257c73cf7 100644 --- a/Common/Securities/Interfaces/IContinuousContractModel.cs +++ b/Common/Securities/Interfaces/IContinuousContractModel.cs @@ -24,10 +24,14 @@ namespace QuantConnect.Securities.Interfaces /// public enum AdjustmentType { + /// /// ForwardAdjusted - new quotes are adjusted as new data comes + /// ForwardAdjusted, + /// /// BackAdjusted - old quotes are retrospectively adjusted as new data comes + /// BackAdjusted }; diff --git a/Common/Securities/Option/Option.cs b/Common/Securities/Option/Option.cs index eee3861b74e8..75b74b13d828 100644 --- a/Common/Securities/Option/Option.cs +++ b/Common/Securities/Option/Option.cs @@ -45,7 +45,7 @@ public class Option : Security, IDerivativeSecurity, IOptionPrice /// /// The default time of day for settlement /// - public static readonly TimeSpan DefaultSettlementTime = new (6, 0, 0); + public static readonly TimeSpan DefaultSettlementTime = new(6, 0, 0); /// /// Constructor for the option security @@ -443,7 +443,7 @@ public bool EnableGreekApproximation var model = PriceModel as QLOptionPriceModel; if (model != null) { - model.EnableGreekApproximation = value; + model.EnableGreekApproximation = value; } } } @@ -462,22 +462,10 @@ public IDerivativeSecurityFilter ContractFilter /// The option assignment model to use public void SetOptionAssignmentModel(PyObject pyObject) { - if (pyObject.TryConvert(out var optionAssignmentModel)) - { - // pure C# implementation - SetOptionAssignmentModel(optionAssignmentModel); - } - else if (Extensions.TryConvert(pyObject, out _, allowPythonDerivative: true)) - { - SetOptionAssignmentModel(new OptionAssignmentModelPythonWrapper(pyObject)); - } - else - { - using(Py.GIL()) - { - throw new ArgumentException($"SetOptionAssignmentModel: {pyObject.Repr()} is not a valid argument."); - } - } + OptionAssignmentModel = PythonUtil.CreateInstanceOrWrapper( + pyObject, + py => new OptionAssignmentModelPythonWrapper(py) + ); } /// @@ -495,22 +483,10 @@ public void SetOptionAssignmentModel(IOptionAssignmentModel optionAssignmentMode /// The option exercise model to use public void SetOptionExerciseModel(PyObject pyObject) { - if (pyObject.TryConvert(out var optionExerciseModel)) - { - // pure C# implementation - SetOptionExerciseModel(optionExerciseModel); - } - else if (Extensions.TryConvert(pyObject, out _, allowPythonDerivative: true)) - { - SetOptionExerciseModel(new OptionExerciseModelPythonWrapper(pyObject)); - } - else - { - using (Py.GIL()) - { - throw new ArgumentException($"SetOptionExerciseModel: {pyObject.Repr()} is not a valid argument."); - } - } + OptionExerciseModel = PythonUtil.CreateInstanceOrWrapper( + pyObject, + py => new OptionExerciseModelPythonWrapper(py) + ); } /// diff --git a/Common/Securities/Option/OptionFilterUniverse.cs b/Common/Securities/Option/OptionFilterUniverse.cs index 350a544a5ceb..7f193be0342c 100644 --- a/Common/Securities/Option/OptionFilterUniverse.cs +++ b/Common/Securities/Option/OptionFilterUniverse.cs @@ -58,6 +58,7 @@ public BaseData Underlying /// /// Constructs OptionFilterUniverse + /// By default, the filter includes both standard and weekly contracts. /// /// The canonical option chain security public OptionFilterUniverse(Option.Option option) diff --git a/Common/Securities/Security.cs b/Common/Securities/Security.cs index 67e4e7a3406b..b3a2106dc692 100644 --- a/Common/Securities/Security.cs +++ b/Common/Securities/Security.cs @@ -33,6 +33,7 @@ using QuantConnect.Data.Fundamental; using QuantConnect.Interfaces; using QuantConnect.Data.Shortable; +using QuantConnect.Util; namespace QuantConnect.Securities { @@ -725,7 +726,10 @@ public void SetFeeModel(IFeeModel feelModel) /// Model that represents a fee model public void SetFeeModel(PyObject feelModel) { - FeeModel = new FeeModelPythonWrapper(feelModel); + FeeModel = PythonUtil.CreateInstanceOrWrapper( + feelModel, + py => new FeeModelPythonWrapper(py) + ); } /// @@ -743,7 +747,10 @@ public void SetFillModel(IFillModel fillModel) /// Model that represents a fill model public void SetFillModel(PyObject fillModel) { - FillModel = new FillModelPythonWrapper(fillModel); + FillModel = PythonUtil.CreateInstanceOrWrapper( + fillModel, + py => new FillModelPythonWrapper(py) + ); } /// @@ -761,7 +768,10 @@ public void SetSettlementModel(ISettlementModel settlementModel) /// Model that represents a settlement model public void SetSettlementModel(PyObject settlementModel) { - SettlementModel = new SettlementModelPythonWrapper(settlementModel); + SettlementModel = PythonUtil.CreateInstanceOrWrapper( + settlementModel, + py => new SettlementModelPythonWrapper(py) + ); } /// @@ -779,7 +789,10 @@ public void SetSlippageModel(ISlippageModel slippageModel) /// Model that represents a slippage model public void SetSlippageModel(PyObject slippageModel) { - SlippageModel = new SlippageModelPythonWrapper(slippageModel); + SlippageModel = PythonUtil.CreateInstanceOrWrapper( + slippageModel, + py => new SlippageModelPythonWrapper(py) + ); } /// @@ -797,7 +810,10 @@ public void SetVolatilityModel(IVolatilityModel volatilityModel) /// Model that represents a volatility model public void SetVolatilityModel(PyObject volatilityModel) { - VolatilityModel = new VolatilityModelPythonWrapper(volatilityModel); + VolatilityModel = PythonUtil.CreateInstanceOrWrapper( + volatilityModel, + py => new VolatilityModelPythonWrapper(py) + ); } /// @@ -815,7 +831,10 @@ public void SetBuyingPowerModel(IBuyingPowerModel buyingPowerModel) /// Model that represents a security's model of buying power public void SetBuyingPowerModel(PyObject pyObject) { - SetBuyingPowerModel(new BuyingPowerModelPythonWrapper(pyObject)); + BuyingPowerModel = PythonUtil.CreateInstanceOrWrapper( + pyObject, + py => new BuyingPowerModelPythonWrapper(py) + ); } /// @@ -833,7 +852,10 @@ public void SetMarginInterestRateModel(IMarginInterestRateModel marginInterestRa /// Model that represents a security's model of margin interest rate public void SetMarginInterestRateModel(PyObject pyObject) { - SetMarginInterestRateModel(new MarginInterestRateModelPythonWrapper(pyObject)); + MarginInterestRateModel = PythonUtil.CreateInstanceOrWrapper( + pyObject, + py => new MarginInterestRateModelPythonWrapper(py) + ); } /// @@ -851,7 +873,10 @@ public void SetMarginModel(IBuyingPowerModel marginModel) /// Model that represents a security's model of buying power public void SetMarginModel(PyObject pyObject) { - SetMarginModel(new BuyingPowerModelPythonWrapper(pyObject)); + MarginModel = PythonUtil.CreateInstanceOrWrapper( + pyObject, + py => new BuyingPowerModelPythonWrapper(py) + ); } /// @@ -860,21 +885,10 @@ public void SetMarginModel(PyObject pyObject) /// Python class that represents a custom shortable provider public void SetShortableProvider(PyObject pyObject) { - if (pyObject.TryConvert(out var shortableProvider)) - { - SetShortableProvider(shortableProvider); - } - else if (Extensions.TryConvert(pyObject, out _, allowPythonDerivative: true)) - { - SetShortableProvider(new ShortableProviderPythonWrapper(pyObject)); - } - else - { - using (Py.GIL()) - { - throw new Exception($"SetShortableProvider: {pyObject.Repr()} is not a valid argument"); - } - } + ShortableProvider = PythonUtil.CreateInstanceOrWrapper( + pyObject, + py => new ShortableProviderPythonWrapper(py) + ); } /// @@ -893,21 +907,10 @@ public void SetShortableProvider(IShortableProvider shortableProvider) /// public void SetDataFilter(PyObject pyObject) { - if (pyObject.TryConvert(out var dataFilter)) - { - SetDataFilter(dataFilter); - } - else if (Extensions.TryConvert(pyObject, out _, allowPythonDerivative: true)) - { - SetDataFilter(new SecurityDataFilterPythonWrapper(pyObject)); - } - else - { - using (Py.GIL()) - { - throw new ArgumentException($"SetDataFilter: {pyObject.Repr()} is not a valid argument"); - } - } + DataFilter = PythonUtil.CreateInstanceOrWrapper( + pyObject, + py => new SecurityDataFilterPythonWrapper(py) + ); } /// diff --git a/Common/Securities/SecurityCache.cs b/Common/Securities/SecurityCache.cs index fb8a61df68c8..bdad5adbae61 100644 --- a/Common/Securities/SecurityCache.cs +++ b/Common/Securities/SecurityCache.cs @@ -165,9 +165,10 @@ public void AddDataList(IReadOnlyList data, Type dataType, bool? conta } } - var last = data[data.Count - 1]; - - ProcessDataPoint(last, cacheByType: false); + for (var i = 0; i < data.Count; i++) + { + ProcessDataPoint(data[i], cacheByType: false); + } } /// diff --git a/Common/Securities/SecurityService.cs b/Common/Securities/SecurityService.cs index 9ba4d2a80fa0..1cfd4e77cc7a 100644 --- a/Common/Securities/SecurityService.cs +++ b/Common/Securities/SecurityService.cs @@ -73,10 +73,14 @@ private Security CreateSecurity(Symbol symbol, bool addToSymbolCache, Security underlying, bool initializeSecurity, - bool reCreateSecurity) + bool reCreateSecurity, + bool seedSecurity) { var configList = new SubscriptionDataConfigList(symbol); - configList.AddRange(subscriptionDataConfigList); + if (subscriptionDataConfigList != null) + { + configList.AddRange(subscriptionDataConfigList); + } if (!reCreateSecurity && _algorithm != null && _algorithm.Securities.TryGetValue(symbol, out var existingSecurity)) { @@ -88,7 +92,7 @@ private Security CreateSecurity(Symbol symbol, existingSecurity.MakeTradable(); } - InitializeSecurity(initializeSecurity, existingSecurity); + InitializeSecurity(initializeSecurity, existingSecurity, seedSecurity); return existingSecurity; } @@ -231,7 +235,7 @@ private Security CreateSecurity(Symbol symbol, security.AddData(configList); // invoke the security initializer - InitializeSecurity(initializeSecurity, security); + InitializeSecurity(initializeSecurity, security, seedSecurity); CheckCanonicalSecurityModels(security); @@ -262,10 +266,11 @@ public Security CreateSecurity(Symbol symbol, List subscriptionDataConfigList, decimal leverage = 0, bool addToSymbolCache = true, - Security underlying = null) + Security underlying = null, + bool seedSecurity = true) { return CreateSecurity(symbol, subscriptionDataConfigList, leverage, addToSymbolCache, underlying, - initializeSecurity: true, reCreateSecurity: false); + initializeSecurity: true, reCreateSecurity: false, seedSecurity: seedSecurity); } /// @@ -273,9 +278,14 @@ public Security CreateSecurity(Symbol symbol, /// /// Following the obsoletion of Security.Subscriptions, /// both overloads will be merged removing arguments - public Security CreateSecurity(Symbol symbol, SubscriptionDataConfig subscriptionDataConfig, decimal leverage = 0, bool addToSymbolCache = true, Security underlying = null) + public Security CreateSecurity(Symbol symbol, + SubscriptionDataConfig subscriptionDataConfig, + decimal leverage = 0, + bool addToSymbolCache = true, + Security underlying = null, + bool seedSecurity = true) { - return CreateSecurity(symbol, new List { subscriptionDataConfig }, leverage, addToSymbolCache, underlying); + return CreateSecurity(symbol, new List { subscriptionDataConfig }, leverage, addToSymbolCache, underlying, seedSecurity); } /// @@ -291,7 +301,8 @@ public Security CreateBenchmarkSecurity(Symbol symbol) addToSymbolCache: false, underlying: null, initializeSecurity: false, - reCreateSecurity: true); + reCreateSecurity: true, + seedSecurity: false); } /// @@ -328,10 +339,15 @@ private void CheckCanonicalSecurityModels(Security security) } } - private void InitializeSecurity(bool initializeSecurity, Security security) + private void InitializeSecurity(bool initializeSecurity, Security security, bool seedSecurity) { if (initializeSecurity && !security.IsInitialized) { + if (seedSecurity && _algorithm != null && _algorithm.Settings.SeedInitialPrices) + { + AlgorithmUtils.SeedSecurities([security], _algorithm); + } + _securityInitializerProvider.SecurityInitializer.Initialize(security); security.IsInitialized = true; } diff --git a/Common/Securities/UniverseManager.cs b/Common/Securities/UniverseManager.cs index 774f57a12bea..793db584179b 100644 --- a/Common/Securities/UniverseManager.cs +++ b/Common/Securities/UniverseManager.cs @@ -21,161 +21,62 @@ using System.Linq; using QuantConnect.Data.UniverseSelection; using QuantConnect.Util; +using Common.Util; namespace QuantConnect.Securities { /// /// Manages the algorithm's collection of universes /// - public class UniverseManager : IDictionary, INotifyCollectionChanged + public class UniverseManager : BaseExtendedDictionary> { - private readonly Queue _pendingChanges = new(); - private readonly ConcurrentDictionary _universes; + private readonly Queue _pendingChanges = new(); /// /// Event fired when a universe is added or removed /// - public event NotifyCollectionChangedEventHandler CollectionChanged; + public event EventHandler CollectionChanged; /// /// Read-only dictionary containing all active securities. An active security is /// a security that is currently selected by the universe or has holdings or open orders. /// - public IReadOnlyDictionary ActiveSecurities => this + public ReadOnlyExtendedDictionary ActiveSecurities => this .SelectMany(ukvp => ukvp.Value.Members.Select(mkvp => mkvp.Value)) - .DistinctBy(s => s.Symbol).ToDictionary(s => s.Symbol); + .DistinctBy(s => s.Symbol) + .ToReadOnlyExtendedDictionary(s => s.Symbol); /// /// Initializes a new instance of the class /// - public UniverseManager() + public UniverseManager() : base(new ConcurrentDictionary()) { - _universes = new ConcurrentDictionary(); - } - - #region IDictionary implementation - - /// - /// Returns an enumerator that iterates through the collection. - /// - /// - /// A that can be used to iterate through the collection. - /// - /// 1 - public IEnumerator> GetEnumerator() - { - return _universes.GetEnumerator(); - } - - /// - /// Returns an enumerator that iterates through a collection. - /// - /// - /// An object that can be used to iterate through the collection. - /// - /// 2 - IEnumerator IEnumerable.GetEnumerator() - { - return ((IEnumerable)_universes).GetEnumerator(); - } - - /// - /// Adds an item to the . - /// - /// The object to add to the .The is read-only. - public void Add(KeyValuePair item) - { - Add(item.Key, item.Value); - } - - /// - /// Removes all items from the . - /// - /// The is read-only. - public void Clear() - { - _universes.Clear(); - } - - /// - /// Determines whether the contains a specific value. - /// - /// - /// true if is found in the ; otherwise, false. - /// - /// The object to locate in the . - public bool Contains(KeyValuePair item) - { - return ContainsKey(item.Key); - } - - /// - /// Copies the elements of the to an , starting at a particular index. - /// - /// The one-dimensional that is the destination of the elements copied from . The must have zero-based indexing.The zero-based index in at which copying begins. is null. is less than 0.The number of elements in the source is greater than the available space from to the end of the destination . - public void CopyTo(KeyValuePair[] array, int arrayIndex) - { - ((IDictionary)_universes).CopyTo(array, arrayIndex); } /// - /// Removes the first occurrence of a specific object from the . + /// Adds an element with the provided key and value to the dictionary /// - /// - /// true if was successfully removed from the ; otherwise, false. This method also returns false if is not found in the original . - /// - /// The object to remove from the .The is read-only. - public bool Remove(KeyValuePair item) + public override void Add(Symbol key, Universe value) { - return Remove(item.Key); - } - - /// - /// Gets the number of elements contained in the . - /// - /// - /// The number of elements contained in the . - /// - public int Count => _universes.Skip(0).Count(); - - /// - /// Gets a value indicating whether the is read-only. - /// - /// - /// true if the is read-only; otherwise, false. - /// - public bool IsReadOnly - { - get { return false; } - } - - /// - /// Determines whether the contains an element with the specified key. - /// - /// - /// true if the contains an element with the key; otherwise, false. - /// - /// The key to locate in the . is null. - public bool ContainsKey(Symbol key) - { - return _universes.ContainsKey(key); + if (Dictionary.TryAdd(key, value)) + { + lock (_pendingChanges) + { + _pendingChanges.Enqueue(new UniverseManagerChanged(NotifyCollectionChangedAction.Add, value)); + } + } } /// - /// Adds an element with the provided key and value to the . + /// Updates an element with the provided key and value to the dictionary /// - /// The object to use as the key of the element to add. - /// The object to use as the value of the element to add. - /// is null. - /// An element with the same key already exists in the . - /// The is read-only. - public void Add(Symbol key, Universe value) + public void Update(Symbol key, Universe value, NotifyCollectionChangedAction action) { - if (_universes.TryAdd(key, value)) + if (Dictionary.ContainsKey(key) && !_pendingChanges.Any(x => x.Value == value)) { - lock(_pendingChanges) + lock (_pendingChanges) { - _pendingChanges.Enqueue(new NotifyCollectionChangedEventArgs(NotifyCollectionChangedAction.Add, value)); + _pendingChanges.Enqueue(new UniverseManagerChanged(action, value)); } } } @@ -185,7 +86,7 @@ public void Add(Symbol key, Universe value) /// public void ProcessChanges() { - NotifyCollectionChangedEventArgs universeChange; + UniverseManagerChanged universeChange; do { lock (_pendingChanges) @@ -202,57 +103,36 @@ public void ProcessChanges() } /// - /// Removes the element with the specified key from the . + /// Removes the element with the specified key from the dictionary /// - /// - /// true if the element is successfully removed; otherwise, false. This method also returns false if was not found in the original . - /// - /// The key of the element to remove. is null.The is read-only. - public bool Remove(Symbol key) + public override bool Remove(Symbol key) { - Universe universe; - if (_universes.TryRemove(key, out universe)) + if (Dictionary.TryRemove(key, out var universe)) { universe.Dispose(); - OnCollectionChanged(new NotifyCollectionChangedEventArgs(NotifyCollectionChangedAction.Remove, universe)); + OnCollectionChanged(new UniverseManagerChanged(NotifyCollectionChangedAction.Remove, universe)); return true; } return false; } /// - /// Gets the value associated with the specified key. - /// - /// - /// true if the object that implements contains an element with the specified key; otherwise, false. - /// - /// The key whose value to get.When this method returns, the value associated with the specified key, if the key is found; otherwise, the default value for the type of the parameter. This parameter is passed uninitialized. is null. - public bool TryGetValue(Symbol key, out Universe value) - { - return _universes.TryGetValue(key, out value); - } - - /// - /// Gets or sets the element with the specified key. + /// Gets or sets the element with the specified key /// - /// - /// The element with the specified key. - /// - /// The key of the element to get or set. is null.The property is retrieved and is not found.The property is set and the is read-only. - public Universe this[Symbol symbol] + public override Universe this[Symbol symbol] { get { - if (!_universes.ContainsKey(symbol)) + if (!Dictionary.ContainsKey(symbol)) { throw new KeyNotFoundException($"This universe symbol ({symbol}) was not found in your universe list. Please add this security or check it exists before using it with 'Universes.ContainsKey(\"{SymbolCache.GetTicker(symbol)}\")'"); } - return _universes[symbol]; + return Dictionary[symbol]; } set { Universe existing; - if (_universes.TryGetValue(symbol, out existing) && existing != value) + if (Dictionary.TryGetValue(symbol, out existing) && existing != value) { throw new ArgumentException($"Unable to over write existing Universe: {symbol.Value}"); } @@ -265,29 +145,10 @@ public Universe this[Symbol symbol] } } - /// - /// Gets an containing the keys of the . - /// - /// - /// An containing the keys of the object that implements . - /// - public ICollection Keys => _universes.Select(x => x.Key).ToList(); - - /// - /// Gets an containing the values in the . - /// - /// - /// An containing the values in the object that implements . - /// - public ICollection Values => _universes.Select(x => x.Value).ToList(); - - #endregion - /// /// Event invocator for the event /// - /// - protected virtual void OnCollectionChanged(NotifyCollectionChangedEventArgs e) + protected virtual void OnCollectionChanged(UniverseManagerChanged e) { CollectionChanged?.Invoke(this, e); } diff --git a/Common/Securities/UniverseManagerChanged.cs b/Common/Securities/UniverseManagerChanged.cs new file mode 100644 index 000000000000..c8ae21a8aad2 --- /dev/null +++ b/Common/Securities/UniverseManagerChanged.cs @@ -0,0 +1,45 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. +*/ + +using System.Collections.Specialized; +using QuantConnect.Data.UniverseSelection; + +namespace QuantConnect.Securities +{ + /// + /// Event dto class fired when a universe reports a change + /// + public class UniverseManagerChanged + { + /// + /// The action that occurred + /// + public NotifyCollectionChangedAction Action { get; } + + /// + /// Universe reporting a change + /// + public Universe Value { get; } + + /// + /// Creates a new instance + /// + public UniverseManagerChanged(NotifyCollectionChangedAction action, Universe value) + { + Action = action; + Value = value; + } + } +} diff --git a/Common/SecurityIdentifier.cs b/Common/SecurityIdentifier.cs index 5cd1ea6989b3..629f8ac92c0a 100644 --- a/Common/SecurityIdentifier.cs +++ b/Common/SecurityIdentifier.cs @@ -25,7 +25,6 @@ using QuantConnect.Logging; using QuantConnect.Securities.Future; using QuantConnect.Util; -using static QuantConnect.Messages; namespace QuantConnect { @@ -43,10 +42,11 @@ public class SecurityIdentifier : IEquatable, IComparable TypeMapping = new(); private static readonly Dictionary SecurityIdentifierCache = new(); private static readonly char[] InvalidCharacters = {'|', ' '}; - private static readonly Lazy MapFileProvider = new(Composer.Instance.GetPart()); + private static readonly Lazy MapFileProvider = new(Composer.Instance.GetPart); /// /// Gets an instance of that is empty, that is, one with no symbol specified @@ -82,7 +82,7 @@ public class SecurityIdentifier : IEquatable, IComparable /// Circle symbol (0) + /// [EnumMember(Value = "none")] None, + + /// /// Circle symbol (1) + /// [EnumMember(Value = "circle")] Circle, + + /// /// Square symbol (2) + /// [EnumMember(Value = "square")] Square, + + /// /// Diamond symbol (3) + /// [EnumMember(Value = "diamond")] Diamond, + + /// /// Triangle symbol (4) + /// [EnumMember(Value = "triangle")] Triangle, + + /// /// Triangle-down symbol (5) + /// [EnumMember(Value = "triangle-down")] TriangleDown } diff --git a/Common/Statistics/Trade.cs b/Common/Statistics/Trade.cs index 0a05a35c97ac..35ef2a35c6bb 100644 --- a/Common/Statistics/Trade.cs +++ b/Common/Statistics/Trade.cs @@ -13,6 +13,7 @@ * limitations under the License. */ +using Newtonsoft.Json; using System; using System.Collections.Generic; @@ -23,10 +24,39 @@ namespace QuantConnect.Statistics /// public class Trade { + private List _symbols; + /// /// The symbol of the traded instrument /// - public Symbol Symbol { get; set; } + [Obsolete("Use Symbols property instead")] + [JsonIgnore] + public Symbol Symbol + { + get + { + return _symbols != null && _symbols.Count > 0 ? _symbols[0] : Symbol.Empty; + } + private set + { + _symbols = new List() { value }; + } + } + + /// + /// Just needed so that "Symbol" is never serialized but can be deserialized, if present, for backward compatibility + /// + [JsonProperty("Symbol")] + private Symbol SymbolForDeserialization { set => Symbol = value; } + + /// + /// The symbol associated to the traded instruments + /// + public List Symbols + { + get { return _symbols; } + set { _symbols = value; } + } /// /// The date and time the trade was opened diff --git a/Common/Statistics/TradeBuilder.cs b/Common/Statistics/TradeBuilder.cs index 93ff8b3bfccb..b0b0cb010c30 100644 --- a/Common/Statistics/TradeBuilder.cs +++ b/Common/Statistics/TradeBuilder.cs @@ -227,7 +227,7 @@ private void ProcessFillUsingFillToFill(OrderEvent fill, decimal orderFee, decim { new Trade { - Symbol = fill.Symbol, + Symbols = [fill.Symbol], EntryTime = fill.UtcTime, EntryPrice = fill.FillPrice, Direction = fill.FillQuantity > 0 ? TradeDirection.Long : TradeDirection.Short, @@ -251,7 +251,7 @@ private void ProcessFillUsingFillToFill(OrderEvent fill, decimal orderFee, decim // execution has same direction of trade position.PendingTrades.Add(new Trade { - Symbol = fill.Symbol, + Symbols = [fill.Symbol], EntryTime = fill.UtcTime, EntryPrice = fill.FillPrice, Direction = fill.FillQuantity > 0 ? TradeDirection.Long : TradeDirection.Short, @@ -295,7 +295,7 @@ private void ProcessFillUsingFillToFill(OrderEvent fill, decimal orderFee, decim var newTrade = new Trade { - Symbol = trade.Symbol, + Symbols = trade.Symbols, EntryTime = trade.EntryTime, EntryPrice = trade.EntryPrice, Direction = trade.Direction, @@ -329,7 +329,7 @@ private void ProcessFillUsingFillToFill(OrderEvent fill, decimal orderFee, decim { new Trade { - Symbol = fill.Symbol, + Symbols =[fill.Symbol], EntryTime = fill.UtcTime, EntryPrice = fill.FillPrice, Direction = fill.FillQuantity > 0 ? TradeDirection.Long : TradeDirection.Short, @@ -412,7 +412,7 @@ private void ProcessFillUsingFlatToFlat(OrderEvent fill, decimal orderFee, decim var direction = Math.Sign(fill.FillQuantity) < 0 ? TradeDirection.Long : TradeDirection.Short; var trade = new Trade { - Symbol = fill.Symbol, + Symbols = [fill.Symbol], EntryTime = entryTime, EntryPrice = entryAveragePrice, Direction = direction, @@ -515,7 +515,7 @@ private void ProcessFillUsingFlatToReduced(OrderEvent fill, decimal orderFee, de var direction = totalExecutedQuantity < 0 ? TradeDirection.Long : TradeDirection.Short; var trade = new Trade { - Symbol = fill.Symbol, + Symbols = [fill.Symbol], EntryTime = entryTime, EntryPrice = entryPrice, Direction = direction, diff --git a/Common/SymbolRepresentation.cs b/Common/SymbolRepresentation.cs index 8b73f4f2ef63..76711e59a812 100644 --- a/Common/SymbolRepresentation.cs +++ b/Common/SymbolRepresentation.cs @@ -622,7 +622,7 @@ private static int GetExpirationYear(int? futureYear, FutureTickerProperties par return 2000 + parsed.ExpirationYearShort; } - var baseYear = ((int)Math.Round(currentYear / 10.0)) * 10 + parsed.ExpirationYearShort; + var baseYear = ((int)Math.Floor(currentYear / 10.0)) * 10 + parsed.ExpirationYearShort; while (baseYear < currentYear) { baseYear += 10; diff --git a/Common/Util/BaseExtendedDictionary.cs b/Common/Util/BaseExtendedDictionary.cs new file mode 100644 index 000000000000..effef7c89ebd --- /dev/null +++ b/Common/Util/BaseExtendedDictionary.cs @@ -0,0 +1,256 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. +*/ + +using System; +using System.Collections; +using System.Collections.Generic; +using QuantConnect; +using QuantConnect.Python; + +namespace Common.Util +{ + /// + /// Provides a generic implementation of ExtendedDictionary with specific dictionary type + /// + [PandasNonExpandable] + public class BaseExtendedDictionary : ExtendedDictionary, IDictionary + where TDictionary : IDictionary, new() + { + /// + /// The dictionary instance + /// + protected TDictionary Dictionary { get; } + + /// + /// Initializes a new instance of the BaseExtendedDictionary class that is empty + /// + public BaseExtendedDictionary() + { + Dictionary = new TDictionary(); + } + + /// + /// Initializes a new instance of the BaseExtendedDictionary class that contains elements copied from the specified dictionary + /// + /// The dictionary whose elements are copied to the new dictionary + public BaseExtendedDictionary(TDictionary dictionary) + { + Dictionary = dictionary; + } + + /// + /// Initializes a new instance of the BaseExtendedDictionary class + /// using the specified as a data source + /// + /// The data source for this dictionary + /// Delegate used to select a key from the value + public BaseExtendedDictionary(IEnumerable data, Func keySelector) + : this() + { + foreach (var datum in data) + { + Dictionary[keySelector(datum)] = datum; + } + } + + /// + /// Gets the number of elements contained in the dictionary + /// + public override int Count => Dictionary.Count; + + /// + /// Gets a value indicating whether the dictionary is read-only + /// + public override bool IsReadOnly => Dictionary.IsReadOnly; + + /// + /// Gets the value associated with the specified key + /// + /// The key whose value to get + /// When this method returns, the value associated with the specified key + /// true if the key was found; otherwise, false + public override bool TryGetValue(TKey key, out TValue value) + { + return Dictionary.TryGetValue(key, out value); + } + + /// + /// Gets all the items in the dictionary + /// + /// All the items in the dictionary + public override IEnumerable> GetItems() + { + return Dictionary; + } + + /// + /// Gets a collection containing the keys in the dictionary + /// + protected override IEnumerable GetKeys => Dictionary.Keys; + + /// + /// Gets a collection containing the values in the dictionary + /// + protected override IEnumerable GetValues => Dictionary.Values; + + /// + /// Gets a collection containing the keys of the dictionary + /// + public virtual ICollection Keys => Dictionary.Keys; + + /// + /// Gets a collection containing the values of the dictionary + /// + public virtual ICollection Values => Dictionary.Values; + + /// + /// Gets or sets the value associated with the specified key + /// + /// The key of the value to get or set + /// The value associated with the specified key + public override TValue this[TKey key] + { + get => Dictionary[key]; + set => Dictionary[key] = value; + } + + /// + /// Removes all items from the dictionary + /// + public override void Clear() + { + Dictionary.Clear(); + } + + /// + /// Removes the value with the specified key + /// + /// The key of the element to remove + /// true if the element was successfully found and removed; otherwise, false + public override bool Remove(TKey key) + { + return Dictionary.Remove(key); + } + + /// + /// Adds an element with the provided key and value to the dictionary + /// + /// The key of the element to add + /// The value of the element to add + public virtual void Add(TKey key, TValue value) + { + Dictionary.Add(key, value); + } + + /// + /// Adds an element with the provided key-value pair to the dictionary + /// + /// The key-value pair to add + public virtual void Add(KeyValuePair item) + { + Dictionary.Add(item); + } + + /// + /// Determines whether the dictionary contains the specified key + /// + /// The key to locate in the dictionary + /// true if the dictionary contains an element with the specified key; otherwise, false + public override bool ContainsKey(TKey key) + { + return Dictionary.ContainsKey(key); + } + + /// + /// Determines whether the dictionary contains a specific key-value pair + /// + /// The key-value pair to locate + /// true if the key-value pair was found; otherwise, false + public virtual bool Contains(KeyValuePair item) + { + return Dictionary.Contains(item); + } + + /// + /// Copies the elements of the dictionary to an array, starting at a particular array index + /// + /// The array to copy to + /// The starting index in the array + public void CopyTo(KeyValuePair[] array, int arrayIndex) + { + Dictionary.CopyTo(array, arrayIndex); + } + + /// + /// Removes the first occurrence of a specific object from the dictionary + /// + /// The key-value pair to remove + /// true if the key-value pair was successfully removed; otherwise, false + public virtual bool Remove(KeyValuePair item) + { + return Dictionary.Remove(item); + } + + /// + /// Returns an enumerator that iterates through the dictionary + /// + /// An enumerator for the dictionary + public virtual IEnumerator> GetEnumerator() + { + return Dictionary.GetEnumerator(); + } + + /// + /// Returns an enumerator that iterates through the dictionary + /// + /// An enumerator for the dictionary + IEnumerator IEnumerable.GetEnumerator() + { + return GetEnumerator(); + } + } + + /// + /// Provides a default implementation of ExtendedDictionary using Dictionary{TKey, TValue} + /// + [PandasNonExpandable] + public class BaseExtendedDictionary : BaseExtendedDictionary> + { + /// + /// Initializes a new instance of the BaseExtendedDictionary class that is empty + /// + public BaseExtendedDictionary() : base() + { + } + + /// + /// Initializes a new instance of the BaseExtendedDictionary class that contains elements copied from the specified dictionary + /// + /// The dictionary whose elements are copied to the new dictionary + public BaseExtendedDictionary(IDictionary dictionary) : base(new Dictionary(dictionary)) + { + } + + /// + /// Initializes a new instance of the BaseExtendedDictionary class + /// using the specified as a data source + /// + /// The data source for this dictionary + /// Delegate used to select a key from the value + public BaseExtendedDictionary(IEnumerable data, Func keySelector) : base(data, keySelector) + { + } + } +} diff --git a/Common/Util/CashAmountUtil.cs b/Common/Util/CashAmountUtil.cs new file mode 100644 index 000000000000..289532a99e1a --- /dev/null +++ b/Common/Util/CashAmountUtil.cs @@ -0,0 +1,37 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. +*/ + +using QuantConnect.Securities; + +namespace QuantConnect.Util +{ + /// + /// Provides utility methods for working with instances + /// + public static class CashAmountUtil + { + /// + /// Determines if a cash balance should be added to the cash book + /// + /// The cash balance to check + /// The algorithm's account currency + /// True if the balance should be added, false otherwise + public static bool ShouldAddCashBalance(CashAmount balance, string accountCurrency) + { + // Don't add zero quantity currencies except the account currency + return balance.Amount != 0 || balance.Currency == accountCurrency; + } + } +} \ No newline at end of file diff --git a/Common/Util/Composer.cs b/Common/Util/Composer.cs index a72d6c912953..24051e4d4978 100644 --- a/Common/Util/Composer.cs +++ b/Common/Util/Composer.cs @@ -88,40 +88,17 @@ public Composer() var loadFromPluginDir = !string.IsNullOrWhiteSpace(PluginDirectory) && Directory.Exists(PluginDirectory) && new DirectoryInfo(PluginDirectory).FullName != primaryDllLookupDirectory; - _composableParts = Task.Run(() => LoadPartsSafely(primaryDllLookupDirectory, PluginDirectory, loadFromPluginDir)); - - // for performance we will load our assemblies and keep their exported types - // which is much faster that using CompositionContainer which uses reflexion - var exportedTypes = new ConcurrentBag(); - var fileNames = Directory.EnumerateFiles(primaryDllLookupDirectory, $"{nameof(QuantConnect)}.*.dll"); + var fileNames = Directory.EnumerateFiles(primaryDllLookupDirectory, "*.dll"); if (loadFromPluginDir) { - fileNames = fileNames.Concat(Directory.EnumerateFiles(PluginDirectory, $"{nameof(QuantConnect)}.*.dll")); + fileNames = fileNames.Concat(Directory.EnumerateFiles(PluginDirectory, "*.dll")); } - - Parallel.ForEach(fileNames.DistinctBy(Path.GetFileName), - file => - { - try - { - foreach (var type in - Assembly.LoadFrom(file).ExportedTypes.Where(type => !type.IsAbstract && !type.IsInterface && !type.IsEnum)) - { - exportedTypes.Add(type); - } - } - catch (Exception) - { - // ignored, just in case - } - } - ); - _exportedTypes = new List(exportedTypes); + LoadPartsSafely(fileNames.DistinctBy(Path.GetFileName)); } private CompositionContainer _compositionContainer; - private readonly IReadOnlyList _exportedTypes; - private readonly Task> _composableParts; + private IReadOnlyList _exportedTypes; + private List _composableParts; private readonly object _exportedValuesLockObject = new object(); private readonly Dictionary _exportedValues = new Dictionary(); @@ -232,22 +209,14 @@ public T GetExportedValueByTypeName(string typeName, bool forceTypeNameOnExis { try { - T instance = null; - IEnumerable values; - var type = typeof(T); - lock (_exportedValuesLockObject) + // if we've already loaded this part, then just return the same one + var instance = GetParts().FirstOrDefault(x => !forceTypeNameOnExisting || x.GetType().MatchesTypeName(typeName)); + if (instance != null) { - if (_exportedValues.TryGetValue(type, out values)) - { - // if we've already loaded this part, then just return the same one - instance = values.OfType().FirstOrDefault(x => !forceTypeNameOnExisting || x.GetType().MatchesTypeName(typeName)); - if (instance != null) - { - return instance; - } - } + return instance; } + var type = typeof(T); var typeT = _exportedTypes.Where(type1 => { try @@ -269,7 +238,7 @@ public T GetExportedValueByTypeName(string typeName, bool forceTypeNameOnExis if (instance == null) { // we want to get the requested part without instantiating each one of that type - var selectedPart = _composableParts.Result + var selectedPart = _composableParts .Where(x => { try @@ -350,10 +319,6 @@ public IEnumerable GetExportedValues() return values.OfType(); } - if (!_composableParts.IsCompleted) - { - _composableParts.Wait(); - } values = _compositionContainer.GetExportedValues().ToList(); _exportedValues[typeof(T)] = values; return values.OfType(); @@ -381,43 +346,57 @@ public void Reset() } } - private List LoadPartsSafely(string primaryDllLookupDirectory, string pluginDirectory, bool loadFromPluginDir) + private void LoadPartsSafely(IEnumerable files) { try { - var catalogs = new List(); - - IEnumerable dllFiles = Directory.EnumerateFiles(primaryDllLookupDirectory, "*.dll"); - if (loadFromPluginDir && Directory.Exists(pluginDirectory)) - { - dllFiles = dllFiles.Concat(Directory.EnumerateFiles(pluginDirectory, "*.dll")); - } - - foreach (var file in dllFiles.DistinctBy(Path.GetFileName).Where(x => - !x.Contains("protobuf", StringComparison.InvariantCultureIgnoreCase) - && !x.Contains("Microsoft.", StringComparison.InvariantCultureIgnoreCase) - && !x.Contains("System.", StringComparison.InvariantCultureIgnoreCase) - && !x.Contains("Python.Runtime", StringComparison.InvariantCultureIgnoreCase) - && !x.Contains("Accord.", StringComparison.InvariantCultureIgnoreCase))) + var exportedTypes = new ConcurrentBag(); + var catalogs = new ConcurrentBag(); + Parallel.ForEach(files, file => { try { - var assembly = Assembly.LoadFrom(file); + // we need to load assemblies so that C# algorithm dependencies are resolved correctly + // at the same time we need to load all QC dependencies to find all exports + Assembly assembly; + try + { + var asmName = AssemblyName.GetAssemblyName(file); + assembly = Assembly.Load(asmName); + } + catch + { + // handles dependencies that are not in the probing path but might duplicate loading an already loaded assembly + assembly = Assembly.LoadFrom(file); + } + + if (Path.GetFileName(file).StartsWith($"{nameof(QuantConnect)}.", StringComparison.InvariantCulture)) + { + foreach (var type in assembly.ExportedTypes.Where(type => !type.IsAbstract && !type.IsInterface && !type.IsEnum)) + { + exportedTypes.Add(type); + } + } var asmCatalog = new AssemblyCatalog(assembly); - var parts = asmCatalog.Parts.ToList(); - lock (catalogs) + var parts = asmCatalog.Parts.ToArray(); + if (parts.Length > 0) { catalogs.Add(asmCatalog); } } catch (Exception ex) { - Log.Trace($"Composer.LoadPartsSafely({file}): Skipping {ex.GetType().Name}: {ex.Message}"); + if (!file.Contains("quickfix.fix", StringComparison.InvariantCultureIgnoreCase)) + { + Log.Trace($"Composer.LoadPartsSafely({file}): Skipping {ex.GetType().Name}: {ex.Message}"); + } } - }; + }); + + _exportedTypes = new List(exportedTypes); var aggregate = new AggregateCatalog(catalogs); _compositionContainer = new CompositionContainer(aggregate); - return _compositionContainer.Catalog.Parts.ToList(); + _composableParts = _compositionContainer.Catalog.Parts.ToList(); } catch (Exception exception) { @@ -427,7 +406,6 @@ private List LoadPartsSafely(string primaryDllLookupDi Log.Error(exception); } } - return new List(); } } } diff --git a/Common/Util/LeanData.cs b/Common/Util/LeanData.cs index 3072f9bca589..4bbcf1e62e97 100644 --- a/Common/Util/LeanData.cs +++ b/Common/Util/LeanData.cs @@ -946,11 +946,11 @@ public static Symbol ReadSymbolFromZipEntry(Symbol symbol, Resolution resolution } /// - /// Scale and convert the resulting number to deci-cents int. + /// Scales the value by 10_000 and returns a normalized string. /// - private static long Scale(decimal value) + private static string Scale(decimal value) { - return (long)(value * 10000); + return Extensions.NormalizeToStr(value * 10_000m); } /// diff --git a/Common/Util/LinqExtensions.cs b/Common/Util/LinqExtensions.cs index 38c4ae89ec58..82a7177c490c 100644 --- a/Common/Util/LinqExtensions.cs +++ b/Common/Util/LinqExtensions.cs @@ -18,6 +18,8 @@ using System.Collections.Immutable; using System.Collections.ObjectModel; using System.Linq; +using Common.Util; +using QuantConnect.Data.Market; namespace QuantConnect.Util { @@ -110,7 +112,7 @@ public static bool IsNullOrEmpty(this IEnumerable enumerable) public static T Median(this IEnumerable enumerable) { var collection = enumerable.ToList(); - return collection.OrderBy(x => x).Skip(collection.Count/2).First(); + return collection.OrderBy(x => x).Skip(collection.Count / 2).First(); } /// @@ -254,7 +256,7 @@ public static IEnumerable> GroupAdjacentBy(this IEnumerable { if (e.MoveNext()) { - var list = new List {e.Current}; + var list = new List { e.Current }; var pred = e.Current; while (e.MoveNext()) { @@ -265,7 +267,7 @@ public static IEnumerable> GroupAdjacentBy(this IEnumerable else { yield return list; - list = new List {e.Current}; + list = new List { e.Current }; } pred = e.Current; } @@ -285,7 +287,7 @@ public static IEnumerable> GroupAdjacentBy(this IEnumerable /// True if there are any differences between the two sets, false otherwise public static bool AreDifferent(this ISet left, ISet right) { - if(ReferenceEquals(left, right)) + if (ReferenceEquals(left, right)) { return false; } @@ -337,5 +339,40 @@ public static void DoForEach(this IEnumerable source, Action action) action(element); } } + + /// + /// Converts a dictionary to a ReadOnlyExtendedDictionary + /// + public static ReadOnlyExtendedDictionary ToReadOnlyExtendedDictionary( + this IDictionary dictionary) + { + return new ReadOnlyExtendedDictionary(dictionary); + } + + /// + /// Creates a ReadOnlyExtendedDictionary from an IEnumerable according to specified key selector + /// + public static ReadOnlyExtendedDictionary ToReadOnlyExtendedDictionary( + this IEnumerable source, + Func keySelector) + { + return new ReadOnlyExtendedDictionary(source, keySelector); + } + + /// + /// Creates a DataDictionary from an IEnumerable according to specified key and value selectors + /// + public static DataDictionary ToDataDictionary( + this IEnumerable source, + Func keySelector, + Func valueSelector) + { + var result = new DataDictionary(); + foreach (var item in source) + { + result.Add(keySelector(item), valueSelector(item)); + } + return result; + } } } diff --git a/Common/Util/PythonUtil.cs b/Common/Util/PythonUtil.cs index 1f9f31c3c3f9..80a5934e82ff 100644 --- a/Common/Util/PythonUtil.cs +++ b/Common/Util/PythonUtil.cs @@ -21,7 +21,6 @@ using QuantConnect.Data.Fundamental; using System.Text.RegularExpressions; using QuantConnect.Data.UniverseSelection; -using System.IO; using System.Globalization; namespace QuantConnect.Util @@ -361,5 +360,27 @@ public static IEnumerable ConvertToSymbols(PyObject input) } return symbolsList; } + + /// + /// Attempts to convert a PyObject into a pure C# instance of . + /// If conversion fails, a wrapper instance is created/>. + /// + /// The C# type expected, which may be an interface or a concrete class + /// The Python object to convert. + /// Factory function used to create a wrapper around the Python object + /// + /// A pure C# instance if conversion is possible, otherwise a wrapper instance. + /// + public static T CreateInstanceOrWrapper(PyObject pyObject, Func createWrapper) + { + if (pyObject.TryConvert(out var instance)) + { + // Successfully converted to pure C# + return instance; + } + + // Fallback to wrapper + return createWrapper(pyObject); + } } } diff --git a/Common/Util/ReadOnlyExtendedDictionary.cs b/Common/Util/ReadOnlyExtendedDictionary.cs new file mode 100644 index 000000000000..56f0606feb38 --- /dev/null +++ b/Common/Util/ReadOnlyExtendedDictionary.cs @@ -0,0 +1,126 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. +*/ + +using System; +using System.Collections.Generic; +using QuantConnect.Python; + +namespace Common.Util +{ + /// + /// Provides a read-only implementation of ExtendedDictionary + /// + [PandasNonExpandable] + public class ReadOnlyExtendedDictionary : BaseExtendedDictionary, IReadOnlyDictionary + { + /// + /// Initializes a new instance of the ReadOnlyExtendedDictionary class that is empty + /// + public ReadOnlyExtendedDictionary() + { + } + + /// + /// Initializes a new instance of the ReadOnlyExtendedDictionary class that contains elements copied from the specified dictionary + /// + /// The dictionary whose elements are copied to the new dictionary + public ReadOnlyExtendedDictionary(IDictionary dictionary) : base(dictionary) + { + } + + /// + /// Initializes a new instance of the ReadOnlyExtendedDictionary class + /// using the specified as a data source + /// + /// The data source for this dictionary + /// Delegate used to select a key from the value + public ReadOnlyExtendedDictionary(IEnumerable data, Func keySelector) : base(data, keySelector) + { + } + + /// + /// Gets a value indicating whether the dictionary is read-only + /// + public override bool IsReadOnly => true; + + /// + /// Gets an enumerable collection containing the keys of the read-only dictionary + /// + IEnumerable IReadOnlyDictionary.Keys => base.Keys; + + /// + /// Gets an enumerable collection containing the values of the read-only dictionary + /// + IEnumerable IReadOnlyDictionary.Values => base.Values; + + /// + /// Gets or sets the value associated with the specified key + /// + /// The key of the value to get or set + /// The value associated with the specified key + public override TValue this[TKey key] + { + get => base[key]; + set => throw new InvalidOperationException("Dictionary is read-only"); + } + + /// + /// Removes all items from the dictionary + /// + public override void Clear() + { + throw new InvalidOperationException("Dictionary is read-only"); + } + + /// + /// Removes the value with the specified key + /// + /// The key of the element to remove + /// true if the element was successfully found and removed; otherwise, false + public override bool Remove(TKey key) + { + throw new InvalidOperationException("Dictionary is read-only"); + } + + /// + /// Adds an element with the provided key and value to the dictionary + /// + /// The key of the element to add + /// The value of the element to add + public new void Add(TKey key, TValue value) + { + throw new InvalidOperationException("Dictionary is read-only"); + } + + /// + /// Adds an element with the provided key-value pair to the dictionary + /// + /// The key-value pair to add + public new void Add(KeyValuePair item) + { + throw new InvalidOperationException("Dictionary is read-only"); + } + + /// + /// Removes the first occurrence of a specific object from the dictionary + /// + /// The key-value pair to remove + /// true if the key-value pair was successfully removed; otherwise, false + public new bool Remove(KeyValuePair item) + { + throw new InvalidOperationException("Dictionary is read-only"); + } + } +} \ No newline at end of file diff --git a/Common/Util/StreamReaderExtensions.cs b/Common/Util/StreamReaderExtensions.cs index af959e4392c7..1606ffc2aa5b 100644 --- a/Common/Util/StreamReaderExtensions.cs +++ b/Common/Util/StreamReaderExtensions.cs @@ -156,6 +156,37 @@ public static int GetInt32(this StreamReader stream, char delimiter = DefaultDel return isNegative ? result * -1 : result; } + /// + /// Gets an integer from a stream reader + /// + /// The data stream + /// The data delimiter character to use, default is ',' + /// The integer instance read + [MethodImpl(MethodImplOptions.AggressiveInlining)] + public static long GetInt64(this StreamReader stream, char delimiter = DefaultDelimiter) + { + var result = 0L; + var current = (char)stream.Read(); + + while (current == ' ') + { + current = (char)stream.Read(); + } + + var isNegative = current == '-'; + if (isNegative) + { + current = (char)stream.Read(); + } + + while (!(current == delimiter || current == '\n' || current == '\r' && (stream.Peek() != '\n' || stream.Read() == '\n') || current == NoMoreData || current == ' ')) + { + result = (current - '0') + result * 10L; + current = (char)stream.Read(); + } + return isNegative ? result * -1L : result; + } + private readonly static ConcurrentBag StringBuilders = new(); /// diff --git a/Compression/QuantConnect.Compression.csproj b/Compression/QuantConnect.Compression.csproj index 1f626d954416..66a19b888f51 100644 --- a/Compression/QuantConnect.Compression.csproj +++ b/Compression/QuantConnect.Compression.csproj @@ -4,7 +4,7 @@ AnyCPU QuantConnect.Compression QuantConnect.Compression - net9.0 + net10.0 AllEnabledByDefault false bin\$(Configuration)\ diff --git a/Configuration/Config.cs b/Configuration/Config.cs index c6aaa3ff108e..0e07fdb4080e 100644 --- a/Configuration/Config.cs +++ b/Configuration/Config.cs @@ -146,7 +146,10 @@ public static string Get(string key, string defaultValue = "") var token = GetToken(Settings.Value, key); if (token == null) { - Log.Trace(Invariant($"Config.Get(): Configuration key not found. Key: {key} - Using default value: {defaultValue}")); + if (Log.DebuggingEnabled) + { + Log.Debug(Invariant($"Config.Get(): Configuration key not found. Key: {key} - Using default value: {defaultValue}")); + } return defaultValue; } return token.ToString(); @@ -227,18 +230,21 @@ public static double GetDouble(string key, double defaultValue = 0.0) public static T GetValue(string key, T defaultValue = default(T)) { // special case environment requests - if (key == "environment" && typeof (T) == typeof (string)) return (T) (object) GetEnvironment(); + if (key == "environment" && typeof(T) == typeof(string)) return (T)(object)GetEnvironment(); var token = GetToken(Settings.Value, key); if (token == null) { var defaultValueString = defaultValue is IConvertible - ? ((IConvertible) defaultValue).ToString(CultureInfo.InvariantCulture) + ? ((IConvertible)defaultValue).ToString(CultureInfo.InvariantCulture) : defaultValue is IFormattable - ? ((IFormattable) defaultValue).ToString(null, CultureInfo.InvariantCulture) + ? ((IFormattable)defaultValue).ToString(null, CultureInfo.InvariantCulture) : Invariant($"{defaultValue}"); - Log.Trace(Invariant($"Config.GetValue(): {key} - Using default value: {defaultValueString}")); + if (Log.DebuggingEnabled) + { + Log.Debug(Invariant($"Config.GetValue(): {key} - Using default value: {defaultValueString}")); + } return defaultValue; } @@ -255,22 +261,22 @@ public static double GetDouble(string key, double defaultValue = 0.0) if (type.IsEnum) { - return (T) Enum.Parse(type, value, true); + return (T)Enum.Parse(type, value, true); } if (typeof(IConvertible).IsAssignableFrom(type)) { - return (T) Convert.ChangeType(value, type, CultureInfo.InvariantCulture); + return (T)Convert.ChangeType(value, type, CultureInfo.InvariantCulture); } // try and find a static parse method try { - var parse = type.GetMethod("Parse", new[]{typeof(string)}); + var parse = type.GetMethod("Parse", new[] { typeof(string) }); if (parse != null) { - var result = parse.Invoke(null, new object[] {value}); - return (T) result; + var result = parse.Invoke(null, new object[] { value }); + return (T)result; } } catch (Exception err) @@ -381,7 +387,7 @@ public static JObject Flatten(JObject config, string overrideEnvironment) var environments = config["environments"]; if (!(environments is JObject)) continue; - var settings = ((JObject) environments).SelectToken(env); + var settings = ((JObject)environments).SelectToken(env); if (settings == null) continue; // copy values for the selected environment to the root @@ -395,7 +401,7 @@ public static JObject Flatten(JObject config, string overrideEnvironment) var jProperty = clone.Property(path); if (jProperty != null) jProperty.Remove(); - var value = (token is JProperty ? ((JProperty) token).Value : token).ToString(); + var value = (token is JProperty ? ((JProperty)token).Value : token).ToString(); clone.Add(path, value); } } diff --git a/Configuration/QuantConnect.Configuration.csproj b/Configuration/QuantConnect.Configuration.csproj index f222de092f40..e2b797aee2b4 100644 --- a/Configuration/QuantConnect.Configuration.csproj +++ b/Configuration/QuantConnect.Configuration.csproj @@ -4,7 +4,7 @@ AnyCPU QuantConnect.Configuration QuantConnect.Configuration - net9.0 + net10.0 ..\ true AllEnabledByDefault diff --git a/Configuration/ReportArgumentParser.cs b/Configuration/ReportArgumentParser.cs index 5d4622344baf..7ec477d2e6ee 100644 --- a/Configuration/ReportArgumentParser.cs +++ b/Configuration/ReportArgumentParser.cs @@ -42,6 +42,7 @@ public static class ReportArgumentParser new CommandLineOption("report-destination", CommandOptionType.SingleValue, "Destination of processed report file"), new CommandLineOption("report-css-override-file", CommandOptionType.SingleValue, "CSS override source file"), new CommandLineOption("report-html-custom-file", CommandOptionType.SingleValue, "Custom HTML source file"), + new CommandLineOption("python-venv", CommandOptionType.SingleValue, "Python virtual environment path"), }; /// diff --git a/Data/future/comex/universes/gc/20131028.csv b/Data/future/comex/universes/gc/20131028.csv index eea38c0c4408..fb970ee6c81d 100644 --- a/Data/future/comex/universes/gc/20131028.csv +++ b/Data/future/comex/universes/gc/20131028.csv @@ -1,4 +1,5 @@ #expiry,open,high,low,close,volume,open_interest +201310,1314.1,1320.8,1313.9,1319.9,50,234 201311,1347.9,1351.7,1343.8,1344.9,39,56 201312,1348.6,1352.9,1342.4,1344.8,47850,210712 201402,1349.1,1353.6,1343.4,1346,3578,55934 diff --git a/Data/market-hours/market-hours-database.json b/Data/market-hours/market-hours-database.json index ee09d4372c95..507913acf45a 100644 --- a/Data/market-hours/market-hours-database.json +++ b/Data/market-hours/market-hours-database.json @@ -117,9 +117,10 @@ "1/1/2024", "1/2/2023", "1/1/2025", + "1/1/2026", + "1/1/2027", "1/2/2007", "1/9/2025", - "1/20/2025", "1/19/1998", "1/18/1999", "1/17/2000", @@ -147,6 +148,9 @@ "1/17/2022", "1/16/2023", "1/15/2024", + "1/20/2025", + "1/19/2026", + "1/18/2027", "2/16/1998", "2/15/1999", "2/21/2000", @@ -175,6 +179,8 @@ "2/20/2023", "2/19/2024", "2/17/2025", + "2/16/2026", + "2/15/2027", "4/10/1998", "4/2/1999", "4/21/2000", @@ -203,6 +209,8 @@ "4/7/2023", "3/29/2024", "4/18/2025", + "4/3/2026", + "3/26/2027", "5/25/1998", "5/31/1999", "5/29/2000", @@ -231,11 +239,15 @@ "5/29/2023", "5/27/2024", "5/26/2025", + "5/25/2026", + "5/31/2027", "6/11/2004", "6/20/2022", "6/19/2023", "6/19/2024", "6/19/2025", + "6/19/2026", + "6/18/2027", "7/3/1998", "7/5/1999", "7/4/2000", @@ -264,6 +276,8 @@ "7/4/2023", "7/4/2024", "7/4/2025", + "7/3/2026", + "7/5/2027", "9/7/1998", "9/6/1999", "9/4/2000", @@ -292,6 +306,8 @@ "9/4/2023", "9/2/2024", "9/1/2025", + "9/7/2026", + "9/6/2027", "9/11/2001", "9/12/2001", "9/13/2001", @@ -326,6 +342,8 @@ "11/23/2023", "11/28/2024", "11/27/2025", + "11/26/2026", + "11/25/2027", "12/05/2018", "12/25/1998", "12/24/1999", @@ -354,7 +372,9 @@ "12/26/2022", "12/25/2023", "12/25/2024", - "12/25/2025" + "12/25/2025", + "12/25/2026", + "12/24/2027" ], "earlyCloses": { "7/3/2000": "13:00:00", @@ -400,6 +420,8 @@ "11/24/2023": "13:00:00", "11/29/2024": "13:00:00", "11/28/2025": "13:00:00", + "11/27/2026": "13:00:00", + "11/26/2027": "13:00:00", "12/24/2001": "13:00:00", "12/24/2002": "13:00:00", "12/24/2003": "13:00:00", @@ -416,7 +438,8 @@ "12/24/2019": "13:00:00", "12/24/2020": "13:00:00", "12/24/2024": "13:00:00", - "12/24/2025": "13:00:00" + "12/24/2025": "13:00:00", + "12/24/2026": "13:00:00" } }, "Future-cme-[*]": { @@ -664,7 +687,11 @@ "4/18/2025" ], "earlyCloses": {}, - "lateOpens": {} + "lateOpens": {}, + "bankHolidays": [ + "10/12/2026", + "11/11/2026" + ] }, "Future-ice-[*]": { "dataTimeZone": "UTC", @@ -740,6 +767,7 @@ "1/2/2023", "1/1/2025", "1/1/2026", + "1/1/2027", "1/2/2007", "1/19/1998", "1/18/1999", @@ -971,7 +999,8 @@ "12/26/2022", "12/25/2023", "12/25/2024", - "12/25/2025" + "12/25/2025", + "12/25/2026" ], "earlyCloses": {}, "lateOpens": {} @@ -1325,7 +1354,11 @@ "4/18/2025" ], "earlyCloses": {}, - "lateOpens": {} + "lateOpens": {}, + "bankHolidays": [ + "10/12/2026", + "11/11/2026" + ] }, "Future-nymex-[*]": { "dataTimeZone": "UTC", @@ -1676,7 +1709,11 @@ "4/18/2025" ], "earlyCloses": {}, - "lateOpens": {} + "lateOpens": {}, + "bankHolidays": [ + "10/12/2026", + "11/11/2026" + ] }, "Future-comex-[*]": { "dataTimeZone": "UTC", @@ -2028,7 +2065,11 @@ "4/18/2025" ], "earlyCloses": {}, - "lateOpens": {} + "lateOpens": {}, + "bankHolidays": [ + "10/12/2026", + "11/11/2026" + ] }, "Future-cfe-[*]": { "dataTimeZone": "UTC", @@ -2355,7 +2396,7 @@ "9/4/2023", "9/2/2024", "9/1/2025", - "9/1/2026", + "9/7/2026", "9/11/2001", "9/12/2001", "9/13/2001", @@ -2426,7 +2467,9 @@ "earlyCloses": { "7/3/2025": "18:15:00", "11/28/2025": "18:15:00", - "12/24/2025": "18:15:00" + "12/24/2025": "18:15:00", + "11/27/2026": "12:15:00", + "12/24/2026": "12:15:00" }, "lateOpens": {} }, @@ -2522,30 +2565,19 @@ ], "saturday": [], "holidays": [ - "7/4/2014", - "4/3/2015", - "7/3/2015", - "7/4/2017", - "7/4/2018", - "7/4/2019", - "7/3/2020", - "4/2/2021", - "7/5/2021", - "7/4/2022", "4/7/2023", - "7/4/2023", - "11/23/2023", - "12/25/2023", "1/2/2024", - "7/4/2024", - "11/28/2024", - "12/25/2024", "1/1/2025", - "1/9/2025", - "4/18/2025", "7/4/2025", "11/27/2025", - "12/25/2025" + "12/25/2025", + "1/1/2026", + "4/3/2026", + "6/19/2026", + "7/3/2026", + "11/26/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "11/25/2011": "12:00:00", @@ -2648,7 +2680,19 @@ "8/31/2025": "16:00:00", "11/26/2025": "16:00:00", "11/28/2025": "12:05:00", - "12/24/2025": "12:05:00" + "12/24/2025": "12:05:00", + "12/31/2025": "16:00:00", + "1/18/2026": "16:00:00", + "2/15/2026": "16:00:00", + "4/2/2026": "16:00:00", + "5/24/2026": "16:00:00", + "6/18/2026": "16:00:00", + "7/2/2026": "16:00:00", + "9/6/2026": "16:00:00", + "11/25/2026": "16:00:00", + "11/27/2026": "12:05:00", + "12/24/2026": "12:05:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "12/27/2011": "09:30:00", @@ -2725,7 +2769,13 @@ "2/17/2025": "19:00:00", "5/26/2025": "19:00:00", "6/19/2025": "19:00:00", - "9/1/2025": "19:00:00" + "9/1/2025": "19:00:00", + "1/2/2026": "08:30:00", + "1/19/2026": "19:00:00", + "2/16/2026": "19:00:00", + "5/25/2026": "19:00:00", + "9/7/2026": "19:00:00", + "11/27/2026": "08:30:00" }, "bankHolidays": [ "1/19/2009", @@ -2842,7 +2892,11 @@ "6/19/2025", "9/1/2025", "10/13/2025", - "11/11/2025" + "11/11/2025", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "9/7/2026" ] }, "Future-cbot-KE": { @@ -2944,30 +2998,21 @@ "05/26/2013", "07/04/2013", "09/01/2013", - "11/28/2013", - "12/25/2013", "01/01/2014", "01/19/2014", "02/16/2014", "04/18/2014", "05/25/2014", "07/04/2014", - "7/4/2014", "07/06/2014", "08/31/2014", - "11/27/2014", - "12/25/2014", "01/01/2015", "01/18/2015", "02/15/2015", "04/03/2015", - "4/3/2015", "05/24/2015", "07/03/2015", - "7/3/2015", "09/06/2015", - "11/26/2015", - "12/25/2015", "01/01/2016", "01/17/2016", "02/14/2016", @@ -2976,77 +3021,49 @@ "07/03/2016", "07/04/2016", "09/04/2016", - "11/24/2016", "01/15/2017", "02/19/2017", "04/14/2017", "05/28/2017", "07/04/2017", - "7/4/2017", "09/03/2017", - "11/23/2017", - "12/25/2017", "01/01/2018", "01/14/2018", "02/18/2018", "03/30/2018", "05/27/2018", "07/04/2018", - "7/4/2018", "09/02/2018", - "11/22/2018", - "12/25/2018", "01/01/2019", "01/20/2019", "02/17/2019", "04/19/2019", "05/26/2019", "07/04/2019", - "7/4/2019", "09/01/2019", - "11/28/2019", - "12/25/2019", "01/01/2020", "01/19/2020", "02/16/2020", "04/10/2020", "05/24/2020", "07/03/2020", - "7/3/2020", "09/06/2020", - "11/26/2020", - "12/25/2020", "01/01/2021", - "4/2/2021", - "7/5/2021", - "7/4/2022", "12/25/2022", - "12/26/2022", "1/1/2023", - "1/2/2023", - "1/16/2023", - "2/20/2023", "4/7/2023", - "5/29/2023", - "6/19/2023", - "7/4/2023", - "7/4/2023", - "9/4/2023", - "11/23/2023", - "11/23/2023", - "12/25/2023", - "12/25/2023", - "1/1/2024", "1/2/2024", - "7/4/2024", - "11/28/2024", - "12/25/2024", "1/1/2025", - "1/9/2025", - "4/18/2025", "7/4/2025", "11/27/2025", - "12/25/2025" + "12/25/2025", + "1/1/2026", + "4/3/2026", + "6/19/2026", + "7/3/2026", + "11/26/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "11/25/2011": "12:00:00", @@ -3149,7 +3166,19 @@ "8/31/2025": "16:00:00", "11/26/2025": "16:00:00", "11/28/2025": "12:05:00", - "12/24/2025": "12:05:00" + "12/24/2025": "12:05:00", + "12/31/2025": "16:00:00", + "1/18/2026": "16:00:00", + "2/15/2026": "16:00:00", + "4/2/2026": "16:00:00", + "5/24/2026": "16:00:00", + "6/18/2026": "16:00:00", + "7/2/2026": "16:00:00", + "9/6/2026": "16:00:00", + "11/25/2026": "16:00:00", + "11/27/2026": "12:05:00", + "12/24/2026": "12:05:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "12/27/2011": "09:30:00", @@ -3226,7 +3255,13 @@ "2/17/2025": "19:00:00", "5/26/2025": "19:00:00", "6/19/2025": "19:00:00", - "9/1/2025": "19:00:00" + "9/1/2025": "19:00:00", + "1/2/2026": "08:30:00", + "1/19/2026": "19:00:00", + "2/16/2026": "19:00:00", + "5/25/2026": "19:00:00", + "9/7/2026": "19:00:00", + "11/27/2026": "08:30:00" }, "bankHolidays": [ "1/19/2009", @@ -3343,7 +3378,11 @@ "6/19/2025", "9/1/2025", "10/13/2025", - "11/11/2025" + "11/11/2025", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "9/7/2026" ] }, "Future-cme-LBS": { @@ -3419,7 +3458,6 @@ "07/04/2013", "09/02/2013", "11/28/2013", - "12/25/2013", "01/01/2014", "01/20/2014", "02/17/2014", @@ -3429,7 +3467,6 @@ "07/04/2014", "09/01/2014", "11/27/2014", - "12/25/2014", "01/01/2015", "01/19/2015", "02/16/2015", @@ -3438,7 +3475,6 @@ "07/03/2015", "09/07/2015", "11/26/2015", - "12/25/2015", "01/01/2016", "01/18/2016", "02/15/2016", @@ -3447,7 +3483,6 @@ "07/04/2016", "09/05/2016", "11/24/2016", - "12/26/2016", "01/01/2017", "01/02/2017", "01/16/2017", @@ -3457,7 +3492,6 @@ "07/04/2017", "09/04/2017", "11/23/2017", - "12/25/2017", "01/15/2018", "02/19/2018", "03/30/2018", @@ -3465,7 +3499,6 @@ "07/04/2018", "09/03/2018", "11/22/2018", - "12/25/2018", "01/01/2019", "01/21/2019", "02/18/2019", @@ -3474,7 +3507,6 @@ "07/04/2019", "09/02/2019", "11/28/2019", - "12/25/2019", "01/01/2020", "01/20/2020", "02/17/2020", @@ -3483,7 +3515,6 @@ "07/03/2020", "09/07/2020", "11/26/2020", - "12/25/2020", "01/01/2021", "01/17/2021", "01/18/2021", @@ -3498,7 +3529,6 @@ "09/06/2021", "11/24/2021", "11/25/2021", - "12/24/2021", "12/26/2021", "01/16/2022", "01/17/2022", @@ -3516,9 +3546,7 @@ "11/23/2022", "11/24/2022", "12/25/2022", - "12/26/2022", "1/1/2023", - "1/2/2023", "1/16/2023", "2/20/2023", "4/7/2023", @@ -3650,30 +3678,19 @@ ], "saturday": [], "holidays": [ - "7/4/2014", - "4/3/2015", - "7/3/2015", - "7/4/2017", - "7/4/2018", - "7/4/2019", - "7/3/2020", - "4/2/2021", - "7/5/2021", - "7/4/2022", "4/7/2023", - "7/4/2023", - "11/23/2023", - "12/25/2023", "1/2/2024", - "7/4/2024", - "11/28/2024", - "12/25/2024", "1/1/2025", - "1/9/2025", - "4/18/2025", "7/4/2025", "11/27/2025", - "12/25/2025" + "12/25/2025", + "1/1/2026", + "4/3/2026", + "6/19/2026", + "7/3/2026", + "11/26/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "11/25/2011": "12:00:00", @@ -3776,7 +3793,19 @@ "8/31/2025": "16:00:00", "11/26/2025": "16:00:00", "11/28/2025": "12:05:00", - "12/24/2025": "12:05:00" + "12/24/2025": "12:05:00", + "12/31/2025": "16:00:00", + "1/18/2026": "16:00:00", + "2/15/2026": "16:00:00", + "4/2/2026": "16:00:00", + "5/24/2026": "16:00:00", + "6/18/2026": "16:00:00", + "7/2/2026": "16:00:00", + "9/6/2026": "16:00:00", + "11/25/2026": "16:00:00", + "11/27/2026": "12:05:00", + "12/24/2026": "12:05:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "12/27/2011": "09:30:00", @@ -3853,7 +3882,13 @@ "2/17/2025": "19:00:00", "5/26/2025": "19:00:00", "6/19/2025": "19:00:00", - "9/1/2025": "19:00:00" + "9/1/2025": "19:00:00", + "1/2/2026": "08:30:00", + "1/19/2026": "19:00:00", + "2/16/2026": "19:00:00", + "5/25/2026": "19:00:00", + "9/7/2026": "19:00:00", + "11/27/2026": "08:30:00" }, "bankHolidays": [ "1/19/2009", @@ -3970,7 +4005,11 @@ "6/19/2025", "9/1/2025", "10/13/2025", - "11/11/2025" + "11/11/2025", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "9/7/2026" ] }, "Future-cbot-ZS": { @@ -4066,7 +4105,41 @@ "saturday": [], "holidays": [ "4/7/2023", - "1/9/2025" + "1/1/2026", + "4/3/2026", + "6/19/2026", + "7/3/2026", + "11/26/2026", + "12/25/2026", + "1/1/2027" + ], + "earlyCloses": { + "12/31/2025": "16:00:00", + "1/18/2026": "16:00:00", + "2/15/2026": "16:00:00", + "4/2/2026": "16:00:00", + "5/24/2026": "16:00:00", + "6/18/2026": "16:00:00", + "7/2/2026": "16:00:00", + "9/6/2026": "16:00:00", + "11/25/2026": "16:00:00", + "11/27/2026": "12:05:00", + "12/24/2026": "12:05:00", + "12/31/2026": "16:00:00" + }, + "lateOpens": { + "1/2/2026": "08:30:00", + "1/19/2026": "19:00:00", + "2/16/2026": "19:00:00", + "5/25/2026": "19:00:00", + "9/7/2026": "19:00:00", + "11/27/2026": "08:30:00" + }, + "bankHolidays": [ + "1/19/2026", + "2/16/2026", + "5/25/2026", + "9/7/2026" ] }, "Future-cbot-ZM": { @@ -4161,8 +4234,42 @@ ], "saturday": [], "holidays": [ - "1/9/2025", - "4/7/2023" + "4/7/2023", + "1/1/2026", + "4/3/2026", + "6/19/2026", + "7/3/2026", + "11/26/2026", + "12/25/2026", + "1/1/2027" + ], + "earlyCloses": { + "12/31/2025": "16:00:00", + "1/18/2026": "16:00:00", + "2/15/2026": "16:00:00", + "4/2/2026": "16:00:00", + "5/24/2026": "16:00:00", + "6/18/2026": "16:00:00", + "7/2/2026": "16:00:00", + "9/6/2026": "16:00:00", + "11/25/2026": "16:00:00", + "11/27/2026": "12:05:00", + "12/24/2026": "12:05:00", + "12/31/2026": "16:00:00" + }, + "lateOpens": { + "1/2/2026": "08:30:00", + "1/19/2026": "19:00:00", + "2/16/2026": "19:00:00", + "5/25/2026": "19:00:00", + "9/7/2026": "19:00:00", + "11/27/2026": "08:30:00" + }, + "bankHolidays": [ + "1/19/2026", + "2/16/2026", + "5/25/2026", + "9/7/2026" ] }, "Future-cbot-ZL": { @@ -4258,7 +4365,41 @@ "saturday": [], "holidays": [ "4/7/2023", - "1/9/2025" + "1/1/2026", + "4/3/2026", + "6/19/2026", + "7/3/2026", + "11/26/2026", + "12/25/2026", + "1/1/2027" + ], + "earlyCloses": { + "12/31/2025": "16:00:00", + "1/18/2026": "16:00:00", + "2/15/2026": "16:00:00", + "4/2/2026": "16:00:00", + "5/24/2026": "16:00:00", + "6/18/2026": "16:00:00", + "7/2/2026": "16:00:00", + "9/6/2026": "16:00:00", + "11/25/2026": "16:00:00", + "11/27/2026": "12:05:00", + "12/24/2026": "12:05:00", + "12/31/2026": "16:00:00" + }, + "lateOpens": { + "1/2/2026": "08:30:00", + "1/19/2026": "19:00:00", + "2/16/2026": "19:00:00", + "5/25/2026": "19:00:00", + "9/7/2026": "19:00:00", + "11/27/2026": "08:30:00" + }, + "bankHolidays": [ + "1/19/2026", + "2/16/2026", + "5/25/2026", + "9/7/2026" ] }, "Future-cbot-ZO": { @@ -4353,30 +4494,19 @@ ], "saturday": [], "holidays": [ - "7/4/2014", - "4/3/2015", - "7/3/2015", - "7/4/2017", - "7/4/2018", - "7/4/2019", - "7/3/2020", - "4/2/2021", - "7/5/2021", - "7/4/2022", "4/7/2023", - "7/4/2023", - "11/23/2023", - "12/25/2023", "1/2/2024", - "7/4/2024", - "11/28/2024", - "12/25/2024", "1/1/2025", - "1/9/2025", - "4/18/2025", "7/4/2025", "11/27/2025", - "12/25/2025" + "12/25/2025", + "1/1/2026", + "4/3/2026", + "6/19/2026", + "7/3/2026", + "11/26/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "11/25/2011": "12:00:00", @@ -4479,7 +4609,19 @@ "8/31/2025": "16:00:00", "11/26/2025": "16:00:00", "11/28/2025": "12:05:00", - "12/24/2025": "12:05:00" + "12/24/2025": "12:05:00", + "12/31/2025": "16:00:00", + "1/18/2026": "16:00:00", + "2/15/2026": "16:00:00", + "4/2/2026": "16:00:00", + "5/24/2026": "16:00:00", + "6/18/2026": "16:00:00", + "7/2/2026": "16:00:00", + "9/6/2026": "16:00:00", + "11/25/2026": "16:00:00", + "11/27/2026": "12:05:00", + "12/24/2026": "12:05:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "12/27/2011": "09:30:00", @@ -4556,7 +4698,13 @@ "2/17/2025": "19:00:00", "5/26/2025": "19:00:00", "6/19/2025": "19:00:00", - "9/1/2025": "19:00:00" + "9/1/2025": "19:00:00", + "1/2/2026": "08:30:00", + "1/19/2026": "19:00:00", + "2/16/2026": "19:00:00", + "5/25/2026": "19:00:00", + "9/7/2026": "19:00:00", + "11/27/2026": "08:30:00" }, "bankHolidays": [ "1/19/2009", @@ -4673,7 +4821,11 @@ "6/19/2025", "9/1/2025", "10/13/2025", - "11/11/2025" + "11/11/2025", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "9/7/2026" ] }, "Future-ice-DX": { @@ -4742,11 +4894,7 @@ } ], "saturday": [], - "holidays": [ - "1/2/2023", - "12/25/2023", - "1/1/2024" - ], + "holidays": [], "lateOpens": { "12/26/2008": "06:00:00", "1/2/2009": "06:00:00", @@ -4985,7 +5133,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -5162,7 +5312,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -5270,7 +5432,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -5432,7 +5600,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-6C": { @@ -5527,7 +5702,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -5704,7 +5881,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -5812,7 +6001,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -5974,7 +6169,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-6J": { @@ -6069,7 +6271,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -6246,7 +6450,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -6354,7 +6570,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -6516,7 +6738,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-6S": { @@ -6611,7 +6840,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -6788,7 +7019,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -6896,7 +7139,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -7058,7 +7307,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-6E": { @@ -7153,7 +7409,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -7330,7 +7588,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -7438,7 +7708,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -7600,7 +7876,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-6A": { @@ -7695,7 +7978,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -7872,7 +8157,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -7980,7 +8277,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -8142,7 +8445,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-6N": { @@ -8237,7 +8547,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -8414,7 +8726,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -8522,7 +8846,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -8684,7 +9014,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-1S": { @@ -8779,9 +9116,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -8930,7 +9267,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -9039,7 +9388,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -9207,7 +9562,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-22": { @@ -9302,9 +9664,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -9453,7 +9815,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -9562,7 +9936,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -9730,7 +10110,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-6L": { @@ -9825,7 +10212,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -10002,7 +10391,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -10110,7 +10511,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -10272,7 +10679,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-6M": { @@ -10367,7 +10781,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -10544,7 +10960,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -10652,7 +11080,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -10814,7 +11248,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-6R": { @@ -10909,7 +11350,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -11086,7 +11529,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -11194,7 +11649,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -11356,7 +11817,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-6Z": { @@ -11451,7 +11919,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -11628,7 +12098,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -11736,7 +12218,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -11898,7 +12386,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-A0D": { @@ -11993,9 +12488,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -12144,7 +12639,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -12253,7 +12760,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -12421,7 +12934,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-A0F": { @@ -12516,9 +13036,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -12667,7 +13187,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -12776,7 +13308,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -12944,7 +13482,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-A1L": { @@ -13039,9 +13584,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -13190,7 +13735,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -13299,7 +13856,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -13467,7 +14030,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-A1M": { @@ -13562,9 +14132,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -13713,7 +14283,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -13822,7 +14404,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -13990,7 +14578,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-A1R": { @@ -14085,9 +14680,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -14236,7 +14831,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -14345,7 +14952,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -14513,7 +15126,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-A32": { @@ -14608,9 +15228,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -14759,7 +15379,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -14868,7 +15500,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -15036,7 +15674,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-A3G": { @@ -15131,9 +15776,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -15282,7 +15927,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -15391,7 +16048,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -15559,7 +16222,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-A7E": { @@ -15654,9 +16324,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -15805,7 +16475,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -15914,7 +16596,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -16082,7 +16770,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-A7I": { @@ -16177,9 +16872,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -16328,7 +17023,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -16437,7 +17144,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -16605,7 +17318,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-A7Q": { @@ -16700,9 +17420,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -16851,7 +17571,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -16960,7 +17692,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -17128,7 +17866,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-A8J": { @@ -17223,9 +17968,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -17374,7 +18119,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -17483,7 +18240,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -17651,7 +18414,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-A8K": { @@ -17746,9 +18516,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -17897,7 +18667,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -18006,7 +18788,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -18174,7 +18962,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-A8O": { @@ -18269,9 +19064,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -18420,7 +19215,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -18529,7 +19336,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -18697,7 +19510,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-A91": { @@ -18792,9 +19612,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -18943,7 +19763,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -19052,7 +19884,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -19220,7 +20058,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-A9N": { @@ -19315,9 +20160,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -19466,7 +20311,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -19575,7 +20432,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -19743,7 +20606,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-AA6": { @@ -19838,9 +20708,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -19989,7 +20859,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -20098,7 +20980,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -20266,7 +21154,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-AA8": { @@ -20361,9 +21256,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -20512,7 +21407,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -20621,7 +21528,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -20789,7 +21702,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-ABS": { @@ -20884,9 +21804,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -21035,7 +21955,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -21144,7 +22076,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -21312,7 +22250,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-ABT": { @@ -21407,9 +22352,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -21558,7 +22503,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -21667,7 +22624,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -21835,7 +22798,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-AC0": { @@ -21930,9 +22900,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -22081,7 +23051,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -22190,7 +23172,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -22358,7 +23346,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-ACD": { @@ -22453,7 +23448,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -22630,7 +23627,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -22738,7 +23747,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -22900,7 +23915,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-AD0": { @@ -22995,9 +24017,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -23146,7 +24168,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -23255,7 +24289,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -23423,7 +24463,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-ADB": { @@ -23518,9 +24565,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -23669,7 +24716,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -23778,7 +24837,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -23946,7 +25011,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-AE5": { @@ -24041,9 +25113,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -24192,7 +25264,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -24301,7 +25385,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -24469,7 +25559,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-AGA": { @@ -24564,9 +25661,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -24715,7 +25812,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -24824,7 +25933,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -24992,7 +26107,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-AJL": { @@ -25087,9 +26209,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -25238,7 +26360,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -25347,7 +26481,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -25515,7 +26655,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-AJS": { @@ -25610,9 +26757,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -25761,7 +26908,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -25870,7 +27029,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -26038,7 +27203,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-AJY": { @@ -26133,7 +27305,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -26310,7 +27484,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -26418,7 +27604,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -26580,7 +27772,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-AKL": { @@ -26675,9 +27874,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -26826,7 +28025,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -26935,7 +28146,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -27103,7 +28320,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-AKZ": { @@ -27198,9 +28422,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -27349,7 +28573,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -27458,7 +28694,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -27626,7 +28868,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-ANE": { @@ -27721,7 +28970,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -27898,7 +29149,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -28006,7 +29269,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -28168,7 +29437,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-APS": { @@ -28263,9 +29539,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -28414,7 +29690,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -28523,7 +29811,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -28691,7 +29985,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-AR0": { @@ -28786,9 +30087,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -28937,7 +30238,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -29046,7 +30359,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -29214,7 +30533,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-ARE": { @@ -29309,9 +30635,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -29460,7 +30786,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -29569,7 +30907,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -29737,7 +31081,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-comex-AUP": { @@ -29832,9 +31183,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -29982,7 +31333,19 @@ "9/1/2025": "14:30:00", "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", - "12/24/2025": "13:45:00" + "12/24/2025": "13:45:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -30091,7 +31454,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -30259,7 +31628,13 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "11/26/2026" ] }, "Future-nymex-AVZ": { @@ -30354,9 +31729,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -30505,7 +31880,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -30614,7 +32001,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -30782,7 +32175,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cbot-AW": { @@ -30827,7 +32227,17 @@ "saturday": [], "holidays": [ "4/7/2023", - "1/9/2025" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "4/3/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "11/27/2009": "12:00:00", @@ -30853,7 +32263,9 @@ "12/24/2018": "12:00:00", "7/3/2019": "12:00:00", "11/29/2019": "12:00:00", - "12/24/2019": "12:00:00" + "12/24/2019": "12:00:00", + "11/27/2026": "12:00:00", + "12/24/2026": "12:00:00" } }, "Future-nymex-AYV": { @@ -30948,9 +32360,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -31099,7 +32511,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -31208,7 +32632,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -31376,7 +32806,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-AYX": { @@ -31471,9 +32908,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -31622,7 +33059,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -31731,7 +33180,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -31899,7 +33354,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-AZ1": { @@ -31994,9 +33456,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -32145,7 +33607,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -32254,7 +33728,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -32422,7 +33902,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-B0": { @@ -32517,9 +34004,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -32668,7 +34155,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -32777,7 +34276,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -32945,7 +34450,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-B7H": { @@ -33040,9 +34552,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -33191,7 +34703,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -33300,7 +34824,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -33468,7 +34998,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cbot-BCF": { @@ -33563,30 +35100,19 @@ ], "saturday": [], "holidays": [ - "7/4/2014", - "4/3/2015", - "7/3/2015", - "7/4/2017", - "7/4/2018", - "7/4/2019", - "7/3/2020", - "4/2/2021", - "7/5/2021", - "7/4/2022", "4/7/2023", - "7/4/2023", - "11/23/2023", - "12/25/2023", "1/2/2024", - "7/4/2024", - "11/28/2024", - "12/25/2024", "1/1/2025", - "1/9/2025", - "4/18/2025", "7/4/2025", "11/27/2025", - "12/25/2025" + "12/25/2025", + "1/1/2026", + "4/3/2026", + "6/19/2026", + "7/3/2026", + "11/26/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "11/25/2011": "12:00:00", @@ -33689,7 +35215,19 @@ "8/31/2025": "16:00:00", "11/26/2025": "16:00:00", "11/28/2025": "12:05:00", - "12/24/2025": "12:05:00" + "12/24/2025": "12:05:00", + "12/31/2025": "16:00:00", + "1/18/2026": "16:00:00", + "2/15/2026": "16:00:00", + "4/2/2026": "16:00:00", + "5/24/2026": "16:00:00", + "6/18/2026": "16:00:00", + "7/2/2026": "16:00:00", + "9/6/2026": "16:00:00", + "11/25/2026": "16:00:00", + "11/27/2026": "12:05:00", + "12/24/2026": "12:05:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "12/27/2011": "09:30:00", @@ -33766,7 +35304,13 @@ "2/17/2025": "19:00:00", "5/26/2025": "19:00:00", "6/19/2025": "19:00:00", - "9/1/2025": "19:00:00" + "9/1/2025": "19:00:00", + "1/2/2026": "08:30:00", + "1/19/2026": "19:00:00", + "2/16/2026": "19:00:00", + "5/25/2026": "19:00:00", + "9/7/2026": "19:00:00", + "11/27/2026": "08:30:00" }, "bankHolidays": [ "1/19/2009", @@ -33883,7 +35427,11 @@ "6/19/2025", "9/1/2025", "10/13/2025", - "11/11/2025" + "11/11/2025", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "9/7/2026" ] }, "Future-cme-BIO": { @@ -33978,7 +35526,8 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "10:30:00", @@ -34127,7 +35676,19 @@ "11/27/2025": "12:00:00", "11/28/2025": "12:15:00", "12/24/2025": "12:15:00", - "12/25/2025": "16:00:00" + "12/25/2025": "16:00:00", + "12/31/2025": "16:00:00", + "1/19/2026": "12:00:00", + "2/16/2026": "12:00:00", + "4/3/2026": "08:15:00", + "5/25/2026": "12:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "12:00:00", + "11/26/2026": "12:00:00", + "11/27/2026": "12:15:00", + "12/24/2026": "12:15:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -34236,7 +35797,13 @@ "7/3/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -34398,7 +35965,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-BK": { @@ -34493,9 +36067,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -34644,7 +36218,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -34753,7 +36339,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -34921,7 +36513,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-BOO": { @@ -35016,9 +36615,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -35167,7 +36766,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -35276,7 +36887,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -35444,7 +37061,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-BR7": { @@ -35539,9 +37163,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -35690,7 +37314,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -35799,7 +37435,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -35967,7 +37609,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-BTC": { @@ -36062,7 +37711,8 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/15/2018": "12:00:00", @@ -36134,7 +37784,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:45:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/15/2018": "17:00:00", @@ -36190,7 +37852,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "12/25/2017", @@ -36274,7 +37942,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cbot-BWF": { @@ -36369,30 +38044,19 @@ ], "saturday": [], "holidays": [ - "7/4/2014", - "4/3/2015", - "7/3/2015", - "7/4/2017", - "7/4/2018", - "7/4/2019", - "7/3/2020", - "4/2/2021", - "7/5/2021", - "7/4/2022", "4/7/2023", - "7/4/2023", - "11/23/2023", - "12/25/2023", "1/2/2024", - "7/4/2024", - "11/28/2024", - "12/25/2024", "1/1/2025", - "1/9/2025", - "4/18/2025", "7/4/2025", "11/27/2025", - "12/25/2025" + "12/25/2025", + "1/1/2026", + "4/3/2026", + "6/19/2026", + "7/3/2026", + "11/26/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "11/25/2011": "12:00:00", @@ -36495,7 +38159,19 @@ "8/31/2025": "16:00:00", "11/26/2025": "16:00:00", "11/28/2025": "12:05:00", - "12/24/2025": "12:05:00" + "12/24/2025": "12:05:00", + "12/31/2025": "16:00:00", + "1/18/2026": "16:00:00", + "2/15/2026": "16:00:00", + "4/2/2026": "16:00:00", + "5/24/2026": "16:00:00", + "6/18/2026": "16:00:00", + "7/2/2026": "16:00:00", + "9/6/2026": "16:00:00", + "11/25/2026": "16:00:00", + "11/27/2026": "12:05:00", + "12/24/2026": "12:05:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "12/27/2011": "09:30:00", @@ -36572,7 +38248,13 @@ "2/17/2025": "19:00:00", "5/26/2025": "19:00:00", "6/19/2025": "19:00:00", - "9/1/2025": "19:00:00" + "9/1/2025": "19:00:00", + "1/2/2026": "08:30:00", + "1/19/2026": "19:00:00", + "2/16/2026": "19:00:00", + "5/25/2026": "19:00:00", + "9/7/2026": "19:00:00", + "11/27/2026": "08:30:00" }, "bankHolidays": [ "1/19/2009", @@ -36689,7 +38371,11 @@ "6/19/2025", "9/1/2025", "10/13/2025", - "11/11/2025" + "11/11/2025", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "9/7/2026" ] }, "Future-nymex-BZ": { @@ -36784,9 +38470,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -36935,7 +38621,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -37044,7 +38742,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -37212,7 +38916,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-CB": { @@ -37310,26 +39021,27 @@ "7/4/2014", "4/3/2015", "7/3/2015", - "7/4/2017", "11/23/2017", - "7/4/2018", "11/22/2018", - "7/4/2019", "11/28/2019", "7/3/2020", "11/26/2020", "4/2/2021", "11/25/2021", "11/24/2022", - "1/16/2023", - "2/20/2023", "4/7/2023", "11/23/2023", "11/28/2024", - "4/18/2025", "7/4/2025", "11/27/2025", - "11/28/2025" + "11/28/2025", + "4/3/2026", + "6/19/2026", + "7/3/2026", + "11/26/2026", + "11/27/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "11/25/2009": "16:00:00", @@ -37427,7 +39139,19 @@ "7/3/2025": "12:00:00", "8/31/2025": "16:00:00", "11/26/2025": "16:00:00", - "12/24/2025": "12:00:00" + "12/24/2025": "12:00:00", + "12/31/2025": "16:00:00", + "1/2/2026": "13:55:00", + "1/18/2026": "16:00:00", + "2/15/2026": "16:00:00", + "4/2/2026": "13:55:00", + "5/24/2026": "16:00:00", + "6/18/2026": "13:55:00", + "7/2/2026": "13:55:00", + "9/6/2026": "16:00:00", + "11/25/2026": "16:00:00", + "12/24/2026": "12:00:00", + "12/31/2026": "13:55:00" }, "lateOpens": { "12/27/2011": "09:05:00", @@ -37514,7 +39238,12 @@ "5/26/2025": "17:00:00", "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -37653,7 +39382,11 @@ "10/13/2025", "11/11/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "9/7/2026" ] }, "Future-cme-CJY": { @@ -37748,7 +39481,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -37925,7 +39660,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -38033,7 +39780,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -38195,7 +39948,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-CL": { @@ -38290,9 +40050,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -38441,7 +40201,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -38550,7 +40322,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -38718,7 +40496,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-CNH": { @@ -38813,7 +40598,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -38990,7 +40777,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -39098,7 +40897,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [] }, @@ -39194,9 +40999,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -39345,7 +41150,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -39454,7 +41271,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -39622,7 +41445,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-CSC": { @@ -39720,26 +41550,27 @@ "7/4/2014", "4/3/2015", "7/3/2015", - "7/4/2017", "11/23/2017", - "7/4/2018", "11/22/2018", - "7/4/2019", "11/28/2019", "7/3/2020", "11/26/2020", "4/2/2021", "11/25/2021", "11/24/2022", - "1/16/2023", - "2/20/2023", "4/7/2023", "11/23/2023", "11/28/2024", - "4/18/2025", "7/4/2025", "11/27/2025", - "11/28/2025" + "11/28/2025", + "4/3/2026", + "6/19/2026", + "7/3/2026", + "11/26/2026", + "11/27/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "11/25/2009": "16:00:00", @@ -39837,7 +41668,19 @@ "7/3/2025": "12:00:00", "8/31/2025": "16:00:00", "11/26/2025": "16:00:00", - "12/24/2025": "12:00:00" + "12/24/2025": "12:00:00", + "12/31/2025": "16:00:00", + "1/2/2026": "13:55:00", + "1/18/2026": "16:00:00", + "2/15/2026": "16:00:00", + "4/2/2026": "13:55:00", + "5/24/2026": "16:00:00", + "6/18/2026": "13:55:00", + "7/2/2026": "13:55:00", + "9/6/2026": "16:00:00", + "11/25/2026": "16:00:00", + "12/24/2026": "12:00:00", + "12/31/2026": "13:55:00" }, "lateOpens": { "12/27/2011": "09:05:00", @@ -39924,7 +41767,12 @@ "5/26/2025": "17:00:00", "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -40063,7 +41911,11 @@ "10/13/2025", "11/11/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "9/7/2026" ] }, "Future-nymex-CSW": { @@ -40350,9 +42202,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -40501,7 +42353,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -40610,7 +42474,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -40778,7 +42648,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-CU": { @@ -40873,9 +42750,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -41024,7 +42901,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -41133,7 +43022,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -41301,7 +43196,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-D1N": { @@ -41396,9 +43298,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -41547,7 +43449,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -41656,7 +43570,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -41824,7 +43744,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-DC": { @@ -41922,26 +43849,27 @@ "7/4/2014", "4/3/2015", "7/3/2015", - "7/4/2017", "11/23/2017", - "7/4/2018", "11/22/2018", - "7/4/2019", "11/28/2019", "7/3/2020", "11/26/2020", "4/2/2021", "11/25/2021", "11/24/2022", - "1/16/2023", - "2/20/2023", "4/7/2023", "11/23/2023", "11/28/2024", - "4/18/2025", "7/4/2025", "11/27/2025", - "11/28/2025" + "11/28/2025", + "4/3/2026", + "6/19/2026", + "7/3/2026", + "11/26/2026", + "11/27/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "11/25/2009": "16:00:00", @@ -42039,7 +43967,19 @@ "7/3/2025": "12:00:00", "8/31/2025": "16:00:00", "11/26/2025": "16:00:00", - "12/24/2025": "12:00:00" + "12/24/2025": "12:00:00", + "12/31/2025": "16:00:00", + "1/2/2026": "13:55:00", + "1/18/2026": "16:00:00", + "2/15/2026": "16:00:00", + "4/2/2026": "13:55:00", + "5/24/2026": "16:00:00", + "6/18/2026": "13:55:00", + "7/2/2026": "13:55:00", + "9/6/2026": "16:00:00", + "11/25/2026": "16:00:00", + "12/24/2026": "12:00:00", + "12/31/2026": "13:55:00" }, "lateOpens": { "12/27/2011": "09:05:00", @@ -42126,7 +44066,12 @@ "5/26/2025": "17:00:00", "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -42265,7 +44210,11 @@ "10/13/2025", "11/11/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "9/7/2026" ] }, "Future-nymex-DCB": { @@ -42360,9 +44309,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -42511,7 +44460,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -42620,7 +44581,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -42788,7 +44755,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-DY": { @@ -42886,26 +44860,27 @@ "7/4/2014", "4/3/2015", "7/3/2015", - "7/4/2017", "11/23/2017", - "7/4/2018", "11/22/2018", - "7/4/2019", "11/28/2019", "7/3/2020", "11/26/2020", "4/2/2021", "11/25/2021", "11/24/2022", - "1/16/2023", - "2/20/2023", "4/7/2023", "11/23/2023", "11/28/2024", - "4/18/2025", "7/4/2025", "11/27/2025", - "11/28/2025" + "11/28/2025", + "4/3/2026", + "6/19/2026", + "7/3/2026", + "11/26/2026", + "11/27/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "11/25/2009": "16:00:00", @@ -43003,7 +44978,19 @@ "7/3/2025": "12:00:00", "8/31/2025": "16:00:00", "11/26/2025": "16:00:00", - "12/24/2025": "12:00:00" + "12/24/2025": "12:00:00", + "12/31/2025": "16:00:00", + "1/2/2026": "13:55:00", + "1/18/2026": "16:00:00", + "2/15/2026": "16:00:00", + "4/2/2026": "13:55:00", + "5/24/2026": "16:00:00", + "6/18/2026": "13:55:00", + "7/2/2026": "13:55:00", + "9/6/2026": "16:00:00", + "11/25/2026": "16:00:00", + "12/24/2026": "12:00:00", + "12/31/2026": "13:55:00" }, "lateOpens": { "12/27/2011": "09:05:00", @@ -43090,7 +45077,12 @@ "5/26/2025": "17:00:00", "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -43229,7 +45221,11 @@ "10/13/2025", "11/11/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "9/7/2026" ] }, "Future-nymex-E6": { @@ -43324,9 +45320,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -43475,7 +45471,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -43584,7 +45592,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -43752,7 +45766,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-E7": { @@ -43847,7 +45868,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -44024,7 +46047,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -44132,7 +46167,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -44294,7 +46335,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-EAD": { @@ -44389,7 +46437,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -44566,7 +46616,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -44674,7 +46736,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -44836,7 +46904,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-ECD": { @@ -44931,7 +47006,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -45108,7 +47185,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -45216,7 +47305,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -45378,7 +47473,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-comex-EDP": { @@ -45473,10 +47575,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025", - "1/9/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -45624,7 +47725,19 @@ "9/1/2025": "14:30:00", "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", - "12/24/2025": "13:45:00" + "12/24/2025": "13:45:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -45733,7 +47846,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -45901,7 +48020,13 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "11/26/2026" ] }, "Future-cbot-EH": { @@ -45996,11 +48121,7 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/7/2023", - "4/18/2025", - "1/9/2025" + "4/7/2023" ], "earlyCloses": { "1/19/2009": "16:15:00", @@ -46513,7 +48634,8 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "10:30:00", @@ -46662,7 +48784,19 @@ "11/27/2025": "12:00:00", "11/28/2025": "12:15:00", "12/24/2025": "12:15:00", - "12/25/2025": "16:00:00" + "12/25/2025": "16:00:00", + "12/31/2025": "16:00:00", + "1/19/2026": "12:00:00", + "2/16/2026": "12:00:00", + "4/3/2026": "08:15:00", + "5/25/2026": "12:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "12:00:00", + "11/26/2026": "12:00:00", + "11/27/2026": "12:15:00", + "12/24/2026": "12:15:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -46771,7 +48905,13 @@ "7/3/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -46933,7 +49073,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-EMD": { @@ -47028,7 +49175,8 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "10:30:00", @@ -47177,7 +49325,19 @@ "11/27/2025": "12:00:00", "11/28/2025": "12:15:00", "12/24/2025": "12:15:00", - "12/25/2025": "16:00:00" + "12/25/2025": "16:00:00", + "12/31/2025": "16:00:00", + "1/19/2026": "12:00:00", + "2/16/2026": "12:00:00", + "4/3/2026": "08:15:00", + "5/25/2026": "12:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "12:00:00", + "11/26/2026": "12:00:00", + "11/27/2026": "12:15:00", + "12/24/2026": "12:15:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -47286,7 +49446,13 @@ "7/3/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -47448,7 +49614,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-EN": { @@ -47543,9 +49716,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -47694,7 +49867,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -47803,7 +49988,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -47971,7 +50162,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-EPN": { @@ -48066,9 +50264,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -48217,7 +50415,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -48326,7 +50536,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -48494,7 +50710,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-ESK": { @@ -48589,7 +50812,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -48766,7 +50991,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -48874,7 +51111,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -49036,7 +51279,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-ETH": { @@ -49131,7 +51381,8 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "2/15/2021": "12:00:00", @@ -49177,7 +51428,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:45:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/15/2018": "17:00:00", @@ -49234,7 +51497,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "12/25/2017", @@ -49318,7 +51587,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-EVC": { @@ -49413,9 +51689,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -49564,7 +51840,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -49673,7 +51961,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -49841,7 +52135,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-EWG": { @@ -49936,9 +52237,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -50087,7 +52388,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -50196,7 +52509,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -50364,7 +52683,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-EWN": { @@ -50459,9 +52785,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -50610,7 +52936,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -50719,7 +53057,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -50887,7 +53231,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-EXR": { @@ -50982,9 +53333,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -51133,7 +53484,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -51242,7 +53605,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -51410,7 +53779,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cbot-F1U": { @@ -51599,8 +53975,8 @@ ], "saturday": [], "holidays": [ - "1/9/2025", - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "lateOpens": { "1/19/2009": "17:00:00", @@ -51709,7 +54085,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "earlyCloses": { "1/16/2009": "15:15:00", @@ -51887,7 +54269,19 @@ "11/27/2025": "12:00:00", "11/28/2025": "12:15:00", "12/24/2025": "12:15:00", - "12/25/2025": "16:00:00" + "12/25/2025": "16:00:00", + "12/31/2025": "16:00:00", + "1/19/2026": "12:00:00", + "2/16/2026": "12:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "12:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "12:00:00", + "11/26/2026": "12:00:00", + "11/27/2026": "12:15:00", + "12/24/2026": "12:15:00", + "12/31/2026": "16:00:00" }, "bankHolidays": [ "1/19/2009", @@ -52049,7 +54443,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cbot-TN": { @@ -52144,8 +54545,8 @@ ], "saturday": [], "holidays": [ - "1/9/2025", - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "lateOpens": { "1/19/2009": "17:00:00", @@ -52254,7 +54655,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "earlyCloses": { "1/16/2009": "15:15:00", @@ -52432,7 +54839,19 @@ "11/27/2025": "12:00:00", "11/28/2025": "12:15:00", "12/24/2025": "12:15:00", - "12/25/2025": "16:00:00" + "12/25/2025": "16:00:00", + "12/31/2025": "16:00:00", + "1/19/2026": "12:00:00", + "2/16/2026": "12:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "12:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "12:00:00", + "11/26/2026": "12:00:00", + "11/27/2026": "12:15:00", + "12/24/2026": "12:15:00", + "12/31/2026": "16:00:00" }, "bankHolidays": [ "1/19/2009", @@ -52594,7 +55013,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-FO": { @@ -52689,9 +55115,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -52840,7 +55266,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -52949,7 +55387,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -53117,7 +55561,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-FRC": { @@ -53212,9 +55663,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -53363,7 +55814,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -53472,7 +55935,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -53640,7 +56109,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-FSS": { @@ -53735,9 +56211,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -53886,7 +56362,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -53995,7 +56483,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -54163,7 +56657,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-GCU": { @@ -54258,9 +56759,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -54409,7 +56910,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -54518,7 +57031,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -54686,7 +57205,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-GD": { @@ -54781,7 +57307,12 @@ ], "saturday": [], "holidays": [ - "4/7/2023" + "4/7/2023", + "4/3/2026", + "6/19/2026", + "7/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "10:30:00", @@ -54900,8 +57431,36 @@ "7/4/2022": "12:00:00", "9/5/2022": "12:00:00", "11/24/2022": "12:00:00", - "11/25/2022": "12:15:00" - } + "11/25/2022": "12:15:00", + "12/31/2025": "16:00:00", + "1/18/2026": "16:00:00", + "2/15/2026": "16:00:00", + "4/2/2026": "16:00:00", + "5/24/2026": "16:00:00", + "6/18/2026": "16:00:00", + "7/2/2026": "16:00:00", + "9/6/2026": "16:00:00", + "11/25/2026": "16:00:00", + "11/27/2026": "12:15:00", + "12/24/2026": "12:15:00", + "12/31/2026": "16:00:00" + }, + "lateOpens": { + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" + }, + "bankHolidays": [ + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "9/7/2026", + "11/26/2026" + ] }, "Future-cme-GDK": { "dataTimeZone": "UTC", @@ -54998,26 +57557,27 @@ "7/4/2014", "4/3/2015", "7/3/2015", - "7/4/2017", "11/23/2017", - "7/4/2018", "11/22/2018", - "7/4/2019", "11/28/2019", "7/3/2020", "11/26/2020", "4/2/2021", "11/25/2021", "11/24/2022", - "1/16/2023", - "2/20/2023", "4/7/2023", "11/23/2023", "11/28/2024", - "4/18/2025", "7/4/2025", "11/27/2025", - "11/28/2025" + "11/28/2025", + "4/3/2026", + "6/19/2026", + "7/3/2026", + "11/26/2026", + "11/27/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "11/25/2009": "16:00:00", @@ -55115,7 +57675,19 @@ "7/3/2025": "12:00:00", "8/31/2025": "16:00:00", "11/26/2025": "16:00:00", - "12/24/2025": "12:00:00" + "12/24/2025": "12:00:00", + "12/31/2025": "16:00:00", + "1/2/2026": "13:55:00", + "1/18/2026": "16:00:00", + "2/15/2026": "16:00:00", + "4/2/2026": "13:55:00", + "5/24/2026": "16:00:00", + "6/18/2026": "13:55:00", + "7/2/2026": "13:55:00", + "9/6/2026": "16:00:00", + "11/25/2026": "16:00:00", + "12/24/2026": "12:00:00", + "12/31/2026": "13:55:00" }, "lateOpens": { "12/27/2011": "09:05:00", @@ -55202,7 +57774,12 @@ "5/26/2025": "17:00:00", "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -55341,7 +57918,11 @@ "10/13/2025", "11/11/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "9/7/2026" ] }, "Future-cme-GNF": { @@ -55414,26 +57995,27 @@ "7/4/2014", "4/3/2015", "7/3/2015", - "7/4/2017", "11/23/2017", - "7/4/2018", "11/22/2018", - "7/4/2019", "11/28/2019", "7/3/2020", "11/26/2020", "4/2/2021", "11/25/2021", "11/24/2022", - "1/16/2023", - "2/20/2023", "4/7/2023", "11/23/2023", "11/28/2024", - "4/18/2025", "7/4/2025", "11/27/2025", - "11/28/2025" + "11/28/2025", + "4/3/2026", + "6/19/2026", + "7/3/2026", + "11/26/2026", + "11/27/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "11/25/2009": "16:00:00", @@ -55531,7 +58113,19 @@ "7/3/2025": "12:00:00", "8/31/2025": "16:00:00", "11/26/2025": "16:00:00", - "12/24/2025": "12:00:00" + "12/24/2025": "12:00:00", + "12/31/2025": "16:00:00", + "1/2/2026": "13:55:00", + "1/18/2026": "16:00:00", + "2/15/2026": "16:00:00", + "4/2/2026": "13:55:00", + "5/24/2026": "16:00:00", + "6/18/2026": "13:55:00", + "7/2/2026": "13:55:00", + "9/6/2026": "16:00:00", + "11/25/2026": "16:00:00", + "12/24/2026": "12:00:00", + "12/31/2026": "13:55:00" }, "lateOpens": { "12/27/2011": "09:05:00", @@ -55618,7 +58212,12 @@ "5/26/2025": "17:00:00", "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -55757,7 +58356,11 @@ "10/13/2025", "11/11/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "9/7/2026" ] }, "Future-nymex-HCL": { @@ -56044,8 +58647,9 @@ ], "saturday": [], "holidays": [ - "1/9/2025", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -56164,7 +58768,19 @@ "9/1/2025": "14:30:00", "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", - "12/24/2025": "13:45:00" + "12/24/2025": "13:45:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/1/2024": "18:00:00", @@ -56183,7 +58799,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -56351,7 +58973,13 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "11/26/2026" ] }, "Future-nymex-HH": { @@ -56446,9 +59074,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -56597,7 +59225,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -56706,7 +59346,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -56874,7 +59520,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-HO": { @@ -56969,9 +59622,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -57120,7 +59773,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -57229,7 +59894,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -57397,7 +60068,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-HP": { @@ -57492,9 +60170,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -57643,7 +60321,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -57752,7 +60442,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -57920,7 +60616,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-HRC": { @@ -58207,9 +60910,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -58358,7 +61061,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -58467,7 +61182,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -58635,7 +61356,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-IBV": { @@ -58730,7 +61458,8 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "10:30:00", @@ -58879,7 +61608,19 @@ "11/27/2025": "12:00:00", "11/28/2025": "12:15:00", "12/24/2025": "12:15:00", - "12/25/2025": "16:00:00" + "12/25/2025": "16:00:00", + "12/31/2025": "16:00:00", + "1/19/2026": "12:00:00", + "2/16/2026": "12:00:00", + "4/3/2026": "08:15:00", + "5/25/2026": "12:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "12:00:00", + "11/26/2026": "12:00:00", + "11/27/2026": "12:15:00", + "12/24/2026": "12:15:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -58988,7 +61729,13 @@ "7/3/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -59150,7 +61897,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-FTU": { @@ -59245,7 +61999,8 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "10:30:00", @@ -59394,7 +62149,19 @@ "11/27/2025": "12:00:00", "11/28/2025": "12:15:00", "12/24/2025": "12:15:00", - "12/25/2025": "16:00:00" + "12/25/2025": "16:00:00", + "12/31/2025": "16:00:00", + "1/19/2026": "12:00:00", + "2/16/2026": "12:00:00", + "4/3/2026": "08:15:00", + "5/25/2026": "12:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "12:00:00", + "11/26/2026": "12:00:00", + "11/27/2026": "12:15:00", + "12/24/2026": "12:15:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -59503,7 +62270,13 @@ "7/3/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -59665,7 +62438,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-FT1": { @@ -59760,7 +62540,8 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "10:30:00", @@ -59909,7 +62690,19 @@ "11/27/2025": "12:00:00", "11/28/2025": "12:15:00", "12/24/2025": "12:15:00", - "12/25/2025": "16:00:00" + "12/25/2025": "16:00:00", + "12/31/2025": "16:00:00", + "1/19/2026": "12:00:00", + "2/16/2026": "12:00:00", + "4/3/2026": "08:15:00", + "5/25/2026": "12:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "12:00:00", + "11/26/2026": "12:00:00", + "11/27/2026": "12:15:00", + "12/24/2026": "12:15:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -60018,7 +62811,13 @@ "7/3/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -60180,7 +62979,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-FT5": { @@ -60275,7 +63081,8 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "10:30:00", @@ -60424,7 +63231,19 @@ "11/27/2025": "12:00:00", "11/28/2025": "12:15:00", "12/24/2025": "12:15:00", - "12/25/2025": "16:00:00" + "12/25/2025": "16:00:00", + "12/31/2025": "16:00:00", + "1/19/2026": "12:00:00", + "2/16/2026": "12:00:00", + "4/3/2026": "08:15:00", + "5/25/2026": "12:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "12:00:00", + "11/26/2026": "12:00:00", + "11/27/2026": "12:15:00", + "12/24/2026": "12:15:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -60533,7 +63352,13 @@ "7/3/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -60695,7 +63520,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-J7": { @@ -60790,7 +63622,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -60967,7 +63801,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -61075,7 +63921,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -61237,7 +64089,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-RB": { @@ -61332,9 +64191,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -61483,7 +64342,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -61592,7 +64463,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -61760,7 +64637,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-NG": { @@ -61855,9 +64739,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -62006,7 +64890,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -62115,7 +65011,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -62283,7 +65185,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cbot-ZB": { @@ -62378,8 +65287,8 @@ ], "saturday": [], "holidays": [ - "1/9/2025", - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -62557,7 +65466,19 @@ "11/27/2025": "12:00:00", "11/28/2025": "12:15:00", "12/24/2025": "12:15:00", - "12/25/2025": "16:00:00" + "12/25/2025": "16:00:00", + "12/31/2025": "16:00:00", + "1/19/2026": "12:00:00", + "2/16/2026": "12:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "12:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "12:00:00", + "11/26/2026": "12:00:00", + "11/27/2026": "12:15:00", + "12/24/2026": "12:15:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -62666,7 +65587,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -62828,7 +65755,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cbot-ZN": { @@ -62923,8 +65857,8 @@ ], "saturday": [], "holidays": [ - "1/9/2025", - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -63102,7 +66036,19 @@ "11/27/2025": "12:00:00", "11/28/2025": "12:15:00", "12/24/2025": "12:15:00", - "12/25/2025": "16:00:00" + "12/25/2025": "16:00:00", + "12/31/2025": "16:00:00", + "1/19/2026": "12:00:00", + "2/16/2026": "12:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "12:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "12:00:00", + "11/26/2026": "12:00:00", + "11/27/2026": "12:15:00", + "12/24/2026": "12:15:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -63211,7 +66157,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -63373,7 +66325,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cbot-ZF": { @@ -63468,8 +66427,8 @@ ], "saturday": [], "holidays": [ - "1/9/2025", - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -63647,7 +66606,19 @@ "11/27/2025": "12:00:00", "11/28/2025": "12:15:00", "12/24/2025": "12:15:00", - "12/25/2025": "16:00:00" + "12/25/2025": "16:00:00", + "12/31/2025": "16:00:00", + "1/19/2026": "12:00:00", + "2/16/2026": "12:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "12:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "12:00:00", + "11/26/2026": "12:00:00", + "11/27/2026": "12:15:00", + "12/24/2026": "12:15:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -63756,7 +66727,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -63918,7 +66895,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cbot-ZT": { @@ -64013,8 +66997,8 @@ ], "saturday": [], "holidays": [ - "1/9/2025", - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -64192,7 +67176,19 @@ "11/27/2025": "12:00:00", "11/28/2025": "12:15:00", "12/24/2025": "12:15:00", - "12/25/2025": "16:00:00" + "12/25/2025": "16:00:00", + "12/31/2025": "16:00:00", + "1/19/2026": "12:00:00", + "2/16/2026": "12:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "12:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "12:00:00", + "11/26/2026": "12:00:00", + "11/27/2026": "12:15:00", + "12/24/2026": "12:15:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -64301,7 +67297,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -64463,7 +67465,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-GE": { @@ -64809,7 +67818,8 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "11:30:00", @@ -64958,7 +67968,19 @@ "11/27/2025": "13:00:00", "11/28/2025": "13:15:00", "12/24/2025": "13:15:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "13:00:00", + "2/16/2026": "13:00:00", + "4/3/2026": "09:15:00", + "5/25/2026": "13:00:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "13:00:00", + "11/26/2026": "13:00:00", + "11/27/2026": "13:15:00", + "12/24/2026": "13:15:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -65067,7 +68089,13 @@ "7/3/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -65229,7 +68257,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-ESG": { @@ -65324,7 +68359,8 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "11:30:00", @@ -65473,7 +68509,19 @@ "11/27/2025": "13:00:00", "11/28/2025": "13:15:00", "12/24/2025": "13:15:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "13:00:00", + "2/16/2026": "13:00:00", + "4/3/2026": "09:15:00", + "5/25/2026": "13:00:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "13:00:00", + "11/26/2026": "13:00:00", + "11/27/2026": "13:15:00", + "12/24/2026": "13:15:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -65582,7 +68630,13 @@ "7/3/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -65744,7 +68798,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-RS1": { @@ -65839,7 +68900,8 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "11:30:00", @@ -65988,7 +69050,19 @@ "11/27/2025": "13:00:00", "11/28/2025": "13:15:00", "12/24/2025": "13:15:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "13:00:00", + "2/16/2026": "13:00:00", + "4/3/2026": "09:15:00", + "5/25/2026": "13:00:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "13:00:00", + "11/26/2026": "13:00:00", + "11/27/2026": "13:15:00", + "12/24/2026": "13:15:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -66097,7 +69171,13 @@ "7/3/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -66259,7 +69339,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-SDA": { @@ -66354,7 +69441,8 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "11:30:00", @@ -66503,7 +69591,19 @@ "11/27/2025": "13:00:00", "11/28/2025": "13:15:00", "12/24/2025": "13:15:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "13:00:00", + "2/16/2026": "13:00:00", + "4/3/2026": "09:15:00", + "5/25/2026": "13:00:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "13:00:00", + "11/26/2026": "13:00:00", + "11/27/2026": "13:15:00", + "12/24/2026": "13:15:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -66612,7 +69712,13 @@ "7/3/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -66774,7 +69880,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-NQ": { @@ -66869,7 +69982,8 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "11:30:00", @@ -67018,7 +70132,19 @@ "11/27/2025": "13:00:00", "11/28/2025": "13:15:00", "12/24/2025": "13:15:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "13:00:00", + "2/16/2026": "13:00:00", + "4/3/2026": "09:15:00", + "5/25/2026": "13:00:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "13:00:00", + "11/26/2026": "13:00:00", + "11/27/2026": "13:15:00", + "12/24/2026": "13:15:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -67127,7 +70253,13 @@ "7/3/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -67289,7 +70421,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-RTY": { @@ -67384,7 +70523,8 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "11:30:00", @@ -67533,7 +70673,19 @@ "11/27/2025": "13:00:00", "11/28/2025": "13:15:00", "12/24/2025": "13:15:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "13:00:00", + "2/16/2026": "13:00:00", + "4/3/2026": "09:15:00", + "5/25/2026": "13:00:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "13:00:00", + "11/26/2026": "13:00:00", + "11/27/2026": "13:15:00", + "12/24/2026": "13:15:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -67642,7 +70794,13 @@ "7/3/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -67804,7 +70962,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cbot-YM": { @@ -67899,8 +71064,8 @@ ], "saturday": [], "holidays": [ - "1/9/2025", - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "11:30:00", @@ -68049,7 +71214,19 @@ "11/27/2025": "13:00:00", "11/28/2025": "13:15:00", "12/24/2025": "13:15:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "13:00:00", + "2/16/2026": "13:00:00", + "4/3/2026": "09:15:00", + "5/25/2026": "13:00:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "13:00:00", + "11/26/2026": "13:00:00", + "11/27/2026": "13:15:00", + "12/24/2026": "13:15:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -68159,7 +71336,13 @@ "7/3/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -68321,7 +71504,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cfe-VX": { @@ -68534,7 +71724,8 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "11:30:00", @@ -68683,7 +71874,19 @@ "11/27/2025": "13:00:00", "11/28/2025": "13:15:00", "12/24/2025": "13:15:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "13:00:00", + "2/16/2026": "13:00:00", + "4/3/2026": "09:15:00", + "5/25/2026": "13:00:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "13:00:00", + "11/26/2026": "13:00:00", + "11/27/2026": "13:15:00", + "12/24/2026": "13:15:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -68792,7 +71995,13 @@ "7/3/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -68954,7 +72163,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-ENY": { @@ -69049,7 +72265,8 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "11:30:00", @@ -69198,7 +72415,19 @@ "11/27/2025": "13:00:00", "11/28/2025": "13:15:00", "12/24/2025": "13:15:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "13:00:00", + "2/16/2026": "13:00:00", + "4/3/2026": "09:15:00", + "5/25/2026": "13:00:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "13:00:00", + "11/26/2026": "13:00:00", + "11/27/2026": "13:15:00", + "12/24/2026": "13:15:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -69307,7 +72536,13 @@ "7/3/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -69469,7 +72704,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-NIY": { @@ -69564,7 +72806,8 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "11:30:00", @@ -69713,7 +72956,19 @@ "11/27/2025": "13:00:00", "11/28/2025": "13:15:00", "12/24/2025": "13:15:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "13:00:00", + "2/16/2026": "13:00:00", + "4/3/2026": "09:15:00", + "5/25/2026": "13:00:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "13:00:00", + "11/26/2026": "13:00:00", + "11/27/2026": "13:15:00", + "12/24/2026": "13:15:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -69822,7 +73077,13 @@ "7/3/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -69984,7 +73245,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-NKD": { @@ -70079,7 +73347,8 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "11:30:00", @@ -70228,7 +73497,19 @@ "11/27/2025": "13:00:00", "11/28/2025": "13:15:00", "12/24/2025": "13:15:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "13:00:00", + "2/16/2026": "13:00:00", + "4/3/2026": "09:15:00", + "5/25/2026": "13:00:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "13:00:00", + "11/26/2026": "13:00:00", + "11/27/2026": "13:15:00", + "12/24/2026": "13:15:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -70337,7 +73618,13 @@ "7/3/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -70499,7 +73786,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-LE": { @@ -70602,15 +73896,24 @@ "11/28/2024", "12/25/2024", "1/1/2025", - "1/20/2025", "2/17/2025", - "4/18/2025", "5/26/2025", "6/19/2025", "7/4/2025", "9/1/2025", "11/27/2025", - "12/25/2025" + "12/25/2025", + "1/1/2026", + "1/19/2026", + "2/16/2026", + "4/3/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026", + "12/25/2026", + "1/1/2027" ], "lateOpens": { "11/24/2011": "17:00:00", @@ -70657,8 +73960,6 @@ "7/5/2016": "08:30:00", "9/6/2016": "08:30:00", "11/25/2016": "08:30:00", - "1/16/2017": "08:30:00", - "2/20/2017": "08:30:00", "4/17/2017": "08:30:00", "5/30/2017": "08:30:00", "7/5/2017": "08:30:00", @@ -70728,7 +74029,9 @@ "3/28/2024": "16:00:00", "11/27/2024": "16:00:00", "11/28/2025": "12:05:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:15:00", + "11/27/2026": "12:05:00", + "12/24/2026": "12:15:00" }, "bankHolidays": [ "1/19/2009", @@ -70883,15 +74186,24 @@ "11/28/2024", "12/25/2024", "1/1/2025", - "1/20/2025", "2/17/2025", - "4/18/2025", "5/26/2025", "6/19/2025", "7/4/2025", "9/1/2025", "11/27/2025", - "12/25/2025" + "12/25/2025", + "1/1/2026", + "1/19/2026", + "2/16/2026", + "4/3/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026", + "12/25/2026", + "1/1/2027" ], "lateOpens": { "11/24/2011": "17:00:00", @@ -70938,8 +74250,6 @@ "7/5/2016": "08:30:00", "9/6/2016": "08:30:00", "11/25/2016": "08:30:00", - "1/16/2017": "08:30:00", - "2/20/2017": "08:30:00", "4/17/2017": "08:30:00", "5/30/2017": "08:30:00", "7/5/2017": "08:30:00", @@ -71009,7 +74319,9 @@ "3/28/2024": "16:00:00", "11/27/2024": "16:00:00", "11/28/2025": "12:05:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:15:00", + "11/27/2026": "12:05:00", + "12/24/2026": "12:15:00" }, "bankHolidays": [ "1/19/2009", @@ -71164,15 +74476,24 @@ "11/28/2024", "12/25/2024", "1/1/2025", - "1/20/2025", "2/17/2025", - "4/18/2025", "5/26/2025", "6/19/2025", "7/4/2025", "9/1/2025", "11/27/2025", - "12/25/2025" + "12/25/2025", + "1/1/2026", + "1/19/2026", + "2/16/2026", + "4/3/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026", + "12/25/2026", + "1/1/2027" ], "lateOpens": { "11/24/2011": "17:00:00", @@ -71219,8 +74540,6 @@ "7/5/2016": "08:30:00", "9/6/2016": "08:30:00", "11/25/2016": "08:30:00", - "1/16/2017": "08:30:00", - "2/20/2017": "08:30:00", "4/17/2017": "08:30:00", "5/30/2017": "08:30:00", "7/5/2017": "08:30:00", @@ -71290,7 +74609,9 @@ "3/28/2024": "16:00:00", "11/27/2024": "16:00:00", "11/28/2025": "12:05:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:15:00", + "11/27/2026": "12:05:00", + "12/24/2026": "12:15:00" }, "bankHolidays": [ "1/19/2009", @@ -71435,8 +74756,9 @@ ], "saturday": [], "holidays": [ - "1/9/2025", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/15/2024": "14:30:00", @@ -71458,7 +74780,19 @@ "9/1/2025": "14:30:00", "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", - "12/24/2025": "13:45:00" + "12/24/2025": "13:45:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/1/2024": "18:00:00", @@ -71477,7 +74811,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -71645,7 +74985,13 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "11/26/2026" ] }, "Future-comex-SI": { @@ -71740,8 +75086,9 @@ ], "saturday": [], "holidays": [ - "1/9/2025", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/15/2024": "14:30:00", @@ -71763,7 +75110,19 @@ "9/1/2025": "14:30:00", "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", - "12/24/2025": "13:45:00" + "12/24/2025": "13:45:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/1/2024": "18:00:00", @@ -71782,7 +75141,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -71950,7 +75315,13 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "11/26/2026" ] }, "Future-cme-TPY": { @@ -72045,7 +75416,8 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "11:30:00", @@ -72194,7 +75566,19 @@ "11/27/2025": "13:00:00", "11/28/2025": "13:15:00", "12/24/2025": "13:15:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "13:00:00", + "2/16/2026": "13:00:00", + "4/3/2026": "09:15:00", + "5/25/2026": "13:00:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "13:00:00", + "11/26/2026": "13:00:00", + "11/27/2026": "13:15:00", + "12/24/2026": "13:15:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -72303,7 +75687,13 @@ "7/3/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -72465,7 +75855,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-TPD": { @@ -72560,7 +75957,8 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "11:30:00", @@ -72709,7 +76107,19 @@ "11/27/2025": "13:00:00", "11/28/2025": "13:15:00", "12/24/2025": "13:15:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "13:00:00", + "2/16/2026": "13:00:00", + "4/3/2026": "09:15:00", + "5/25/2026": "13:00:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "13:00:00", + "11/26/2026": "13:00:00", + "11/27/2026": "13:15:00", + "12/24/2026": "13:15:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -72818,7 +76228,13 @@ "7/3/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -72980,7 +76396,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-RX": { @@ -73387,7 +76810,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/15/2024": "14:30:00", @@ -73409,7 +76834,19 @@ "9/1/2025": "14:30:00", "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", - "12/24/2025": "13:45:00" + "12/24/2025": "13:45:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/1/2024": "18:00:00", @@ -73428,7 +76865,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -73596,7 +77039,13 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "11/26/2026" ] }, "Future-nymex-PA": { @@ -73691,7 +77140,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/15/2024": "14:30:00", @@ -73713,7 +77164,19 @@ "9/1/2025": "14:30:00", "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", - "12/24/2025": "13:45:00" + "12/24/2025": "13:45:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/1/2024": "18:00:00", @@ -73732,7 +77195,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -73900,7 +77369,13 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "11/26/2026" ] }, "Future-ice-CT": { @@ -74020,13 +77495,20 @@ ], "saturday": [], "holidays": [ - "1/20/2025", "2/17/2025", "5/26/2025", "6/19/2025", "7/4/2025", "9/1/2025", - "11/27/2025" + "11/27/2025", + "1/19/2026", + "2/16/2026", + "4/3/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ], "lateOpens": { "12/28/2009": "07:30:00", @@ -74119,13 +77601,20 @@ ], "saturday": [], "holidays": [ - "1/20/2025", "2/17/2025", "5/26/2025", "6/19/2025", "7/4/2025", "9/1/2025", - "11/27/2025" + "11/27/2025", + "1/19/2026", + "2/16/2026", + "4/3/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ], "lateOpens": { "12/26/2012": "07:30:00" @@ -74196,13 +77685,20 @@ ], "saturday": [], "holidays": [ - "1/20/2025", "2/17/2025", "5/26/2025", "6/19/2025", "7/4/2025", "9/1/2025", - "11/27/2025" + "11/27/2025", + "1/19/2026", + "2/16/2026", + "4/3/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ], "lateOpens": { "12/28/2009": "07:30:00", @@ -74291,13 +77787,20 @@ ], "saturday": [], "holidays": [ - "1/20/2025", "2/17/2025", "5/26/2025", "6/19/2025", "7/4/2025", "9/1/2025", - "11/27/2025" + "11/27/2025", + "1/19/2026", + "2/16/2026", + "4/3/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ], "lateOpens": { "12/28/2009": "07:30:00", @@ -74430,9 +77933,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "12/31/2010": "12:15:00", @@ -74489,7 +77992,19 @@ "8/31/2025": "16:00:00", "11/26/2025": "16:00:00", "11/28/2025": "12:05:00", - "12/24/2025": "12:05:00" + "12/24/2025": "12:05:00", + "12/31/2025": "16:00:00", + "1/18/2026": "16:00:00", + "2/15/2026": "16:00:00", + "4/2/2026": "16:00:00", + "5/24/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/6/2026": "16:00:00", + "11/25/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "11/24/2011": "17:00:00", @@ -74571,7 +78086,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -74739,7 +78260,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-LBR": { @@ -74839,15 +78367,24 @@ "11/28/2024", "12/25/2024", "1/1/2025", - "1/20/2025", "2/17/2025", - "4/18/2025", "5/26/2025", "6/19/2025", "7/4/2025", "9/1/2025", "11/27/2025", - "12/25/2025" + "12/25/2025", + "1/1/2026", + "1/19/2026", + "2/16/2026", + "4/3/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "12/31/2010": "12:15:00", @@ -74895,7 +78432,9 @@ "3/28/2024": "15:05:00", "11/27/2024": "15:05:00", "11/28/2025": "12:05:00", - "12/24/2025": "12:05:00" + "12/24/2025": "12:05:00", + "11/27/2026": "12:05:00", + "12/24/2026": "12:15:00" }, "lateOpens": { "11/24/2011": "17:00:00", @@ -74942,8 +78481,6 @@ "7/5/2016": "09:00:00", "9/6/2016": "09:00:00", "11/25/2016": "09:00:00", - "1/16/2017": "09:00:00", - "2/20/2017": "09:00:00", "4/17/2017": "09:00:00", "5/30/2017": "09:00:00", "7/5/2017": "09:00:00", @@ -75067,13 +78604,20 @@ ], "saturday": [], "holidays": [ - "1/20/2025", "2/17/2025", "5/26/2025", "6/19/2025", "7/4/2025", "9/1/2025", - "11/27/2025" + "11/27/2025", + "1/19/2026", + "2/16/2026", + "4/3/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ], "lateOpens": { "12/28/2009": "07:30:00", @@ -75188,10 +78732,7 @@ ], "saturday": [], "holidays": [ - "1/2/2023", - "4/7/2023", - "12/25/2023", - "1/1/2024" + "4/3/2026" ], "earlyCloses": { "01/21/2013": "13:30:00", @@ -75324,10 +78865,7 @@ ], "saturday": [], "holidays": [ - "1/2/2023", - "4/7/2023", - "12/25/2023", - "1/1/2024" + "4/3/2026" ], "earlyCloses": { "01/21/2013": "13:30:00", @@ -75529,7 +79067,9 @@ "12/26/2022", "12/31/2022", "1/1/2025", - "4/18/2025" + "4/18/2025", + "12/25/2025", + "1/1/2026" ], "earlyCloses": { "2/15/2018": "12:00:00", @@ -75639,92 +79179,8 @@ "state": "market" } ], - "holidays": [ - "1/1/2016", - "2/8/2016", - "2/9/2016", - "3/25/2016", - "5/1/2016", - "5/21/2016", - "7/6/2016", - "8/9/2016", - "9/12/2016", - "10/29/2016", - "12/25/2016", - "1/1/2017", - "1/28/2017", - "1/29/2017", - "4/14/2017", - "5/1/2017", - "5/10/2017", - "6/25/2017", - "8/9/2017", - "9/1/2017", - "10/18/2017", - "12/25/2017", - "1/1/2018", - "2/16/2018", - "2/17/2018", - "3/30/2018", - "5/1/2018", - "5/29/2018", - "6/15/2018", - "8/9/2018", - "8/22/2018", - "11/6/2018", - "12/25/2018", - "1/1/2019", - "2/5/2019", - "2/6/2019", - "4/19/2019", - "5/1/2019", - "5/20/2019", - "6/5/2019", - "8/9/2019", - "8/12/2019", - "10/28/2019", - "12/25/2019", - "1/1/2020", - "1/27/2020", - "4/10/2020", - "5/1/2020", - "5/7/2020", - "5/25/2020", - "7/31/2020", - "8/10/2020", - "11/14/2020", - "12/25/2020", - "1/1/2021", - "2/12/2021", - "4/2/2021", - "5/1/2021", - "8/9/2021", - "12/25/2021", - "1/3/2022", - "1/31/2022", - "2/1/2022", - "2/2/2022", - "4/15/2022", - "5/2/2022", - "8/9/2022", - "12/26/2022", - "12/31/2022" - ], - "earlyCloses": { - "2/15/2018": "12:00:00", - "12/24/2018": "12:00:00", - "12/31/2018": "12:00:00", - "4/02/2019": "12:00:00", - "12/24/2019": "12:00:00", - "12/31/2019": "12:00:00", - "1/24/2020": "12:00:00", - "12/24/2020": "12:00:00", - "12/31/2020": "12:00:00", - "2/11/2021": "12:00:00", - "12/24/2021": "12:00:00", - "12/31/2021": "12:00:00", - "1/31/2022": "12:00:00" - }, + "holidays": [], + "earlyCloses": {}, "lateOpens": {} }, "Future-sgx-TW": { @@ -75818,92 +79274,8 @@ "state": "market" } ], - "holidays": [ - "1/1/2016", - "2/8/2016", - "2/9/2016", - "3/25/2016", - "5/1/2016", - "5/21/2016", - "7/6/2016", - "8/9/2016", - "9/12/2016", - "10/29/2016", - "12/25/2016", - "1/1/2017", - "1/28/2017", - "1/29/2017", - "4/14/2017", - "5/1/2017", - "5/10/2017", - "6/25/2017", - "8/9/2017", - "9/1/2017", - "10/18/2017", - "12/25/2017", - "1/1/2018", - "2/16/2018", - "2/17/2018", - "3/30/2018", - "5/1/2018", - "5/29/2018", - "6/15/2018", - "8/9/2018", - "8/22/2018", - "11/6/2018", - "12/25/2018", - "1/1/2019", - 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"earlyCloses": {}, + "lateOpens": {} }, "Forex-oanda-NZDCAD": { "dataTimeZone": "UTC", @@ -76780,67 +79949,9 @@ } ], "saturday": [], - "holidays": [ - "1/1/2005", - "1/1/2010", - "1/1/2011", - "1/1/2013", - "1/1/2016", - "1/1/2017", - "1/1/2021", - "1/1/2023", - "1/2/2023", - "1/1/2024", - "1/1/2025", - "12/25/2010", - "12/25/2012", - "12/25/2015", - "12/25/2016", - "12/25/2020", - "12/25/2022", - "12/26/2022", - "12/24/2023", - "12/31/2023", - "12/25/2024", - "12/25/2025" - ], - "earlyCloses": { - "12/30/2005": "17:00:00", - "12/29/2005": "17:00:00", - "12/31/2007": "17:00:00", - "12/31/2008": "17:00:00", - "12/31/2009": "17:00:00", - "12/31/2010": "17:00:00", - "12/30/2011": "17:00:00", - "12/31/2012": "14:00:00", - "12/31/2013": "14:00:00", - "12/31/2014": "14:00:00", - "12/31/2015": "14:00:00", - "12/30/2016": "14:00:00", - "12/29/2017": "17:00:00", - "12/24/2018": "17:00:00", - "12/31/2018": "17:00:00", - "12/24/2019": "17:00:00", - "12/31/2019": "17:00:00", - "12/24/2020": 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"dataTimeZone": "UTC", @@ -77086,67 +80139,9 @@ } ], "saturday": [], - "holidays": [ - "1/1/2005", - "1/1/2010", - "1/1/2011", - "1/1/2013", - "1/1/2016", - "1/1/2017", - "1/1/2021", - "1/1/2023", - "1/2/2023", - "1/1/2024", - "1/1/2025", - "12/25/2010", - "12/25/2012", - "12/25/2015", - "12/25/2016", - "12/25/2020", - "12/25/2022", - "12/26/2022", - "12/24/2023", - "12/31/2023", - "12/25/2024", - "12/25/2025" - ], - "earlyCloses": { - "12/30/2005": "17:00:00", - "12/29/2005": "17:00:00", - "12/31/2007": "17:00:00", - "12/31/2008": "17:00:00", - "12/31/2009": "17:00:00", - "12/31/2010": "17:00:00", - "12/30/2011": "17:00:00", - "12/31/2012": "14:00:00", - "12/31/2013": "14:00:00", - "12/31/2014": "14:00:00", - "12/31/2015": "14:00:00", - "12/30/2016": "14:00:00", - "12/29/2017": "17:00:00", - "12/24/2018": "17:00:00", - "12/31/2018": "17:00:00", - "12/24/2019": "17:00:00", - "12/31/2019": "17:00:00", - "12/24/2020": "17:00:00", - "12/31/2020": "17:00:00", - "12/31/2021": "17:00:00", - "12/24/2024": "17:00:00", - "12/31/2024": "17:00:00", - "12/24/2025": "17:00:00", - "12/31/2025": "17:00:00" - }, - "lateOpens": { - "12/25/2018": "17:00:00", - "1/1/2019": "17:00:00", - "12/25/2019": "17:00:00", - "1/1/2020": "17:00:00", - "12/25/2023": "17:00:00", - "1/1/2024": "17:00:00", - "12/25/2024": "17:00:00", - "1/1/2025": "17:00:00", - "12/25/2025": "17:00:00" - } + "holidays": [], + "earlyCloses": {}, + "lateOpens": {} }, "Forex-oanda-NZDJPY": { "dataTimeZone": "UTC", @@ -77239,67 +80234,9 @@ } ], "saturday": [], - "holidays": [ - "1/1/2005", - "1/1/2010", - "1/1/2011", - "1/1/2013", - "1/1/2016", - "1/1/2017", - "1/1/2021", - "1/1/2023", - "1/2/2023", - "1/1/2024", - "1/1/2025", - "12/25/2010", - "12/25/2012", - "12/25/2015", - "12/25/2016", - "12/25/2020", - "12/25/2022", - "12/26/2022", - "12/24/2023", - "12/31/2023", - "12/25/2024", - "12/25/2025" - ], - "earlyCloses": { - "12/30/2005": "17:00:00", - "12/29/2005": "17:00:00", - "12/31/2007": "17:00:00", - "12/31/2008": "17:00:00", - "12/31/2009": "17:00:00", - "12/31/2010": "17:00:00", - "12/30/2011": "17:00:00", - "12/31/2012": "14:00:00", - "12/31/2013": "14:00:00", - "12/31/2014": "14:00:00", - "12/31/2015": "14:00:00", - "12/30/2016": "14:00:00", - "12/29/2017": "17:00:00", - "12/24/2018": "17:00:00", - "12/31/2018": "17:00:00", - "12/24/2019": "17:00:00", - "12/31/2019": "17:00:00", - "12/24/2020": "17:00:00", - "12/31/2020": "17:00:00", - "12/31/2021": "17:00:00", - "12/24/2024": "17:00:00", - "12/31/2024": "17:00:00", - "12/24/2025": "17:00:00", - "12/31/2025": "17:00:00" - }, - "lateOpens": { - "12/25/2018": "17:00:00", - "1/1/2019": "17:00:00", - "12/25/2019": "17:00:00", - "1/1/2020": "17:00:00", - "12/25/2023": "17:00:00", - "1/1/2024": "17:00:00", - "12/25/2024": "17:00:00", - "1/1/2025": "17:00:00", - "12/25/2025": "17:00:00" - } + "holidays": [], + "earlyCloses": {}, + "lateOpens": {} }, "Forex-oanda-NZDSGD": { "dataTimeZone": "UTC", @@ -77392,67 +80329,9 @@ } ], "saturday": [], - "holidays": [ - "1/1/2005", - "1/1/2010", - "1/1/2011", - "1/1/2013", - "1/1/2016", - "1/1/2017", - "1/1/2021", - "1/1/2023", - "1/2/2023", - "1/1/2024", - "1/1/2025", - "12/25/2010", - "12/25/2012", - "12/25/2015", - "12/25/2016", - "12/25/2020", - "12/25/2022", - "12/26/2022", - "12/24/2023", - "12/31/2023", - "12/25/2024", - "12/25/2025" - ], - "earlyCloses": { - "12/30/2005": "17:00:00", - "12/29/2005": "17:00:00", - "12/31/2007": "17:00:00", - "12/31/2008": "17:00:00", - "12/31/2009": "17:00:00", - "12/31/2010": "17:00:00", - "12/30/2011": "17:00:00", - "12/31/2012": "14:00:00", - "12/31/2013": "14:00:00", - "12/31/2014": "14:00:00", - "12/31/2015": "14:00:00", - "12/30/2016": "14:00:00", - "12/29/2017": "17:00:00", - "12/24/2018": "17:00:00", - "12/31/2018": "17:00:00", - "12/24/2019": "17:00:00", - "12/31/2019": "17:00:00", - "12/24/2020": "17:00:00", - "12/31/2020": "17:00:00", - "12/31/2021": "17:00:00", - "12/24/2024": "17:00:00", - "12/31/2024": "17:00:00", - "12/24/2025": "17:00:00", - "12/31/2025": "17:00:00" - }, - "lateOpens": { - "12/25/2018": "17:00:00", - "1/1/2019": "17:00:00", - "12/25/2019": "17:00:00", - "1/1/2020": "17:00:00", - "12/25/2023": "17:00:00", - "1/1/2024": "17:00:00", - "12/25/2024": "17:00:00", - "1/1/2025": "17:00:00", - "12/25/2025": "17:00:00" - } + "holidays": [], + "earlyCloses": {}, + "lateOpens": {} }, "Forex-oanda-NZDUSD": { "dataTimeZone": "UTC", @@ -77545,67 +80424,9 @@ } ], "saturday": [], - "holidays": [ - "1/1/2005", - "1/1/2010", - "1/1/2011", - "1/1/2013", - "1/1/2016", - "1/1/2017", - "1/1/2021", - "1/1/2023", - "1/2/2023", - "1/1/2024", - "1/1/2025", - "12/25/2010", - "12/25/2012", - "12/25/2015", - "12/25/2016", - "12/25/2020", - "12/25/2022", - "12/26/2022", - "12/24/2023", - "12/31/2023", - "12/25/2024", - "12/25/2025" - ], - "earlyCloses": { - "12/30/2005": "17:00:00", - "12/29/2005": "17:00:00", - "12/31/2007": "17:00:00", - "12/31/2008": "17:00:00", - "12/31/2009": "17:00:00", - "12/31/2010": "17:00:00", - "12/30/2011": "17:00:00", - "12/31/2012": "14:00:00", - "12/31/2013": "14:00:00", - "12/31/2014": "14:00:00", - "12/31/2015": "14:00:00", - "12/30/2016": "14:00:00", - "12/29/2017": "17:00:00", - "12/24/2018": "17:00:00", - "12/31/2018": "17:00:00", - "12/24/2019": "17:00:00", - "12/31/2019": "17:00:00", - "12/24/2020": "17:00:00", - "12/31/2020": "17:00:00", - "12/31/2021": "17:00:00", - "12/24/2024": "17:00:00", - "12/31/2024": "17:00:00", - "12/24/2025": "17:00:00", - "12/31/2025": "17:00:00" - }, - "lateOpens": { - "12/25/2018": "17:00:00", - "1/1/2019": "17:00:00", - "12/25/2019": "17:00:00", - "1/1/2020": "17:00:00", - "12/25/2023": "17:00:00", - "1/1/2024": "17:00:00", - "12/25/2024": "17:00:00", - "1/1/2025": "17:00:00", - "12/25/2025": "17:00:00" - } + "holidays": [], + "earlyCloses": {}, + "lateOpens": {} }, "Cfd-fxcm-[*]": { "dataTimeZone": "UTC-05", @@ -78203,7 +81024,6 @@ "4/15/2022", "4/17/2006", "4/17/2017", - "4/17/2017", "4/17/2028", "4/18/2003", "4/18/2014", @@ -78271,7 +81091,6 @@ "5/6/2030", "5/7/2029", "6/5/2017", - "6/5/2017", "8/25/2025", "8/26/2019", "8/26/2024", @@ -79926,7 +82745,6 @@ "1/1/2029", "1/1/2030", "1/2/2012", - "1/2/2023", "1/26/2007", "1/26/2012", "1/26/2021", @@ -79965,7 +82783,6 @@ "12/25/2019", "12/25/2020", "12/25/2021", - "12/25/2022", "12/25/2023", "12/25/2024", "12/25/2025", @@ -79984,7 +82801,6 @@ "12/26/2019", "12/26/2020", "12/26/2021", - "12/26/2022", "12/26/2023", "12/26/2024", "12/26/2025", @@ -80156,11 +82972,7 @@ "12/25/2020", "1/1/2021", "4/2/2021", - "4/15/2022", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "4/15/2022" ] }, "Cfd-oanda-CH20CHF": { @@ -80248,9 +83060,7 @@ "4/18/2022", "5/26/2022", "6/6/2022", - "8/1/2022", - "12/26/2022", - "1/2/2023" + "8/1/2022" ] }, "Cfd-oanda-CORNUSD": { @@ -80397,11 +83207,7 @@ "5/13/2022", "7/4/2022", "9/5/2022", - "11/24/2022", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "11/24/2022" ] }, "Cfd-oanda-DE10YBEUR": { @@ -80489,9 +83295,7 @@ "5/1/2022", "6/6/2022", "10/3/2022", - "10/31/2022", - "12/26/2022", - "1/2/2023" + "10/31/2022" ] }, "Cfd-oanda-DE30EUR": { @@ -80579,9 +83383,7 @@ "5/1/2022", "6/6/2022", "10/3/2022", - "10/31/2022", - "12/26/2022", - "1/2/2023" + "10/31/2022" ] }, "Cfd-oanda-EU50EUR": { @@ -80642,7 +83444,6 @@ "1/1/2020", "1/1/2021", "1/1/2022", - "1/1/2023", "1/1/2024", "1/1/2025", "1/1/2026", @@ -80650,7 +83451,6 @@ "1/1/2028", "1/1/2029", "1/1/2030", - "1/2/2023", "12/25/2003", "12/25/2005", "12/25/2006", @@ -80668,7 +83468,6 @@ "12/25/2019", "12/25/2020", "12/25/2021", - "12/25/2022", "12/25/2023", "12/25/2024", "12/25/2025", @@ -80693,7 +83492,6 @@ "12/26/2019", "12/26/2020", "12/26/2021", - "12/26/2022", "12/26/2023", "12/26/2024", "12/26/2025", @@ -80724,7 +83522,6 @@ "4/13/2020", "4/14/2006", "4/14/2017", - "4/14/2017", "4/14/2028", "4/15/2022", "4/17/2006", @@ -80845,7 +83642,6 @@ "1/1/2020", "1/1/2021", "1/1/2022", - "1/1/2023", "1/1/2024", "1/1/2025", "1/1/2026", @@ -80853,7 +83649,6 @@ "1/1/2028", "1/1/2029", "1/1/2030", - "1/2/2023", "12/25/2003", "12/25/2005", "12/25/2006", @@ -80871,7 +83666,6 @@ "12/25/2019", "12/25/2020", "12/25/2021", - "12/25/2022", "12/25/2023", "12/25/2024", "12/25/2025", @@ -80896,7 +83690,6 @@ "12/26/2019", "12/26/2020", "12/26/2021", - "12/26/2022", "12/26/2023", "12/26/2024", "12/26/2025", @@ -81117,7 +83910,6 @@ "1/1/2030", "1/2/2006", "1/2/2012", - "1/2/2023", "1/22/2004", "1/22/2023", "1/23/2004", @@ -81212,7 +84004,6 @@ "12/25/2019", "12/25/2020", "12/25/2021", - "12/25/2022", "12/25/2023", "12/25/2024", "12/25/2025", @@ -81235,7 +84026,6 @@ "12/26/2019", "12/26/2020", "12/26/2021", - "12/26/2022", "12/26/2023", "12/26/2024", "12/26/2025", @@ -81295,10 +84085,8 @@ "2/4/2011", "2/4/2030", "2/5/2019", - "2/5/2019", "2/5/2030", "2/6/2019", - "2/6/2019", "2/6/2027", "2/6/2030", "2/7/2008", @@ -81575,15 +84363,12 @@ "1/1/2020", "1/1/2021", "1/1/2022", - "1/1/2023", - "1/1/2024", "1/1/2024", "1/1/2025", "1/1/2026", "1/1/2027", "1/1/2028", "1/1/2029", - "1/1/2029", "1/1/2030", "1/10/2022", "1/10/2028", @@ -81601,8 +84386,6 @@ "1/2/2019", "1/2/2020", "1/2/2021", - "1/2/2023", - "1/2/2023", "1/2/2024", "1/2/2025", "1/2/2026", @@ -81612,13 +84395,11 @@ "1/3/2019", "1/3/2020", "1/3/2022", - "1/3/2022", "1/3/2023", "1/3/2024", "1/3/2025", "1/3/2026", "1/3/2028", - "1/3/2028", "1/3/2029", "1/3/2030", "1/4/2021", @@ -81686,10 +84467,8 @@ "12/25/2012", "12/25/2013", "12/25/2015", - "12/25/2022", "12/26/2005", "12/26/2011", - "12/26/2022", "12/31/2019", "12/31/2020", "12/31/2021", @@ -81765,13 +84544,11 @@ "5/31/2004", "5/4/2019", "5/4/2020", - "5/4/2020", "5/4/2021", "5/4/2022", "5/4/2023", "5/4/2024", "5/4/2026", - "5/4/2026", "5/4/2027", "5/4/2028", "5/4/2029", @@ -81781,7 +84558,6 @@ "5/5/2022", "5/5/2023", "5/5/2025", - "5/5/2025", "5/5/2026", "5/5/2027", "5/5/2028", @@ -81840,7 +84616,6 @@ "9/23/2026", "9/23/2027", "9/23/2030", - "9/23/2030", "9/24/2029", "9/6/2004" ] @@ -81981,10 +84756,6 @@ "12/24/2021", "1/1/2022", "4/15/2022", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023", "4/7/2023", "12/25/2023", "1/1/2024", @@ -82126,11 +84897,7 @@ "5/30/2022", "7/4/2022", "9/5/2022", - "11/24/2022", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "11/24/2022" ] }, "Cfd-oanda-NL25EUR": { @@ -82187,7 +84954,6 @@ "1/1/2020", "1/1/2021", "1/1/2022", - "1/1/2023", "1/1/2024", "1/1/2025", "1/1/2026", @@ -82195,7 +84961,6 @@ "1/1/2028", "1/1/2029", "1/1/2030", - "1/2/2023", "12/25/2008", "12/25/2009", "12/25/2011", @@ -82209,7 +84974,6 @@ "12/25/2019", "12/25/2020", "12/25/2021", - "12/25/2022", "12/25/2023", "12/25/2024", "12/25/2025", @@ -82229,7 +84993,6 @@ "12/26/2019", "12/26/2020", "12/26/2021", - "12/26/2022", "12/26/2023", "12/26/2024", "12/26/2025", @@ -82397,8 +85160,6 @@ "2/19/2015", "2/8/2016", "1/30/2017", - "2/16/2018", - "2/5/2019", "1/27/2020", "4/14/2017", "1/2/2017", @@ -82437,9 +85198,7 @@ "2/1/2022", "4/15/2022", "5/2/2022", - "8/9/2022", - "12/26/2022", - "1/2/2023" + "8/9/2022" ] }, "Cfd-oanda-SOYBNUSD": { @@ -82586,11 +85345,7 @@ "5/13/2022", "7/4/2022", "9/5/2022", - "11/24/2022", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "11/24/2022" ] }, "Cfd-oanda-SPX500USD": { @@ -82729,10 +85484,6 @@ "12/24/2021", "1/1/2022", "4/15/2022", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023", "4/7/2023", "12/25/2023", "1/1/2024", @@ -82850,9 +85601,7 @@ "5/30/2022", "7/4/2022", "9/5/2022", - "11/24/2022", - "12/26/2022", - "1/2/2023" + "11/24/2022" ] }, "Cfd-oanda-UK100GBP": { @@ -83037,10 +85786,7 @@ "5/2/2022", "5/30/2022", "8/29/2022", - "12/25/2022", - "12/26/2022", "12/27/2022", - "1/2/2023", "4/7/2023", "4/10/2023", "5/1/2023", @@ -83176,9 +85922,7 @@ "4/2/2021", "4/5/2021", "4/15/2022", - "4/18/2022", - "12/26/2022", - "1/2/2023" + "4/18/2022" ] }, "Cfd-oanda-US2000USD": { @@ -83286,7 +86030,6 @@ "1/1/2020", "1/1/2021", "1/1/2022", - "1/1/2023", "1/1/2024", "1/1/2025", "1/1/2026", @@ -83295,7 +86038,6 @@ "1/1/2029", "1/1/2030", "1/2/2012", - "1/2/2023", "12/24/2004", "12/24/2010", "12/24/2021", @@ -83311,7 +86053,6 @@ "12/25/2015", "12/25/2019", "12/25/2020", - "12/25/2022", "12/25/2023", "12/25/2024", "12/25/2025", @@ -83320,7 +86061,6 @@ "12/25/2029", "12/25/2030", "12/26/2011", - "12/26/2022", "3/21/2008", "3/25/2005", "3/25/2016", @@ -83451,7 +86191,6 @@ "1/1/2020", "1/1/2021", "1/1/2022", - "1/1/2023", "1/1/2024", "1/1/2025", "1/1/2026", @@ -83465,7 +86204,6 @@ "1/19/2004", "1/2/2006", "1/2/2012", - "1/2/2023", "11/22/2007", "11/23/2006", "11/24/2005", @@ -83494,7 +86232,6 @@ "12/25/2030", "12/26/2005", "12/26/2011", - "12/26/2022", "2/16/2004", "2/19/2007", "2/20/2006", @@ -83654,11 +86391,7 @@ "5/13/2022", "7/4/2022", "9/5/2022", - "11/24/2022", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "11/24/2022" ] }, "Cfd-oanda-USB05YUSD": { @@ -83780,11 +86513,7 @@ "5/13/2022", "7/4/2022", "9/5/2022", - "11/24/2022", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "11/24/2022" ] }, "Cfd-oanda-USB10YUSD": { @@ -83906,11 +86635,7 @@ "5/13/2022", "7/4/2022", "9/5/2022", - "11/24/2022", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "11/24/2022" ] }, "Cfd-oanda-USB30YUSD": { @@ -84032,11 +86757,7 @@ "5/13/2022", "7/4/2022", "9/5/2022", - "11/24/2022", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "11/24/2022" ] }, "Cfd-oanda-WHEATUSD": { @@ -84183,11 +86904,7 @@ "5/13/2022", "7/4/2022", "9/5/2022", - "11/24/2022", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "11/24/2022" ] }, "Cfd-oanda-WTICOUSD": { @@ -84306,11 +87023,7 @@ "5/30/2022", "7/4/2022", "9/5/2022", - "11/24/2022", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "11/24/2022" ] }, "Cfd-oanda-XAGAUD": { @@ -84380,11 +87093,7 @@ ], "saturday": [], "holidays": [ - "4/14/2017", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "4/14/2017" ] }, "Cfd-oanda-XAGCAD": { @@ -84453,12 +87162,7 @@ } ], "saturday": [], - "holidays": [ - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" - ] + "holidays": [] }, "Cfd-oanda-XAGCHF": { "dataTimeZone": "UTC", @@ -84527,11 +87231,7 @@ ], "saturday": [], "holidays": [ - "4/14/2017", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "4/14/2017" ] }, "Cfd-oanda-XAGEUR": { @@ -84601,11 +87301,7 @@ ], "saturday": [], "holidays": [ - "4/14/2017", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "4/14/2017" ] }, "Cfd-oanda-XAGGBP": { @@ -84675,11 +87371,7 @@ ], "saturday": [], "holidays": [ - "4/14/2017", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "4/14/2017" ] }, "Cfd-oanda-XAGHKD": { @@ -84749,11 +87441,7 @@ ], "saturday": [], "holidays": [ - "4/14/2017", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "4/14/2017" ] }, "Cfd-oanda-XAGJPY": { @@ -84823,11 +87511,7 @@ ], "saturday": [], "holidays": [ - "4/14/2017", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "4/14/2017" ] }, "Cfd-oanda-XAGNZD": { @@ -84922,11 +87606,7 @@ ], "saturday": [], "holidays": [ - "4/14/2017", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "4/14/2017" ] }, "Cfd-oanda-XAGSGD": { @@ -84996,11 +87676,7 @@ ], "saturday": [], "holidays": [ - "4/14/2017", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "4/14/2017" ] }, "Cfd-oanda-XAGUSD": { @@ -85070,11 +87746,7 @@ ], "saturday": [], "holidays": [ - "4/14/2017", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "4/14/2017" ] }, "Cfd-oanda-XAUAUD": { @@ -85144,11 +87816,7 @@ ], "saturday": [], "holidays": [ - "4/14/2017", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "4/14/2017" ] }, "Cfd-oanda-XAUCAD": { @@ -85218,11 +87886,7 @@ ], "saturday": [], "holidays": [ - "4/14/2017", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "4/14/2017" ] }, "Cfd-oanda-XAUCHF": { @@ -85292,11 +87956,7 @@ ], "saturday": [], "holidays": [ - "4/14/2017", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "4/14/2017" ] }, "Cfd-oanda-XAUEUR": { @@ -85366,11 +88026,7 @@ ], "saturday": [], "holidays": [ - "4/14/2017", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "4/14/2017" ] }, "Cfd-oanda-XAUGBP": { @@ -85440,11 +88096,7 @@ ], "saturday": [], "holidays": [ - "4/14/2017", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "4/14/2017" ] }, "Cfd-oanda-XAUHKD": { @@ -85514,11 +88166,7 @@ ], "saturday": [], "holidays": [ - "4/14/2017", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "4/14/2017" ] }, "Cfd-oanda-XAUJPY": { @@ -85588,11 +88236,7 @@ ], "saturday": [], "holidays": [ - "4/14/2017", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "4/14/2017" ] }, "Cfd-oanda-XAUNZD": { @@ -85687,11 +88331,7 @@ ], "saturday": [], "holidays": [ - "4/14/2017", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "4/14/2017" ] }, "Cfd-oanda-XAUSGD": { @@ -85761,11 +88401,7 @@ ], "saturday": [], "holidays": [ - "4/14/2017", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "4/14/2017" ] }, "Cfd-oanda-XAUUSD": { @@ -85835,11 +88471,7 @@ ], "saturday": [], "holidays": [ - "4/14/2017", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "4/14/2017" ] }, "Cfd-oanda-XAUXAG": { @@ -85909,11 +88541,7 @@ ], "saturday": [], "holidays": [ - "4/14/2017", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "4/14/2017" ] }, "Cfd-oanda-XCUUSD": { @@ -85983,11 +88611,7 @@ ], "saturday": [], "holidays": [ - "4/14/2017", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "4/14/2017" ] }, "Cfd-oanda-XPDUSD": { @@ -86057,11 +88681,7 @@ ], "saturday": [], "holidays": [ - "4/14/2017", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "4/14/2017" ] }, "Cfd-oanda-XPTUSD": { @@ -86131,11 +88751,7 @@ ], "saturday": [], "holidays": [ - "4/14/2017", - "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "4/14/2017" ] }, "Cfd-interactivebrokers-[*]": { @@ -86205,6 +88821,7 @@ "1/1/2024", "1/2/2023", "1/1/2025", + "1/1/2026", "1/2/2007", "1/19/1998", "1/18/1999", @@ -86234,6 +88851,7 @@ "1/16/2023", "1/15/2024", "1/20/2025", + "1/19/2026", "2/16/1998", "2/15/1999", "2/21/2000", @@ -86262,6 +88880,7 @@ "2/20/2023", "2/19/2024", "2/17/2025", + "2/16/2026", "4/10/1998", "4/2/1999", "4/21/2000", @@ -86290,6 +88909,7 @@ "4/7/2023", "3/29/2024", "4/18/2025", + "4/3/2026", "5/25/1998", "5/31/1999", "5/29/2000", @@ -86317,11 +88937,13 @@ "5/30/2022", "5/29/2023", "5/27/2024", + "5/25/2026", "6/11/2004", "6/20/2022", "6/19/2023", "6/19/2024", "6/19/2025", + "6/19/2026", "7/3/1998", "7/5/1999", "7/4/2000", @@ -86350,6 +88972,7 @@ "7/4/2023", "7/4/2024", "7/4/2025", + "7/3/2026", "9/7/1998", "9/6/1999", "9/4/2000", @@ -86378,6 +89001,7 @@ "9/4/2023", "9/2/2024", "9/1/2025", + "9/7/2026", "9/11/2001", "9/12/2001", "9/13/2001", @@ -86412,6 +89036,7 @@ "11/23/2023", "11/28/2024", "11/27/2025", + "11/26/2026", "12/05/2018", "12/25/1998", "12/24/1999", @@ -86440,7 +89065,8 @@ "12/26/2022", "12/25/2023", "12/25/2024", - "12/25/2025" + "12/25/2025", + "12/25/2026" ], "earlyCloses": { "7/3/2000": "13:00:00", @@ -86486,6 +89112,7 @@ "11/24/2023": "13:00:00", "11/29/2024": "13:00:00", "11/28/2025": "13:00:00", + "11/27/2026": "13:00:00", "12/24/2001": "13:00:00", "12/24/2002": "13:00:00", "12/24/2003": "13:00:00", @@ -86502,7 +89129,8 @@ "12/24/2019": "13:00:00", "12/24/2020": "13:00:00", "12/24/2024": "13:00:00", - "12/24/2025": "13:00:00" + "12/24/2025": "13:00:00", + "12/24/2026": "13:00:00" } }, "Cfd-interactivebrokers-IBUS500": { @@ -86571,332 +89199,8 @@ } ], "saturday": [], - "holidays": [ - "1/1/1998", - "1/1/1999", - "1/1/2001", - "1/1/2002", - "1/1/2003", - "1/1/2004", - "1/2/2006", - "1/1/2007", - "1/1/2008", - "1/1/2009", - "1/1/2010", - "1/1/2011", - "1/2/2012", - "1/1/2013", - "1/1/2014", - "1/1/2015", - "1/1/2016", - "1/2/2017", - "1/1/2018", - "1/1/2019", - "1/1/2020", - "1/1/2021", - "1/1/2022", - "1/1/2024", - "1/2/2023", - 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"earlyCloses": {} }, - "Crypto-coinbase-[*]": { + "Cfd-interactivebrokers-IBJP225": { "dataTimeZone": "UTC", "exchangeTimeZone": "UTC", "sunday": [ { - "start": "00:00:00", + "start": "23:00:00", "end": "1.00:00:00", "state": "market" } @@ -92280,6 +89654,11 @@ "monday": [ { "start": "00:00:00", + "end": "22:00:00", + "state": "market" + }, + { + "start": "23:00:00", "end": "1.00:00:00", "state": "market" } @@ -92287,6 +89666,11 @@ "tuesday": [ { "start": "00:00:00", + "end": "22:00:00", + "state": "market" + }, + { + "start": "23:00:00", "end": "1.00:00:00", "state": "market" } @@ -92294,6 +89678,11 @@ "wednesday": [ { "start": "00:00:00", + "end": "22:00:00", + "state": "market" + }, + { + "start": "23:00:00", "end": "1.00:00:00", "state": "market" } @@ -92301,6 +89690,11 @@ "thursday": [ { "start": "00:00:00", + "end": "22:00:00", + "state": "market" + }, + { + "start": "23:00:00", "end": "1.00:00:00", "state": "market" } @@ -92308,25 +89702,113 @@ "friday": [ { "start": "00:00:00", - "end": "1.00:00:00", + "end": "22:00:00", "state": "market" } ], - "saturday": [ + "saturday": [], + "holidays": [], + "earlyCloses": {} + }, + "Cfd-interactivebrokers-IBHK50": { + "dataTimeZone": "UTC", + "exchangeTimeZone": "UTC", + "sunday": [], + "monday": [ { - "start": "00:00:00", - "end": "1.00:00:00", + "start": "01:15:00", + "end": "04:00:00", + "state": "market" + }, + { + "start": "05:00:00", + "end": "08:30:00", + "state": "market" + }, + { + "start": "09:15:00", + "end": "19:00:00", "state": "market" } ], - "holidays": [] + "tuesday": [ + { + "start": "01:15:00", + "end": "04:00:00", + "state": "market" + }, + { + "start": "05:00:00", + "end": "08:30:00", + "state": "market" + }, + { + "start": "09:15:00", + "end": "19:00:00", + "state": "market" + } + ], + "wednesday": [ + { + "start": "01:15:00", + "end": "04:00:00", + "state": "market" + }, + { + "start": "05:00:00", + "end": "08:30:00", + "state": "market" + }, + { + "start": "09:15:00", + "end": "19:00:00", + "state": "market" + } + ], + "thursday": [ + { + "start": "01:15:00", + "end": "04:00:00", + "state": "market" + }, + { + "start": "05:00:00", + "end": "08:30:00", + "state": "market" + }, + { + "start": "09:15:00", + "end": "19:00:00", + "state": "market" + } + ], + "friday": [ + { + "start": "01:15:00", + "end": "04:00:00", + "state": "market" + }, + { + "start": "05:00:00", + "end": "08:30:00", + "state": "market" + }, + { + "start": "09:15:00", + "end": "19:00:00", + "state": "market" + } + ], + "saturday": [], + "holidays": [], + "earlyCloses": {} }, - "Crypto-bitfinex-[*]": { + "Cfd-interactivebrokers-IBAU200": { "dataTimeZone": "UTC", "exchangeTimeZone": "UTC", "sunday": [ { - "start": "00:00:00", + "start": "22:50:00", "end": "1.00:00:00", "state": "market" } @@ -92334,6 +89816,16 @@ "monday": [ { "start": "00:00:00", + "end": "05:30:00", + "state": "market" + }, + { + "start": "06:10:00", + "end": "21:00:00", + "state": "market" + }, + { + "start": "22:50:00", "end": "1.00:00:00", "state": "market" } @@ -92341,6 +89833,16 @@ "tuesday": [ { "start": "00:00:00", + "end": "05:30:00", + "state": "market" + }, + { + "start": "06:10:00", + "end": "21:00:00", + "state": "market" + }, + { + "start": "22:50:00", "end": "1.00:00:00", "state": "market" } @@ -92348,6 +89850,16 @@ "wednesday": [ { "start": "00:00:00", + "end": "05:30:00", + "state": "market" + }, + { + "start": "06:10:00", + "end": "21:00:00", + "state": "market" + }, + { + "start": "22:50:00", "end": "1.00:00:00", "state": "market" } @@ -92355,6 +89867,16 @@ "thursday": [ { "start": "00:00:00", + "end": "05:30:00", + "state": "market" + }, + { + "start": "06:10:00", + "end": "21:00:00", + "state": "market" + }, + { + "start": "22:50:00", "end": "1.00:00:00", "state": "market" } @@ -92362,25 +89884,25 @@ "friday": [ { "start": "00:00:00", - "end": "1.00:00:00", + "end": "05:30:00", "state": "market" - } - ], - "saturday": [ + }, { - "start": "00:00:00", - "end": "1.00:00:00", + "start": "06:10:00", + "end": "21:00:00", "state": "market" } ], - "holidays": [] + "saturday": [], + "holidays": [], + "earlyCloses": {} }, - "Base-empty-[*]": { + "Cfd-interactivebrokers-XAUUSD": { "dataTimeZone": "UTC", "exchangeTimeZone": "UTC", "sunday": [ { - "start": "00:00:00", + "start": "22:00:00", "end": "1.00:00:00", "state": "market" } @@ -92388,6 +89910,11 @@ "monday": [ { "start": "00:00:00", + "end": "21:00:00", + "state": "market" + }, + { + "start": "22:00:00", "end": "1.00:00:00", "state": "market" } @@ -92395,6 +89922,11 @@ "tuesday": [ { "start": "00:00:00", + "end": "21:00:00", + "state": "market" + }, + { + "start": "22:00:00", "end": "1.00:00:00", "state": "market" } @@ -92402,6 +89934,11 @@ "wednesday": [ { "start": "00:00:00", + "end": "21:00:00", + "state": "market" + }, + { + "start": "22:00:00", "end": "1.00:00:00", "state": "market" } @@ -92409,6 +89946,11 @@ "thursday": [ { "start": "00:00:00", + "end": "21:00:00", + "state": "market" + }, + { + "start": "22:00:00", "end": "1.00:00:00", "state": "market" } @@ -92416,20 +89958,84 @@ "friday": [ { "start": "00:00:00", + "end": "21:00:00", + "state": "market" + } + ], + "saturday": [], + "holidays": [], + "earlyCloses": {} + }, + "Cfd-interactivebrokers-XAGUSD": { + "dataTimeZone": "UTC", + "exchangeTimeZone": "UTC", + "sunday": [ + { + "start": "22:00:00", + "end": "1.00:00:00", + "state": "market" + } + ], + "monday": [ + { + "start": "00:00:00", + "end": "21:00:00", + "state": "market" + }, + { + "start": "22:00:00", "end": "1.00:00:00", "state": "market" } ], - "saturday": [ + "tuesday": [ { "start": "00:00:00", + "end": "21:00:00", + "state": "market" + }, + { + "start": "22:00:00", "end": "1.00:00:00", "state": "market" } ], - "holidays": [] + "wednesday": [ + { + "start": "00:00:00", + "end": "21:00:00", + "state": "market" + }, + { + "start": "22:00:00", + "end": "1.00:00:00", + "state": "market" + } + ], + "thursday": [ + { + "start": "00:00:00", + "end": "21:00:00", + "state": "market" + }, + { + "start": "22:00:00", + "end": "1.00:00:00", + "state": "market" + } + ], + "friday": [ + { + "start": "00:00:00", + "end": "21:00:00", + "state": "market" + } + ], + "saturday": [], + "holidays": [], + "earlyCloses": {} }, - "CryptoFuture-binance-[*]": { + "Crypto-coinbase-[*]": { "dataTimeZone": "UTC", "exchangeTimeZone": "UTC", "sunday": [ @@ -92483,12 +90089,12 @@ ], "holidays": [] }, - "Cfd-interactivebrokers-AUDCAD": { + "Crypto-bitfinex-[*]": { "dataTimeZone": "UTC", - "exchangeTimeZone": "America/New_York", + "exchangeTimeZone": "UTC", "sunday": [ { - "start": "17:15:00", + "start": "00:00:00", "end": "1.00:00:00", "state": "market" } @@ -92496,11 +90102,6 @@ "monday": [ { "start": "00:00:00", - "end": "17:00:00", - "state": "market" - }, - { - "start": "17:15:00", "end": "1.00:00:00", "state": "market" } @@ -92508,11 +90109,6 @@ "tuesday": [ { "start": "00:00:00", - "end": "17:00:00", - "state": "market" - }, - { - "start": "17:15:00", "end": "1.00:00:00", "state": "market" } @@ -92520,11 +90116,6 @@ "wednesday": [ { "start": "00:00:00", - "end": "17:00:00", - "state": "market" - }, - { - "start": "17:15:00", "end": "1.00:00:00", "state": "market" } @@ -92532,11 +90123,6 @@ "thursday": [ { "start": "00:00:00", - "end": "17:00:00", - "state": "market" - }, - { - "start": "17:15:00", "end": "1.00:00:00", "state": "market" } @@ -92544,344 +90130,25 @@ "friday": [ { "start": "00:00:00", - "end": "17:00:00", + "end": "1.00:00:00", "state": "market" } ], - "saturday": [], - "holidays": [ - "1/1/1998", - "1/1/1999", - "1/1/2001", - "1/1/2002", - "1/1/2003", - "1/1/2004", - "1/2/2006", - "1/1/2007", - "1/1/2008", - "1/1/2009", - "1/1/2010", - "1/1/2011", - "1/2/2012", - "1/1/2013", - "1/1/2014", - "1/1/2015", - "1/1/2016", - "1/2/2017", - "1/1/2018", - "1/1/2019", - "1/1/2020", - "1/1/2021", - "1/1/2022", - "1/1/2024", - "1/2/2023", - "1/1/2025", - "1/2/2007", - "1/19/1998", - "1/18/1999", - "1/17/2000", - "1/15/2001", - "1/21/2002", - "1/20/2003", - "1/19/2004", - "1/17/2005", - "1/16/2006", - "1/15/2007", - "1/21/2008", - "1/19/2009", - "1/18/2010", - "1/17/2011", - "1/16/2012", - "1/21/2013", - "1/20/2014", - "1/19/2015", - "1/18/2016", - "1/16/2017", - "1/15/2018", - "1/21/2019", - "1/20/2020", - "1/18/2021", - "1/17/2022", - "1/16/2023", - "1/15/2024", - "1/20/2025", - "2/16/1998", - "2/15/1999", - "2/21/2000", - "2/19/2001", - "2/18/2002", - "2/17/2003", - "2/16/2004", - "2/21/2005", - "2/20/2006", - "2/19/2007", - "2/18/2008", - "2/16/2009", - "2/15/2010", - "2/21/2011", - "2/20/2012", - "2/18/2013", - "2/17/2014", - "2/16/2015", - "2/15/2016", - "2/20/2017", - "2/19/2018", - "2/18/2019", - "2/17/2020", - "2/15/2021", - "2/21/2022", - "2/20/2023", - "2/19/2024", - "2/17/2025", - "4/10/1998", - "4/2/1999", - "4/21/2000", - "4/13/2001", - "3/29/2002", - "4/18/2003", - "4/9/2004", - "3/25/2005", - "4/14/2006", - "4/6/2007", - "3/21/2008", - "4/10/2009", - "4/2/2010", - "4/22/2011", - "4/6/2012", - "3/29/2013", - 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"13:00:00", - "12/24/2014": "13:00:00", - "12/24/2015": "13:00:00", - "12/24/2017": "13:00:00", - "12/24/2018": "13:00:00", - "12/24/2019": "13:00:00", - "12/24/2020": "13:00:00", - "12/24/2024": "13:00:00", - "12/24/2025": "13:00:00" - } + "holidays": [] }, - "Cfd-interactivebrokers-AUDCHF": { + "Base-empty-[*]": { "dataTimeZone": "UTC", - "exchangeTimeZone": "America/New_York", + "exchangeTimeZone": "UTC", "sunday": [ { - "start": "17:15:00", + "start": "00:00:00", "end": "1.00:00:00", "state": "market" } @@ -92889,11 +90156,6 @@ "monday": [ { "start": "00:00:00", - "end": "17:00:00", - "state": "market" - }, - { - "start": "17:15:00", "end": "1.00:00:00", "state": "market" } @@ -92901,11 +90163,6 @@ "tuesday": [ { "start": "00:00:00", - "end": "17:00:00", - "state": "market" - }, - { - "start": "17:15:00", "end": "1.00:00:00", "state": "market" } @@ -92913,11 +90170,6 @@ "wednesday": [ { "start": "00:00:00", - "end": "17:00:00", - "state": "market" - }, - { - "start": "17:15:00", "end": "1.00:00:00", "state": "market" } @@ -92925,11 +90177,6 @@ "thursday": [ { "start": "00:00:00", - "end": "17:00:00", - "state": "market" - }, - { - "start": "17:15:00", "end": "1.00:00:00", "state": "market" } @@ -92937,344 +90184,25 @@ "friday": [ { "start": "00:00:00", - "end": "17:00:00", + "end": "1.00:00:00", "state": "market" } ], - "saturday": [], - "holidays": [ - "1/1/1998", - "1/1/1999", - "1/1/2001", - "1/1/2002", - "1/1/2003", - "1/1/2004", - "1/2/2006", - "1/1/2007", - "1/1/2008", - "1/1/2009", - "1/1/2010", - "1/1/2011", - "1/2/2012", - "1/1/2013", - "1/1/2014", - "1/1/2015", - "1/1/2016", - "1/2/2017", - "1/1/2018", - "1/1/2019", - "1/1/2020", - "1/1/2021", - "1/1/2022", - "1/1/2024", - "1/2/2023", - "1/1/2025", - "1/2/2007", - "1/19/1998", - "1/18/1999", - "1/17/2000", - "1/15/2001", - "1/21/2002", - "1/20/2003", - "1/19/2004", - "1/17/2005", - "1/16/2006", - "1/15/2007", - "1/21/2008", - "1/19/2009", - "1/18/2010", - "1/17/2011", - "1/16/2012", - "1/21/2013", - 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"12/24/2024": "13:00:00", - "12/24/2025": "13:00:00" - } + "holidays": [] }, - "Cfd-interactivebrokers-AUDCNH": { + "CryptoFuture-binance-[*]": { "dataTimeZone": "UTC", - "exchangeTimeZone": "America/New_York", + "exchangeTimeZone": "UTC", "sunday": [ { - "start": "17:15:00", + "start": "00:00:00", "end": "1.00:00:00", "state": "market" } @@ -93282,23 +90210,13 @@ "monday": [ { "start": "00:00:00", - "end": "17:00:00", - "state": "market" - }, - { - "start": "17:15:00", "end": "1.00:00:00", "state": "market" } ], "tuesday": [ { - "start": "00:00:00", - "end": "17:00:00", - "state": "market" - }, - { - "start": "17:15:00", + "start": "00:00:00", "end": "1.00:00:00", "state": "market" } @@ -93306,11 +90224,6 @@ "wednesday": [ { "start": "00:00:00", - "end": "17:00:00", - "state": "market" - }, - { - "start": "17:15:00", "end": "1.00:00:00", "state": "market" } @@ -93318,11 +90231,6 @@ "thursday": [ { "start": "00:00:00", - "end": "17:00:00", - "state": "market" - }, - { - "start": 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"1.00:00:00", "state": "market" } @@ -128673,6 +96510,11 @@ "thursday": [ { "start": "00:00:00", + "end": "17:00:00", + "state": "market" + }, + { + "start": "17:15:00", "end": "1.00:00:00", "state": "market" } @@ -128680,20 +96522,84 @@ "friday": [ { "start": "00:00:00", + "end": "17:00:00", + "state": "market" + } + ], + "saturday": [], + "holidays": [], + "earlyCloses": {} + }, + "Cfd-interactivebrokers-ZARJPY": { + "dataTimeZone": "UTC", + "exchangeTimeZone": "America/New_York", + "sunday": [ + { + "start": "17:15:00", "end": "1.00:00:00", "state": "market" } ], - "saturday": [ + "monday": [ + { + "start": "00:00:00", + "end": "17:00:00", + "state": "market" + }, + { + "start": "17:15:00", + "end": "1.00:00:00", + "state": "market" + } + ], + "tuesday": [ { "start": "00:00:00", + "end": "17:00:00", + "state": "market" + }, + { + "start": "17:15:00", "end": "1.00:00:00", "state": "market" } ], - "holidays": [] + "wednesday": [ + { + "start": "00:00:00", + "end": "17:00:00", + 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"12/25/2000", - "12/25/2001", - "12/25/2002", - "12/25/2003", - "12/24/2004", - "12/26/2005", - "12/25/2006", - "12/25/2007", - "12/25/2008", - "12/25/2009", - "12/24/2010", - "12/26/2011", - "12/25/2012", - "12/25/2013", - "12/25/2014", - "12/25/2015", - "12/26/2016", - "12/25/2017", - "12/25/2018", + "9/10/2019", + "10/2/2019", + "10/8/2019", + "10/21/2019", + "10/28/2019", + "11/12/2019", "12/25/2019", + "2/21/2020", + "3/10/2020", + "4/2/2020", + "4/6/2020", + "4/10/2020", + "4/14/2020", + "5/1/2020", + "5/25/2020", + "10/2/2020", + "11/16/2020", + "11/30/2020", "12/25/2020", - "12/24/2021", - "12/26/2022", + "1/26/2021", + "3/11/2021", + "3/29/2021", + "4/2/2021", + "4/14/2021", + "4/21/2021", + "5/13/2021", + "7/21/2021", + "8/19/2021", + "9/10/2021", + "10/15/2021", + "11/5/2021", + "11/19/2021", + "1/26/2022", + "4/14/2022", + "8/15/2022", + "1/26/2023", + "4/14/2023", + "5/1/2023", + "8/15/2023", + "10/2/2023", "12/25/2023", + "1/26/2024", + "5/1/2024", + "8/15/2024", + "10/2/2024", "12/25/2024", - "12/25/2025" + "2/26/2025", + "3/14/2025", + "3/31/2025", + "4/10/2025", + "4/14/2025", + "4/18/2025", + "5/1/2025", + "8/15/2025", + "10/2/2025", + "10/22/2025", + "12/25/2025", + "1/26/2026", + "4/14/2026", + "5/1/2026", + "10/2/2026", + "12/25/2026", + "1/26/2027", + "4/14/2027", + "1/26/2028", + "4/14/2028", + "5/1/2028", + "8/15/2028", + "10/2/2028", + "12/25/2028", + "1/26/2029", + "5/1/2029", + "8/15/2029", + "10/2/2029", + "12/25/2029", + "5/1/2030", + "8/15/2030", + "10/2/2030", + "12/25/2030" ], - "earlyCloses": { - "7/3/2000": "13:00:00", - "7/3/2001": "13:00:00", - "7/5/2002": "13:00:00", - "7/3/2003": "13:00:00", - "7/3/2006": "13:00:00", - "7/3/2007": "13:00:00", - "7/3/2008": "13:00:00", - "7/3/2012": "13:00:00", - "7/3/2013": "13:00:00", - "7/3/2014": "13:00:00", - "7/3/2017": "13:00:00", - "7/3/2018": "13:00:00", - "7/3/2019": "13:00:00", - "7/3/2023": "13:00:00", - "7/3/2024": "13:00:00", - "7/3/2025": "13:00:00", - "11/26/1999": "13:00:00", - "11/24/2000": "13:00:00", - "11/23/2001": "13:00:00", - "11/29/2002": "13:00:00", - "11/28/2003": "13:00:00", - "11/26/2004": "13:00:00", - "11/25/2005": "13:00:00", - "11/24/2006": "13:00:00", - "11/23/2007": "13:00:00", - "11/28/2008": "13:00:00", - "11/27/2009": "13:00:00", - "11/26/2010": "13:00:00", - "11/25/2011": "13:00:00", - "11/23/2012": "13:00:00", - "11/29/2013": "13:00:00", - "11/28/2014": "13:00:00", - "11/27/2015": "13:00:00", - "11/25/2016": "13:00:00", - "11/24/2017": "13:00:00", - "11/23/2018": "13:00:00", - "11/29/2019": "13:00:00", - "11/27/2020": "13:00:00", - "11/26/2021": "13:00:00", - "11/25/2022": "13:00:00", - "11/24/2023": "13:00:00", - "11/29/2024": "13:00:00", - "11/28/2025": "13:00:00", - "12/24/2001": "13:00:00", - "12/24/2002": "13:00:00", - "12/24/2003": "13:00:00", - "12/26/2003": "13:00:00", - "12/24/2007": "13:00:00", - "12/24/2008": "13:00:00", - "12/24/2009": "13:00:00", - "12/24/2012": "13:00:00", - "12/24/2013": "13:00:00", - "12/24/2014": "13:00:00", - "12/24/2015": "13:00:00", - "12/24/2017": "13:00:00", - "12/24/2018": "13:00:00", - "12/24/2019": "13:00:00", - "12/24/2020": "13:00:00", - "12/24/2024": "13:00:00", - "12/24/2025": "13:00:00" - } + "earlyCloses": {} }, - "Index-usa-SPX": { + "Index-usa-[*]": { "dataTimeZone": "America/Chicago", "exchangeTimeZone": "America/Chicago", "sunday": [], "monday": [ { "start": "08:30:00", - "end": "15:15:00", + "end": "15:20:00", "state": "market" } ], "tuesday": [ { "start": "08:30:00", - "end": "15:15:00", + "end": "15:20:00", "state": "market" } ], "wednesday": [ { "start": "08:30:00", - "end": "15:15:00", + "end": "15:20:00", "state": "market" } ], "thursday": [ { "start": "08:30:00", - "end": "15:15:00", + "end": "15:20:00", "state": "market" } ], "friday": [ { "start": "08:30:00", - "end": "15:15:00", + "end": "15:20:00", "state": "market" } ], @@ -131112,18 +97832,13 @@ "1/1/2020", "1/1/2021", "1/1/2022", - "1/2/2023", "1/1/2024", "1/1/2025", + "1/1/2026", + "1/1/2027", + "1/2/2023", "1/2/2007", "1/9/2025", - "9/11/2001", - "9/12/2001", - "9/13/2001", - "9/14/2001", - "6/11/2004", - "10/29/2012", - "10/30/2012", "1/19/1998", "1/18/1999", "1/17/2000", @@ -131152,6 +97867,8 @@ "1/16/2023", "1/15/2024", "1/20/2025", + "1/19/2026", + "1/18/2027", "2/16/1998", "2/15/1999", "2/21/2000", @@ -131180,6 +97897,8 @@ "2/20/2023", "2/19/2024", "2/17/2025", + "2/16/2026", + "2/15/2027", "4/10/1998", "4/2/1999", "4/21/2000", @@ -131208,6 +97927,8 @@ "4/7/2023", "3/29/2024", "4/18/2025", + "4/3/2026", + "3/26/2027", "5/25/1998", "5/31/1999", "5/29/2000", @@ -131236,10 +97957,15 @@ "5/29/2023", "5/27/2024", "5/26/2025", + "5/25/2026", + "5/31/2027", + "6/11/2004", "6/20/2022", "6/19/2023", "6/19/2024", "6/19/2025", + "6/19/2026", + "6/18/2027", "7/3/1998", "7/5/1999", "7/4/2000", @@ -131268,6 +97994,8 @@ "7/4/2023", "7/4/2024", "7/4/2025", + "7/3/2026", + "7/5/2027", "9/7/1998", "9/6/1999", "9/4/2000", @@ -131296,6 +98024,14 @@ "9/4/2023", "9/2/2024", "9/1/2025", + "9/7/2026", + "9/6/2027", + "9/11/2001", + "9/12/2001", + "9/13/2001", + "9/14/2001", + "10/29/2012", + "10/30/2012", "11/26/1998", "11/25/1999", "11/23/2000", @@ -131324,6 +98060,8 @@ "11/23/2023", "11/28/2024", "11/27/2025", + "11/26/2026", + "11/25/2027", "12/05/2018", "12/25/1998", "12/24/1999", @@ -131352,7 +98090,9 @@ "12/26/2022", "12/25/2023", "12/25/2024", - "12/25/2025" + "12/25/2025", + "12/25/2026", + "12/24/2027" ], "earlyCloses": { "7/3/2000": "12:00:00", @@ -131398,6 +98138,8 @@ "11/24/2023": "12:00:00", "11/29/2024": "12:00:00", "11/28/2025": "12:00:00", + "11/27/2026": "12:00:00", + "11/26/2027": "12:00:00", "12/24/2001": "12:00:00", "12/24/2002": "12:00:00", "12/24/2003": "12:00:00", @@ -131414,9 +98156,273 @@ "12/24/2019": "12:00:00", "12/24/2020": "12:00:00", "12/24/2024": "12:00:00", - "12/24/2025": "12:00:00" + "12/24/2025": "12:00:00", + "12/24/2026": "12:00:00" } }, + "Index-eurex-DAX": { + "dataTimeZone": "Europe/Berlin", + "exchangeTimeZone": "Europe/Berlin", + "sunday": [], + "monday": [ + { + "start": "09:00:00", + "end": "17:40:00", + "state": "market" + } + ], + "tuesday": [ + { + "start": "09:00:00", + "end": "17:40:00", + "state": "market" + } + ], + "wednesday": [ + { + "start": "09:00:00", + "end": "17:40:00", + "state": "market" + } + ], + "thursday": [ + { + "start": "09:00:00", + "end": "17:40:00", + "state": "market" + } + ], + "friday": [ + { + "start": "09:00:00", + "end": "17:40:00", + "state": "market" + } + ], + "saturday": [], + "holidays": [] + }, + "Index-usa-AEX": { + "dataTimeZone": "America/New_York", + "exchangeTimeZone": "Europe/Berlin", + "sunday": [], + "monday": [ + { + "start": "09:00:00", + "end": "17:40:00", + "state": "market" + } + ], + "tuesday": [ + { + "start": "09:00:00", + "end": "17:40:00", + "state": "market" + } + ], + "wednesday": [ + { + "start": "09:00:00", + "end": "17:40:00", + "state": "market" + } + ], + "thursday": [ + { + "start": "09:00:00", + "end": "17:40:00", + "state": "market" + } + ], + "friday": [ + { + "start": "09:00:00", + "end": "17:40:00", + "state": "market" + } + ], + "saturday": [], + "holidays": [] + }, + "Index-usa-VIX": { + "dataTimeZone": "America/Chicago", + "exchangeTimeZone": "America/Chicago", + "sunday": [], + "monday": [ + { + "start": "02:15:00", + "end": "08:15:00", + "state": "premarket" + }, + { + "start": "08:30:00", + "end": "15:15:00", + "state": "market" + }, + { + "start": "15:15:00", + "end": "16:00:00", + "state": "postmarket" + } + ], + "tuesday": [ + { + "start": "02:15:00", + "end": "08:15:00", + "state": "premarket" + }, + { + "start": "08:30:00", + "end": "15:15:00", + "state": "market" + }, + { + "start": "15:15:00", + "end": "16:00:00", + "state": "postmarket" + } + ], + "wednesday": [ + { + "start": "02:15:00", + "end": "08:15:00", + "state": "premarket" + }, + { + "start": "08:30:00", + "end": "15:15:00", + "state": "market" + }, + { + "start": "15:15:00", + "end": "16:00:00", + "state": "postmarket" + } + ], + "thursday": [ + { + "start": "02:15:00", + "end": "08:15:00", + "state": "premarket" + }, + { + "start": "08:30:00", + "end": "15:15:00", + "state": "market" + }, + { + "start": "15:15:00", + "end": "16:00:00", + "state": "postmarket" + } + ], + "friday": [ + { + "start": "02:15:00", + "end": "08:15:00", + "state": "premarket" + }, + { + "start": "08:30:00", + "end": "15:15:00", + "state": "market" + }, + { + "start": "15:15:00", + "end": "16:00:00", + "state": "postmarket" + } + ], + "saturday": [], + "holidays": [], + "earlyCloses": {} + }, + "Index-usa-NDX": { + "dataTimeZone": "America/Chicago", + "exchangeTimeZone": "America/New_York", + "sunday": [], + "monday": [ + { + "start": "09:30:00", + "end": "16:00:00", + "state": "market" + } + ], + "tuesday": [ + { + "start": "09:30:00", + "end": "16:00:00", + "state": "market" + } + ], + "wednesday": [ + { + "start": "09:30:00", + "end": "16:00:00", + "state": "market" + } + ], + "thursday": [ + { + "start": "09:30:00", + "end": "16:00:00", + "state": "market" + } + ], + "friday": [ + { + "start": "09:30:00", + "end": "16:00:00", + "state": "market" + } + ], + "saturday": [], + "holidays": [], + "earlyCloses": {} + }, + "Index-usa-SPX": { + "dataTimeZone": "America/Chicago", + "exchangeTimeZone": "America/Chicago", + "sunday": [], + "monday": [ + { + "start": "08:30:00", + "end": "15:15:00", + "state": "market" + } + ], + "tuesday": [ + { + "start": "08:30:00", + "end": "15:15:00", + "state": "market" + } + ], + "wednesday": [ + { + "start": "08:30:00", + "end": "15:15:00", + "state": "market" + } + ], + "thursday": [ + { + "start": "08:30:00", + "end": "15:15:00", + "state": "market" + } + ], + "friday": [ + { + "start": "08:30:00", + "end": "15:15:00", + "state": "market" + } + ], + "saturday": [], + "holidays": [], + "earlyCloses": {} + }, "Index-usa-RUT": { "dataTimeZone": "America/New_York", "exchangeTimeZone": "America/Chicago", @@ -136690,7 +103696,8 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "11:30:00", @@ -136839,7 +103846,19 @@ "11/27/2025": "13:00:00", "11/28/2025": "13:15:00", "12/24/2025": "13:15:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "13:00:00", + "2/16/2026": "13:00:00", + "4/3/2026": "09:15:00", + "5/25/2026": "13:00:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "13:00:00", + "11/26/2026": "13:00:00", + "11/27/2026": "13:15:00", + "12/24/2026": "13:15:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -136948,7 +103967,13 @@ "7/3/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -137110,7 +104135,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-MNQ": { @@ -137205,7 +104237,8 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "11:30:00", @@ -137354,7 +104387,19 @@ "11/27/2025": "13:00:00", "11/28/2025": "13:15:00", "12/24/2025": "13:15:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "13:00:00", + "2/16/2026": "13:00:00", + "4/3/2026": "09:15:00", + "5/25/2026": "13:00:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "13:00:00", + "11/26/2026": "13:00:00", + "11/27/2026": "13:15:00", + "12/24/2026": "13:15:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -137463,7 +104508,13 @@ "7/3/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -137625,7 +104676,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-M6E": { @@ -137720,7 +104778,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -137897,7 +104957,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -138005,7 +105077,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -138167,7 +105245,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-M2K": { @@ -138262,7 +105347,8 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "11:30:00", @@ -138411,7 +105497,19 @@ "11/27/2025": "13:00:00", "11/28/2025": "13:15:00", "12/24/2025": "13:15:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "13:00:00", + "2/16/2026": "13:00:00", + "4/3/2026": "09:15:00", + "5/25/2026": "13:00:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "13:00:00", + "11/26/2026": "13:00:00", + "11/27/2026": "13:15:00", + "12/24/2026": "13:15:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -138520,7 +105618,13 @@ "7/3/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -138682,7 +105786,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cbot-MYM": { @@ -138777,8 +105888,8 @@ ], "saturday": [], "holidays": [ - "1/9/2025", - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "11:30:00", @@ -138927,7 +106038,19 @@ "11/27/2025": "13:00:00", "11/28/2025": "13:15:00", "12/24/2025": "13:15:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "13:00:00", + "2/16/2026": "13:00:00", + "4/3/2026": "09:15:00", + "5/25/2026": "13:00:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "13:00:00", + "11/26/2026": "13:00:00", + "11/27/2026": "13:15:00", + "12/24/2026": "13:15:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -139037,7 +106160,13 @@ "7/3/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -139199,7 +106328,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-comex-MGC": { @@ -139294,10 +106430,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "1/9/2025", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -139445,7 +106580,19 @@ "9/1/2025": "14:30:00", "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", - "12/24/2025": "13:45:00" + "12/24/2025": "13:45:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -139554,7 +106701,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -139722,7 +106875,13 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "11/26/2026" ] }, "Future-cme-MET": { @@ -139817,7 +106976,8 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/17/2022": "16:00:00", @@ -139856,7 +107016,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:45:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/15/2018": "17:00:00", @@ -139913,7 +107085,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "12/25/2017", @@ -139997,7 +107175,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-MBT": { @@ -140092,7 +107277,8 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "5/31/2021": "12:00:00", @@ -140136,7 +107322,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:45:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/15/2018": "17:00:00", @@ -140193,7 +107391,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "12/25/2017", @@ -140277,7 +107481,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-MCL": { @@ -140372,9 +107583,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -140523,7 +107734,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -140632,7 +107855,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -140800,7 +108029,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-M6A": { @@ -140895,7 +108131,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -141072,7 +108310,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -141180,7 +108430,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -141342,7 +108598,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-comex-SIL": { @@ -141437,10 +108700,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "1/9/2025", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -141588,7 +108850,19 @@ "9/1/2025": "14:30:00", "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", - "12/24/2025": "13:45:00" + "12/24/2025": "13:45:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -141697,7 +108971,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -141865,7 +109145,13 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "11/26/2026" ] }, "Future-nymex-S5O": { @@ -141960,9 +109246,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -142111,7 +109397,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -142220,7 +109518,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -142388,7 +109692,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-M6B": { @@ -142483,7 +109794,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -142660,7 +109973,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -142768,7 +110093,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -142930,7 +110261,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-MCD": { @@ -143025,7 +110363,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -143202,7 +110542,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -143310,7 +110662,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -143472,7 +110830,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-M1B": { @@ -143567,9 +110932,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -143718,7 +111083,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -143827,7 +111204,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -143995,7 +111378,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-R5O": { @@ -144090,9 +111480,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -144241,7 +111631,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -144350,7 +111752,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -144518,7 +111926,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cbot-10Y": { @@ -144613,8 +112028,8 @@ ], "saturday": [], "holidays": [ - "1/9/2025", - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "lateOpens": { "1/19/2009": "17:00:00", @@ -144723,7 +112138,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "earlyCloses": { "1/16/2009": "15:15:00", @@ -144901,7 +112322,19 @@ "11/27/2025": "12:00:00", "11/28/2025": "12:15:00", "12/24/2025": "12:15:00", - "12/25/2025": "16:00:00" + "12/25/2025": "16:00:00", + "12/31/2025": "16:00:00", + "1/19/2026": "12:00:00", + "2/16/2026": "12:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "12:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "12:00:00", + "11/26/2026": "12:00:00", + "11/27/2026": "12:15:00", + "12/24/2026": "12:15:00", + "12/31/2026": "16:00:00" }, "bankHolidays": [ "1/19/2009", @@ -145063,7 +112496,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-MJY": { @@ -145158,7 +112598,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -145333,7 +112775,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/1/2024": "17:00:00", @@ -145352,7 +112806,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -145514,7 +112974,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-MSF": { @@ -145609,7 +113076,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -145786,7 +113255,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -145894,7 +113375,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [ "1/19/2009", @@ -146056,7 +113543,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cbot-2YY": { @@ -146151,8 +113645,8 @@ ], "saturday": [], "holidays": [ - "1/9/2025", - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "lateOpens": { "1/19/2009": "17:00:00", @@ -146261,7 +113755,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "earlyCloses": { "1/16/2009": "15:15:00", @@ -146439,7 +113939,19 @@ "11/27/2025": "12:00:00", "11/28/2025": "12:15:00", "12/24/2025": "12:15:00", - "12/25/2025": "16:00:00" + "12/25/2025": "16:00:00", + "12/31/2025": "16:00:00", + "1/19/2026": "12:00:00", + "2/16/2026": "12:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "12:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "12:00:00", + "11/26/2026": "12:00:00", + "11/27/2026": "12:15:00", + "12/24/2026": "12:15:00", + "12/31/2026": "16:00:00" }, "bankHolidays": [ "1/19/2009", @@ -146601,7 +114113,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-MAF": { @@ -146696,9 +114215,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -146847,7 +114366,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -146956,7 +114487,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -147124,7 +114661,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-nymex-MEF": { @@ -147219,9 +114763,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -147370,7 +114914,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -147479,7 +115035,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -147647,7 +115209,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cbot-30Y": { @@ -147742,8 +115311,8 @@ ], "saturday": [], "holidays": [ - "1/9/2025", - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "lateOpens": { "1/19/2009": "17:00:00", @@ -147852,7 +115421,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "earlyCloses": { "1/16/2009": "15:15:00", @@ -148030,7 +115605,19 @@ "11/27/2025": "12:00:00", "11/28/2025": "12:15:00", "12/24/2025": "12:15:00", - "12/25/2025": "16:00:00" + "12/25/2025": "16:00:00", + "12/31/2025": "16:00:00", + "1/19/2026": "12:00:00", + "2/16/2026": "12:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "12:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "12:00:00", + "11/26/2026": "12:00:00", + "11/27/2026": "12:15:00", + "12/24/2026": "12:15:00", + "12/31/2026": "16:00:00" }, "bankHolidays": [ "1/19/2009", @@ -148192,7 +115779,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-M6J": { @@ -148648,7 +116242,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -148825,7 +116421,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -148933,7 +116541,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [] }, @@ -149751,8 +117365,8 @@ ], "saturday": [], "holidays": [ - "1/9/2025", - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "lateOpens": { "1/19/2009": "17:00:00", @@ -149861,7 +117475,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "earlyCloses": { "1/16/2009": "15:15:00", @@ -150039,7 +117659,19 @@ "11/27/2025": "12:00:00", "11/28/2025": "12:15:00", "12/24/2025": "12:15:00", - "12/25/2025": "16:00:00" + "12/25/2025": "16:00:00", + "12/31/2025": "16:00:00", + "1/19/2026": "12:00:00", + "2/16/2026": "12:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "12:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "12:00:00", + "11/26/2026": "12:00:00", + "11/27/2026": "12:15:00", + "12/24/2026": "12:15:00", + "12/31/2026": "16:00:00" }, "bankHolidays": [ "1/19/2009", @@ -150201,7 +117833,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-MNH": { @@ -150296,7 +117935,9 @@ ], "saturday": [], "holidays": [ - "4/18/2025" + "7/4/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/16/2009": "15:15:00", @@ -150473,7 +118114,19 @@ "9/1/2025": "16:00:00", "11/27/2025": "16:00:00", "11/28/2025": "13:45:00", - "12/24/2025": "12:15:00" + "12/24/2025": "12:45:00", + "12/31/2025": "16:00:00", + "1/19/2026": "16:00:00", + "2/16/2026": "16:00:00", + "4/3/2026": "10:15:00", + "5/25/2026": "16:00:00", + "6/19/2026": "12:00:00", + "7/3/2026": "12:00:00", + "9/7/2026": "16:00:00", + "11/26/2026": "16:00:00", + "11/27/2026": "13:45:00", + "12/24/2026": "12:45:00", + "12/31/2026": "16:00:00" }, "lateOpens": { "1/19/2009": "17:00:00", @@ -150581,7 +118234,13 @@ "6/19/2025": "17:00:00", "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "1/1/2026": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "5/25/2026": "17:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00" }, "bankHolidays": [] }, @@ -150892,9 +118551,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -151043,7 +118702,19 @@ "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", "12/24/2025": "13:45:00", - "12/25/2025": "17:00:00" + "12/25/2025": "17:00:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -151152,7 +118823,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -151320,7 +118997,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-cme-MRB": { @@ -151415,47 +119099,11 @@ ], "saturday": [], "holidays": [ - "4/10/2009", - "12/25/2009", - "1/1/2010", "4/2/2010", - "12/24/2010", - "1/1/2011", - "4/22/2011", - "12/26/2011", "4/6/2012", - "12/25/2012", "1/2/2013", - "3/29/2013", - "12/25/2013", - "1/1/2014", - "4/18/2014", - "12/25/2014", - "1/1/2015", - "12/25/2015", - "1/1/2016", - "3/25/2016", - "12/26/2016", - "1/2/2017", - "4/14/2017", - "12/25/2017", - "1/1/2018", - "3/30/2018", - "12/25/2018", - "1/1/2019", - "4/19/2019", - "12/25/2019", - "1/1/2020", - "4/10/2020", - "12/25/2020", - "1/1/2021", - "12/24/2021", - "1/1/2022", - "4/15/2022", "12/25/2022", - "12/26/2022", - "1/1/2023", - "1/2/2023" + "1/1/2023" ], "earlyCloses": { "1/19/2009": "10:30:00", @@ -151669,9 +119317,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -151819,7 +119467,19 @@ "9/1/2025": "14:30:00", "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", - "12/24/2025": "13:45:00" + "12/24/2025": "13:45:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -151928,7 +119588,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -152096,7 +119762,13 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "11/26/2026" ] }, "Future-cme-MIB": { @@ -152166,49 +119838,14 @@ ], "saturday": [], "holidays": [ - "4/10/2009", - "12/25/2009", - "1/1/2010", "4/2/2010", - "12/24/2010", - "1/1/2011", - "4/22/2011", - "12/26/2011", "4/6/2012", - "12/25/2012", "1/2/2013", - "3/29/2013", - "12/25/2013", - "1/1/2014", - "4/18/2014", - "12/25/2014", - "1/1/2015", - "12/25/2015", - "1/1/2016", - "3/25/2016", - "12/26/2016", - "1/2/2017", - "4/14/2017", - "12/25/2017", - "1/1/2018", - "3/30/2018", - "12/25/2018", - "1/1/2019", - "4/19/2019", - "12/25/2019", - "1/1/2020", - "4/10/2020", - "12/25/2020", - "1/1/2021", - "12/24/2021", - "1/1/2022", - "4/15/2022", "12/25/2022", - "12/26/2022", "1/1/2023", - "1/2/2023", "1/9/2025", - "4/18/2025" + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "10:30:00", @@ -152347,7 +119984,19 @@ "9/1/2025": "17:00:00", "11/27/2025": "17:00:00", "11/28/2025": "14:45:00", - "12/24/2025": "13:45:00" + "12/24/2025": "13:45:00", + "12/31/2025": "17:00:00", + "1/19/2026": "17:00:00", + "2/16/2026": "17:00:00", + "4/3/2026": "11:15:00", + "5/25/2026": "17:00:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "17:00:00", + "11/26/2026": "17:00:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/1/2024": "18:00:00", @@ -152366,7 +120015,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "12/25/2017", @@ -152450,7 +120105,14 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "9/7/2026", + "11/26/2026" ] }, "Future-comex-MGT": { @@ -152545,10 +120207,9 @@ ], "saturday": [], "holidays": [ - "4/3/2015", - "4/2/2021", - "1/9/2025", - "4/18/2025" + "4/3/2026", + "12/25/2026", + "1/1/2027" ], "earlyCloses": { "1/19/2009": "17:15:00", @@ -152696,7 +120357,19 @@ "9/1/2025": "14:30:00", "11/27/2025": "14:30:00", "11/28/2025": "14:45:00", - "12/24/2025": "13:45:00" + "12/24/2025": "13:45:00", + "12/31/2025": "17:00:00", + "1/19/2026": "14:30:00", + "2/16/2026": "14:30:00", + "4/2/2026": "17:00:00", + "5/25/2026": "14:30:00", + "6/19/2026": "13:00:00", + "7/3/2026": "13:00:00", + "9/7/2026": "14:30:00", + "11/26/2026": "14:30:00", + "11/27/2026": "14:45:00", + "12/24/2026": "13:45:00", + "12/31/2026": "17:00:00" }, "lateOpens": { "1/19/2009": "18:00:00", @@ -152805,7 +120478,13 @@ "6/19/2025": "18:00:00", "9/1/2025": "18:00:00", "11/27/2025": "18:00:00", - "12/25/2025": "18:00:00" + "12/25/2025": "18:00:00", + "1/1/2026": "18:00:00", + "1/19/2026": "18:00:00", + "2/16/2026": "18:00:00", + "5/25/2026": "18:00:00", + "9/7/2026": "18:00:00", + "11/26/2026": "18:00:00" }, "bankHolidays": [ "1/19/2009", @@ -152973,7 +120652,13 @@ "11/11/2025", "11/27/2025", "12/25/2025", - "1/1/2026" + "1/1/2026", + "1/19/2026", + "2/16/2026", + "5/25/2026", + "6/19/2026", + "7/3/2026", + "11/26/2026" ] }, "Future-nyseliffe-[*]": { @@ -153430,6 +121115,60 @@ ], "holidays": [] }, + "CryptoFuture-dydx-[*]": { + "dataTimeZone": "UTC", + "exchangeTimeZone": "UTC", + "sunday": [ + { + "start": "00:00:00", + "end": "1.00:00:00", + "state": "market" + } + ], + "monday": [ + { + "start": "00:00:00", + "end": "1.00:00:00", + "state": "market" + } + ], + "tuesday": [ + { + "start": "00:00:00", + "end": "1.00:00:00", + "state": "market" + } + ], + "wednesday": [ + { + "start": "00:00:00", + "end": "1.00:00:00", + "state": "market" + } + ], + "thursday": [ + { + "start": "00:00:00", + "end": "1.00:00:00", + "state": "market" + } + ], + "friday": [ + { + "start": "00:00:00", + "end": "1.00:00:00", + "state": "market" + } + ], + "saturday": [ + { + "start": "00:00:00", + "end": "1.00:00:00", + "state": "market" + } + ], + "holidays": [] + }, "Index-eurex-[*]": { "dataTimeZone": "Europe/Berlin", "exchangeTimeZone": "Europe/Berlin", @@ -153500,11 +121239,9 @@ "4/12/2004", "5/1/2004", "12/24/2004", - "12/24/2004", "12/25/2004", "12/26/2004", "12/31/2004", - "12/31/2004", "3/25/2005", "3/28/2005", "12/26/2005", @@ -153636,7 +121373,40 @@ "12/24/2025", "12/25/2025", "12/26/2025", - "12/31/2025" + "12/31/2025", + "1/1/2026", + "4/3/2026", + "4/6/2026", + "5/1/2026", + "12/24/2026", + "12/25/2026", + "12/31/2026", + "1/1/2027", + "3/26/2027", + "3/29/2027", + "12/24/2027", + "12/31/2027", + "4/14/2028", + "4/17/2028", + "5/1/2028", + "12/25/2028", + "12/26/2028", + "1/1/2029", + "3/30/2029", + "4/2/2029", + "5/1/2029", + "12/24/2029", + "12/25/2029", + "12/26/2029", + "12/31/2029", + "1/1/2030", + "4/19/2030", + "4/22/2030", + "5/1/2030", + "12/24/2030", + "12/25/2030", + "12/26/2030", + "12/31/2030" ] }, "Future-eurex-[*]": { @@ -153709,11 +121479,9 @@ "4/12/2004", "5/1/2004", "12/24/2004", - "12/24/2004", "12/25/2004", "12/26/2004", "12/31/2004", - "12/31/2004", "3/25/2005", "3/28/2005", "12/26/2005", @@ -153845,7 +121613,40 @@ "12/24/2025", "12/25/2025", "12/26/2025", - "12/31/2025" + "12/31/2025", + "1/1/2026", + "4/3/2026", + "4/6/2026", + "5/1/2026", + "12/24/2026", + "12/25/2026", + "12/31/2026", + "1/1/2027", + "3/26/2027", + "3/29/2027", + "12/24/2027", + "12/31/2027", + "4/14/2028", + "4/17/2028", + "5/1/2028", + "12/25/2028", + "12/26/2028", + "1/1/2029", + "3/30/2029", + "4/2/2029", + "5/1/2029", + "12/24/2029", + "12/25/2029", + "12/26/2029", + "12/31/2029", + "1/1/2030", + "4/19/2030", + "4/22/2030", + "5/1/2030", + "12/24/2030", + "12/25/2030", + "12/26/2030", + "12/31/2030" ] }, "Index-hkfe-[*]": { @@ -154040,7 +121841,21 @@ "10/7/2025", "10/29/2025", "12/25/2025", - "12/26/2025" + "12/26/2025", + "1/1/2026", + "2/17/2026", + "2/18/2026", + "2/19/2026", + "4/3/2026", + "4/6/2026", + "4/7/2026", + "5/1/2026", + "5/25/2026", + "6/19/2026", + "7/1/2026", + "10/1/2026", + "10/19/2026", + "12/25/2026" ], "earlyCloses": { "2/15/2018": "12:00:00", @@ -154061,7 +121876,10 @@ "12/31/2024": "12:00:00", "1/28/2025": "12:00:00", "12/24/2025": "12:00:00", - "12/31/2025": "12:00:00" + "12/31/2025": "12:00:00", + "2/16/2026": "12:00:00", + "12/24/2026": "12:00:00", + "12/31/2026": "12:00:00" }, "lateOpens": {} }, @@ -154130,156 +121948,8 @@ } ], "saturday": [], - "holidays": [ - "1/2/2017", - "1/30/2017", - "1/31/2017", - "4/4/2017", - "4/14/2017", - "4/17/2017", - "5/1/2017", - "5/3/2017", - "5/30/2017", - "10/2/2017", - "10/5/2017", - "12/25/2017", - "12/26/2017", - "1/1/2018", - "2/16/2018", - "2/19/2018", - "3/30/2018", - "4/2/2018", - "4/5/2018", - "5/1/2018", - "5/22/2018", - "6/18/2018", - "7/2/2018", - "9/25/2018", - "10/1/2018", - "10/17/2018", - "12/25/2018", - "12/26/2018", - "1/1/2019", - "2/5/2019", - "2/6/2019", - "2/7/2019", - "4/5/2019", - "4/19/2019", - "4/22/2019", - "5/1/2019", - "5/13/2019", - "6/7/2019", - "7/1/2019", - "10/1/2019", - "10/7/2019", - "12/25/2019", - "12/26/2019", - "1/1/2020", - "1/27/2020", - "1/28/2020", - "4/10/2020", - "4/13/2020", - "4/30/2020", - "5/1/2020", - "6/25/2020", - "7/1/2020", - "10/1/2020", - "10/2/2020", - "10/26/2020", - "12/25/2020", - "1/1/2021", - "2/12/2021", - "2/15/2021", - "4/2/2021", - "4/5/2021", - "4/6/2021", - "5/19/2021", - "6/14/2021", - "7/1/2021", - "9/22/2021", - "10/1/2021", - "10/14/2021", - "12/27/2021", - "2/1/2022", - "2/2/2022", - "2/3/2022", - "4/5/2022", - "4/15/2022", - "4/18/2022", - "5/2/2022", - "5/9/2022", - "6/3/2022", - "7/1/2022", - "9/12/2022", - "10/4/2022", - "12/26/2022", - "12/27/2022", - "1/2/2023", - "1/23/2023", - "1/24/2023", - "1/25/2023", - "4/5/2023", - "4/7/2023", - "4/10/2023", - "5/1/2023", - "5/26/2023", - "6/22/2023", - "10/2/2023", - "10/23/2023", - "12/25/2023", - "12/26/2023", - "1/1/2024", - "2/12/2024", - "2/13/2024", - "3/29/2024", - "4/1/2024", - "4/4/2024", - "5/1/2024", - "5/15/2024", - "6/10/2024", - "7/1/2024", - "9/18/2024", - "10/1/2024", - "10/11/2024", - "12/25/2024", - "12/26/2024", - "1/1/2025", - "1/29/2025", - "1/30/2025", - "1/31/2025", - "4/4/2025", - "4/18/2025", - "4/21/2025", - "5/1/2025", - "5/5/2025", - "7/1/2025", - "10/1/2025", - "10/7/2025", - "10/29/2025", - "12/25/2025", - "12/26/2025" - ], - "earlyCloses": { - "2/15/2018": "12:00:00", - "12/24/2018": "12:00:00", - "12/31/2018": "12:00:00", - "2/4/2019": "12:00:00", - "12/24/2019": "12:00:00", - "12/31/2019": "12:00:00", - "1/24/2020": "12:00:00", - "12/24/2020": "12:00:00", - "12/31/2020": "12:00:00", - "2/11/2021": "12:00:00", - "12/24/2021": "12:00:00", - "12/31/2021": "12:00:00", - "1/31/2022": "12:00:00", - "2/9/2024": "12:00:00", - "12/24/2024": "12:00:00", - "12/31/2024": "12:00:00", - "1/28/2025": "12:00:00", - "12/24/2025": "12:00:00", - "12/31/2025": "12:00:00" - }, + "holidays": [], + "earlyCloses": {}, "lateOpens": {} }, "Future-hkfe-[*]": { @@ -154575,7 +122245,21 @@ "10/7/2025", "10/29/2025", "12/25/2025", - "12/26/2025" + "12/26/2025", + "1/1/2026", + "2/17/2026", + "2/18/2026", + "2/19/2026", + "4/3/2026", + "4/6/2026", + "4/7/2026", + "5/1/2026", + "5/25/2026", + "6/19/2026", + "7/1/2026", + "10/1/2026", + "10/19/2026", + "12/25/2026" ], "earlyCloses": { "2/15/2018": "12:00:00", @@ -154596,7 +122280,10 @@ "12/31/2024": "12:00:00", "1/28/2025": "12:00:00", "12/24/2025": "12:00:00", - "12/31/2025": "12:00:00" + "12/31/2025": "12:00:00", + "2/16/2026": "12:00:00", + "12/24/2026": "12:00:00", + "12/31/2026": "12:00:00" }, "lateOpens": {} }, @@ -154836,171 +122523,192 @@ ], "saturday": [], "holidays": [ - "01/01/2016", - "01/11/2016", - "02/11/2016", - "03/21/2016", - "04/29/2016", - "05/03/2016", - "05/04/2016", - "05/05/2016", - "07/18/2016", - "08/11/2016", - "09/19/2016", - "09/22/2016", + "1/1/2016", + "1/11/2016", + "2/11/2016", + "3/21/2016", + "4/29/2016", + "5/3/2016", + "5/4/2016", + "5/5/2016", + "7/18/2016", + "8/11/2016", + "9/19/2016", + "9/22/2016", "10/10/2016", - "11/03/2016", + "11/3/2016", "11/23/2016", "12/23/2016", "12/31/2016", - "01/02/2017", - "01/03/2017", - "01/09/2017", - "03/20/2017", - "05/03/2017", - "05/04/2017", - "05/05/2017", - "07/17/2017", - "08/11/2017", - "09/18/2017", - "10/09/2017", - "11/03/2017", + "1/2/2017", + "1/3/2017", + "1/9/2017", + "3/20/2017", + "5/3/2017", + "5/4/2017", + "5/5/2017", + "7/17/2017", + "8/11/2017", + "9/18/2017", + "10/9/2017", + "11/3/2017", "11/23/2017", - "01/01/2018", - "01/02/2018", - "01/03/2018", - "01/08/2018", - "02/12/2018", - "03/21/2018", - "04/30/2018", - "05/03/2018", - "05/04/2018", - "07/16/2018", - "09/17/2018", - "09/24/2018", - "10/08/2018", + "1/1/2018", + "1/2/2018", + "1/3/2018", + "1/8/2018", + "2/12/2018", + "3/21/2018", + "4/30/2018", + "5/3/2018", + "5/4/2018", + "7/16/2018", + "9/17/2018", + "9/24/2018", + "10/8/2018", "11/23/2018", "12/24/2018", "12/31/2018", - "01/01/2019", - "01/02/2019", - "01/03/2019", - "01/14/2019", - "02/11/2019", - "03/21/2019", - "04/29/2019", - "04/30/2019", - "05/01/2019", - "05/02/2019", - "05/03/2019", - "05/06/2019", - "07/15/2019", - "08/12/2019", - "09/16/2019", - "09/23/2019", + "1/1/2019", + "1/2/2019", + "1/3/2019", + "1/14/2019", + "2/11/2019", + "3/21/2019", + "4/29/2019", + "4/30/2019", + "5/1/2019", + "5/2/2019", + "5/3/2019", + "5/6/2019", + "7/15/2019", + "8/12/2019", + "9/16/2019", + "9/23/2019", "10/14/2019", "10/22/2019", - "11/04/2019", + "11/4/2019", "12/31/2019", - "01/01/2020", - "01/02/2020", - "01/03/2020", - "01/13/2020", - "02/11/2020", - "02/24/2020", - "03/20/2020", - "04/29/2020", - "05/04/2020", - "05/05/2020", - "05/06/2020", - "07/23/2020", - "07/24/2020", - "08/10/2020", - "09/21/2020", - "09/22/2020", - "11/03/2020", + "1/1/2020", + "1/2/2020", + "1/3/2020", + "1/13/2020", + "2/11/2020", + "2/24/2020", + "3/20/2020", + "4/29/2020", + "5/4/2020", + "5/5/2020", + "5/6/2020", + "7/23/2020", + "7/24/2020", + "8/10/2020", + "9/21/2020", + "9/22/2020", + "11/3/2020", "11/23/2020", "12/31/2020", - "01/01/2021", - "01/11/2021", - "02/11/2021", - "02/23/2021", - "04/29/2021", - "05/03/2021", - "05/04/2021", - "05/05/2021", - "07/22/2021", - "07/23/2021", - "08/09/2021", - "09/20/2021", - "09/23/2021", - "11/03/2021", + "1/1/2021", + "1/11/2021", + "2/11/2021", + "2/23/2021", + "4/29/2021", + "5/3/2021", + "5/4/2021", + "5/5/2021", + "7/22/2021", + "7/23/2021", + "8/9/2021", + "9/20/2021", + "9/23/2021", + "11/3/2021", "11/23/2021", "12/31/2021", - "01/03/2022", - "01/10/2022", - "02/11/2022", - "02/23/2022", - "03/21/2022", - "04/29/2022", - "05/03/2022", - "05/04/2022", - "05/05/2022", - "07/18/2022", - "08/11/2022", - "09/19/2022", + "1/3/2022", + "1/10/2022", + "2/11/2022", + "2/23/2022", + "3/21/2022", + "4/29/2022", + "5/3/2022", + "5/4/2022", + "5/5/2022", + "7/18/2022", + "8/11/2022", + "9/19/2022", "10/10/2022", - "11/03/2022", + "11/3/2022", "11/23/2022", - "01/02/2023", - "01/03/2023", - "01/09/2023", - "02/23/2023", - "03/21/2023", - "05/03/2023", - "05/04/2023", - "05/05/2023", - "07/17/2023", - "08/11/2023", - "09/18/2023", - "10/09/2023", - "11/03/2023", + "1/2/2023", + "1/3/2023", + "1/9/2023", + "2/23/2023", + "3/21/2023", + "5/3/2023", + "5/4/2023", + "5/5/2023", + "7/17/2023", + "8/11/2023", + "9/18/2023", + "10/9/2023", + "11/3/2023", "11/23/2023", - "01/01/2024", - "01/02/2024", - "01/03/2024", - "01/08/2024", - "02/12/2024", - "02/23/2024", - "03/20/2024", - "04/29/2024", - "05/03/2024", - "05/06/2024", - "07/15/2024", - "08/12/2024", - "09/16/2024", - "09/23/2024", + "1/1/2024", + "1/2/2024", + "1/3/2024", + "1/8/2024", + "2/12/2024", + "2/23/2024", + "3/20/2024", + "4/29/2024", + "5/3/2024", + "5/6/2024", + "7/15/2024", + "8/12/2024", + "9/16/2024", + "9/23/2024", "10/14/2024", - "11/04/2024", + "11/4/2024", "12/31/2024", - "01/01/2025", - "01/02/2025", - "01/03/2025", - "01/13/2025", - "02/11/2025", - "02/24/2025", - "03/20/2025", - "04/29/2025", - "05/05/2025", - "05/06/2025", - "07/21/2025", - "08/11/2025", - "09/15/2025", - "09/23/2025", + "1/1/2025", + "1/2/2025", + "1/3/2025", + "1/13/2025", + "2/11/2025", + "2/24/2025", + "3/20/2025", + "4/29/2025", + "5/5/2025", + "5/6/2025", + "7/21/2025", + "8/11/2025", + "9/15/2025", + "9/23/2025", "10/13/2025", - "11/03/2025", + "11/3/2025", "11/24/2025", - "12/31/2025" + "12/31/2025", + "1/1/2026", + "1/2/2026", + "1/3/2026", + "1/12/2026", + "2/11/2026", + "2/23/2026", + "3/20/2026", + "4/29/2026", + "5/3/2026", + "5/4/2026", + "5/5/2026", + "5/6/2026", + "7/20/2026", + "8/11/2026", + "9/21/2026", + "9/22/2026", + "9/23/2026", + "10/12/2026", + "11/3/2026", + "11/23/2026", + "12/31/2026" ], "earlyCloses": {}, "lateOpens": {} diff --git a/Data/symbol-properties/symbol-properties-database.csv b/Data/symbol-properties/symbol-properties-database.csv index b995ef9dfa17..ef8d02d02d67 100644 --- a/Data/symbol-properties/symbol-properties-database.csv +++ b/Data/symbol-properties/symbol-properties-database.csv @@ -253,7 +253,7 @@ cme,ANE,future,Australian Dollar/New Zealand Dollar Futures,NZD,200000.0,0.0001, cme,BIO,future,E-mini Nasdaq-100 Biotechnology Index Futures,USD,25.0,0.5,1.0 cme,BTC,future,Bitcoin Futures,USD,5.0,5.0,1.0 cme,CJY,future,Canadian Dollar/Japanese Yen Futures,JPY,200000.0,0.01,1.0 -cme,CNH,future,Standard-Size USD/Offshore RMB (CNH) Futures,CNY,100000.0,0.0001,1.0 +cme,CNH,future,Standard-Size USD/Offshore RMB (CNH) Futures,CNH,100000.0,0.0001,1.0 cme,E3G,future,E-mini FTSE 100 GBP Futures,GBP,500.0,0.05,1.0 cme,E7,future,E-mini Euro FX Futures,USD,62500.0,0.0001,1.0 cme,EAD,future,Euro/Australian Dollar Futures,AUD,125000.0,0.0001,1.0 @@ -10162,3 +10162,249 @@ bybit,ZORAUSDT,cryptofuture,ZORAUSDT,USDT,1,0.00001,10,ZORAUSDT,10 bybit,ZRCUSDT,cryptofuture,ZRCUSDT,USDT,1,0.00001,1,ZRCUSDT,1 bybit,ZROUSDT,cryptofuture,ZROUSDT,USDT,1,0.0001,0.1,ZROUSDT,0.1 bybit,ZRXUSDT,cryptofuture,ZRXUSDT,USDT,1,0.0001,1,ZRXUSDT,1 + + +dydx,1INCHUSD,cryptofuture,1INCH-USD,USD,1,0.0001,10,1INCH-USD,10.00000,10000000000,100000 +dydx,2ZUSD,cryptofuture,2Z-USD,USD,1,0.0001,10,2Z-USD,10.00000,10000000000,100000 +dydx,AAVEUSD,cryptofuture,AAVE-USD,USD,1,0.01,0.1,AAVE-USD,0.1000000,100000000,10000000 +dydx,ACXUSD,cryptofuture,ACX-USD,USD,1,0.0001,10,ACX-USD,10.00000,10000000000,100000 +dydx,ADAUSD,cryptofuture,ADA-USD,USD,1,0.0001,10,ADA-USD,10.00000,10000000000,100000 +dydx,AERGOUSD,cryptofuture,AERGO-USD,USD,1,0.00001,100,AERGO-USD,100.0000,100000000000,10000 +dydx,AEROUSD,cryptofuture,AERO-USD,USD,1,0.001,1,AERO-USD,1.000000,1000000000,1000000 +dydx,AEVOUSD,cryptofuture,AEVO-USD,USD,1,0.001,1,AEVO-USD,1.000000,1000000000,1000000 +dydx,AITECHUSD,cryptofuture,AITECH-USD,USD,1,0.00001,100,AITECH-USD,100.0000,100000000000,10000 +dydx,AIXBTUSD,cryptofuture,AIXBT-USD,USD,1,0.0001,10,AIXBT-USD,10.00000,10000000000,100000 +dydx,AKTUSD,cryptofuture,AKT-USD,USD,1,0.001,1,AKT-USD,1.000000,1000000000,1000000 +dydx,ALGOUSD,cryptofuture,ALGO-USD,USD,1,0.0001,10,ALGO-USD,10.00000,10000000000,100000 +dydx,ALPACAUSD,cryptofuture,ALPACA-USD,USD,1,0.00001,100,ALPACA-USD,100.0000,100000000000,10000 +dydx,ALTUSD,cryptofuture,ALT-USD,USD,1,0.0001,10,ALT-USD,10.00000,10000000000,100000 +dydx,APEUSD,cryptofuture,APE-USD,USD,1,0.001,1,APE-USD,1.000000,1000000000,1000000 +dydx,API3USD,cryptofuture,API3-USD,USD,1,0.0001,10,API3-USD,10.00000,10000000000,100000 +dydx,APTUSD,cryptofuture,APT-USD,USD,1,0.001,1,APT-USD,1.000000,1000000000,1000000 +dydx,ARBUSD,cryptofuture,ARB-USD,USD,1,0.001,1,ARB-USD,1.000000,1000000000,1000000 +dydx,ARKMUSD,cryptofuture,ARKM-USD,USD,1,0.001,1,ARKM-USD,1.000000,1000000000,1000000 +dydx,ARUSD,cryptofuture,AR-USD,USD,1,0.01,0.1,AR-USD,0.1000000,100000000,10000000 +dydx,ASTERUSD,cryptofuture,ASTER-USD,USD,1,0.001,1,ASTER-USD,1.000000,1000000000,1000000 +dydx,ASTRUSD,cryptofuture,ASTR-USD,USD,1,0.0001,10,ASTR-USD,10.00000,10000000000,100000 +dydx,ATHUSD,cryptofuture,ATH-USD,USD,1,0.00001,100,ATH-USD,100.0000,100000000000,10000 +dydx,ATOMUSD,cryptofuture,ATOM-USD,USD,1,0.001,1,ATOM-USD,1.000000,1000000000,1000000 +dydx,AVAXUSD,cryptofuture,AVAX-USD,USD,1,0.01,0.1,AVAX-USD,0.1000000,100000000,10000000 +dydx,AVNTUSD,cryptofuture,AVNT-USD,USD,1,0.00001,100,AVNT-USD,100.0000,100000000000,10000 +dydx,AXLUSD,cryptofuture,AXL-USD,USD,1,0.001,1,AXL-USD,1.000000,1000000000,1000000 +dydx,AXSUSD,cryptofuture,AXS-USD,USD,1,0.001,1,AXS-USD,1.000000,1000000000,1000000 +dydx,B3USD,cryptofuture,B3-USD,USD,1,0.000001,1000,B3-USD,1000.000,1000000000000,1000 +dydx,BABYDOGEUSD,cryptofuture,BABYDOGE-USD,USD,1,0.000000000001,1000000000,BABYDOGE-USD,1000000000,1000000000000000000,0.001 +dydx,BABYUSD,cryptofuture,BABY-USD,USD,1,0.00001,100,BABY-USD,100.0000,100000000000,10000 +dydx,BADGERUSD,cryptofuture,BADGER-USD,USD,1,0.001,1,BADGER-USD,1.000000,1000000000,1000000 +dydx,BANANAUSD,cryptofuture,BANANA-USD,USD,1,0.01,0.1,BANANA-USD,0.1000000,100000000,10000000 +dydx,BCHUSD,cryptofuture,BCH-USD,USD,1,0.1,0.01,BCH-USD,0.01000000,10000000,100000000 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+dydx,ONTUSD,cryptofuture,ONT-USD,USD,1,0.0001,10,ONT-USD,10.00000,10000000000,100000 +dydx,OPUSD,cryptofuture,OP-USD,USD,1,0.001,1,OP-USD,1.000000,1000000000,1000000 +dydx,ORCAUSD,cryptofuture,ORCA-USD,USD,1,0.001,1,ORCA-USD,1.000000,1000000000,1000000 +dydx,ORDERUSD,cryptofuture,ORDER-USD,USD,1,0.0001,10,ORDER-USD,10.00000,10000000000,100000 +dydx,ORDIUSD,cryptofuture,ORDI-USD,USD,1,0.01,0.1,ORDI-USD,0.1000000,100000000,10000000 +dydx,OSMOUSD,cryptofuture,OSMO-USD,USD,1,0.0001,10,OSMO-USD,10.00000,10000000000,100000 +dydx,PAXGUSD,cryptofuture,PAXG-USD,USD,1,1,0.001,PAXG-USD,0.001000000,1000000,1000000000 +dydx,PEAQUSD,cryptofuture,PEAQ-USD,USD,1,0.0001,10,PEAQ-USD,10.00000,10000000000,100000 +dydx,PENDLEUSD,cryptofuture,PENDLE-USD,USD,1,0.001,1,PENDLE-USD,1.000000,1000000000,1000000 +dydx,PENGUUSD,cryptofuture,PENGU-USD,USD,1,0.00001,100,PENGU-USD,100.0000,100000000000,10000 +dydx,PEOPLEUSD,cryptofuture,PEOPLE-USD,USD,1,0.00001,100,PEOPLE-USD,100.0000,100000000000,10000 +dydx,PEPEUSD,cryptofuture,PEPE-USD,USD,1,0.0000000001,10000000,PEPE-USD,10000000,10000000000000000,0.1 +dydx,PERPUSD,cryptofuture,PERP-USD,USD,1,0.0001,10,PERP-USD,10.00000,10000000000,100000 +dydx,PIRATEUSD,cryptofuture,PIRATE-USD,USD,1,0.0001,10,PIRATE-USD,10.00000,10000000000,100000 +dydx,PIUSD,cryptofuture,PI-USD,USD,1,0.0001,10,PI-USD,10.00000,10000000000,100000 +dydx,PIXELUSD,cryptofuture,PIXEL-USD,USD,1,0.0001,10,PIXEL-USD,10.00000,10000000000,100000 +dydx,PNUTUSD,cryptofuture,PNUT-USD,USD,1,0.001,1,PNUT-USD,1.000000,1000000000,1000000 +dydx,POLUSD,cryptofuture,POL-USD,USD,1,0.0001,10,POL-USD,10.00000,10000000000,100000 +dydx,POPCATUSD,cryptofuture,POPCAT-USD,USD,1,0.0001,10,POPCAT-USD,10.00000,10000000000,100000 +dydx,PRIMEUSD,cryptofuture,PRIME-USD,USD,1,0.001,1,PRIME-USD,1.000000,1000000000,1000000 +dydx,PROMPTUSD,cryptofuture,PROMPT-USD,USD,1,0.00001,100,PROMPT-USD,100.0000,100000000000,10000 +dydx,PROVEUSD,cryptofuture,PROVE-USD,USD,1,0.0001,10,PROVE-USD,10.00000,10000000000,100000 +dydx,PUMPUSD,cryptofuture,PUMP-USD,USD,1,0.000001,1000,PUMP-USD,1000.000,1000000000000,1000 +dydx,PYTHUSD,cryptofuture,PYTH-USD,USD,1,0.0001,10,PYTH-USD,10.00000,10000000000,100000 +dydx,QNTUSD,cryptofuture,QNT-USD,USD,1,0.01,0.1,QNT-USD,0.1000000,100000000,10000000 +dydx,QTUMUSD,cryptofuture,QTUM-USD,USD,1,0.001,1,QTUM-USD,1.000000,1000000000,1000000 +dydx,RAYUSD,cryptofuture,RAY-USD,USD,1,0.001,1,RAY-USD,1.000000,1000000000,1000000 +dydx,RENDERUSD,cryptofuture,RENDER-USD,USD,1,0.001,1,RENDER-USD,1.000000,1000000000,1000000 +dydx,REZUSD,cryptofuture,REZ-USD,USD,1,0.00001,100,REZ-USD,100.0000,100000000000,10000 +dydx,RUNEUSD,cryptofuture,RUNE-USD,USD,1,0.001,1,RUNE-USD,1.000000,1000000000,1000000 +dydx,SAFEUSD,cryptofuture,SAFE-USD,USD,1,0.001,1,SAFE-USD,1.000000,1000000000,1000000 +dydx,SAGAUSD,cryptofuture,SAGA-USD,USD,1,0.001,1,SAGA-USD,1.000000,1000000000,1000000 +dydx,SATSUSD,cryptofuture,SATS-USD,USD,1,0.0000000001,10000000,SATS-USD,10000000,10000000000000000,0.1 +dydx,SDMUSD,cryptofuture,SDM-USD,USD,1,0.00001,100,SDM-USD,100.0000,100000000000,10000 +dydx,SEIUSD,cryptofuture,SEI-USD,USD,1,0.0001,10,SEI-USD,10.00000,10000000000,100000 +dydx,SHIBUSD,cryptofuture,SHIB-USD,USD,1,0.000000001,1000000,SHIB-USD,1000000,1000000000000000,1 +dydx,SIGNUSD,cryptofuture,SIGN-USD,USD,1,0.00001,100,SIGN-USD,100.0000,100000000000,10000 +dydx,SKLUSD,cryptofuture,SKL-USD,USD,1,0.00001,100,SKL-USD,100.0000,100000000000,10000 +dydx,SKYUSD,cryptofuture,SKY-USD,USD,1,0.00001,100,SKY-USD,100.0000,100000000000,10000 +dydx,SNXUSD,cryptofuture,SNX-USD,USD,1,0.001,1,SNX-USD,1.000000,1000000000,1000000 +dydx,SOLUSD,cryptofuture,SOL-USD,USD,1,0.01,0.1,SOL-USD,0.1000000,100000000,10000000 +dydx,SOPHUSD,cryptofuture,SOPH-USD,USD,1,0.00001,100,SOPH-USD,100.0000,100000000000,10000 +dydx,SPXUSD,cryptofuture,SPX-USD,USD,1,0.0001,10,SPX-USD,10.00000,10000000000,100000 +dydx,SSVUSD,cryptofuture,SSV-USD,USD,1,0.01,0.1,SSV-USD,0.1000000,100000000,10000000 +dydx,STEEMUSD,cryptofuture,STEEM-USD,USD,1,0.0001,10,STEEM-USD,10.00000,10000000000,100000 +dydx,STRKUSD,cryptofuture,STRK-USD,USD,1,0.001,1,STRK-USD,1.000000,1000000000,1000000 +dydx,STXUSD,cryptofuture,STX-USD,USD,1,0.001,1,STX-USD,1.000000,1000000000,1000000 +dydx,SUIUSD,cryptofuture,SUI-USD,USD,1,0.0001,10,SUI-USD,10.00000,10000000000,100000 +dydx,SUNDOGUSD,cryptofuture,SUNDOG-USD,USD,1,0.0001,10,SUNDOG-USD,10.00000,10000000000,100000 +dydx,SUSD,cryptofuture,S-USD,USD,1,0.0001,10,S-USD,10.00000,10000000000,100000 +dydx,SUSHIUSD,cryptofuture,SUSHI-USD,USD,1,0.0001,10,SUSHI-USD,10.00000,10000000000,100000 +dydx,SYRUPUSD,cryptofuture,SYRUP-USD,USD,1,0.0001,10,SYRUP-USD,10.00000,10000000000,100000 +dydx,TAIKOUSD,cryptofuture,TAIKO-USD,USD,1,0.001,1,TAIKO-USD,1.000000,1000000000,1000000 +dydx,TAOUSD,cryptofuture,TAO-USD,USD,1,0.1,0.01,TAO-USD,0.01000000,10000000,100000000 +dydx,THETAUSD,cryptofuture,THETA-USD,USD,1,0.001,1,THETA-USD,1.000000,1000000000,1000000 +dydx,THEUSD,cryptofuture,THE-USD,USD,1,0.001,1,THE-USD,1.000000,1000000000,1000000 +dydx,TIAUSD,cryptofuture,TIA-USD,USD,1,0.01,0.1,TIA-USD,0.1000000,100000000,10000000 +dydx,TLOSUSD,cryptofuture,TLOS-USD,USD,1,0.0001,10,TLOS-USD,10.00000,10000000000,100000 +dydx,TONUSD,cryptofuture,TON-USD,USD,1,0.001,1,TON-USD,1.000000,1000000000,1000000 +dydx,TRBUSD,cryptofuture,TRB-USD,USD,1,0.1,0.01,TRB-USD,0.01000000,10000000,100000000 +dydx,TREEUSD,cryptofuture,TREE-USD,USD,1,0.0001,10,TREE-USD,10.00000,10000000000,100000 +dydx,TROYUSD,cryptofuture,TROY-USD,USD,1,0.0000001,10000,TROY-USD,10000.00,10000000000000,100 +dydx,TRUMPUSD,cryptofuture,TRUMP-USD,USD,1,0.01,0.1,TRUMP-USD,0.1000000,100000000,10000000 +dydx,TRXUSD,cryptofuture,TRX-USD,USD,1,0.00001,100,TRX-USD,100.0000,100000000000,10000 +dydx,TRYUSD,cryptofuture,TRY-USD,USD,1,0.00001,100,TRY-USD,100.0000,100000000000,10000 +dydx,TSLAXUSD,cryptofuture,TSLAX-USD,USD,1,0.1,0.01,TSLAX-USD,0.01000000,10000000,100000000 +dydx,TURBOUSD,cryptofuture,TURBO-USD,USD,1,0.000001,1000,TURBO-USD,1000.000,1000000000000,1000 +dydx,UMAUSD,cryptofuture,UMA-USD,USD,1,0.001,1,UMA-USD,1.000000,1000000000,1000000 +dydx,UNIUSD,cryptofuture,UNI-USD,USD,1,0.001,1,UNI-USD,1.000000,1000000000,1000000 +dydx,USDEUSD,cryptofuture,USDE-USD,USD,1,0.0001,10,USDE-USD,10.00000,10000000000,100000 +dydx,USELESSUSD,cryptofuture,USELESS-USD,USD,1,0.0001,10,USELESS-USD,10.00000,10000000000,100000 +dydx,USUALUSD,cryptofuture,USUAL-USD,USD,1,0.001,1,USUAL-USD,1.000000,1000000000,1000000 +dydx,VETUSD,cryptofuture,VET-USD,USD,1,0.00001,100,VET-USD,100.0000,100000000000,10000 +dydx,VINEUSD,cryptofuture,VINE-USD,USD,1,0.0001,10,VINE-USD,10.00000,10000000000,100000 +dydx,VIRTUALUSD,cryptofuture,VIRTUAL-USD,USD,1,0.001,1,VIRTUAL-USD,1.000000,1000000000,1000000 +dydx,VOXELUSD,cryptofuture,VOXEL-USD,USD,1,0.00001,100,VOXEL-USD,100.0000,100000000000,10000 +dydx,VVVUSD,cryptofuture,VVV-USD,USD,1,0.001,1,VVV-USD,1.000000,1000000000,1000000 +dydx,WCTUSD,cryptofuture,WCT-USD,USD,1,0.0001,10,WCT-USD,10.00000,10000000000,100000 +dydx,WIFUSD,cryptofuture,WIF-USD,USD,1,0.001,1,WIF-USD,1.000000,1000000000,1000000 +dydx,WLDUSD,cryptofuture,WLD-USD,USD,1,0.001,1,WLD-USD,1.000000,1000000000,1000000 +dydx,WLFIUSD,cryptofuture,WLFI-USD,USD,1,0.0001,10,WLFI-USD,10.00000,10000000000,100000 +dydx,WOOUSD,cryptofuture,WOO-USD,USD,1,0.0001,10,WOO-USD,10.00000,10000000000,100000 +dydx,WSTETHUSD,cryptofuture,WSTETH-USD,USD,1,1,0.001,WSTETH-USD,0.001000000,1000000,1000000000 +dydx,WUSD,cryptofuture,W-USD,USD,1,0.0001,10,W-USD,10.00000,10000000000,100000 +dydx,XAIUSD,cryptofuture,XAI-USD,USD,1,0.0001,10,XAI-USD,10.00000,10000000000,100000 +dydx,XLMUSD,cryptofuture,XLM-USD,USD,1,0.0001,10,XLM-USD,10.00000,10000000000,100000 +dydx,XMRUSD,cryptofuture,XMR-USD,USD,1,0.1,0.01,XMR-USD,0.01000000,10000000,100000000 +dydx,XPLUSD,cryptofuture,XPL-USD,USD,1,0.0001,10,XPL-USD,10.00000,10000000000,100000 +dydx,XRPUSD,cryptofuture,XRP-USD,USD,1,0.0001,10,XRP-USD,10.00000,10000000000,100000 +dydx,XTZUSD,cryptofuture,XTZ-USD,USD,1,0.0001,10,XTZ-USD,10.00000,10000000000,100000 +dydx,XYOUSD,cryptofuture,XYO-USD,USD,1,0.000001,1000,XYO-USD,1000.000,1000000000000,1000 +dydx,YFIUSD,cryptofuture,YFI-USD,USD,1,1,0.001,YFI-USD,0.001000000,1000000,1000000000 +dydx,ZECUSD,cryptofuture,ZEC-USD,USD,1,0.01,0.1,ZEC-USD,0.1000000,100000000,10000000 +dydx,ZENUSD,cryptofuture,ZEN-USD,USD,1,0.001,1,ZEN-USD,1.000000,1000000000,1000000 +dydx,ZEREBROUSD,cryptofuture,ZEREBRO-USD,USD,1,0.0001,10,ZEREBRO-USD,10.00000,10000000000,100000 +dydx,ZETAUSD,cryptofuture,ZETA-USD,USD,1,0.0001,10,ZETA-USD,10.00000,10000000000,100000 +dydx,ZKUSD,cryptofuture,ZK-USD,USD,1,0.0001,10,ZK-USD,10.00000,10000000000,100000 +dydx,ZORAUSD,cryptofuture,ZORA-USD,USD,1,0.00001,100,ZORA-USD,100.0000,100000000000,10000 +dydx,ZROUSD,cryptofuture,ZRO-USD,USD,1,0.001,1,ZRO-USD,1.000000,1000000000,1000000 +dydx,ZRXUSD,cryptofuture,ZRX-USD,USD,1,0.0001,10,ZRX-USD,10.00000,10000000000,100000 \ No newline at end of file diff --git a/DockerfileJupyter b/DockerfileJupyter index ca4fb7ceeb61..cf35a12f8a2e 100644 --- a/DockerfileJupyter +++ b/DockerfileJupyter @@ -22,11 +22,11 @@ RUN if [ "$(uname -m)" = "aarch64" ]; then \ chmod +x /usr/local/bin/tini # Install clr-loader for PythonNet -RUN pip install --no-cache-dir clr-loader==0.1.6 +RUN pip install --no-cache-dir clr-loader==0.2.9 # Install .NET Interactive to support C# in Jupyter notebooks ENV PATH="${PATH}:/root/.dotnet/tools" -RUN dotnet tool install -g --no-cache --version 1.0.607001 --add-source "https://pkgs.dev.azure.com/dnceng/public/_packaging/dotnet-tools/nuget/v3/index.json" Microsoft.dotnet-interactive && \ +RUN dotnet tool install -g --no-cache --version 1.0.661703 --add-source "https://pkgs.dev.azure.com/dnceng/public/_packaging/dotnet-tools/nuget/v3/index.json" Microsoft.dotnet-interactive && \ dotnet interactive jupyter install # Setting some environment variables diff --git a/DockerfileLeanFoundation b/DockerfileLeanFoundation index dbf73c5898df..64c6209db3cf 100644 --- a/DockerfileLeanFoundation +++ b/DockerfileLeanFoundation @@ -23,10 +23,6 @@ RUN apt-get update && apt-get -y install wget curl unzip \ && apt-get clean && apt-get autoclean && apt-get autoremove --purge -y \ && rm -rf /var/lib/apt/lists/* -# Install dotnet sdk & runtime -RUN add-apt-repository ppa:dotnet/backports && apt-get update && apt-get install -y dotnet-sdk-9.0 && \ - apt-get clean && apt-get autoclean && apt-get autoremove --purge -y && rm -rf /var/lib/apt/lists/* - # Set PythonDLL variable for PythonNet ENV PYTHONNET_PYDLL="/opt/miniconda3/lib/libpython3.11.so" @@ -49,33 +45,33 @@ ENV PIP_DEFAULT_TIMEOUT=120 # Install all packages RUN pip install --no-cache-dir \ - cython==3.1.4 \ + cython==3.2.3 \ pandas==2.3.3 \ scipy==1.13.1 \ numpy==1.26.4 \ wrapt==1.17.3 \ - astropy==7.1.0 \ - beautifulsoup4==4.14.2 \ + astropy==7.2.0 \ + beautifulsoup4==4.14.3 \ dill==0.3.8 \ jsonschema==4.25.1 \ lxml==6.0.2 \ - msgpack==1.1.1 \ + msgpack==1.1.2 \ numba-cuda[cu12]==0.14.1 \ numba==0.61.2 \ - xarray==2025.9.1 \ + xarray==2025.12.0 \ plotly==5.24.1 \ - jupyterlab==4.4.9 \ - ipywidgets==8.1.7 \ - jupyterlab-widgets==3.0.15 \ + jupyterlab==4.5.1 \ + ipywidgets==8.1.8 \ + jupyterlab-widgets==3.0.16 \ tensorflow==2.19.1 \ - docutils==0.22.2 \ + docutils==0.22.4 \ cvxopt==1.3.2 \ - gensim==4.3.3 \ - keras==3.11.3 \ + gensim==4.4.0 \ + keras==3.13.0 \ lightgbm==4.6.0 \ nltk==3.9.2 \ graphviz==0.21 \ - cmdstanpy==1.2.5 \ + cmdstanpy==1.3.0 \ copulae==0.7.9 \ featuretools==1.31.0 \ PuLP==3.3.0 \ @@ -84,26 +80,26 @@ RUN pip install --no-cache-dir \ scikit-learn==1.6.1 \ scikit-optimize==0.10.2 \ tsfresh==0.20.2 \ - tslearn==0.6.4 \ + tslearn==0.7.0 \ tweepy==4.16.0 \ PyWavelets==1.9.0 \ umap-learn==0.5.9.post2 \ - fastai==2.8.4 \ - arch==7.2.0 \ + fastai==2.8.6 \ + arch==8.0.0 \ copulas==0.12.3 \ creme==0.6.1 \ cufflinks==0.17.3 \ gym==0.26.2 \ deap==1.4.3 \ - pykalman==0.10.2 \ - cvxpy==1.7.3 \ + pykalman==0.11.0 \ + cvxpy==1.7.5 \ pyportfolioopt==1.5.6 \ - pmdarima==2.0.4 \ + pmdarima==2.1.1 \ pyro-ppl==1.9.1 \ riskparityportfolio==0.6.0 \ sklearn-json==0.1.0 \ - statsmodels==0.14.5 \ - QuantLib==1.39 \ + statsmodels==0.14.6 \ + QuantLib==1.40 \ xgboost==3.0.5 \ dtw-python==1.5.3 \ gluonts==0.16.2 \ @@ -111,10 +107,10 @@ RUN pip install --no-cache-dir \ jaxlib==0.7.1 \ tf2jax==0.3.7 \ keras-rl==0.4.2 \ - pennylane==0.42.3 \ - PennyLane-Lightning==0.42.0 \ - git+https://github.com/PennyLaneAI/pennylane-qiskit.git@12dacf9a867f17b05b26b6d78ef8f9c7987713cb \ - autoray==0.7.2 \ + pennylane==0.43.1 \ + PennyLane-Lightning==0.43.0 \ + PennyLane-qiskit==0.43.0 \ + autoray==0.8.0 \ qiskit==2.1.2 \ mplfinance==0.12.10b0 \ hmmlearn==0.3.3 \ @@ -123,40 +119,40 @@ RUN pip install --no-cache-dir \ scikit-tda==1.1.1 \ ta==0.11.0 \ seaborn==0.13.2 \ - optuna==4.5.0 \ - findiff==0.12.1 \ - sktime==0.39.0 \ + optuna==4.6.0 \ + findiff==0.12.2 \ + sktime==0.40.1 \ hyperopt==0.2.7 \ bayesian-optimization==3.1.0 \ pingouin==0.5.5 \ quantecon==0.10.1 \ matplotlib==3.8.4 \ sdeint==0.3.0 \ - pandas_market_calendars==5.1.1 \ + pandas_market_calendars==5.2.2 \ dgl==2.1.0 \ ruptures==1.1.10 \ simpy==4.1.1 \ scikit-learn-extra==0.3.0 \ - ray==2.49.2 \ - "ray[tune]"==2.49.2 \ - "ray[rllib]"==2.49.2 \ - "ray[data]"==2.49.2 \ - "ray[train]"==2.49.2 \ + ray==2.53.0 \ + "ray[tune]"==2.53.0 \ + "ray[rllib]"==2.53.0 \ + "ray[data]"==2.53.0 \ + "ray[train]"==2.53.0 \ fastText==0.9.3 \ - h2o==3.46.0.7 \ - prophet==1.1.7 \ + h2o==3.46.0.9 \ + prophet==1.2.1 \ torch==2.8.0 \ torchvision==0.23.0 \ - ax-platform==1.1.2 \ + ax-platform==1.2.1 \ alphalens-reloaded==0.4.6 \ pyfolio-reloaded==0.9.9 \ - altair==5.5.0 \ + altair==6.0.0 \ modin==0.37.1 \ persim==0.3.8 \ - ripser==0.6.12 \ + ripser==0.6.14 \ pydmd==2025.8.1 \ - spacy==3.8.7 \ - pytorch-ignite==0.5.2 \ + spacy==3.8.11 \ + pytorch-ignite==0.5.3 \ tensorly==0.9.0 \ mlxtend==0.23.4 \ shap==0.48.0 \ @@ -164,15 +160,15 @@ RUN pip install --no-cache-dir \ tensorflow-probability==0.25.0 \ mpmath==1.3.0 \ tensortrade==1.0.3 \ - polars==1.34.0 \ + polars==1.36.1 \ stockstats==0.6.5 \ - autokeras==2.0.0 \ + autokeras==3.0.0 \ QuantStats==0.0.77 \ hurst==0.0.5 \ - numerapi==2.20.8 \ + numerapi==2.21.0 \ pymdptoolbox==4.0-b3 \ panel==1.7.5 \ - hvplot==0.12.1 \ + hvplot==0.12.2 \ line-profiler==5.0.0 \ py-heat==0.0.6 \ py-heat-magic==0.0.2 \ @@ -180,14 +176,14 @@ RUN pip install --no-cache-dir \ river==0.21.0 \ stumpy==1.13.0 \ pyvinecopulib==0.6.5 \ - ijson==3.4.0 \ + ijson==3.4.0.post0 \ jupyter-resource-usage==1.2.0 \ - injector==0.22.0 \ + injector==0.23.0 \ openpyxl==3.1.5 \ xlrd==2.0.2 \ mljar-supervised==1.1.18 \ dm-tree==0.1.9 \ - lz4==4.4.4 \ + lz4==4.4.5 \ ortools==9.12.4544 \ py_vollib==1.0.1 \ thundergbm==0.3.17 \ @@ -197,48 +193,47 @@ RUN pip install --no-cache-dir \ interpret==0.7.2 \ DoubleML==0.10.1 \ jupyter-bokeh==4.0.5 \ - imbalanced-learn==0.14.0 \ - openai==1.109.1 \ + imbalanced-learn==0.14.1 \ + openai==2.14.0 \ lazypredict==0.2.16 \ - darts==0.38.0 \ - fastparquet==2024.11.0 \ + darts==0.39.0 \ + fastparquet==2025.12.0 \ tables==3.10.2 \ dimod==0.12.21 \ - dwave-samplers==1.6.0 \ + dwave-samplers==1.7.0 \ python-statemachine==2.5.0 \ pymannkendall==1.4.3 \ - Pyomo==6.9.4 \ + Pyomo==6.9.5 \ gpflow==2.10.0 \ pyarrow==19.0.1 \ - dwave-ocean-sdk==9.0.0 \ + dwave-ocean-sdk==9.2.0 \ chardet==5.2.0 \ - stable-baselines3==2.7.0 \ - sb3-contrib==2.7.0 \ + stable-baselines3==2.7.1 \ + sb3-contrib==2.7.1 \ Shimmy==2.0.0 \ pystan==3.10.0 \ FixedEffectModel==0.0.5 \ - transformers==4.57.0 \ + transformers==4.57.3 \ Rbeast==0.1.23 \ langchain==0.3.27 \ pomegranate==1.1.2 \ - MAPIE==1.1.0 \ + MAPIE==1.2.0 \ mlforecast==1.0.2 \ - tensorrt==10.13.3.9 \ - x-transformers==2.8.2 \ - Werkzeug==3.1.3 \ + tensorrt==10.14.1.48.post1 \ + x-transformers==2.11.24 \ + Werkzeug==3.1.4 \ TPOT==0.12.2 \ - llama-index==0.12.42 \ mlflow==3.4.0 \ ngboost==0.5.6 \ control==0.10.2 \ pgmpy==1.0.0 \ mgarch==0.3.0 \ - jupyter-ai==2.31.6 \ + jupyter-ai==2.31.7 \ keras-tcn==3.5.6 \ neuralprophet[live]==0.9.0 \ Riskfolio-Lib==7.0.1 \ fuzzy-c-means==1.7.2 \ - EMD-signal==1.6.4 \ + EMD-signal==1.9.0 \ dask[complete]==2025.7.0 \ nolds==0.6.2 \ feature-engine==1.9.3 \ @@ -247,52 +242,87 @@ RUN pip install --no-cache-dir \ POT==0.9.6.post1 \ datasets==3.6.0 \ scikeras==0.13.0 \ - accelerate==1.10.1 \ - peft==0.17.1 \ + accelerate==1.12.0 \ + peft==0.18.0 \ FlagEmbedding==1.3.5 \ contourpy==1.3.3 \ tensorboardX==2.6.4 \ scikit-image==0.22.0 \ - scs==3.2.8 \ + scs==3.2.9 \ thinc==8.3.4 \ cesium==0.12.1 \ cvxportfolio==1.5.1 \ tsfel==0.2.0 \ - ipympl==0.9.7 \ + ipympl==0.9.8 \ PyQt6==6.9.1 \ - nixtla==0.7.0 \ - tigramite==5.2.8.2 \ - pytorch-forecasting==1.4.0 \ - chronos-forecasting[training]==1.5.3 \ - setuptools==73.0.1 \ + nixtla==0.7.2 \ + tigramite==5.2.9.4 \ + pytorch-forecasting==1.5.0 \ + chronos-forecasting==2.2.2 \ + setuptools==80.9.0 \ tinygrad==0.11.0 \ DESlib==0.3.7 \ - torchrl==0.10.0 \ + torchrl==0.10.1 \ tensordict==0.10.0 \ + onnx==1.20.0 \ onnxmltools==1.14.0 \ - onnxruntime==1.23.0 \ + onnxruntime==1.23.2 \ skl2onnx==1.19.1 \ sweetviz==2.3.1 \ filterpy==1.4.5 \ skfolio==0.7.0 \ lightweight-charts==2.1 \ KDEpy==1.1.12 \ - lightning==2.5.5 \ - google-genai==1.41.0 \ + lightning==2.6.0 \ + google-genai==1.56.0 \ neuralforecast==3.1.2 \ - lingam==1.11.0 \ + lingam==1.12.1 \ econml==0.16.0 \ - networkx==3.5 \ + networkx==3.6.1 \ causalml==0.15.5 \ transitions==0.9.3 \ - sismic==1.6.10 \ + sismic==1.6.11 \ cmaes==0.12.0 \ - cuda-python==12.9.2 \ + cuda-python==12.9.5 \ click==8.2.1 \ ydf==0.13.0 \ wurlitzer==3.1.1 \ - statsforecast==2.0.2 \ - holoviews==1.20.2 + statsforecast==2.0.3 \ + holoviews==1.20.2 \ + faiss-cpu==1.13.1 \ + ImageIO==2.37.2 \ + lifelines==0.30.0 \ + h5py==3.15.1 \ + exchange_calendars==4.11.1 \ + formulaic==1.2.1 \ + arviz==0.23.0 \ + deprecated==1.2.18 \ + pyod==2.0.6 + +# llama-index-readers-file has a pandas build contraint, see https://github.com/run-llama/llama_index/pull/20387/files +RUN pip install --no-cache-dir --no-deps \ + aiosqlite==0.22.0 \ + banks==2.2.0 \ + deprecated==1.2.18 \ + dirtyjson==1.0.8 \ + filetype==1.2.0 \ + griffe==1.15.0 \ + llama-parse==0.6.54 \ + llama-cloud==0.1.35 \ + llama-index==0.14.10 \ + llama-index-cli==0.5.3 \ + llama-index-core==0.14.10 \ + llama-cloud-services==0.6.54 \ + llama-index-workflows==2.11.5 \ + llama-index-llms-openai==0.6.12 \ + llama-index-readers-file==0.5.5 \ + llama-index-instrumentation==0.4.2 \ + llama-index-embeddings-openai==0.5.1 \ + llama-index-readers-llama-parse==0.5.1 \ + llama-index-indices-managed-llama-cloud==0.9.4 \ + pypdf==6.5.0 \ + striprtf==0.0.26 \ + tiktoken==0.12.0 # they have older dependency versions that can be ignored # https://github.com/onnx/tensorflow-onnx/issues/2328#issuecomment-2682046428 @@ -313,7 +343,7 @@ RUN ln -s /opt/miniconda3/lib/python3.11/site-packages/nvidia/cuda_nvrtc/lib/lib # iisignature requires numpy to be already installed. cupy requires cuda installed # https://github.com/omadson/fuzzy-c-means/issues/109 requires older tabulate but pandas requires 0.9.0, forcing version -RUN pip install --no-cache-dir tabulate==0.9.0 iisignature==0.24 cupy-cuda12x==13.6.0 https://github.com/state-spaces/mamba/releases/download/v2.2.5/mamba_ssm-2.2.5+cu12torch2.8cxx11abiTRUE-cp311-cp311-linux_x86_64.whl mamba-ssm[causal-conv1d]==2.2.5 +RUN pip install --no-cache-dir tabulate==0.9.0 iisignature==0.24 cupy-cuda12x==13.6.0 https://github.com/state-spaces/mamba/releases/download/v2.2.5/mamba_ssm-2.2.5+cu12torch2.8cxx11abiTRUE-cp311-cp311-linux_x86_64.whl https://github.com/Dao-AILab/causal-conv1d/releases/download/v1.5.4/causal_conv1d-1.5.4+cu12torch2.8cxx11abiTRUE-cp311-cp311-linux_x86_64.whl # Install dwave tool RUN dwave install --all -y @@ -379,7 +409,11 @@ RUN apt-get update && apt-get -y install libasound2 libnss3 libnspr4 && apt-get ./ibgateway-latest-standalone-linux-x64.v10.39.1f.sh -q -dir /root/ibgateway && \ rm ibgateway-latest-standalone-linux-x64.v10.39.1f.sh +# Install dotnet sdk & runtime +RUN add-apt-repository ppa:dotnet/backports && apt-get update && apt-get install -y dotnet-sdk-10.0 && \ + apt-get clean && apt-get autoclean && apt-get autoremove --purge -y && rm -rf /var/lib/apt/lists/* + # label definitions LABEL strict_python_version=3.11.11 LABEL python_version=3.11 -LABEL target_framework=net9.0 \ No newline at end of file +LABEL target_framework=net10.0 \ No newline at end of file diff --git a/DockerfileLeanFoundationARM b/DockerfileLeanFoundationARM index 4293086f70bc..2ed78793e2dc 100644 --- a/DockerfileLeanFoundationARM +++ b/DockerfileLeanFoundationARM @@ -19,15 +19,6 @@ RUN add-apt-repository ppa:ubuntu-toolchain-r/test && apt-get update \ && apt-get clean && apt-get autoclean && apt-get autoremove --purge -y \ && rm -rf /var/lib/apt/lists/* -# Install dotnet 9 sdk & runtime -# The .deb packages don't support ARM, the install script does -ENV PATH="/root/.dotnet:${PATH}" -RUN wget https://dot.net/v1/dotnet-install.sh && \ - chmod 777 dotnet-install.sh && \ - ./dotnet-install.sh -c 9.0 && \ - rm dotnet-install.sh -ENV DOTNET_ROOT="/root/.dotnet" - # Set PythonDLL variable for PythonNet ENV PYTHONNET_PYDLL="/opt/miniconda3/lib/libpython3.11.so" @@ -55,31 +46,31 @@ RUN conda install -c conda-forge cmake==3.28.4 && conda clean -y --all # The list of packages in this image is shorter than the list in the AMD images # This list only includes packages that can be installed within 2 minutes on ARM RUN pip install --no-cache-dir \ - cython==3.1.4 \ + cython==3.2.3 \ pandas==2.3.3 \ scipy==1.13.1 \ numpy==1.26.4 \ wrapt==1.17.3 \ - astropy==7.1.0 \ - beautifulsoup4==4.14.2 \ + astropy==7.2.0 \ + beautifulsoup4==4.14.3 \ dill==0.3.8 \ jsonschema==4.25.1 \ lxml==6.0.2 \ - msgpack==1.1.1 \ + msgpack==1.1.2 \ numba==0.61.2 \ - xarray==2025.9.1 \ + xarray==2025.12.0 \ plotly==5.24.1 \ - jupyterlab==4.4.9 \ - ipywidgets==8.1.7 \ - jupyterlab-widgets==3.0.15 \ + jupyterlab==4.5.1 \ + ipywidgets==8.1.8 \ + jupyterlab-widgets==3.0.16 \ tensorflow==2.19.1 \ - docutils==0.22.2 \ - gensim==4.3.3 \ - keras==3.11.3 \ + docutils==0.22.4 \ + gensim==4.4.0 \ + keras==3.13.0 \ lightgbm==4.6.0 \ nltk==3.9.2 \ graphviz==0.21 \ - cmdstanpy==1.2.5 \ + cmdstanpy==1.3.0 \ copulae==0.7.9 \ featuretools==1.31.0 \ PuLP==3.3.0 \ @@ -88,83 +79,83 @@ RUN pip install --no-cache-dir \ scikit-learn==1.6.1 \ scikit-optimize==0.10.2 \ tsfresh==0.20.2 \ - tslearn==0.6.4 \ + tslearn==0.7.0 \ tweepy==4.16.0 \ PyWavelets==1.9.0 \ umap-learn==0.5.9.post2 \ - fastai==2.8.4 \ - arch==7.2.0 \ + fastai==2.8.6 \ + arch==8.0.0 \ copulas==0.12.3 \ cufflinks==0.17.3 \ gym==0.26.2 \ deap==1.4.3 \ - pykalman==0.10.2 \ - cvxpy==1.7.3 \ + pykalman==0.11.0 \ + cvxpy==1.7.5 \ pyro-ppl==1.9.1 \ sklearn-json==0.1.0 \ dtw-python==1.5.3 \ gluonts==0.16.2 \ jax==0.7.1 \ - pennylane==0.42.3 \ - PennyLane-Lightning==0.42.0 \ - git+https://github.com/PennyLaneAI/pennylane-qiskit.git@12dacf9a867f17b05b26b6d78ef8f9c7987713cb \ + pennylane==0.43.1 \ + PennyLane-Lightning==0.43.0 \ + PennyLane-qiskit==0.43.0 \ mplfinance==0.12.10b0 \ hmmlearn==0.3.3 \ ta==0.11.0 \ seaborn==0.13.2 \ - optuna==4.5.0 \ - findiff==0.12.1 \ - sktime==0.39.0 \ + optuna==4.6.0 \ + findiff==0.12.2 \ + sktime==0.40.1 \ hyperopt==0.2.7 \ bayesian-optimization==3.1.0 \ matplotlib==3.8.4 \ sdeint==0.3.0 \ - pandas_market_calendars==5.1.1 \ + pandas_market_calendars==5.2.2 \ ruptures==1.1.10 \ simpy==4.1.1 \ scikit-learn-extra==0.3.0 \ - ray==2.49.2 \ - "ray[tune]"==2.49.2 \ - "ray[rllib]"==2.49.2 \ - "ray[data]"==2.49.2 \ - "ray[train]"==2.49.2 \ + ray==2.53.0 \ + "ray[tune]"==2.53.0 \ + "ray[rllib]"==2.53.0 \ + "ray[data]"==2.53.0 \ + "ray[train]"==2.53.0 \ fastText==0.9.3 \ - h2o==3.46.0.7 \ - prophet==1.1.7 \ + h2o==3.46.0.9 \ + prophet==1.2.1 \ Riskfolio-Lib==7.0.1 \ torch==2.8.0 \ torchvision==0.23.0 \ - ax-platform==1.1.2 \ + ax-platform==1.2.1 \ alphalens-reloaded==0.4.6 \ pyfolio-reloaded==0.9.9 \ - altair==5.5.0 \ + altair==6.0.0 \ modin==0.37.1 \ persim==0.3.8 \ - ripser==0.6.12 \ + ripser==0.6.14 \ pydmd==2025.8.1 \ EMD-signal==1.6.4 \ - spacy==3.8.7 \ - pytorch-ignite==0.5.2 \ + spacy==3.8.11 \ + pytorch-ignite==0.5.3 \ tensorly==0.9.0 \ mlxtend==0.23.4 \ shap==0.48.0 \ lime==0.2.0.1 \ mpmath==1.3.0 \ - polars==1.34.0 \ + polars==1.36.1 \ stockstats==0.6.5 \ QuantStats==0.0.77 \ hurst==0.0.5 \ - numerapi==2.20.8 \ + numerapi==2.21.0 \ pymdptoolbox==4.0-b3 \ panel==1.7.5 \ - hvplot==0.12.1 \ + hvplot==0.12.2 \ py-heat==0.0.6 \ py-heat-magic==0.0.2 \ bokeh==3.6.3 \ river==0.21.0 \ stumpy==1.13.0 \ pyvinecopulib==0.6.5 \ - ijson==3.4.0 \ + ijson==3.4.0.post0 \ jupyter-resource-usage==1.2.0 \ injector==0.22.0 \ openpyxl==3.1.5 \ @@ -181,32 +172,32 @@ RUN pip install --no-cache-dir \ interpret==0.7.2 \ DoubleML==0.10.1 \ jupyter-bokeh==4.0.5 \ - imbalanced-learn==0.14.0 \ - openai==1.109.1 \ + imbalanced-learn==0.14.1 \ + openai==2.14.0 \ lazypredict==0.2.16 \ - darts==0.38.0 \ - fastparquet==2024.11.0 \ + darts==0.39.0 \ + fastparquet==2025.12.0 \ tables==3.10.2 \ dimod==0.12.21 \ - dwave-samplers==1.6.0 \ + dwave-samplers==1.7.0 \ python-statemachine==2.5.0 \ pymannkendall==1.4.3 \ - Pyomo==6.9.4 \ + Pyomo==6.9.5 \ gpflow==2.10.0 \ pyarrow==19.0.1 \ - dwave-ocean-sdk==9.0.0 \ + dwave-ocean-sdk==9.2.0 \ chardet==5.2.0 \ - stable-baselines3==2.7.0 \ - sb3-contrib==2.7.0 \ + stable-baselines3==2.7.1 \ + sb3-contrib==2.7.1 \ Shimmy==2.0.0 \ FixedEffectModel==0.0.5 \ - transformers==4.57.0 \ + transformers==4.57.3 \ langchain==0.3.27 \ pomegranate==1.1.2 \ - MAPIE==1.1.0 \ + MAPIE==1.2.0 \ mlforecast==1.0.2 \ - x-transformers==2.8.2 \ - Werkzeug==3.1.3 \ + x-transformers==2.11.24 \ + Werkzeug==3.1.4 \ nolds==0.6.2 \ feature-engine==1.9.3 \ pytorch-tabnet==4.1.0 \ @@ -271,7 +262,16 @@ RUN apt-get update && apt install -y xvfb wkhtmltopdf && \ RUN wget -q https://cdn.quantconnect.com/fonts/foundation.zip && unzip -q foundation.zip && rm foundation.zip \ && mv "lean fonts/"* /usr/share/fonts/truetype/ && rm -rf "lean fonts/" "__MACOSX/" +# Install dotnet 9 sdk & runtime +# The .deb packages don't support ARM, the install script does +ENV PATH="/root/.dotnet:${PATH}" +RUN wget https://dot.net/v1/dotnet-install.sh && \ + chmod 777 dotnet-install.sh && \ + ./dotnet-install.sh -c 10.0 && \ + rm dotnet-install.sh +ENV DOTNET_ROOT="/root/.dotnet" + # label definitions LABEL strict_python_version=3.11.11 LABEL python_version=3.11 -LABEL target_framework=net9.0 \ No newline at end of file +LABEL target_framework=net10.0 \ No newline at end of file diff --git a/DownloaderDataProvider/QuantConnect.DownloaderDataProvider.Launcher.csproj b/DownloaderDataProvider/QuantConnect.DownloaderDataProvider.Launcher.csproj index 3409754162db..7e8ae152ec8a 100644 --- a/DownloaderDataProvider/QuantConnect.DownloaderDataProvider.Launcher.csproj +++ b/DownloaderDataProvider/QuantConnect.DownloaderDataProvider.Launcher.csproj @@ -6,7 +6,7 @@ Exe QuantConnect.DownloaderDataProvider.Launcher QuantConnect.DownloaderDataProvider.Launcher - net9.0 + net10.0 AllEnabledByDefault false bin\$(Configuration)\ diff --git a/Engine/DataFeeds/DataManager.cs b/Engine/DataFeeds/DataManager.cs index e39483f53af9..4f21d859231e 100644 --- a/Engine/DataFeeds/DataManager.cs +++ b/Engine/DataFeeds/DataManager.cs @@ -19,7 +19,6 @@ using System.Collections.Specialized; using System.Linq; using QuantConnect.Data; -using QuantConnect.Data.Auxiliary; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; using QuantConnect.Interfaces; @@ -83,101 +82,104 @@ public DataManager( // wire ourselves up to receive notifications when universes are added/removed algorithm.UniverseManager.CollectionChanged += (sender, args) => { + var universe = args.Value; switch (args.Action) { + case NotifyCollectionChangedAction.Replace: case NotifyCollectionChangedAction.Add: - foreach (var universe in args.NewItems.OfType()) + var config = universe.Configuration; + var start = algorithm.UtcTime; + if (algorithm.GetLocked() && args.Action == NotifyCollectionChangedAction.Add && universe is UserDefinedUniverse) { - var config = universe.Configuration; - var start = algorithm.UtcTime; + // If it is an add, after initialize, we will set time 1 tick ahead to properly sync data + // with next timeslice, avoid emitting now twice, if it is a remove then we will set time to now + // we do the same in the 'DataManager' when handling FF resolution changes + start = start.AddTicks(1); + } - var end = algorithm.LiveMode ? Time.EndOfTime - : algorithm.EndDate.ConvertToUtc(algorithm.TimeZone); + var end = algorithm.LiveMode ? Time.EndOfTime + : algorithm.EndDate.ConvertToUtc(algorithm.TimeZone); - Security security; - if (!algorithm.Securities.TryGetValue(config.Symbol, out security)) - { - // create a canonical security object if it doesn't exist - security = new Security( - _marketHoursDatabase.GetExchangeHours(config), - config, - algorithm.Portfolio.CashBook[algorithm.AccountCurrency], - SymbolProperties.GetDefault(algorithm.AccountCurrency), - algorithm.Portfolio.CashBook, - RegisteredSecurityDataTypesProvider.Null, - new SecurityCache() - ); - } + Security security; + if (!algorithm.Securities.TryGetValue(config.Symbol, out security)) + { + // create a canonical security object if it doesn't exist + security = new Security( + _marketHoursDatabase.GetExchangeHours(config), + config, + algorithm.Portfolio.CashBook[algorithm.AccountCurrency], + SymbolProperties.GetDefault(algorithm.AccountCurrency), + algorithm.Portfolio.CashBook, + RegisteredSecurityDataTypesProvider.Null, + new SecurityCache() + ); + } - // Let's adjust the start time to the previous tradable date - // so universe selection always happens right away at the start of the algorithm. - var universeType = universe.GetType(); - if ( - // We exclude the UserDefinedUniverse because their selection already happens at the algorithm start time. - // For instance, ETFs universe selection depends its first trigger time to be before the equity universe - // (the UserDefinedUniverse), because the ETFs are EndTime-indexed and that would make their first selection - // time to be before the algorithm start time, with the EndTime being the algorithms's start date, - // and both the Equity and the ETFs constituents first selection to happen together. - !universeType.IsAssignableTo(typeof(UserDefinedUniverse)) && - // We exclude the ScheduledUniverse because it's already scheduled to run at a specific time. - // Adjusting the start time would cause the first selection trigger time to be before the algorithm start time, - // making the selection to be triggered at the first algorithm time, which would be the exact StartDate. - universeType != typeof(ScheduledUniverse)) + // Let's adjust the start time to the previous tradable date + // so universe selection always happens right away at the start of the algorithm. + var universeType = universe.GetType(); + if ( + // We exclude the UserDefinedUniverse because their selection already happens at the algorithm start time. + // For instance, ETFs universe selection depends its first trigger time to be before the equity universe + // (the UserDefinedUniverse), because the ETFs are EndTime-indexed and that would make their first selection + // time to be before the algorithm start time, with the EndTime being the algorithms's start date, + // and both the Equity and the ETFs constituents first selection to happen together. + !universeType.IsAssignableTo(typeof(UserDefinedUniverse)) && + // We exclude the ScheduledUniverse because it's already scheduled to run at a specific time. + // Adjusting the start time would cause the first selection trigger time to be before the algorithm start time, + // making the selection to be triggered at the first algorithm time, which would be the exact StartDate. + universeType != typeof(ScheduledUniverse)) + { + const int maximumLookback = 365; + var loopCount = 0; + var startLocalTime = start.ConvertFromUtc(security.Exchange.TimeZone); + if (universe.UniverseSettings.Schedule.Initialized) { - const int maximumLookback = 60; - var loopCount = 0; - var startLocalTime = start.ConvertFromUtc(security.Exchange.TimeZone); - if (universe.UniverseSettings.Schedule.Initialized) + do { - do + // determine if there's a scheduled selection time at the current start local time date, note that next + // we get the previous day of the first scheduled date we find, so we are sure the data is available to trigger selection + if (universe.UniverseSettings.Schedule.Get(startLocalTime.Date, startLocalTime.Date).Any()) { - // determine if there's a scheduled selection time at the current start local time date, note that next - // we get the previous day of the first scheduled date we find, so we are sure the data is available to trigger selection - if (universe.UniverseSettings.Schedule.Get(startLocalTime.Date, startLocalTime.Date).Any()) - { - break; - } - startLocalTime = startLocalTime.AddDays(-1); - if (++loopCount >= maximumLookback) + break; + } + startLocalTime = startLocalTime.AddDays(-1); + if (++loopCount >= maximumLookback) + { + // fallback to the original, we found none + startLocalTime = algorithm.UtcTime.ConvertFromUtc(security.Exchange.TimeZone); + if (!_sentUniverseScheduleWarning) { - // fallback to the original, we found none - startLocalTime = algorithm.UtcTime.ConvertFromUtc(security.Exchange.TimeZone); - if (!_sentUniverseScheduleWarning) - { - // just in case - _sentUniverseScheduleWarning = true; - algorithm.Debug($"Warning: Found no valid start time for scheduled universe, will use default"); - } + // just in case + _sentUniverseScheduleWarning = true; + algorithm.Debug($"Warning: Found no valid start time for scheduled universe, will use default"); } - } while (loopCount < maximumLookback); - } - - startLocalTime = Time.GetStartTimeForTradeBars(security.Exchange.Hours, startLocalTime, - // disable universe selection on extended market hours, for example futures/index options have a sunday pre market we are not interested on - Time.OneDay, 1, extendedMarketHours: false, config.DataTimeZone, - LeanData.UseDailyStrictEndTimes(algorithm.Settings, config.Type, security.Symbol, Time.OneDay, security.Exchange.Hours)); - start = startLocalTime.ConvertToUtc(security.Exchange.TimeZone); + } + } while (loopCount < maximumLookback); } - AddSubscription( - new SubscriptionRequest(true, - universe, - security, - config, - start, - end)); + startLocalTime = Time.GetStartTimeForTradeBars(security.Exchange.Hours, startLocalTime, + // disable universe selection on extended market hours, for example futures/index options have a sunday pre market we are not interested on + Time.OneDay, 1, extendedMarketHours: false, config.DataTimeZone, + LeanData.UseDailyStrictEndTimes(algorithm.Settings, config.Type, security.Symbol, Time.OneDay, security.Exchange.Hours)); + start = startLocalTime.ConvertToUtc(security.Exchange.TimeZone); } + + AddSubscription( + new SubscriptionRequest(true, + universe, + security, + config, + start, + end)); break; case NotifyCollectionChangedAction.Remove: - foreach (var universe in args.OldItems.OfType()) + // removing the subscription will be handled by the SubscriptionSynchronizer + // in the next loop as well as executing a UniverseSelection one last time. + if (!universe.DisposeRequested) { - // removing the subscription will be handled by the SubscriptionSynchronizer - // in the next loop as well as executing a UniverseSelection one last time. - if (!universe.DisposeRequested) - { - universe.Dispose(); - } + universe.Dispose(); } break; @@ -197,7 +199,7 @@ public DataManager( .SelectMany(subscription => subscription.SubscriptionRequests) .ToList(); - if(requests.Count > 0) + if (requests.Count > 0) { Log.Trace($"DataManager(): Fill forward resolution has changed from {changedEvent.Old} to {changedEvent.New} at utc: {algorithm.UtcTime}. " + $"Restarting {requests.Count} subscriptions..."); @@ -275,7 +277,7 @@ public bool AddSubscription(SubscriptionRequest request) { // guarantee the configuration is present in our config collection // this is related to GH issue 3877: where we added a configuration which we also removed - if(_subscriptionManagerSubscriptions.TryAdd(request.Configuration, request.Configuration)) + if (_subscriptionManagerSubscriptions.TryAdd(request.Configuration, request.Configuration)) { _subscriptionDataConfigsEnumerator = null; } @@ -284,10 +286,14 @@ public bool AddSubscription(SubscriptionRequest request) Subscription subscription; if (DataFeedSubscriptions.TryGetValue(request.Configuration, out subscription)) { - // duplicate subscription request - subscription.AddSubscriptionRequest(request); - // only result true if the existing subscription is internal, we actually added something from the users perspective - return subscription.Configuration.IsInternalFeed; + if (!subscription.EndOfStream) + { + // duplicate subscription request + subscription.AddSubscriptionRequest(request); + // only result true if the existing subscription is internal, we actually added something from the users perspective + return subscription.Configuration.IsInternalFeed; + } + DataFeedSubscriptions.TryRemove(request.Configuration, out _); } if (request.Configuration.DataNormalizationMode == DataNormalizationMode.ScaledRaw) @@ -314,7 +320,7 @@ public bool AddSubscription(SubscriptionRequest request) Log.Trace($"DataManager.AddSubscription(): Added {request.Configuration}." + $" Start: {request.StartTimeUtc}. End: {request.EndTimeUtc}"); } - else if(Log.DebuggingEnabled) + else if (Log.DebuggingEnabled) { // for performance lets not create the message string if debugging is not enabled // this can be executed many times and its in the algorithm thread @@ -381,7 +387,7 @@ private bool RemoveSubscriptionInternal(SubscriptionDataConfig configuration, Un { Log.Trace($"DataManager.RemoveSubscription(): Removed {configuration}"); } - else if(Log.DebuggingEnabled) + else if (Log.DebuggingEnabled) { // for performance lets not create the message string if debugging is not enabled // this can be executed many times and its in the algorithm thread @@ -402,6 +408,7 @@ private bool RemoveSubscriptionInternal(SubscriptionDataConfig configuration, Un _subscriptionDataConfigsEnumerator = null; } } + return true; } return false; } @@ -437,7 +444,7 @@ public IEnumerable SubscriptionManagerSubscriptions { lock (_subscriptionManagerSubscriptions) { - if(_subscriptionDataConfigsEnumerator == null) + if (_subscriptionDataConfigsEnumerator == null) { _subscriptionDataConfigsEnumerator = _subscriptionManagerSubscriptions.Values.ToList(); } @@ -539,7 +546,7 @@ public SubscriptionDataConfig Add( ) { return Add(symbol, resolution, fillForward, extendedMarketHours, isFilteredSubscription, isInternalFeed, isCustomData, - new List> { new Tuple(dataType, LeanData.GetCommonTickTypeForCommonDataTypes(dataType, symbol.SecurityType))}, + new List> { new Tuple(dataType, LeanData.GetCommonTickTypeForCommonDataTypes(dataType, symbol.SecurityType)) }, dataNormalizationMode, dataMappingMode, contractDepthOffset) .First(); } diff --git a/Engine/DataFeeds/Enumerators/Factories/CorporateEventEnumeratorFactory.cs b/Engine/DataFeeds/Enumerators/Factories/CorporateEventEnumeratorFactory.cs index 3cd5d9fd5e98..0f1aea1cc03f 100644 --- a/Engine/DataFeeds/Enumerators/Factories/CorporateEventEnumeratorFactory.cs +++ b/Engine/DataFeeds/Enumerators/Factories/CorporateEventEnumeratorFactory.cs @@ -70,7 +70,10 @@ public static IEnumerator CreateEnumerators( tradableEventProviders.Add(new MappingEventProvider()); } - tradableEventProviders.Add(new DelistingEventProvider()); + if (config.CanBeDelisted()) + { + tradableEventProviders.Add(new DelistingEventProvider()); + } var enumerator = new AuxiliaryDataEnumerator( config, diff --git a/Engine/DataFeeds/Enumerators/Factories/TimeTriggeredUniverseSubscriptionEnumeratorFactory.cs b/Engine/DataFeeds/Enumerators/Factories/TimeTriggeredUniverseSubscriptionEnumeratorFactory.cs index fe6f05d6571b..a3330ff6d5c7 100644 --- a/Engine/DataFeeds/Enumerators/Factories/TimeTriggeredUniverseSubscriptionEnumeratorFactory.cs +++ b/Engine/DataFeeds/Enumerators/Factories/TimeTriggeredUniverseSubscriptionEnumeratorFactory.cs @@ -14,10 +14,7 @@ * */ -using System; -using System.Collections; using System.Collections.Generic; -using System.Collections.Specialized; using System.Linq; using QuantConnect.Data; using QuantConnect.Data.Market; @@ -34,7 +31,6 @@ namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators.Factories /// public class TimeTriggeredUniverseSubscriptionEnumeratorFactory : ISubscriptionEnumeratorFactory { - private readonly ITimeProvider _timeProvider; private readonly ITimeTriggeredUniverse _universe; private readonly MarketHoursDatabase _marketHoursDatabase; @@ -43,11 +39,9 @@ public class TimeTriggeredUniverseSubscriptionEnumeratorFactory : ISubscriptionE /// /// The user defined universe /// The market hours database - /// The time provider - public TimeTriggeredUniverseSubscriptionEnumeratorFactory(ITimeTriggeredUniverse universe, MarketHoursDatabase marketHoursDatabase, ITimeProvider timeProvider) + public TimeTriggeredUniverseSubscriptionEnumeratorFactory(ITimeTriggeredUniverse universe, MarketHoursDatabase marketHoursDatabase) { _universe = universe; - _timeProvider = timeProvider; _marketHoursDatabase = marketHoursDatabase; } @@ -59,105 +53,9 @@ public TimeTriggeredUniverseSubscriptionEnumeratorFactory(ITimeTriggeredUniverse /// An enumerator reading the subscription request public IEnumerator CreateEnumerator(SubscriptionRequest request, IDataProvider dataProvider) { - var enumerator = (IEnumerator) _universe.GetTriggerTimes(request.StartTimeUtc, request.EndTimeUtc, _marketHoursDatabase) + return _universe.GetTriggerTimes(request.StartTimeUtc, request.EndTimeUtc, _marketHoursDatabase) .Select(x => new Tick { Time = x, Symbol = request.Configuration.Symbol }) .GetEnumerator(); - - var universe = request.Universe as UserDefinedUniverse; - if (universe != null) - { - enumerator = new InjectionEnumerator(enumerator); - - // Trigger universe selection when security added/removed after Initialize - universe.CollectionChanged += (sender, args) => - { - // If it is an add we will set time 1 tick ahead to properly sync data - // with next timeslice, avoid emitting now twice, if it is a remove then we will set time to now - // we do the same in the 'DataManager' when handling FF resolution changes - IList items; - DateTime time; - if (args.Action == NotifyCollectionChangedAction.Add) - { - items = args.NewItems; - time = _timeProvider.GetUtcNow().AddTicks(1); - } - else if (args.Action == NotifyCollectionChangedAction.Remove) - { - items = args.OldItems; - time = _timeProvider.GetUtcNow(); - } - else - { - items = null; - time = DateTime.MinValue; - } - - // Check that we have our items and time - if (items == null || time == DateTime.MinValue) return; - - var symbol = items.OfType().FirstOrDefault(); - - if(symbol == null) return; - - // the data point time should always be in exchange timezone - time = time.ConvertFromUtc(request.Configuration.ExchangeTimeZone); - - var collection = new BaseDataCollection(time, symbol); - ((InjectionEnumerator) enumerator).InjectDataPoint(collection); - }; - } - - return enumerator; - } - - private class InjectionEnumerator : IEnumerator - { - private volatile bool _wasInjected; - private readonly IEnumerator _underlyingEnumerator; - - public BaseData Current { get; private set; } - - object IEnumerator.Current => Current; - - public InjectionEnumerator(IEnumerator underlyingEnumerator) - { - _underlyingEnumerator = underlyingEnumerator; - } - - public void InjectDataPoint(BaseData baseData) - { - // we use a lock because the main algorithm thread is the one injecting and the base exchange is the thread pulling MoveNext() - lock (_underlyingEnumerator) - { - _wasInjected = true; - Current = baseData; - } - } - - public void Dispose() - { - _underlyingEnumerator.Dispose(); - } - - public bool MoveNext() - { - lock (_underlyingEnumerator) - { - if (_wasInjected) - { - _wasInjected = false; - return true; - } - _underlyingEnumerator.MoveNext(); - Current = _underlyingEnumerator.Current; - return true; - } - } - - public void Reset() - { - _underlyingEnumerator.Reset(); - } } } } diff --git a/Engine/DataFeeds/Enumerators/FillForwardEnumerator.cs b/Engine/DataFeeds/Enumerators/FillForwardEnumerator.cs index 830a6c01a8a6..c3adc23019d0 100644 --- a/Engine/DataFeeds/Enumerators/FillForwardEnumerator.cs +++ b/Engine/DataFeeds/Enumerators/FillForwardEnumerator.cs @@ -18,6 +18,7 @@ using System.Collections; using System.Collections.Generic; using System.Linq; +using System.Runtime.CompilerServices; using NodaTime; using QuantConnect.Data; using QuantConnect.Data.Consolidators; @@ -332,22 +333,41 @@ protected virtual bool RequiresFillForwardData(TimeSpan fillForwardResolution, B if (nextEndTimeUtc < previousTimeUtc) { - Log.Error("FillForwardEnumerator received data out of order. Symbol: " + previous.Symbol.ID); + if (_lastPointTracker == null || next.EndTime > _subscriptionStartTime) + { + // in some cases we might emit auxiliary data even before our actual start time, which can happen in some cases during warmup + // where previous was initialized through the last point tracker, this point will be filtered out + // but in any other case though let's log it, shouldn't happen + Log.Error("FillForwardEnumerator received data out of order. Symbol: " + previous.Symbol.ID); + } fillForward = null; return false; } // check to see if the gap between previous and next warrants fill forward behavior - var nextPreviousTimeUtcDelta = nextTimeUtc - previousTimeUtc; - if (nextPreviousTimeUtcDelta <= fillForwardResolution && - nextPreviousTimeUtcDelta <= _dataResolution && - // even if there is no gap between the two data points, we still fill forward to ensure a FF bar is emitted at strict end time - !_strictEndTimeIntraDayFillForward) + if (!ShouldFillForward(previousTimeUtc, nextTimeUtc, fillForwardResolution)) { fillForward = null; return false; } + // Double check! + // This might be the last FF bar before the next data point, and it might not be to be + // emitted because it will overlap with the next point. + // If the previous point was fill forwarded, its time might have been rounded down, + // we need to compare apples to apples. + // (e.g. daily bars with times != midnight and without strict end times) + var nextPeriod = nextEndTimeUtc - nextTimeUtc; + if (previous.IsFillForward && (!UseStrictEndTime || nextPeriod <= Time.OneHour)) + { + var roundedNextTimeUtc = RoundDown(next.Time, nextPeriod).ConvertToUtc(Exchange.TimeZone); + if (!ShouldFillForward(previousTimeUtc, roundedNextTimeUtc, fillForwardResolution)) + { + fillForward = null; + return false; + } + } + var period = _dataResolution; if (UseStrictEndTime) { @@ -467,6 +487,16 @@ protected virtual bool RequiresFillForwardData(TimeSpan fillForwardResolution, B return false; } + [MethodImpl(MethodImplOptions.AggressiveInlining)] + private bool ShouldFillForward(DateTime previousTimeUtc, DateTime nextTimeUtc, TimeSpan fillForwardResolution) + { + var nextPreviousTimeUtcDelta = nextTimeUtc - previousTimeUtc; + return nextPreviousTimeUtcDelta > fillForwardResolution || + nextPreviousTimeUtcDelta > _dataResolution || + // even if there is no gap between the two data points, we still fill forward to ensure a FF bar is emitted at strict end time + _strictEndTimeIntraDayFillForward; + } + private IEnumerable GetSortedReferenceDateIntervals(BaseData previous, TimeSpan fillForwardResolution, TimeSpan dataResolution) { if (fillForwardResolution < dataResolution) diff --git a/Engine/DataFeeds/FileSystemDataFeed.cs b/Engine/DataFeeds/FileSystemDataFeed.cs index 5d179db39dbc..185f76375559 100644 --- a/Engine/DataFeeds/FileSystemDataFeed.cs +++ b/Engine/DataFeeds/FileSystemDataFeed.cs @@ -162,12 +162,6 @@ public virtual Subscription CreateSubscription(SubscriptionRequest request) enumerator = AddScheduleWrapper(request, enumerator, null); - if (request.IsUniverseSubscription && request.Universe is UserDefinedUniverse) - { - // for user defined universe we do not use a worker task, since calls to AddData can happen in any moment - // and we have to be able to inject selection data points into the enumerator - return SubscriptionUtils.Create(request, enumerator, _algorithm.Settings.DailyPreciseEndTime); - } return SubscriptionUtils.CreateAndScheduleWorker(request, enumerator, _factorFileProvider, true, _algorithm.Settings.DailyPreciseEndTime); } @@ -187,9 +181,7 @@ protected IEnumerator CreateUniverseEnumerator(SubscriptionRequest req ISubscriptionEnumeratorFactory factory = _subscriptionFactory; if (request.Universe is ITimeTriggeredUniverse) { - factory = new TimeTriggeredUniverseSubscriptionEnumeratorFactory(request.Universe as ITimeTriggeredUniverse, - _marketHoursDatabase, - _timeProvider); + factory = new TimeTriggeredUniverseSubscriptionEnumeratorFactory(request.Universe as ITimeTriggeredUniverse, _marketHoursDatabase); } else if (request.Configuration.Type == typeof(FundamentalUniverse)) { diff --git a/Engine/DataFeeds/LiveTradingDataFeed.cs b/Engine/DataFeeds/LiveTradingDataFeed.cs index df4991c9c147..4a4c829f3405 100644 --- a/Engine/DataFeeds/LiveTradingDataFeed.cs +++ b/Engine/DataFeeds/LiveTradingDataFeed.cs @@ -328,21 +328,21 @@ private Subscription CreateUniverseSubscription(SubscriptionRequest request) var tzOffsetProvider = new TimeZoneOffsetProvider(request.Configuration.ExchangeTimeZone, request.StartTimeUtc, request.EndTimeUtc); IEnumerator enumerator = null; - - var timeTriggered = request.Universe as ITimeTriggeredUniverse; - if (timeTriggered != null) + if (request.Universe is ITimeTriggeredUniverse timeTriggered) { Log.Trace($"LiveTradingDataFeed.CreateUniverseSubscription(): Creating user defined universe: {config.Symbol.ID}"); // spoof a tick on the requested interval to trigger the universe selection function - var enumeratorFactory = new TimeTriggeredUniverseSubscriptionEnumeratorFactory(timeTriggered, MarketHoursDatabase.FromDataFolder(), _frontierTimeProvider); + var enumeratorFactory = new TimeTriggeredUniverseSubscriptionEnumeratorFactory(timeTriggered, MarketHoursDatabase.FromDataFolder()); enumerator = enumeratorFactory.CreateEnumerator(request, _dataProvider); enumerator = new FrontierAwareEnumerator(enumerator, _timeProvider, tzOffsetProvider); - - var enqueueable = new EnqueueableEnumerator(); - _customExchange.AddEnumerator(new EnumeratorHandler(config.Symbol, enumerator, enqueueable)); - enumerator = enqueueable; + if (request.Universe is not UserDefinedUniverse) + { + var enqueueable = new EnqueueableEnumerator(); + _customExchange.AddEnumerator(new EnumeratorHandler(config.Symbol, enumerator, enqueueable)); + enumerator = enqueueable; + } } else if (config.Type.IsAssignableTo(typeof(ETFConstituentUniverse)) || config.Type.IsAssignableTo(typeof(FundamentalUniverse)) || diff --git a/Engine/DataFeeds/PendingRemovalsManager.cs b/Engine/DataFeeds/PendingRemovalsManager.cs index dfdb37406cd8..30fb33ddfc7a 100644 --- a/Engine/DataFeeds/PendingRemovalsManager.cs +++ b/Engine/DataFeeds/PendingRemovalsManager.cs @@ -26,13 +26,13 @@ namespace QuantConnect.Lean.Engine.DataFeeds /// public class PendingRemovalsManager { - private readonly Dictionary> _pendingRemovals; + private readonly Dictionary> _pendingRemovals; private readonly IOrderProvider _orderProvider; /// /// Current pending removals /// - public IReadOnlyDictionary> PendingRemovals => _pendingRemovals; + public IReadOnlyDictionary> PendingRemovals => _pendingRemovals; /// /// Create a new instance @@ -41,21 +41,23 @@ public class PendingRemovalsManager public PendingRemovalsManager(IOrderProvider orderProvider) { _orderProvider = orderProvider; - _pendingRemovals = new Dictionary>(); + _pendingRemovals = new Dictionary>(); } /// /// Determines if we can safely remove the security member from a universe. /// We must ensure that we have zero holdings, no open orders, and no existing portfolio targets /// - private bool IsSafeToRemove(Security member, Universe universe) + private bool IsSafeToRemove(Universe.Member member, Universe universe) { + var security = member.Security; + // but don't physically remove it from the algorithm if we hold stock or have open orders against it or an open target - var openOrders = _orderProvider.GetOpenOrders(x => x.Symbol == member.Symbol); - if (!member.HoldStock && !openOrders.Any() && (member.Holdings.Target == null || member.Holdings.Target.Quantity == 0)) + var openOrders = _orderProvider.GetOpenOrders(x => x.Symbol == security.Symbol); + if (!security.HoldStock && !openOrders.Any() && (security.Holdings.Target == null || security.Holdings.Target.Quantity == 0)) { if (universe.Securities.Any(pair => - pair.Key.Underlying == member.Symbol && !IsSafeToRemove(pair.Value.Security, universe))) + pair.Key.Underlying == security.Symbol && !IsSafeToRemove(pair.Value, universe))) { // don't remove if any member in the universe which uses this 'member' as underlying can't be removed // covers the options use case @@ -63,7 +65,7 @@ private bool IsSafeToRemove(Security member, Universe universe) } // don't remove if there are unsettled positions - var unsettledCash = member.SettlementModel.GetUnsettledCash(); + var unsettledCash = security.SettlementModel.GetUnsettledCash(); if (unsettledCash != default && unsettledCash.Amount > 0) { return false; @@ -82,11 +84,11 @@ private bool IsSafeToRemove(Security member, Universe universe) /// The security to remove /// The universe which the security is a member of /// The member to remove - public List TryRemoveMember(Security member, Universe universe) + public List TryRemoveMember(Universe.Member member, Universe universe) { if (IsSafeToRemove(member, universe)) { - return new List {new RemovedMember(universe, member)}; + return new List {new RemovedMember(universe, member.Security)}; } if (_pendingRemovals.ContainsKey(universe)) @@ -98,12 +100,33 @@ public List TryRemoveMember(Security member, Universe universe) } else { - _pendingRemovals.Add(universe, new List { member }); + _pendingRemovals.Add(universe, new List { member }); } return null; } + /// + /// Will check if the security is pending for removal + /// + /// The security + /// Whether it's an internal subscription + /// Whether the security is pending for removal + public bool IsPendingForRemoval(Security security, bool isInternal) + { + return _pendingRemovals.Values.Any(x => x.Any(y => y.IsInternal == isInternal && y.Security.Symbol == security.Symbol)); + } + + /// + /// Will check if the member is pending for removal + /// + /// The universe member + /// Whether the security is pending for removal + public bool IsPendingForRemoval(Universe.Member member) + { + return IsPendingForRemoval(member.Security, member.IsInternal); + } + /// /// Will check pending security removals /// @@ -119,22 +142,22 @@ public List CheckPendingRemovals( foreach (var kvp in _pendingRemovals.ToList()) { var universeRemoving = kvp.Key; - foreach (var security in kvp.Value.ToList()) + foreach (var member in kvp.Value.ToList()) { - var isSafeToRemove = IsSafeToRemove(security, universeRemoving); + var isSafeToRemove = IsSafeToRemove(member, universeRemoving); if (isSafeToRemove || // if we are re selecting it we remove it as a pending removal // else we might remove it when we do not want to do so universeRemoving == currentUniverse - && selectedSymbols.Contains(security.Symbol)) + && selectedSymbols.Contains(member.Security.Symbol)) { if (isSafeToRemove) { - result.Add(new RemovedMember(universeRemoving, security)); + result.Add(new RemovedMember(universeRemoving, member.Security)); } - _pendingRemovals[universeRemoving].Remove(security); + _pendingRemovals[universeRemoving].Remove(member); // if there are no more pending removals for this universe lets remove it if (!_pendingRemovals[universeRemoving].Any()) diff --git a/Engine/DataFeeds/Subscription.cs b/Engine/DataFeeds/Subscription.cs index 1a9ca6809111..3022fca327dd 100644 --- a/Engine/DataFeeds/Subscription.cs +++ b/Engine/DataFeeds/Subscription.cs @@ -134,6 +134,11 @@ public bool AddSubscriptionRequest(SubscriptionRequest subscriptionRequest) if (IsUniverseSelectionSubscription || subscriptionRequest.IsUniverseSubscription) { + if (subscriptionRequest.Universe is UserDefinedUniverse) + { + // for different reasons a user defined universe can trigger a subscription request, likes additions/removals + return false; + } throw new Exception("Subscription.AddSubscriptionRequest(): Universe selection" + " subscriptions should not have more than 1 SubscriptionRequest"); } diff --git a/Engine/DataFeeds/SubscriptionDataReader.cs b/Engine/DataFeeds/SubscriptionDataReader.cs index e2e8328324c0..6c84ac875e93 100644 --- a/Engine/DataFeeds/SubscriptionDataReader.cs +++ b/Engine/DataFeeds/SubscriptionDataReader.cs @@ -256,8 +256,13 @@ public void Initialize() _timeKeeper = new DateChangeTimeKeeper(_tradableDatesInDataTimeZone, _config, _exchangeHours, _delistingDate); _timeKeeper.NewExchangeDate += HandleNewTradableDate; - UpdateDataEnumerator(true); - + // we now have the map file associated and the delisting date. In some cases during warm up, + // the non warmup enumerator does not make sense cause the asset got delisted already + _endOfStream = _periodStart.Date > _delistingDate; + if (!_endOfStream) + { + UpdateDataEnumerator(true); + } _initialized = true; } diff --git a/Engine/DataFeeds/SubscriptionFrontierTimeProvider.cs b/Engine/DataFeeds/SubscriptionFrontierTimeProvider.cs index 6607bf6700f8..24a9f88782c0 100644 --- a/Engine/DataFeeds/SubscriptionFrontierTimeProvider.cs +++ b/Engine/DataFeeds/SubscriptionFrontierTimeProvider.cs @@ -1,4 +1,4 @@ -/* +/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * @@ -70,8 +70,7 @@ private void UpdateCurrentTime() // will add new universe selection data points when is has too // so lets move it next to check if there is any subscription.Current == null - && subscription.IsUniverseSelectionSubscription - && subscription.UtcStartTime != _utcNow) + && subscription.IsUniverseSelectionSubscription) { subscription.MoveNext(); } diff --git a/Engine/DataFeeds/SubscriptionUtils.cs b/Engine/DataFeeds/SubscriptionUtils.cs index c44afdc67335..db3007565e67 100644 --- a/Engine/DataFeeds/SubscriptionUtils.cs +++ b/Engine/DataFeeds/SubscriptionUtils.cs @@ -82,7 +82,7 @@ public static Subscription CreateAndScheduleWorker( } var exchangeHours = request.Security.Exchange.Hours; var enqueueable = new EnqueueableEnumerator(true); - var timeZoneOffsetProvider = new TimeZoneOffsetProvider(request.Configuration.ExchangeTimeZone, request.StartTimeUtc, request.EndTimeUtc); + var timeZoneOffsetProvider = new TimeZoneOffsetProvider(request.ExchangeHours.TimeZone, request.StartTimeUtc, request.EndTimeUtc); var subscription = new Subscription(request, enqueueable, timeZoneOffsetProvider); var config = subscription.Configuration; enablePriceScale = enablePriceScale && config.PricesShouldBeScaled(); diff --git a/Engine/DataFeeds/Transport/RestSubscriptionStreamReader.cs b/Engine/DataFeeds/Transport/RestSubscriptionStreamReader.cs index fd2e64e80896..23668cf155e8 100644 --- a/Engine/DataFeeds/Transport/RestSubscriptionStreamReader.cs +++ b/Engine/DataFeeds/Transport/RestSubscriptionStreamReader.cs @@ -1,4 +1,4 @@ -/* +/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * @@ -17,9 +17,9 @@ using System; using System.Collections.Generic; using System.IO; +using System.Net.Http; using QuantConnect.Interfaces; using QuantConnect.Logging; -using RestSharp; namespace QuantConnect.Lean.Engine.DataFeeds.Transport { @@ -28,8 +28,10 @@ namespace QuantConnect.Lean.Engine.DataFeeds.Transport /// public class RestSubscriptionStreamReader : IStreamReader { - private readonly RestClient _client; - private readonly RestRequest _request; + private static readonly HttpClient _client = new HttpClient(); + + private readonly string _baseUrl; + private readonly Dictionary _headers; private readonly bool _isLiveMode; private bool _delivered; @@ -51,18 +53,13 @@ public class RestSubscriptionStreamReader : IStreamReader /// True for live mode, false otherwise public RestSubscriptionStreamReader(string source, IEnumerable> headers, bool isLiveMode) { - _client = new RestClient(source); - _request = new RestRequest(Method.GET); - _isLiveMode = isLiveMode; - _delivered = false; - + _baseUrl = source; if (headers != null) { - foreach (var header in headers) - { - _request.AddHeader(header.Key, header.Value); - } + _headers = new Dictionary(headers); } + _isLiveMode = isLiveMode; + _delivered = false; } /// @@ -88,11 +85,10 @@ public string ReadLine() { try { - var response = _client.Execute(_request); - if (response != null) + if (_client.TryDownloadData(_baseUrl, out string data, out _, _headers)) { _delivered = true; - return response.Content; + return data; } } catch (Exception err) @@ -108,6 +104,7 @@ public string ReadLine() /// public void Dispose() { + _client.Dispose(); } } -} \ No newline at end of file +} diff --git a/Engine/DataFeeds/UniverseSelection.cs b/Engine/DataFeeds/UniverseSelection.cs index 14ca3bd5a3ab..6bb15037b785 100644 --- a/Engine/DataFeeds/UniverseSelection.cs +++ b/Engine/DataFeeds/UniverseSelection.cs @@ -207,13 +207,13 @@ public SecurityChanges ApplyUniverseSelection(Universe universe, DateTime dateTi // don't remove if the universe wants to keep him in if (!universe.CanRemoveMember(dateTimeUtc, security)) continue; - if (!member.Security.IsDelisted) + if (!member.Security.IsDelisted && !_pendingRemovalsManager.IsPendingForRemoval(member)) { // TODO: here we are not checking if other universes have this security still selected _securityChangesConstructor.Remove(member.Security, member.IsInternal); } - RemoveSecurityFromUniverse(_pendingRemovalsManager.TryRemoveMember(security, universe), + RemoveSecurityFromUniverse(_pendingRemovalsManager.TryRemoveMember(member, universe), dateTimeUtc, algorithmEndDateUtc); } @@ -313,6 +313,8 @@ public SecurityChanges ApplyUniverseSelection(Universe universe, DateTime dateTi Log.Debug("UniverseSelection.ApplyUniverseSelection(): " + dateTimeUtc + ": " + securityChanges); } + SeedAddedSecurities(securityChanges); + return securityChanges; } @@ -432,9 +434,11 @@ public SecurityChanges HandleDelisting(BaseData data, bool isInternalFeed) security.IsDelisted = true; security.Reset(); + _algorithm.Securities.Remove(data.Symbol); + // Add the security removal to the security changes but only if not pending for removal. // If pending, the removed change event was already emitted for this security - if (_algorithm.Securities.Remove(data.Symbol) && !_pendingRemovalsManager.PendingRemovals.Values.Any(x => x.Any(y => y.Symbol == data.Symbol))) + if (!_pendingRemovalsManager.IsPendingForRemoval(security, isInternalFeed)) { _securityChangesConstructor.Remove(security, isInternalFeed); @@ -496,12 +500,26 @@ private Security GetOrCreateSecurity(Dictionary pendingAdditio Security security; if (!pendingAdditions.TryGetValue(symbol, out security)) { - security = _securityService.CreateSecurity(symbol, new List(), universeSettings.Leverage, symbol.ID.SecurityType.IsOption(), underlying); + security = _securityService.CreateSecurity(symbol, + (List)null, + universeSettings.Leverage, + symbol.ID.SecurityType.IsOption(), + underlying, + // Securities will be seeded after all selections are applied + seedSecurity: false); pendingAdditions.Add(symbol, security); } return security; } + + private void SeedAddedSecurities(SecurityChanges changes) + { + if (_algorithm.Settings.SeedInitialPrices) + { + AlgorithmUtils.SeedSecurities(changes.AddedSecurities, _algorithm); + } + } } } diff --git a/Engine/HistoricalData/HistoryProviderManager.cs b/Engine/HistoricalData/HistoryProviderManager.cs index 116ee3b6201f..73b3c2b4df8d 100644 --- a/Engine/HistoricalData/HistoryProviderManager.cs +++ b/Engine/HistoricalData/HistoryProviderManager.cs @@ -17,9 +17,9 @@ using QuantConnect.Configuration; using QuantConnect.Data; using QuantConnect.Interfaces; -using QuantConnect.Lean.Engine.DataFeeds; using QuantConnect.Lean.Engine.DataFeeds.Enumerators; using QuantConnect.Logging; +using QuantConnect.Packets; using QuantConnect.Util; using System; using System.Collections.Generic; @@ -34,9 +34,11 @@ namespace QuantConnect.Lean.Engine.HistoricalData /// public class HistoryProviderManager : HistoryProviderBase { + private AlgorithmNodePacket _job; private IDataPermissionManager _dataPermissionManager; private IBrokerage _brokerage; private bool _initialized; + private bool _loggedEquityShortcutWarning; /// /// Collection of history providers being used @@ -70,6 +72,7 @@ public override void Initialize(HistoryProviderInitializeParameters parameters) throw new InvalidOperationException("BrokerageHistoryProvider can only be initialized once"); } _initialized = true; + _job = parameters.Job; var dataProvidersList = parameters.Job?.HistoryProvider.DeserializeList() ?? new List(); if (dataProvidersList.IsNullOrEmpty()) @@ -133,25 +136,37 @@ public override IEnumerable GetHistory(IEnumerable reques { List> historyEnumerators = new(_historyProviders.Count); - var historyRequets = new List(); + var historyRequests = new List(); foreach (var request in requests) { var config = request.ToSubscriptionDataConfig(); _dataPermissionManager?.AssertConfiguration(config, request.StartTimeLocal, request.EndTimeLocal); - historyRequets.Add(request); + historyRequests.Add(request); } foreach (var historyProvider in _historyProviders) { try { - var history = historyProvider.GetHistory(historyRequets, sliceTimeZone); + var history = historyProvider.GetHistory(historyRequests, sliceTimeZone); if (history == null) { // doesn't support this history request, that's okay continue; } historyEnumerators.Add(history.GetEnumerator()); + + if (_job != null && _job.DeploymentTarget == DeploymentTarget.CloudPlatform + && _historyProviders.Count > 1 && historyRequests.All(x => x.Symbol.SecurityType == SecurityType.Equity)) + { + if (!_loggedEquityShortcutWarning) + { + _loggedEquityShortcutWarning = true; + Log.Trace($"HistoryProviderManager.GetHistory(): using {_historyProviders[0].GetType().Name} provider for equity," + + $" skipping: [{string.Join(",", _historyProviders.Skip(1).Select(x => x.GetType().Name))}]"); + } + break; + } } catch (Exception e) { diff --git a/Engine/QuantConnect.Lean.Engine.csproj b/Engine/QuantConnect.Lean.Engine.csproj index 6ff44486c48d..5163599312dc 100644 --- a/Engine/QuantConnect.Lean.Engine.csproj +++ b/Engine/QuantConnect.Lean.Engine.csproj @@ -4,7 +4,7 @@ AnyCPU QuantConnect.Lean.Engine QuantConnect.Lean.Engine - net9.0 + net10.0 ..\ true publish\ @@ -41,12 +41,11 @@ - + - diff --git a/Engine/Results/BacktestingResultHandler.cs b/Engine/Results/BacktestingResultHandler.cs index 7d6367682c20..0fedbcde5402 100644 --- a/Engine/Results/BacktestingResultHandler.cs +++ b/Engine/Results/BacktestingResultHandler.cs @@ -417,24 +417,6 @@ public override void SetAlgorithm(IAlgorithm algorithm, decimal startingPortfoli ConfigureConsoleTextWriter(algorithm); } - /// - /// Handles updates to the algorithm's name - /// - /// The new name - public virtual void AlgorithmNameUpdated(string name) - { - Messages.Enqueue(new AlgorithmNameUpdatePacket(AlgorithmId, name)); - } - - /// - /// Sends a packet communicating an update to the algorithm's tags - /// - /// The new tags - public virtual void AlgorithmTagsUpdated(HashSet tags) - { - Messages.Enqueue(new AlgorithmTagsUpdatePacket(AlgorithmId, tags)); - } - /// /// Send a debug message back to the browser console. /// @@ -465,19 +447,6 @@ public virtual void LogMessage(string message) AddToLogStore(message); } - /// - /// Add message to LogStore - /// - /// Message to add - protected override void AddToLogStore(string message) - { - var messageToLog = Algorithm != null - ? Algorithm.Time.ToStringInvariant(DateFormat.UI) + " " + message - : "Algorithm Initialization: " + message; - - base.AddToLogStore(messageToLog); - } - /// /// Send an error message back to the browser highlighted in red with a stacktrace. /// diff --git a/Engine/Results/BaseResultsHandler.cs b/Engine/Results/BaseResultsHandler.cs index dc774d2ab1c0..9073484947b8 100644 --- a/Engine/Results/BaseResultsHandler.cs +++ b/Engine/Results/BaseResultsHandler.cs @@ -1030,6 +1030,7 @@ protected StatisticsResults GenerateStatisticsResults(CapacityEstimate estimated /// String message to store protected virtual void AddToLogStore(string message) { + message = Algorithm != null ? message : $"Algorithm Initialization: {message}"; lock (LogStore) { LogStore.Add(new LogEntry(message)); diff --git a/Engine/Results/LiveTradingResultHandler.cs b/Engine/Results/LiveTradingResultHandler.cs index 71be6dd23c15..6ea564e62da2 100644 --- a/Engine/Results/LiveTradingResultHandler.cs +++ b/Engine/Results/LiveTradingResultHandler.cs @@ -183,7 +183,6 @@ private void Update() //Create and send back the changes in chart since the algorithm started. var deltaCharts = new Dictionary(); - Log.Debug("LiveTradingResultHandler.Update(): Build delta charts"); var performanceCharts = new Dictionary(); lock (ChartLock) { @@ -210,19 +209,15 @@ private void Update() } } } - Log.Debug("LiveTradingResultHandler.Update(): End build delta charts"); //Profit loss changes, get the banner statistics, summary information on the performance for the headers. var serverStatistics = GetServerStatistics(utcNow); var holdings = GetHoldings(Algorithm.Securities.Values, Algorithm.SubscriptionManager.SubscriptionDataConfigService); //Add the algorithm statistics first. - Log.Debug("LiveTradingResultHandler.Update(): Build run time stats"); - - var summary = GenerateStatisticsResults(performanceCharts).Summary; - var runtimeStatistics = GetAlgorithmRuntimeStatistics(summary); - Log.Debug("LiveTradingResultHandler.Update(): End build run time stats"); + var statistics = GenerateStatisticsResults(performanceCharts); + var runtimeStatistics = GetAlgorithmRuntimeStatistics(statistics.Summary); // since we're sending multiple packets, let's do it async and forget about it // chart data can get big so let's break them up into groups @@ -252,7 +247,9 @@ private void Update() var deltaStatistics = new Dictionary(); var orders = new Dictionary(TransactionHandler.Orders); - var complete = new LiveResultPacket(_job, new LiveResult(new LiveResultParameters(chartComplete, orders, Algorithm.Transactions.TransactionRecord, holdings, Algorithm.Portfolio.CashBook, deltaStatistics, runtimeStatistics, orderEvents, serverStatistics, state: GetAlgorithmState()))); + var complete = new LiveResultPacket(_job, new LiveResult(new LiveResultParameters(chartComplete, orders, + Algorithm.Transactions.TransactionRecord, holdings, Algorithm.Portfolio.CashBook, deltaStatistics, + runtimeStatistics, orderEvents, statistics.TotalPerformance, serverStatistics, state: GetAlgorithmState()))); StoreResult(complete); _nextChartsUpdate = DateTime.UtcNow.Add(ChartUpdateInterval); Log.Debug("LiveTradingResultHandler.Update(): End-store result"); @@ -561,17 +558,6 @@ public void LogMessage(string message) AddToLogStore(message); } - /// - /// Save an algorithm message to the log store. Uses a different timestamped method of adding messaging to interweve debug and logging messages. - /// - /// String message to send to browser. - protected override void AddToLogStore(string message) - { - Log.Debug("LiveTradingResultHandler.AddToLogStore(): Adding"); - base.AddToLogStore(DateTime.Now.ToStringInvariant(DateFormat.UI) + " " + message); - Log.Debug("LiveTradingResultHandler.AddToLogStore(): Finished adding"); - } - /// /// Send an error message back to the browser console and highlight it read. /// @@ -624,7 +610,6 @@ protected override void Sample(string chartName, string seriesName, int seriesIn return; } - Log.Debug("LiveTradingResultHandler.Sample(): Sampling " + chartName + "." + seriesName); lock (ChartLock) { //Add a copy locally: @@ -644,7 +629,6 @@ protected override void Sample(string chartName, string seriesName, int seriesIn //Add our value: series.Values.Add(value); } - Log.Debug("LiveTradingResultHandler.Sample(): Done sampling " + chartName + "." + seriesName); } /// @@ -654,7 +638,6 @@ protected override void Sample(string chartName, string seriesName, int seriesIn /// protected void SampleRange(IEnumerable updates) { - Log.Debug("LiveTradingResultHandler.SampleRange(): Begin sampling"); lock (ChartLock) { foreach (var update in updates) @@ -690,7 +673,6 @@ protected void SampleRange(IEnumerable updates) } } } - Log.Debug("LiveTradingResultHandler.SampleRange(): Finished sampling"); } /// @@ -780,7 +762,7 @@ protected void SendFinalResult() result = new LiveResultPacket(_job, new LiveResult(new LiveResultParameters(charts, orders, profitLoss, new Dictionary(), Algorithm.Portfolio.CashBook, statisticsResults.Summary, runtime, GetOrderEventsToStore(), - algorithmConfiguration: AlgorithmConfiguration.Create(Algorithm, null), state: endState))); + algorithmConfiguration: AlgorithmConfiguration.Create(Algorithm, null), state: endState, totalPerformance: statisticsResults.TotalPerformance))); } else { @@ -873,8 +855,15 @@ protected override void StoreResult(Packet packet) // swap out our charts with the sampled data minuteCharts.Remove(PortfolioMarginKey); live.Results.Charts = minuteCharts; + + var totalPerformance = live.Results.TotalPerformance; + live.Results.TotalPerformance = null; // we don't need to save this in minute data + SaveResults(CreateKey("minute"), live.Results); + // restore total performance + live.Results.TotalPerformance = totalPerformance; + // 10 minute resolution data, save today var tenminuteSampler = new SeriesSampler(TimeSpan.FromMinutes(10)); var tenminuteCharts = tenminuteSampler.SampleCharts(live.Results.Charts, start, stop); @@ -1002,6 +991,14 @@ private static void Truncate(LiveResult result, DateTime start, DateTime stop) (x.LastUpdateTime != null && x.LastUpdateTime >= start && x.LastUpdateTime <= stop) ).ToDictionary(x => x.Id); + var closedTrades = result.TotalPerformance?.ClosedTrades; + if (closedTrades != null && closedTrades.Count > 0) + { + result.TotalPerformance.ClosedTrades = closedTrades + .Where(x => x.ExitTime >= start && x.ExitTime <= stop) + .ToList(); + } + //Log.Trace("LiveTradingResultHandler.Truncate: Truncate Outgoing: " + result.Charts["Strategy Equity"].Series["Equity"].Values.Count); } @@ -1058,8 +1055,6 @@ public virtual void ProcessSynchronousEvents(bool forceProcess = false) if (time > _nextSample || forceProcess) { - Log.Debug("LiveTradingResultHandler.ProcessSynchronousEvents(): Enter"); - //Set next sample time: 4000 samples per backtest _nextSample = time.Add(ResamplePeriod); @@ -1101,8 +1096,6 @@ public virtual void ProcessSynchronousEvents(bool forceProcess = false) } } } - - Log.Debug("LiveTradingResultHandler.ProcessSynchronousEvents(): Exit"); } /// diff --git a/Engine/Setup/BaseSetupHandler.cs b/Engine/Setup/BaseSetupHandler.cs index 7fc933084e64..44998da47fc9 100644 --- a/Engine/Setup/BaseSetupHandler.cs +++ b/Engine/Setup/BaseSetupHandler.cs @@ -29,7 +29,6 @@ using QuantConnect.Lean.Engine.DataFeeds; using QuantConnect.Data.UniverseSelection; using QuantConnect.Lean.Engine.DataFeeds.WorkScheduling; -using HistoryRequest = QuantConnect.Data.HistoryRequest; using QuantConnect.Securities; namespace QuantConnect.Lean.Engine.Setup @@ -99,95 +98,13 @@ public static void SetupCurrencyConversions( .Distinct() .ToList(); - var historyRequestFactory = new HistoryRequestFactory(algorithm); - var historyRequests = new List(); - foreach (var security in securitiesToUpdate) - { - var configs = algorithm - .SubscriptionManager - .SubscriptionDataConfigService - .GetSubscriptionDataConfigs(security.Symbol, - includeInternalConfigs: true); - - // we need to order and select a specific configuration type - // so the conversion rate is deterministic - var configToUse = configs.OrderBy(x => x.TickType).First(); - var hours = security.Exchange.Hours; - - var resolution = configs.GetHighestResolution(); - var startTime = historyRequestFactory.GetStartTimeAlgoTz( - security.Symbol, - 60, - resolution, - hours, - configToUse.DataTimeZone, - configToUse.Type); - var endTime = algorithm.Time; - - historyRequests.Add(historyRequestFactory.CreateHistoryRequest( - configToUse, - startTime, - endTime, - security.Exchange.Hours, - resolution)); - } - - // Attempt to get history for these requests and update cash - var slices = algorithm.HistoryProvider.GetHistory(historyRequests, algorithm.TimeZone); - slices.PushThrough(data => - { - foreach (var security in securitiesToUpdate.Where(x => x.Symbol == data.Symbol)) - { - security.SetMarketPrice(data); - } - }); + AlgorithmUtils.SeedSecurities(securitiesToUpdate, algorithm); foreach (var cash in cashToUpdate) { cash.Update(); } - // Any remaining unassigned cash will attempt to fall back to a daily resolution history request to resolve - var unassignedCash = cashToUpdate.Where(x => x.ConversionRate == 0).ToList(); - if (unassignedCash.Any()) - { - Log.Trace( - $"Failed to assign conversion rates for the following cash: {string.Join(",", unassignedCash.Select(x => x.Symbol))}." + - $" Attempting to request daily resolution history to resolve conversion rate"); - - var unassignedCashSymbols = unassignedCash - .SelectMany(x => x.SecuritySymbols) - .ToHashSet(); - - var replacementHistoryRequests = new List(); - foreach (var request in historyRequests.Where(x => - unassignedCashSymbols.Contains(x.Symbol) && x.Resolution < Resolution.Daily)) - { - var newRequest = new HistoryRequest(request.EndTimeUtc.AddDays(-10), request.EndTimeUtc, - request.DataType, - request.Symbol, Resolution.Daily, request.ExchangeHours, request.DataTimeZone, - request.FillForwardResolution, - request.IncludeExtendedMarketHours, request.IsCustomData, request.DataNormalizationMode, - request.TickType); - - replacementHistoryRequests.Add(newRequest); - } - - slices = algorithm.HistoryProvider.GetHistory(replacementHistoryRequests, algorithm.TimeZone); - slices.PushThrough(data => - { - foreach (var security in securitiesToUpdate.Where(x => x.Symbol == data.Symbol)) - { - security.SetMarketPrice(data); - } - }); - - foreach (var cash in unassignedCash) - { - cash.Update(); - } - } - Log.Trace($"BaseSetupHandler.SetupCurrencyConversions():{Environment.NewLine}" + $"Account Type: {algorithm.BrokerageModel.AccountType}{Environment.NewLine}{Environment.NewLine}{algorithm.Portfolio.CashBook}"); // this is useful for debugging diff --git a/Engine/Setup/BrokerageSetupHandler.cs b/Engine/Setup/BrokerageSetupHandler.cs index e79a8fa46c10..d642c48d459d 100644 --- a/Engine/Setup/BrokerageSetupHandler.cs +++ b/Engine/Setup/BrokerageSetupHandler.cs @@ -218,7 +218,7 @@ public bool Setup(SetupHandlerParameters parameters) Log.Trace($"BrokerageSetupHandler.Setup(): {message}"); - algorithm.Debug(message); + parameters.ResultHandler.DebugMessage(message); if (accountCurrency != null && accountCurrency != algorithm.AccountCurrency) { algorithm.SetAccountCurrency(accountCurrency); @@ -375,8 +375,13 @@ private bool LoadCashBalance(IBrokerage brokerage, IAlgorithm algorithm) var cashBalance = brokerage.GetCashBalance(); foreach (var cash in cashBalance) { - Log.Trace($"BrokerageSetupHandler.Setup(): Setting {cash.Currency} cash to {cash.Amount}"); + if (!CashAmountUtil.ShouldAddCashBalance(cash, algorithm.AccountCurrency)) + { + Log.Trace($"BrokerageSetupHandler.Setup(): Skipping {cash.Currency} cash because quantity is zero"); + continue; + } + Log.Trace($"BrokerageSetupHandler.Setup(): Setting {cash.Currency} cash to {cash.Amount}"); algorithm.Portfolio.SetCash(cash.Currency, cash.Amount, 0); } } diff --git a/Engine/TransactionHandlers/BrokerageTransactionHandler.cs b/Engine/TransactionHandlers/BrokerageTransactionHandler.cs index 25101d47ea50..56ba6b48b31e 100644 --- a/Engine/TransactionHandlers/BrokerageTransactionHandler.cs +++ b/Engine/TransactionHandlers/BrokerageTransactionHandler.cs @@ -1535,7 +1535,7 @@ private void HandleDelistingNotification(DelistingNotificationEventArgs e) { Log.Trace( $"BrokerageTransactionHandler.HandleDelistingNotification(): UtcTime: {CurrentTimeUtc} clearing position for delisted holding: " + - $"Symbol: {e.Symbol.Value}, " + + $"{e}, " + $"Quantity: {security.Holdings.Quantity}"); } diff --git a/Indicators/AccelerationBands.cs b/Indicators/AccelerationBands.cs index f57125b522b6..3dc3e9799de2 100644 --- a/Indicators/AccelerationBands.cs +++ b/Indicators/AccelerationBands.cs @@ -1,4 +1,4 @@ -/* +/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * @@ -69,8 +69,10 @@ public AccelerationBands(string name, int period, decimal width, /// /// The period of the three moving average (middle, upper and lower band). /// A coefficient specifying the distance between the middle band and upper or lower bands. - public AccelerationBands(int period, decimal width) - : this($"ABANDS({period},{width})", period, width) + /// Type of the moving average. + public AccelerationBands(int period, decimal width, + MovingAverageType movingAverageType = MovingAverageType.Simple) + : this($"ABANDS({period},{width},{movingAverageType})", period, width, movingAverageType) { } @@ -122,4 +124,4 @@ protected override decimal ComputeNextValue(IBaseDataBar input) return MiddleBand.Current.Value; } } -} \ No newline at end of file +} diff --git a/Indicators/AdvanceDeclineDifference.cs b/Indicators/AdvanceDeclineDifference.cs index ef53cef51c76..88424a847739 100644 --- a/Indicators/AdvanceDeclineDifference.cs +++ b/Indicators/AdvanceDeclineDifference.cs @@ -26,7 +26,7 @@ public class AdvanceDeclineDifference : AdvanceDeclineIndicator /// /// Initializes a new instance of the class /// - public AdvanceDeclineDifference(string name) + public AdvanceDeclineDifference(string name = "A/D Difference") : base(name, (entries) => entries.Count(), (advance, decline) => advance - decline) { } } } diff --git a/Indicators/AdvanceDeclineRatio.cs b/Indicators/AdvanceDeclineRatio.cs index 3e06f0149ee1..47d7f6dd3c73 100644 --- a/Indicators/AdvanceDeclineRatio.cs +++ b/Indicators/AdvanceDeclineRatio.cs @@ -27,7 +27,7 @@ public class AdvanceDeclineRatio : AdvanceDeclineIndicator /// /// Initializes a new instance of the class /// - public AdvanceDeclineRatio(string name) + public AdvanceDeclineRatio(string name = "A/D Ratio") : base(name, (entries) => entries.Count(), (advance, decline) => decline == 0m ? advance : advance / decline) { } } } diff --git a/Indicators/AdvanceDeclineVolumeRatio.cs b/Indicators/AdvanceDeclineVolumeRatio.cs index 6b4fa3861b3b..82c6f42f374e 100644 --- a/Indicators/AdvanceDeclineVolumeRatio.cs +++ b/Indicators/AdvanceDeclineVolumeRatio.cs @@ -27,7 +27,7 @@ public class AdvanceDeclineVolumeRatio : AdvanceDeclineIndicator /// /// Initializes a new instance of the class /// - public AdvanceDeclineVolumeRatio(string name) + public AdvanceDeclineVolumeRatio(string name = "A/D Volume Rate") : base(name, (entries) => entries.Sum(x => x.Volume), (advance, decline) => decline == 0m ? advance : advance / decline) { } } } diff --git a/Indicators/ArmsIndex.cs b/Indicators/ArmsIndex.cs index 9defc00fc332..e197b140e9fa 100644 --- a/Indicators/ArmsIndex.cs +++ b/Indicators/ArmsIndex.cs @@ -40,7 +40,7 @@ public class ArmsIndex : TradeBarIndicator, IIndicatorWarmUpPeriodProvider /// /// Initializes a new instance of the class /// - public ArmsIndex(string name) : base(name) + public ArmsIndex(string name = "TRIN") : base(name) { ADRatio = new AdvanceDeclineRatio(name + "_A/D Ratio"); ADVRatio = new AdvanceDeclineVolumeRatio(name + "_A/D Volume Ratio"); diff --git a/Indicators/ChaikinMoneyFlow.cs b/Indicators/ChaikinMoneyFlow.cs index a85800df4de1..74f2295a9ea0 100644 --- a/Indicators/ChaikinMoneyFlow.cs +++ b/Indicators/ChaikinMoneyFlow.cs @@ -67,13 +67,22 @@ public override void Reset() /// A name for the indicator /// The period over which to perform computation public ChaikinMoneyFlow(string name, int period) - : base($"CMF({name})") + : base(name) { WarmUpPeriod = period; _flowRatioSum = new Sum(period); _volumeSum = new Sum(period); } + /// + /// Initializes a new instance of the ChaikinMoneyFlow class + /// + /// The period over which to perform computation + public ChaikinMoneyFlow(int period) + : this($"CMF({period})", period) + { + } + /// /// Computes the next value for this indicator from the given state. /// @@ -92,4 +101,4 @@ protected override decimal ComputeNextValue(TradeBar input) return !IsReady || _volumeSum == 0m ? 0m : _flowRatioSum / _volumeSum; } } -} \ No newline at end of file +} diff --git a/Indicators/Covariance.cs b/Indicators/Covariance.cs new file mode 100644 index 000000000000..ee3a85a003cf --- /dev/null +++ b/Indicators/Covariance.cs @@ -0,0 +1,134 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. +*/ + +using System; +using QuantConnect.Data.Market; +using MathNet.Numerics.Statistics; + +namespace QuantConnect.Indicators +{ + /// + /// This indicator computes the Covariance of two assets using the given Look-Back period. + /// The Covariance of two assets is a measure of their co-movement. + /// + public class Covariance : DualSymbolIndicator + { + /// + /// RollingWindow of returns of the target symbol in the given period + /// + private readonly RollingWindow _targetReturns; + + /// + /// RollingWindow of returns of the reference symbol in the given period + /// + private readonly RollingWindow _referenceReturns; + + /// + /// Gets a flag indicating when the indicator is ready and fully initialized + /// + public override bool IsReady => _targetReturns.IsReady && _referenceReturns.IsReady; + + /// + /// Creates a new Covariance indicator with the specified name, target, reference, + /// and period values + /// + /// The name of this indicator + /// The target symbol of this indicator + /// The period of this indicator + /// The reference symbol of this indicator + public Covariance(string name, Symbol targetSymbol, Symbol referenceSymbol, int period) + : base(name, targetSymbol, referenceSymbol, 2) + { + // Assert the period is greater than two, otherwise the covariance can not be computed + if (period < 2) + { + throw new ArgumentException($"Period parameter for Covariance indicator must be greater than 2 but was {period}."); + } + + _targetReturns = new RollingWindow(period); + _referenceReturns = new RollingWindow(period); + WarmUpPeriod += (period - 2) + 1; + } + + /// + /// Creates a new Covariance indicator with the specified target, reference, + /// and period values + /// + /// The target symbol of this indicator + /// The period of this indicator + /// The reference symbol of this indicator + public Covariance(Symbol targetSymbol, Symbol referenceSymbol, int period) + : this($"COV({period})", targetSymbol, referenceSymbol, period) + { + } + + /// + /// Creates a new Covariance indicator with the specified name, period, target and + /// reference values + /// + /// The name of this indicator + /// The period of this indicator + /// The target symbol of this indicator + /// The reference symbol of this indicator + /// Constructor overload for backward compatibility. + public Covariance(string name, int period, Symbol targetSymbol, Symbol referenceSymbol) + : this(name, targetSymbol, referenceSymbol, period) + { + } + + /// + /// Computes the returns with the new given data point and the last given data point + /// + /// The collection of data points from which we want + /// to compute the return + /// The returns with the new given data point + private static double GetNewReturn(IReadOnlyWindow rollingWindow) + { + return (double)(rollingWindow[0].Close.SafeDivision(rollingWindow[1].Close) - 1); + } + + /// + /// Computes the covariance value of the target in relation with the reference + /// using the target and reference returns + /// + protected override decimal ComputeIndicator() + { + if (TargetDataPoints.IsReady) + { + _targetReturns.Add(GetNewReturn(TargetDataPoints)); + } + + if (ReferenceDataPoints.IsReady) + { + _referenceReturns.Add(GetNewReturn(ReferenceDataPoints)); + } + + var covarianceComputed = _targetReturns.Covariance(_referenceReturns); + + // Avoid division with NaN or by zero + return (decimal)(!covarianceComputed.IsNaNOrZero() ? covarianceComputed : 0); + } + + /// + /// Resets this indicator to its initial state + /// + public override void Reset() + { + _targetReturns.Reset(); + _referenceReturns.Reset(); + base.Reset(); + } + } +} diff --git a/Indicators/DerivativeOscillator.cs b/Indicators/DerivativeOscillator.cs index 7ef7db1aa9d9..d6539b4cd1b0 100644 --- a/Indicators/DerivativeOscillator.cs +++ b/Indicators/DerivativeOscillator.cs @@ -53,6 +53,18 @@ public DerivativeOscillator(string name, int rsiPeriod, int smoothingRsiPeriod, WarmUpPeriod = (rsiPeriod + smoothingRsiPeriod + doubleSmoothingRsiPeriod + signalLinePeriod - 3) + 1; } + /// + /// Initializes a new instance of the IndicatorDerivativeOscillator class with the specified name and periods. + /// + /// The period for the RSI calculation + /// The period for the smoothing RSI + /// The period for the double smoothing RSI + /// The period for the signal line + public DerivativeOscillator(int rsiPeriod, int smoothingRsiPeriod, int doubleSmoothingRsiPeriod, int signalLinePeriod) + : this($"DO({rsiPeriod},{smoothingRsiPeriod},{doubleSmoothingRsiPeriod},{signalLinePeriod})", rsiPeriod, smoothingRsiPeriod, doubleSmoothingRsiPeriod, signalLinePeriod) + { + } + /// /// Computes the next value for the derivative oscillator indicator from the given state /// diff --git a/Indicators/FilteredIdentity.cs b/Indicators/FilteredIdentity.cs index 195a0227361c..e183cd131531 100644 --- a/Indicators/FilteredIdentity.cs +++ b/Indicators/FilteredIdentity.cs @@ -41,11 +41,27 @@ public FilteredIdentity(string name, Func filter) _filter = filter ?? (x => true); } + /// + /// Initializes a new instance of the FilteredIdentity indicator with the specified name + /// + /// Filters the IBaseData send into the indicator, if null defaults to true (x => true) which means no filter + public FilteredIdentity(Func filter) : this("", filter) { } + + /// + /// Initializes a new instance of the FilteredIdentity indicator with the specified name + /// + /// The name of the indicator + /// Filters the IBaseData send into the indicator, if null defaults to true (x => true) which means no filter public FilteredIdentity(string name, PyObject filter) : this(name, filter.SafeAs>()) { } + /// + /// Initializes a new instance of the FilteredIdentity indicator with the specified name + /// + /// Filters the IBaseData send into the indicator, if null defaults to true (x => true) which means no filter + public FilteredIdentity(PyObject filter) : this("", filter) { } /// /// Gets a flag indicating when this indicator is ready and fully initialized diff --git a/Indicators/HurstExponent.cs b/Indicators/HurstExponent.cs index 4e41d93c4cb3..a36c10de8b72 100644 --- a/Indicators/HurstExponent.cs +++ b/Indicators/HurstExponent.cs @@ -55,7 +55,7 @@ public class HurstExponent : Indicator, IIndicatorWarmUpPeriodProvider /// The maximum lag to consider for time series analysis. public HurstExponent(string name, int period, int maxLag = 20) : base(name) { - if (maxLag < 2) + if (maxLag < 3) { throw new ArgumentException("The maxLag parameter must be greater than 2 to compute the Hurst Exponent.", nameof(maxLag)); } @@ -63,7 +63,7 @@ public HurstExponent(string name, int period, int maxLag = 20) : base(name) _timeLags = new List(); // Precompute logarithms of time lags and their squares for regression calculations - for (var i = 2; i < maxLag; i++) + for (var i = 2; i <= maxLag; i++) { var logTimeLag = (decimal)Math.Log(i); _timeLags.Add(i); diff --git a/Indicators/IchimokuKinkoHyo.cs b/Indicators/IchimokuKinkoHyo.cs index 6f7cbdadaba2..5c366ce678d8 100644 --- a/Indicators/IchimokuKinkoHyo.cs +++ b/Indicators/IchimokuKinkoHyo.cs @@ -147,51 +147,18 @@ public IchimokuKinkoHyo(string name, int tenkanPeriod = 9, int kijunPeriod = 26, KijunMinimum = new Minimum(name + "_KijunMin", kijunPeriod); SenkouBMaximum = new Maximum(name + "_SenkouBMaximum", senkouBPeriod); SenkouBMinimum = new Minimum(name + "_SenkouBMinimum", senkouBPeriod); - DelayedTenkanSenkouA = new Delay(name + "DelayedTenkan", senkouADelayPeriod); - DelayedKijunSenkouA = new Delay(name + "DelayedKijun", senkouADelayPeriod); - DelayedMaximumSenkouB = new Delay(name + "DelayedMax", senkouBDelayPeriod); - DelayedMinimumSenkouB = new Delay(name + "DelayedMin", senkouBDelayPeriod); - Chikou = new Delay(name + "_Chikou", senkouADelayPeriod); - - SenkouA = new FunctionalIndicator( - name + "_SenkouA", - input => SenkouA.IsReady ? (DelayedTenkanSenkouA.Current.Value + DelayedKijunSenkouA.Current.Value) / 2 : decimal.Zero, - senkouA => DelayedTenkanSenkouA.IsReady && DelayedKijunSenkouA.IsReady, - () => - { - Tenkan.Reset(); - Kijun.Reset(); - }); + DelayedMaximumSenkouB = new Delay(name + "DelayedMax", senkouBDelayPeriod).Of(SenkouBMaximum); + DelayedMinimumSenkouB = new Delay(name + "DelayedMin", senkouBDelayPeriod).Of(SenkouBMinimum); - SenkouB = new FunctionalIndicator( - name + "_SenkouB", - input => SenkouB.IsReady ? (DelayedMaximumSenkouB.Current.Value + DelayedMinimumSenkouB.Current.Value) / 2 : decimal.Zero, - senkouA => DelayedMaximumSenkouB.IsReady && DelayedMinimumSenkouB.IsReady, - () => - { - Tenkan.Reset(); - Kijun.Reset(); - }); + Tenkan = TenkanMaximum.Plus(TenkanMinimum).Over(2m); + DelayedTenkanSenkouA = new Delay(name + "DelayedTenkan", senkouADelayPeriod).Of(Tenkan); - Tenkan = new FunctionalIndicator( - name + "_Tenkan", - input => Tenkan.IsReady ? (TenkanMaximum.Current.Value + TenkanMinimum.Current.Value) / 2 : decimal.Zero, - tenkan => TenkanMaximum.IsReady && TenkanMinimum.IsReady, - () => - { - TenkanMaximum.Reset(); - TenkanMinimum.Reset(); - }); + Kijun = KijunMaximum.Plus(KijunMinimum).Over(2m); + DelayedKijunSenkouA = new Delay(name + "DelayedKijun", senkouADelayPeriod).Of(Kijun); - Kijun = new FunctionalIndicator( - name + "_Kijun", - input => Kijun.IsReady ? (KijunMaximum.Current.Value + KijunMinimum.Current.Value) / 2 : decimal.Zero, - kijun => KijunMaximum.IsReady && KijunMinimum.IsReady, - () => - { - KijunMaximum.Reset(); - KijunMinimum.Reset(); - }); + SenkouA = DelayedTenkanSenkouA.Plus(DelayedKijunSenkouA).Over(2m); + SenkouB = DelayedMaximumSenkouB.Plus(DelayedMinimumSenkouB).Over(2m); + Chikou = new Delay(name + "_Chikou", senkouADelayPeriod); } /// @@ -212,22 +179,10 @@ protected override decimal ComputeNextValue(IBaseDataBar input) { TenkanMaximum.Update(input.EndTime, input.High); TenkanMinimum.Update(input.EndTime, input.Low); - Tenkan.Update(input.EndTime, input.Close); - if (Tenkan.IsReady) DelayedTenkanSenkouA.Update(input.EndTime, Tenkan.Current.Value); - KijunMaximum.Update(input.EndTime, input.High); KijunMinimum.Update(input.EndTime, input.Low); - Kijun.Update(input.EndTime, input.Close); - if (Kijun.IsReady) DelayedKijunSenkouA.Update(input.EndTime, Kijun.Current.Value); - - SenkouA.Update(input.EndTime, input.Close); - - SenkouB.Update(input.EndTime, input.Close); SenkouBMaximum.Update(input.EndTime, input.High); - if (SenkouBMaximum.IsReady) DelayedMaximumSenkouB.Update(input.EndTime, SenkouBMaximum.Current.Value); SenkouBMinimum.Update(input.EndTime, input.Low); - if (SenkouBMinimum.IsReady) DelayedMinimumSenkouB.Update(input.EndTime, SenkouBMinimum.Current.Value); - Chikou.Update(input.EndTime, input.Close); return input.Close; diff --git a/Indicators/Identity.cs b/Indicators/Identity.cs index ec9dd383ea07..9a0498577cf7 100644 --- a/Indicators/Identity.cs +++ b/Indicators/Identity.cs @@ -25,7 +25,7 @@ public class Identity : Indicator, IIndicatorWarmUpPeriodProvider /// Initializes a new instance of the Identity indicator with the specified name /// /// The name of the indicator - public Identity(string name) + public Identity(string name = "") : base(name) { } diff --git a/Indicators/IntradayVwap.cs b/Indicators/IntradayVwap.cs index b1058802ab4c..58011e261724 100644 --- a/Indicators/IntradayVwap.cs +++ b/Indicators/IntradayVwap.cs @@ -1,4 +1,4 @@ -using System; +using System; using QuantConnect.Data; using QuantConnect.Data.Market; @@ -22,7 +22,7 @@ public class IntradayVwap : IndicatorBase /// Initializes a new instance of the class /// /// The name of the indicator - public IntradayVwap(string name) + public IntradayVwap(string name = "VWAP") : base(name) { } @@ -98,4 +98,4 @@ protected bool TryGetVolumeAndAveragePrice(BaseData input, out decimal volume, o return false; } } -} \ No newline at end of file +} diff --git a/Indicators/NewHighsNewLows.cs b/Indicators/NewHighsNewLows.cs new file mode 100644 index 000000000000..5c69fc4e182c --- /dev/null +++ b/Indicators/NewHighsNewLows.cs @@ -0,0 +1,340 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. +*/ + +using QuantConnect.Data.Market; +using System; +using System.Collections; +using System.Collections.Generic; +using System.Linq; + +namespace QuantConnect.Indicators +{ + /// + /// The NewHighsNewLows is a New Highs / New Lows indicator that accepts IBaseDataBar data as its input. + /// + /// This type is more of a shim/typedef to reduce the need to refer to things as NewHighsNewLows<IBaseDataBar> + /// + public class NewHighsNewLows : NewHighsNewLows + { + /// + /// Initializes a new instance of the class + /// + public NewHighsNewLows(string name, int period) : base(name, period) + { + } + } + + /// + /// The New Highs - New Lows indicator displays the daily difference or ratio between + /// the number of assets reaching new highs and the number of stocks reaching new lows + /// in defined time period. + /// + public abstract class NewHighsNewLows : IndicatorBase, IIndicatorWarmUpPeriodProvider + where T : class, IBaseDataBar + { + private readonly TrackedAssets _trackedAssets; + private readonly int _period; + + private DateTime? _currentPeriodTime; + + /// + /// Difference between the number of assets reaching new highs and the number of assets + /// reaching new lows in defined time period. + /// + public IndicatorBase Difference { get; } + + /// + /// Ratio between the number of assets reaching new highs and the number of assets + /// reaching new lows in defined time period. + /// + public IndicatorBase Ratio { get; } + + /// + /// List of assets that reached new high + /// + protected ICollection NewHighs { get; private set; } = []; + + /// + /// List of assets that reached new high + /// + protected ICollection NewLows { get; private set; } = []; + + /// + /// Initializes a new instance of the class + /// + protected NewHighsNewLows(string name, int period) : base(name) + { + _period = period; + _trackedAssets = new TrackedAssets(period); + + Difference = new FunctionalIndicator( + $"{name}_Difference", + (input) => + { + return NewHighs.Count - NewLows.Count; + }, + _ => IsReady); + + Ratio = new FunctionalIndicator( + $"{name}_Ratio", + (input) => + { + return NewLows.Count == 0m ? NewHighs.Count : (decimal)NewHighs.Count / NewLows.Count; + }, + _ => IsReady); + } + + /// + /// Add tracking asset issue + /// + /// tracking asset issue + public virtual void Add(Symbol asset) + { + _trackedAssets.Add(asset); + } + + /// + /// Remove tracking asset issue + /// + /// tracking asset issue + public virtual void Remove(Symbol asset) + { + _trackedAssets.Remove(asset); + } + + /// + /// Gets a flag indicating when this indicator is ready and fully initialized + /// + public override bool IsReady => HasSufficientPreviousDataForComputation(); + + /// + /// Resets this indicator to its initial state + /// + public override void Reset() + { + _trackedAssets.Reset(); + + _currentPeriodTime = null; + + Difference.Reset(); + Ratio.Reset(); + + base.Reset(); + } + + /// + /// Required period, in data points, for the indicator to be ready and fully initialized. + /// + public int WarmUpPeriod => _period + 1; + + /// + /// Computes the next value of this indicator from the given state + /// + /// The input given to the indicator + /// A new value for this indicator + protected override decimal ComputeNextValue(T input) + { + NewHighs.Clear(); + NewLows.Clear(); + + foreach (TrackedAsset asset in _trackedAssets) + { + if (asset.CurrentPeriodValue.High > asset.RollingPreviousHigh.Current.Value) + { + NewHighs.Add(asset.CurrentPeriodValue); + } + + if (asset.CurrentPeriodValue.Low < asset.RollingPreviousLow.Current.Value) + { + NewLows.Add(asset.CurrentPeriodValue); + } + } + + Difference.Update(input); + Ratio.Update(input); + + return Difference.Current.Value; + } + + /// + /// Computes the next value of this indicator from the given state + /// + /// The input given to the indicator + /// A new value for this indicator + protected override IndicatorResult ValidateAndComputeNextValue(T input) + { + Enqueue(input); + + if (HasMissingCurrentPeriodValue() || !HasSufficientPreviousDataForComputation()) + { + return new IndicatorResult(0, IndicatorStatus.ValueNotReady); + } + + var vNext = ComputeNextValue(input); + return new IndicatorResult(vNext); + } + + private void Enqueue(T input) + { + TrackedAsset trackedAsset; + + // In case of unordered input + if (input.EndTime == _currentPeriodTime) + { + // Update the previous values in rolling window + if (_trackedAssets.TryGetAsset(input.Symbol, out trackedAsset)) + { + UpdatePreviousValues(trackedAsset, input); + } + return; + } + + // In case of new period + if (input.Time > _currentPeriodTime) + { + foreach (TrackedAsset asset in _trackedAssets) + { + // We got new period and therefore we need to update + // the previous value in rolling window so we can use them for calculation + UpdatePreviousValues(asset, asset.CurrentPeriodValue); + asset.CurrentPeriodValue = default; + } + _currentPeriodTime = input.Time; + } + + if (_trackedAssets.TryGetAsset(input.Symbol, out trackedAsset) + && (!_currentPeriodTime.HasValue || input.Time == _currentPeriodTime)) + { + trackedAsset.CurrentPeriodValue = input; + + if (!_currentPeriodTime.HasValue) + { + _currentPeriodTime = input.Time; + } + } + } + + private bool HasMissingCurrentPeriodValue() + { + return _trackedAssets.Any(x => x.CurrentPeriodValue == null); + } + + private bool HasSufficientPreviousDataForComputation() + { + return _trackedAssets.All(asset => + asset.RollingPreviousHigh.IsReady + && asset.RollingPreviousLow.IsReady); + } + + private void UpdatePreviousValues(TrackedAsset asset, IBaseDataBar bar) + { + if (bar == null) + { + return; + } + + asset.RollingPreviousHigh.Update(_currentPeriodTime.Value, bar.High); + asset.RollingPreviousLow.Update(_currentPeriodTime.Value, bar.Low); + } + + /// + /// Assets tracked by NewHighsNewLows indicator + /// + private class TrackedAssets : IEnumerable + { + private readonly int _period; + + private readonly IDictionary _assets = new Dictionary(); + + public TrackedAssets(int period) + { + _period = period; + } + + /// + /// Add tracking asset issue + /// + /// tracking asset issue + public void Add(Symbol asset) + { + if (!_assets.ContainsKey(asset.ID)) + { + _assets.Add(asset.ID, new TrackedAsset(_period)); + } + } + + /// + /// Remove tracking asset issue + /// + /// tracking asset issue + public void Remove(Symbol asset) + { + _assets.Remove(asset.ID); + } + + /// + /// Resets tracked assets to its initial state + /// + public void Reset() + { + foreach (TrackedAsset asset in this) + { + asset.Reset(); + } + } + + public bool TryGetAsset(Symbol asset, out TrackedAsset trackedAsset) + { + return _assets.TryGetValue(asset.ID, out trackedAsset); + } + + public IEnumerator GetEnumerator() + { + return _assets.Values.GetEnumerator(); + } + + IEnumerator IEnumerable.GetEnumerator() + { + return GetEnumerator(); + } + } + + /// + /// Asset tracked by NewHighsNewLows indicator + /// + private class TrackedAsset + { + public T CurrentPeriodValue { get; set; } + public Maximum RollingPreviousHigh { get; init; } + public Minimum RollingPreviousLow { get; init; } + + public TrackedAsset(int period) + { + CurrentPeriodValue = default; + RollingPreviousHigh = new Maximum(period); + RollingPreviousLow = new Minimum(period); + } + /// + /// Resets tracked asset to its initial state + /// + public void Reset() + { + CurrentPeriodValue = default; + RollingPreviousHigh.Reset(); + RollingPreviousLow.Reset(); + } + } + } +} diff --git a/Indicators/NewHighsNewLowsVolume.cs b/Indicators/NewHighsNewLowsVolume.cs new file mode 100644 index 000000000000..f3ade71e16d8 --- /dev/null +++ b/Indicators/NewHighsNewLowsVolume.cs @@ -0,0 +1,76 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. +*/ + +using QuantConnect.Data.Market; +using System.Linq; + +namespace QuantConnect.Indicators +{ + /// + /// The New Highs - New Lows Volume Ratio is a Breadth indicator calculated as ratio of + /// summary volume of stocks reaching new high to summary volume of stocks reaching new + /// low compared to high and low values in defined time period. + /// + public class NewHighsNewLowsVolume : NewHighsNewLows + { + /// + /// Volume ratio between the number of assets reaching new highs and the number of assets + /// reaching new lows in defined time period. + /// + public IndicatorBase VolumeRatio { get; } + + /// + /// Initializes a new instance of the class + /// + public NewHighsNewLowsVolume(string name, int period) + : base(name, period) + { + VolumeRatio = new FunctionalIndicator( + $"{name}_VolumeRatio", + (input) => + { + decimal newHighsVolume = NewHighs.Sum(x => x.Volume); + decimal newLowsVolume = NewLows.Sum(x => x.Volume); + + return newLowsVolume == 0m ? newHighsVolume : newHighsVolume / newLowsVolume; + }, + _ => IsReady); + } + + /// + /// Computes the next value of this indicator from the given state + /// + /// The input given to the indicator + /// A new value for this indicator + protected override decimal ComputeNextValue(TradeBar input) + { + var nextValue = base.ComputeNextValue(input); + + VolumeRatio.Update(input); + + return VolumeRatio.Current.Value; + } + + /// + /// Resets tracked assets to its initial state + /// + public override void Reset() + { + VolumeRatio.Reset(); + + base.Reset(); + } + } +} diff --git a/Indicators/QuantConnect.Indicators.csproj b/Indicators/QuantConnect.Indicators.csproj index 62ffe9192c61..6ad6bc016291 100644 --- a/Indicators/QuantConnect.Indicators.csproj +++ b/Indicators/QuantConnect.Indicators.csproj @@ -4,7 +4,7 @@ AnyCPU QuantConnect.Indicators QuantConnect.Indicators - net9.0 + net10.0 AllEnabledByDefault false bin\$(Configuration)\ @@ -31,7 +31,7 @@ - + diff --git a/Indicators/SqueezeMomentum.cs b/Indicators/SqueezeMomentum.cs index fd844863c38f..a2030e530868 100644 --- a/Indicators/SqueezeMomentum.cs +++ b/Indicators/SqueezeMomentum.cs @@ -50,6 +50,18 @@ public SqueezeMomentum(string name, int bollingerPeriod, decimal bollingerMultip WarmUpPeriod = Math.Max(bollingerPeriod, keltnerPeriod); } + /// + /// Initializes a new instance of the class. + /// + /// The period used for the Bollinger Bands calculation. + /// The multiplier for the Bollinger Bands width. + /// The period used for the Average True Range (ATR) calculation in Keltner Channels. + /// The multiplier applied to the ATR for calculating Keltner Channels. + public SqueezeMomentum(int bollingerPeriod, decimal bollingerMultiplier, int keltnerPeriod, decimal keltnerMultiplier) + : this($"SM({bollingerPeriod},{bollingerMultiplier},{keltnerPeriod},{keltnerMultiplier})", bollingerPeriod, bollingerMultiplier, keltnerPeriod, keltnerMultiplier) + { + } + /// /// Gets the warm-up period required for the indicator to be ready. /// This is determined by the warm-up period of the Bollinger Bands indicator. diff --git a/Indicators/Stochastics.cs b/Indicators/Stochastic.cs similarity index 90% rename from Indicators/Stochastics.cs rename to Indicators/Stochastic.cs index 8ae479bcd56d..57e62bb69ece 100644 --- a/Indicators/Stochastics.cs +++ b/Indicators/Stochastic.cs @@ -13,17 +13,16 @@ * limitations under the License. */ -using System; using QuantConnect.Data; using QuantConnect.Data.Market; namespace QuantConnect.Indicators { /// - /// This indicator computes the Slow Stochastics %K and %D. The Fast Stochastics %K is is computed by + /// This indicator computes the Slow Stochastics %K and %D. The Fast Stochastic %K is is computed by /// (Current Close Price - Lowest Price of given Period) / (Highest Price of given Period - Lowest Price of given Period) - /// multiplied by 100. Once the Fast Stochastics %K is calculated the Slow Stochastic %K is calculated by the average/smoothed price of - /// of the Fast %K with the given period. The Slow Stochastics %D is then derived from the Slow Stochastics %K with the given period. + /// multiplied by 100. Once the Fast Stochastic %K is calculated the Slow Stochastic %K is calculated by the average/smoothed price of + /// of the Fast %K with the given period. The Slow Stochastic %D is then derived from the Slow Stochastic %K with the given period. /// public class Stochastic : BarIndicator, IIndicatorWarmUpPeriodProvider { @@ -33,22 +32,22 @@ public class Stochastic : BarIndicator, IIndicatorWarmUpPeriodProvider private readonly IndicatorBase _sumSlowK; /// - /// Gets the value of the Fast Stochastics %K given Period. + /// Gets the value of the Fast Stochastic %K given Period. /// public IndicatorBase FastStoch { get; } /// - /// Gets the value of the Slow Stochastics given Period K. + /// Gets the value of the Slow Stochastic given Period K. /// public IndicatorBase StochK { get; } /// - /// Gets the value of the Slow Stochastics given Period D. + /// Gets the value of the Slow Stochastic given Period D. /// public IndicatorBase StochD { get; } /// - /// Creates a new Stochastics Indicator from the specified periods. + /// Creates a new Stochastic Indicator from the specified periods. /// /// The name of this indicator. /// The period given to calculate the Fast %K @@ -123,7 +122,7 @@ protected override decimal ComputeNextValue(IBaseDataBar input) /// Computes the Fast Stochastic %K. /// /// The input. - /// The Fast Stochastics %K value. + /// The Fast Stochastic %K value. private decimal ComputeFastStoch(IBaseDataBar input) { var fastStoch = 0m; @@ -150,7 +149,7 @@ private decimal ComputeFastStoch(IBaseDataBar input) /// /// The constant k. /// The input. - /// The Slow Stochastics %K value. + /// The Slow Stochastic %K value. private decimal ComputeStochK(int constantK, IBaseData input) { var stochK = 0m; @@ -167,7 +166,7 @@ private decimal ComputeStochK(int constantK, IBaseData input) /// Computes the Slow Stochastic %D. /// /// The constant d. - /// The Slow Stochastics %D value. + /// The Slow Stochastic %D value. private decimal ComputeStochD(int constantD) { var stochD = 0m; diff --git a/Indicators/TimeProfile.cs b/Indicators/TimeProfile.cs index 58a4f6bd5ae1..f40f64137eae 100644 --- a/Indicators/TimeProfile.cs +++ b/Indicators/TimeProfile.cs @@ -26,8 +26,10 @@ public class TimeProfile: MarketProfile /// Creates a new TimeProfile indicator with the specified period /// /// The period of this indicator - public TimeProfile(int period = 2) - : this($"TP({period})", period) + /// The percentage of volume contained in the value area + /// How many digits you want to round and the precision. + public TimeProfile(int period = 2, decimal valueAreaVolumePercentage = 0.70m, decimal priceRangeRoundOff = 0.05m) + : this($"TP({period},{valueAreaVolumePercentage},{priceRangeRoundOff})", period, valueAreaVolumePercentage, priceRangeRoundOff) { } @@ -39,7 +41,7 @@ public TimeProfile(int period = 2) /// The percentage of volume contained in the value area /// How many digits you want to round and the precision. /// i.e 0.01 round to two digits exactly. - public TimeProfile(string name, int period, decimal valueAreaVolumePercentage = 0.70m, decimal priceRangeRoundOff = 0.05m) + public TimeProfile(string name, int period = 2, decimal valueAreaVolumePercentage = 0.70m, decimal priceRangeRoundOff = 0.05m) : base(name, period, valueAreaVolumePercentage, priceRangeRoundOff) { } diff --git a/Indicators/VolumeProfile.cs b/Indicators/VolumeProfile.cs index 151fd7b367e6..d7cb77ce2b4f 100644 --- a/Indicators/VolumeProfile.cs +++ b/Indicators/VolumeProfile.cs @@ -26,8 +26,10 @@ public class VolumeProfile: MarketProfile /// Creates a new VolumeProfile indicator with the specified period /// /// The period of the indicator - public VolumeProfile(int period = 2) - : this($"VP({period})", period) + /// The percentage of volume contained in the value area + /// How many digits you want to round and the precision. + public VolumeProfile(int period = 2, decimal valueAreaVolumePercentage = 0.70m, decimal priceRangeRoundOff = 0.05m) + : this($"VP({period},{valueAreaVolumePercentage},{priceRangeRoundOff})", period, valueAreaVolumePercentage, priceRangeRoundOff) { } @@ -39,7 +41,7 @@ public VolumeProfile(int period = 2) /// The percentage of volume contained in the value area /// How many digits you want to round and the precision. /// i.e 0.01 round to two digits exactly. - public VolumeProfile(string name, int period, decimal valueAreaVolumePercentage = 0.70m, decimal priceRangeRoundOff = 0.05m) + public VolumeProfile(string name, int period = 2, decimal valueAreaVolumePercentage = 0.70m, decimal priceRangeRoundOff = 0.05m) : base(name, period, valueAreaVolumePercentage, priceRangeRoundOff) { } diff --git a/Launcher/QuantConnect.Lean.Launcher.csproj b/Launcher/QuantConnect.Lean.Launcher.csproj index 299780332618..dfea79a8e24c 100644 --- a/Launcher/QuantConnect.Lean.Launcher.csproj +++ b/Launcher/QuantConnect.Lean.Launcher.csproj @@ -5,7 +5,7 @@ Exe QuantConnect.Lean.Launcher QuantConnect.Lean.Launcher - net9.0 + net10.0 AllEnabledByDefault false bin\$(Configuration)\ diff --git a/Launcher/config.json b/Launcher/config.json index 8a83567be959..4008a5bd9e41 100644 --- a/Launcher/config.json +++ b/Launcher/config.json @@ -48,6 +48,12 @@ "symbol-second-limit": 10000, "symbol-tick-limit": 10000, + // retry lookback periods for automatic security seed history requests + "seed-lookback-period": 5, + "seed-retry-minute-lookback-period": 1440, + "seed-retry-hour-lookback-period": 24, + "seed-retry-daily-lookback-period": 10, + // Ignore unknown asset types from brokerages "ignore-unknown-asset-holdings": true, @@ -160,6 +166,18 @@ "bybit-api-url": "https://api.bybit.com", "bybit-websocket-url": "wss://stream.bybit.com", + // dydx configuration + //"dydx-mnemonic": "", + "dydx-private-key-hex": "", + "dydx-address": "", + "dydx-subaccount-number": 0, + + "dydx-node-api-rest": "https://dydx-ops-rest.kingnodes.com", + "dydx-node-api-grpc": "https://dydx-ops-grpc.kingnodes.com:443", + "dydx-indexer-api-rest": "https://indexer.dydx.trade/v4", + "dydx-indexer-api-wss": "wss://indexer.dydx.trade/v4/ws", + "dydx-chain-id": "dydx-mainnet-1", + // Eze configuration "eze-api-address-url": "", "eze-port": "", @@ -737,6 +755,21 @@ "real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler", "transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler", "history-provider": [ "BrokerageHistoryProvider", "SubscriptionDataReaderHistoryProvider" ] + }, + + // defines the 'live-dydx' environment + "live-dydx": { + "live-mode": true, + + // real brokerage implementations require the BrokerageTransactionHandler + "live-mode-brokerage": "dYdXBrokerage", + "data-queue-handler": [ "dYdXBrokerage" ], + "setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler", + "result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler", + "data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed", + "real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler", + "transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler", + "history-provider": [ "BrokerageHistoryProvider", "SubscriptionDataReaderHistoryProvider" ] } } -} +} \ No newline at end of file diff --git a/Logging/QuantConnect.Logging.csproj b/Logging/QuantConnect.Logging.csproj index c603d354cdce..4040ff227d09 100644 --- a/Logging/QuantConnect.Logging.csproj +++ b/Logging/QuantConnect.Logging.csproj @@ -4,7 +4,7 @@ AnyCPU QuantConnect.Logging QuantConnect.Logging - net9.0 + net10.0 ..\ true AllEnabledByDefault diff --git a/Messaging/QuantConnect.Messaging.csproj b/Messaging/QuantConnect.Messaging.csproj index 80db8f6c7e4d..5a4cee268b08 100644 --- a/Messaging/QuantConnect.Messaging.csproj +++ b/Messaging/QuantConnect.Messaging.csproj @@ -4,7 +4,7 @@ AnyCPU QuantConnect.Messaging QuantConnect.Messaging - net9.0 + net10.0 AllEnabledByDefault false bin\$(Configuration)\ @@ -31,7 +31,6 @@ - diff --git a/Optimizer.Launcher/QuantConnect.Optimizer.Launcher.csproj b/Optimizer.Launcher/QuantConnect.Optimizer.Launcher.csproj index 7c9555446fc7..e9661b733e81 100644 --- a/Optimizer.Launcher/QuantConnect.Optimizer.Launcher.csproj +++ b/Optimizer.Launcher/QuantConnect.Optimizer.Launcher.csproj @@ -5,7 +5,7 @@ Exe QuantConnect.Optimizer.Launcher QuantConnect.Optimizer.Launcher - net9.0 + net10.0 false bin\$(Configuration)\ AllEnabledByDefault diff --git a/Optimizer/QuantConnect.Optimizer.csproj b/Optimizer/QuantConnect.Optimizer.csproj index 2154ba7021e8..552252fde267 100644 --- a/Optimizer/QuantConnect.Optimizer.csproj +++ b/Optimizer/QuantConnect.Optimizer.csproj @@ -4,7 +4,7 @@ AnyCPU QuantConnect.Optimizer QuantConnect.Optimizer - net9.0 + net10.0 false bin\$(Configuration)\ AllEnabledByDefault diff --git a/Queues/QuantConnect.Queues.csproj b/Queues/QuantConnect.Queues.csproj index c59e858512fa..7a24256fe9d7 100644 --- a/Queues/QuantConnect.Queues.csproj +++ b/Queues/QuantConnect.Queues.csproj @@ -4,7 +4,7 @@ AnyCPU QuantConnect.Queues QuantConnect.Queues - net9.0 + net10.0 false bin\$(Configuration)\ bin\$(Configuration)\QuantConnect.Queues.xml diff --git a/Report/Program.cs b/Report/Program.cs index 25c67096d802..613078cfb2ba 100644 --- a/Report/Program.cs +++ b/Report/Program.cs @@ -23,6 +23,7 @@ using QuantConnect.Lean.Engine; using System.Collections.Generic; using QuantConnect.Configuration; +using QuantConnect.Python; namespace QuantConnect.Report { @@ -50,6 +51,13 @@ static void Main(string[] args) var reportFormat = Config.Get("report-format"); var cssOverrideFile = Config.Get("report-css-override-file", "css/report_override.css"); var htmlCustomFile = Config.Get("report-html-custom-file", "template.html"); + var pythonVirtualEnvironment = Config.Get("python-venv"); + + // Activate virtual environment if defined + PythonInitializer.ActivatePythonVirtualEnvironment(pythonVirtualEnvironment); + + // Initialize and add our Paths + PythonInitializer.Initialize(); // Parse content from source files into result objects Log.Trace($"QuantConnect.Report.Main(): Parsing source files...{backtestDataFile}, {liveDataFile}"); diff --git a/Report/QuantConnect.Report.csproj b/Report/QuantConnect.Report.csproj index c81fc164aa18..706e7866e6fe 100644 --- a/Report/QuantConnect.Report.csproj +++ b/Report/QuantConnect.Report.csproj @@ -1,11 +1,11 @@ - + Debug AnyCPU Exe QuantConnect.Report QuantConnect.Report - net9.0 + net10.0 false bin\$(Configuration)\ bin\$(Configuration)\QuantConnect.Report.xml @@ -39,7 +39,7 @@ LICENSE - + diff --git a/Research/QuantBook.cs b/Research/QuantBook.cs index e0dfdfa7291d..9bb875981932 100644 --- a/Research/QuantBook.cs +++ b/Research/QuantBook.cs @@ -131,7 +131,8 @@ public QuantBook() : base() UserId = Globals.UserId, ProjectId = Globals.ProjectId, OrganizationId = Globals.OrganizationID, - Version = Globals.Version + Version = Globals.Version, + DeploymentTarget = Config.GetValue("deployment-target", DeploymentTarget.LocalPlatform) }; ProjectId = algorithmPacket.ProjectId; @@ -185,7 +186,7 @@ public QuantBook() : base() HistoryProvider = new HistoryProviderManager(); HistoryProvider.Initialize( new HistoryProviderInitializeParameters( - null, + algorithmPacket, null, algorithmHandlers.DataProvider, _dataCacheProvider, @@ -208,7 +209,7 @@ public QuantBook() : base() SetFutureChainProvider(new CachingFutureChainProvider(futureChainProvider)); SetAlgorithmMode(AlgorithmMode.Research); - SetDeploymentTarget(Config.GetValue("deployment-target", DeploymentTarget.LocalPlatform)); + SetDeploymentTarget(algorithmPacket.DeploymentTarget); } catch (Exception exception) { diff --git a/Research/QuantConnect.Research.csproj b/Research/QuantConnect.Research.csproj index 728c5f33ec22..08eea2a55bdb 100644 --- a/Research/QuantConnect.Research.csproj +++ b/Research/QuantConnect.Research.csproj @@ -1,10 +1,10 @@ - + Debug AnyCPU QuantConnect.Research QuantConnect.Research - net9.0 + net10.0 AllEnabledByDefault bin\$(Configuration)\ false @@ -34,7 +34,7 @@ - + diff --git a/Research/start.py b/Research/start.py index fbbcd4b7eaf6..55e6f3c91c95 100644 --- a/Research/start.py +++ b/Research/start.py @@ -25,7 +25,7 @@ # symlink and the directory start.py is stored in is not necessarily the # current working directory. We therefore construct the absolute path to the # start.py file, and find the runtimeconfig.json relative to that. -set_runtime(clr_loader.get_coreclr(os.path.join(os.path.dirname(os.path.realpath(__file__)), "QuantConnect.Lean.Launcher.runtimeconfig.json"))) +set_runtime(clr_loader.get_coreclr(runtime_config=os.path.join(os.path.dirname(os.path.realpath(__file__)), "QuantConnect.Lean.Launcher.runtimeconfig.json"))) from AlgorithmImports import * diff --git a/Tests/Algorithm/AlgorithmAddDataTests.cs b/Tests/Algorithm/AlgorithmAddDataTests.cs index 1074a637fd8e..374c654efd26 100644 --- a/Tests/Algorithm/AlgorithmAddDataTests.cs +++ b/Tests/Algorithm/AlgorithmAddDataTests.cs @@ -179,6 +179,7 @@ public void OnEndOfTimeStepSeedsUnderlyingSecuritiesThatHaveNoData() var qcAlgorithm = new QCAlgorithm(); qcAlgorithm.SubscriptionManager.SetDataManager(new DataManagerStub(qcAlgorithm, new MockDataFeed())); qcAlgorithm.SetLiveMode(true); + qcAlgorithm.Settings.SeedInitialPrices = false; var testHistoryProvider = new TestHistoryProvider(); qcAlgorithm.HistoryProvider = testHistoryProvider; @@ -201,6 +202,7 @@ public void OnEndOfTimeStepDoesNotThrowWhenSeedsSameUnderlyingForTwoSecurities() var qcAlgorithm = new QCAlgorithm(); qcAlgorithm.SubscriptionManager.SetDataManager(new DataManagerStub(qcAlgorithm, new MockDataFeed())); qcAlgorithm.SetLiveMode(true); + qcAlgorithm.Settings.SeedInitialPrices = false; var testHistoryProvider = new TestHistoryProvider(); qcAlgorithm.HistoryProvider = testHistoryProvider; var option = qcAlgorithm.AddOption(testHistoryProvider.underlyingSymbol); @@ -215,7 +217,6 @@ public void OnEndOfTimeStepDoesNotThrowWhenSeedsSameUnderlyingForTwoSecurities() qcAlgorithm.OnEndOfTimeStep(); var data = qcAlgorithm.Securities[testHistoryProvider.underlyingSymbol].GetLastData(); - Assert.AreEqual(testHistoryProvider.LastResolutionRequest, Resolution.Minute); Assert.IsNotNull(data); Assert.AreEqual(data.Price, 2); } @@ -728,7 +729,6 @@ private class TestHistoryProvider : HistoryProviderBase public string underlyingSymbol = "GOOG"; public string underlyingSymbol2 = "AAPL"; public override int DataPointCount { get; } - public Resolution LastResolutionRequest; public override void Initialize(HistoryProviderInitializeParameters parameters) { @@ -738,12 +738,11 @@ public override void Initialize(HistoryProviderInitializeParameters parameters) public override IEnumerable GetHistory(IEnumerable requests, DateTimeZone sliceTimeZone) { var now = DateTime.UtcNow; - LastResolutionRequest = requests.First().Resolution; #pragma warning disable CS0618 var tradeBar1 = new TradeBar(now, underlyingSymbol, 1, 1, 1, 1, 1, TimeSpan.FromDays(1)); var tradeBar2 = new TradeBar(now, underlyingSymbol2, 3, 3, 3, 3, 3, TimeSpan.FromDays(1)); var slice1 = new Slice(now, new List { tradeBar1, tradeBar2 }, - new TradeBars(now), new QuoteBars(), + new TradeBars(now) { tradeBar1, tradeBar2 }, new QuoteBars(), new Ticks(), new OptionChains(), new FuturesChains(), new Splits(), new Dividends(now), new Delistings(), @@ -751,7 +750,7 @@ public override IEnumerable GetHistory(IEnumerable reques var tradeBar1_2 = new TradeBar(now, underlyingSymbol, 2, 2, 2, 2, 2, TimeSpan.FromDays(1)); #pragma warning restore CS0618 var slice2 = new Slice(now, new List { tradeBar1_2 }, - new TradeBars(now), new QuoteBars(), + new TradeBars(now) { tradeBar1_2 }, new QuoteBars(), new Ticks(), new OptionChains(), new FuturesChains(), new Splits(), new Dividends(now), new Delistings(), diff --git a/Tests/Algorithm/AlgorithmAddSecurityTests.cs b/Tests/Algorithm/AlgorithmAddSecurityTests.cs index 6067db2fe72b..331945e0444e 100644 --- a/Tests/Algorithm/AlgorithmAddSecurityTests.cs +++ b/Tests/Algorithm/AlgorithmAddSecurityTests.cs @@ -576,14 +576,7 @@ def set_brokerage_model(algorithm): // All models should've been set my the TestBrokerageModel, except the fill model, // which should have been set by the TestCustomSecurityInitializer, because user defined // initializer should run after the brokerage model initializer - if (language == Language.CSharp) - { - Assert.IsInstanceOf(security.FillModel); - } - else - { - Assert.IsInstanceOf(security.FillModel); - } + Assert.IsInstanceOf(security.FillModel); } public class TestCustomSecurityInitializer : ISecurityInitializer diff --git a/Tests/Algorithm/AlgorithmHistoryTests.cs b/Tests/Algorithm/AlgorithmHistoryTests.cs index 7e62b3eca925..72e9fac5ec4d 100644 --- a/Tests/Algorithm/AlgorithmHistoryTests.cs +++ b/Tests/Algorithm/AlgorithmHistoryTests.cs @@ -522,6 +522,7 @@ def getTickHistory(algorithm, symbol, start, end): public void TimeSpanHistoryRequestIsCorrectlyBuilt(Resolution resolution, Language language, bool symbolAlreadyAdded) { _algorithm.SetStartDate(2013, 10, 07); + _algorithm.Settings.SeedInitialPrices = false; var symbol = Symbols.SPY; if (symbolAlreadyAdded) @@ -618,6 +619,7 @@ public void BarCountHistoryRequestIsCorrectlyBuilt(Resolution? resolution, Langu bool symbolAlreadyAdded, DateTime dateTime, Resolution? defaultResolution, bool multiSymbol) { _algorithm.SetStartDate(dateTime); + _algorithm.Settings.SeedInitialPrices = false; if (symbolAlreadyAdded) { @@ -695,6 +697,7 @@ public void BarCountHistoryRequestIsCorrectlyBuilt(Resolution? resolution, Langu public void TickHistoryRequestIgnoresFillForward(Language language, bool symbolAlreadyAdded) { _algorithm.SetStartDate(2013, 10, 07); + _algorithm.Settings.SeedInitialPrices = false; var symbol = Symbols.SPY; if (symbolAlreadyAdded) @@ -895,9 +898,10 @@ public void GetLastKnownPricesOption() var option = algorithm.AddOptionContract(Symbols.CreateOptionSymbol("AAPL", OptionRight.Call, 250m, new DateTime(2016, 01, 15))); var lastKnownPrices = algorithm.GetLastKnownPrices(option).ToList(); - Assert.AreEqual(2, lastKnownPrices.Count); + Assert.AreEqual(3, lastKnownPrices.Count); Assert.AreEqual(1, lastKnownPrices.Count(data => data.GetType() == typeof(TradeBar))); Assert.AreEqual(1, lastKnownPrices.Count(data => data.GetType() == typeof(QuoteBar))); + Assert.AreEqual(1, lastKnownPrices.Count(data => data.GetType() == typeof(OpenInterest))); } [Test] @@ -919,9 +923,10 @@ public void GetLastKnownPricesFuture() var future = algorithm.AddSecurity(Symbols.CreateFutureSymbol(Futures.Indices.SP500EMini, new DateTime(2013, 12, 20))); var lastKnownPrices = algorithm.GetLastKnownPrices(future).ToList(); - Assert.AreEqual(2, lastKnownPrices.Count); + Assert.AreEqual(3, lastKnownPrices.Count); Assert.AreEqual(1, lastKnownPrices.Count(data => data.GetType() == typeof(TradeBar))); Assert.AreEqual(1, lastKnownPrices.Count(data => data.GetType() == typeof(QuoteBar))); + Assert.AreEqual(1, lastKnownPrices.Count(data => data.GetType() == typeof(OpenInterest))); } [TestCase(Language.CSharp)] @@ -3963,6 +3968,89 @@ public void DailyFuturesHistoryDoesNotIncludeSundaysAndReturnsCorrectSliceCountF } } + [TestCase(false)] + [TestCase(true)] + public void HistoryRequestUsesSecurityConfigOrExplicitValues(bool explicitParameters) + { + var start = new DateTime(2013, 10, 28); + var algorithm = GetAlgorithm(start); + var future = algorithm.AddFuture( + Futures.Indices.SP500EMini, + dataNormalizationMode: DataNormalizationMode.BackwardsRatio, + dataMappingMode: DataMappingMode.LastTradingDay, + contractDepthOffset: 0, + extendedMarketHours: true); + + var customTestHistoryProvider = new CustomTestHistoryProvider(); + algorithm.SetHistoryProvider(customTestHistoryProvider); + algorithm.HistoryProvider.Initialize(new HistoryProviderInitializeParameters( + null, + null, + _dataProvider, + _cacheProvider, + _mapFileProvider, + _factorFileProvider, + null, + false, + new DataPermissionManager(), + algorithm.ObjectStore, + algorithm.Settings)); + + List history; + + if (!explicitParameters) + { + history = algorithm.History( + future.Symbol, + new DateTime(2007, 1, 1), + new DateTime(2012, 1, 1)).ToList(); + } + else + { + history = algorithm.History( + future.Symbol, + new DateTime(2007, 1, 1), + new DateTime(2012, 1, 1), + dataNormalizationMode: DataNormalizationMode.Raw, + dataMappingMode: DataMappingMode.OpenInterest, + contractDepthOffset: 0, + extendedMarketHours: false).ToList(); + } + + Assert.AreEqual(1, customTestHistoryProvider.HistoryRequests.Count); + Assert.Greater(history.Count, 0); + + var request = customTestHistoryProvider.HistoryRequests[0]; + + if (!explicitParameters) + { + // Without explicit parameters: uses values from security configuration + Assert.AreEqual(DataNormalizationMode.BackwardsRatio, request.DataNormalizationMode); + Assert.AreEqual(DataMappingMode.LastTradingDay, request.DataMappingMode); + Assert.AreEqual(true, request.IncludeExtendedMarketHours); + Assert.AreEqual(0, request.ContractDepthOffset); + } + else + { + // With explicit parameters: uses values from history request + Assert.AreEqual(DataNormalizationMode.Raw, request.DataNormalizationMode); + Assert.AreEqual(DataMappingMode.OpenInterest, request.DataMappingMode); + Assert.AreEqual(false, request.IncludeExtendedMarketHours); + Assert.AreEqual(0, request.ContractDepthOffset); + } + } + + private class CustomTestHistoryProvider : SubscriptionDataReaderHistoryProvider + { + public List HistoryRequests { get; } = new List(); + + public override IEnumerable GetHistory(IEnumerable requests, DateTimeZone sliceTimeZone) + { + HistoryRequests.AddRange(requests); + return base.GetHistory(requests, sliceTimeZone); + } + } + public class CustomFundamentalTestData : BaseData { private static DateTime _currentDate; diff --git a/Tests/Algorithm/AlgorithmPlottingTests.cs b/Tests/Algorithm/AlgorithmPlottingTests.cs index 34ed1b646277..648e05e39d1c 100644 --- a/Tests/Algorithm/AlgorithmPlottingTests.cs +++ b/Tests/Algorithm/AlgorithmPlottingTests.cs @@ -220,5 +220,16 @@ public void PlotIndicatorPlotsBaseIndicator() Assert.AreEqual("PlotTest", chart.Name); Assert.AreEqual(sma1.Current.Value / sma2.Current.Value, chart.Series[ratio.Name].GetValues().First().y); } + + private static string[] ReservedSummaryStatisticNames => Enumerable.Range(0, 101).Select(i => i.ToStringInvariant()).ToArray(); + + [TestCaseSource(nameof(ReservedSummaryStatisticNames))] + public void ThrowsOnReservedSummaryStatisticName(string statisticName) + { + Assert.Throws(() => _algorithm.SetSummaryStatistic(statisticName, 0.1m)); + Assert.Throws(() => _algorithm.SetSummaryStatistic(statisticName, 0.1)); + Assert.Throws(() => _algorithm.SetSummaryStatistic(statisticName, 1)); + Assert.Throws(() => _algorithm.SetSummaryStatistic(statisticName, "0.1")); + } } } diff --git a/Tests/Algorithm/AlgorithmRegisterIndicatorTests.cs b/Tests/Algorithm/AlgorithmRegisterIndicatorTests.cs index a5c49c6d4b30..3bdaa6f0156b 100644 --- a/Tests/Algorithm/AlgorithmRegisterIndicatorTests.cs +++ b/Tests/Algorithm/AlgorithmRegisterIndicatorTests.cs @@ -211,7 +211,7 @@ from QuantConnect.Lean.Engine.DataFeeds import * marketHoursDatabase = MarketHoursDatabase.FromDataFolder() symbolPropertiesDatabase = SymbolPropertiesDatabase.FromDataFolder() -securityService = SecurityService(algo.Portfolio.CashBook, marketHoursDatabase, symbolPropertiesDatabase, algo, RegisteredSecurityDataTypesProvider.Null, SecurityCacheProvider(algo.Portfolio)) +securityService = SecurityService(algo.Portfolio.CashBook, marketHoursDatabase, symbolPropertiesDatabase, algo, RegisteredSecurityDataTypesProvider.Null, SecurityCacheProvider(algo.Portfolio), algorithm=algo) algo.Securities.SetSecurityService(securityService) dataPermissionManager = DataPermissionManager() dataManager = DataManager(None, UniverseSelection(algo, securityService, dataPermissionManager, None), algo, algo.TimeKeeper, marketHoursDatabase, False, RegisteredSecurityDataTypesProvider.Null, dataPermissionManager) diff --git a/Tests/Algorithm/AlgorithmWarmupTests.cs b/Tests/Algorithm/AlgorithmWarmupTests.cs index 30022c250087..f65706cba63d 100644 --- a/Tests/Algorithm/AlgorithmWarmupTests.cs +++ b/Tests/Algorithm/AlgorithmWarmupTests.cs @@ -121,6 +121,7 @@ public void WarmUpInternalSubscriptions() { HistoryProvider = new SubscriptionDataReaderHistoryProvider() }; + algo.Settings.SeedInitialPrices = false; algo.SetStartDate(2013, 10, 08); algo.AddCfd("DE30EUR", Resolution.Second, Market.Oanda); diff --git a/Tests/Algorithm/Framework/Alphas/ConstantAlphaModelTests.cs b/Tests/Algorithm/Framework/Alphas/ConstantAlphaModelTests.cs index 56e3e870d7d6..e2c61f36225f 100644 --- a/Tests/Algorithm/Framework/Alphas/ConstantAlphaModelTests.cs +++ b/Tests/Algorithm/Framework/Alphas/ConstantAlphaModelTests.cs @@ -1,4 +1,4 @@ -/* +/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * @@ -19,6 +19,7 @@ using System; using System.Collections.Generic; using System.Linq; +using System.Reflection; using static System.FormattableString; namespace QuantConnect.Tests.Algorithm.Framework.Alphas @@ -44,6 +45,47 @@ protected override IAlphaModel CreatePythonAlphaModel() } } + [TestCase(Language.CSharp)] + [TestCase(Language.Python)] + public void ConstructorWithWeightOnlySetsWeightCorrectly(Language language) + { + IAlphaModel alpha; + if (language == Language.CSharp) + { + alpha = new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromDays(1), weight: 0.1); + } + else + { + using (Py.GIL()) + { + var testModule = PyModule.FromString("test_module", + @" +from AlgorithmImports import * + +def test_constructor(): + model = ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(1), weight=0.1) + return model + "); + + alpha = testModule.GetAttr("test_constructor").Invoke().As(); + } + } + + var magnitude = GetPrivateField(alpha, "_magnitude"); + var confidence = GetPrivateField(alpha, "_confidence"); + var weight = GetPrivateField(alpha, "_weight"); + + Assert.IsNull(magnitude); + Assert.IsNull(confidence); + Assert.AreEqual(0.1, weight); + } + + private static object GetPrivateField(object obj, string fieldName) + { + var field = obj.GetType().GetField(fieldName, BindingFlags.NonPublic | BindingFlags.Instance); + return field?.GetValue(obj); + } + protected override IEnumerable ExpectedInsights() { return Enumerable.Range(0, 360).Select(x => new Insight(Symbols.SPY, _period, _type, _direction, _magnitude, _confidence)); diff --git a/Tests/Algorithm/Framework/Execution/ImmediateExecutionModelTests.cs b/Tests/Algorithm/Framework/Execution/ImmediateExecutionModelTests.cs index 6d657b6d2d62..6068424dae31 100644 --- a/Tests/Algorithm/Framework/Execution/ImmediateExecutionModelTests.cs +++ b/Tests/Algorithm/Framework/Execution/ImmediateExecutionModelTests.cs @@ -130,6 +130,7 @@ public void OrdersAreSubmittedImmediatelyForTargetsToExecute( } finally { + orderProcessor.Exit(); brokerage.Dispose(); } } @@ -174,6 +175,7 @@ public void PartiallyFilledOrdersAreTakenIntoAccount(Language language) } finally { + orderProcessor.Exit(); brokerage.Dispose(); } } @@ -221,6 +223,7 @@ public void NonFilledAsyncOrdersAreTakenIntoAccount(Language language) } finally { + orderProcessor.Exit(); brokerage.Dispose(); } } @@ -256,6 +259,7 @@ public void LotSizeIsRespected(Language language, int side) } finally { + orderProcessor.Exit(); brokerage.Dispose(); } } diff --git a/Tests/Algorithm/Framework/Execution/SpreadExecutionModelTests.cs b/Tests/Algorithm/Framework/Execution/SpreadExecutionModelTests.cs index 56c4ed10ef72..649e75acdf7b 100644 --- a/Tests/Algorithm/Framework/Execution/SpreadExecutionModelTests.cs +++ b/Tests/Algorithm/Framework/Execution/SpreadExecutionModelTests.cs @@ -120,6 +120,7 @@ public void OrdersAreSubmittedWhenRequiredForTargetsToExecute( } finally { + orderProcessor.Exit(); brokerage.Dispose(); } } @@ -174,6 +175,7 @@ public void FillsOnTradesOnlyRespectingExchangeOpen(Language language, int expec } finally { + orderProcessor.Exit(); brokerage.Dispose(); } } diff --git a/Tests/Algorithm/Framework/Execution/StandardDeviationExecutionModelTests.cs b/Tests/Algorithm/Framework/Execution/StandardDeviationExecutionModelTests.cs index e12e7a90e4c1..a095f6259346 100644 --- a/Tests/Algorithm/Framework/Execution/StandardDeviationExecutionModelTests.cs +++ b/Tests/Algorithm/Framework/Execution/StandardDeviationExecutionModelTests.cs @@ -132,6 +132,7 @@ public void OrdersAreSubmittedWhenRequiredForTargetsToExecute( } finally { + orderProcessor.Exit(); brokerage?.Dispose(); } } diff --git a/Tests/Algorithm/Framework/Execution/VolumeWeightedAveragePriceExecutionModelTests.cs b/Tests/Algorithm/Framework/Execution/VolumeWeightedAveragePriceExecutionModelTests.cs index 3a477e337c04..3b49a8a755cb 100644 --- a/Tests/Algorithm/Framework/Execution/VolumeWeightedAveragePriceExecutionModelTests.cs +++ b/Tests/Algorithm/Framework/Execution/VolumeWeightedAveragePriceExecutionModelTests.cs @@ -141,6 +141,7 @@ public void OrdersAreSubmittedWhenRequiredForTargetsToExecute( } finally { + orderProcessor.Exit(); brokerage?.Dispose(); } } diff --git a/Tests/Algorithm/Framework/FrameworkModelsPythonInheritanceTests.cs b/Tests/Algorithm/Framework/FrameworkModelsPythonInheritanceTests.cs index 3c28b11884ef..9c81ef14bbe6 100644 --- a/Tests/Algorithm/Framework/FrameworkModelsPythonInheritanceTests.cs +++ b/Tests/Algorithm/Framework/FrameworkModelsPythonInheritanceTests.cs @@ -18,9 +18,14 @@ using Python.Runtime; using QuantConnect.Algorithm; using QuantConnect.Algorithm.Framework.Selection; +using QuantConnect.Data.Fundamental; using QuantConnect.Data.UniverseSelection; using System; +using System.Collections.Generic; using System.Linq; +using QuantConnect.Algorithm.Framework.Alphas; +using QuantConnect.Securities; +using QuantConnect.Securities.Equity; namespace QuantConnect.Tests.Algorithm.Framework { @@ -96,5 +101,146 @@ def SelectCoarse(self, algorithm, coarse): Assert.AreEqual(expected, symbol); } } + + [Test] + public void PythonCanInheritFromFundamentalUniverseSelectionModelAndOverrideMethods() + { + var code = @" +from AlgorithmImports import * + +class MockUniverseSelectionModel(FundamentalUniverseSelectionModel): + def __init__(self): + super().__init__() + self.select_call_count = 0 + self.select_coarse_call_count = 0 + self.select_fine_call_count = 0 + self.create_coarse_call_count = 0 + + def select(self, algorithm: QCAlgorithm, fundamental: list[Fundamental]) -> list[Symbol]: + self.select_call_count += 1 + return [Futures.Metals.GOLD] + + def select_coarse(self, algorithm, coarse): + self.select_coarse_call_count += 1 + self.select_coarse_called = True + + filtered = [c for c in coarse if c.price > 10] + return [c.symbol for c in filtered[:2]] + + def select_fine(self, algorithm, fine): + self.select_fine_call_count += 1 + self.select_fine_called = True + + return [f.symbol for f in fine[:2]] + + def create_coarse_fundamental_universe(self, algorithm): + self.create_coarse_call_count += 1 + self.create_coarse_called = True + + return CoarseFundamentalUniverse( + algorithm.universe_settings, + self.custom_coarse_selector + ) + + def custom_coarse_selector(self, coarse): + filtered = [c for c in coarse if c.has_fundamental_data] + return [c.symbol for c in filtered[:5]]"; + + using (Py.GIL()) + { + dynamic pyModel = PyModule.FromString(Guid.NewGuid().ToString(), code) + .GetAttr("MockUniverseSelectionModel"); + + PyObject pyModelInstance = pyModel(); + var algorithm = new QCAlgorithm(); + var model = new FundamentalUniverseSelectionModel(); + model.SetPythonInstance(pyModelInstance); + + // call the create_universes method + var universes = model.CreateUniverses(algorithm).ToList(); + var universe = universes.First(); + var selectedSymbols = universe.SelectSymbols(DateTime.Now, new BaseDataCollection()).ToList(); + int selectCount = pyModelInstance.GetAttr("select_call_count").As(); + Assert.Greater(selectCount, 0); + + // call the select method + model.Select(algorithm, new List()); + selectCount = pyModelInstance.GetAttr("select_call_count").As(); + Assert.Greater(selectCount, 1); + + // call the select_coarse method + model.SelectCoarse(algorithm, new List()); + int selectCoarseCount = pyModelInstance.GetAttr("select_coarse_call_count").As(); + Assert.Greater(selectCoarseCount, 0); + + // call the select_fine method + model.SelectFine(algorithm, new List()); + int selectFineCount = pyModelInstance.GetAttr("select_fine_call_count").As(); + Assert.Greater(selectFineCount, 0); + + // call the create_coarse_fundamental_universe method + model.CreateCoarseFundamentalUniverse(algorithm); + int createCoarseCount = pyModelInstance.GetAttr("create_coarse_call_count").As(); + Assert.Greater(createCoarseCount, 0); + } + } + + [Test] + public void PythonCanInheritFromBasePairsTradingAlphaModelAndOverrideMethods() + { + var code = @" +from AlgorithmImports import * + +class MockPairsTradingAlphaModel(BasePairsTradingAlphaModel): + def __init__(self): + super().__init__() + self.has_passed_test_call_count = 0 + + def has_passed_test(self, algorithm, asset1, asset2): + self.has_passed_test_call_count += 1 + return False"; + + using (Py.GIL()) + { + var pyModel = PyModule.FromString("test", code).GetAttr("MockPairsTradingAlphaModel"); + var pyInstance = pyModel.Invoke(); + + var algorithm = new QCAlgorithm(); + var model = new BasePairsTradingAlphaModel(); + model.SetPythonInstance(pyInstance); + + var security1 = new Equity( + Symbols.SPY, + SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), + new Cash("USD", 1m, 1m), + SymbolProperties.GetDefault("USD"), + ErrorCurrencyConverter.Instance, + new RegisteredSecurityDataTypesProvider(), + new SecurityCache() + ); + + var security2 = new Equity( + Symbols.AAPL, + SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), + new Cash("USD", 1m, 1m), + SymbolProperties.GetDefault("USD"), + ErrorCurrencyConverter.Instance, + new RegisteredSecurityDataTypesProvider(), + new SecurityCache() + ); + + var changes = SecurityChanges.Create( + new List { security1, security2 }, + new List(), + new List(), + new List() + ); + + model.OnSecuritiesChanged(new QCAlgorithm(), changes); + + int hasPassedTestCallCount = pyInstance.GetAttr("has_passed_test_call_count").As(); + Assert.AreEqual(1, hasPassedTestCallCount); + } + } } } diff --git a/Tests/Algorithm/Framework/Portfolio/BlackLittermanOptimizationPortfolioConstructionModelTests.cs b/Tests/Algorithm/Framework/Portfolio/BlackLittermanOptimizationPortfolioConstructionModelTests.cs index 960313b7a025..e90c01dc53da 100644 --- a/Tests/Algorithm/Framework/Portfolio/BlackLittermanOptimizationPortfolioConstructionModelTests.cs +++ b/Tests/Algorithm/Framework/Portfolio/BlackLittermanOptimizationPortfolioConstructionModelTests.cs @@ -155,7 +155,7 @@ public void TwoViewsTest(Language language) outdatedInsight.GeneratedTimeUtc -= TimeSpan.FromHours(1); outdatedInsight.CloseTimeUtc -= TimeSpan.FromHours(1); - var insights = _view1Insights.Concat(_view2Insights).Concat(new[] {outdatedInsight}); + var insights = _view1Insights.Concat(_view2Insights).Concat(new[] { outdatedInsight }); var actualTargets = _algorithm.PortfolioConstruction.CreateTargets(_algorithm, insights.ToArray()); Assert.AreEqual(expectedTargets.Length, actualTargets.Count()); @@ -187,7 +187,7 @@ public void OneViewDimensionTest(Language language) return; } - + using (Py.GIL()) { var name = nameof(BLOPCM); @@ -221,7 +221,7 @@ public void TwoViewsDimensionTest(Language language) return; } - + using (Py.GIL()) { var name = nameof(BLOPCM); @@ -269,7 +269,7 @@ public void IgnoresInsightsWithInvalidMagnitudeValue(Language language, double m GetInsight("View 1", "UK" , magnitude), GetInsight("View 1", "USA", magnitude) }; - + var actualTargets = _algorithm.PortfolioConstruction.CreateTargets(_algorithm, insights); if (expectZero) @@ -466,7 +466,7 @@ def GetSymbol(ticker): class BLOPCM(BlackLittermanOptimizationPortfolioConstructionModel): def __init__(self, portfolioBias): - super().__init__(portfolioBias = portfolioBias, optimizer = UnconstrainedMeanVariancePortfolioOptimizer()) + super().__init__(portfolio_bias = portfolioBias, optimizer = UnconstrainedMeanVariancePortfolioOptimizer()) def get_equilibrium_return(self, returns): @@ -489,7 +489,7 @@ def get_equilibrium_return(self, returns): return weq.dot(V * delta), pd.DataFrame(V, columns=assets, index=assets) - def OnSecuritiesChanged(self, algorithm, changes): + def on_securities_changed(self, algorithm, changes): pass"; } diff --git a/Tests/Algorithm/Framework/Portfolio/SignalExportTargetTests.cs b/Tests/Algorithm/Framework/Portfolio/SignalExportTargetTests.cs index 14f7c729cfaf..181ff7f3ab02 100644 --- a/Tests/Algorithm/Framework/Portfolio/SignalExportTargetTests.cs +++ b/Tests/Algorithm/Framework/Portfolio/SignalExportTargetTests.cs @@ -84,9 +84,9 @@ public void Collective2SignalExportManagerDoesNotLogMoreThanOnceWhenUnknownMarke Assert.AreEqual(3, algorithm.DebugMessages.Count); var debugMessages = algorithm.DebugMessages.ToList(); - Assert.AreEqual($"The market of the symbol {Symbols.EURUSD.Value} was unexpected: {Symbols.EURUSD.ID.Market}. Using 'DEFAULT' as market", debugMessages[0]); - Assert.AreEqual($"Warning: Collective2 failed to calculate target quantity for {targetList[0]}. The smallest quantity C2 trades is \"1\" which is a mini-lot (10,000 currency units), and the target quantity is 498. Will return 0 for all similar cases.", debugMessages[1]); - Assert.AreEqual($"The market of the symbol {Symbols.GBPUSD.Value} was unexpected: {Symbols.GBPUSD.ID.Market}. Using 'DEFAULT' as market", debugMessages[2]); + Assert.IsTrue(debugMessages[0].Contains($"The market of the symbol {Symbols.EURUSD.Value} was unexpected: {Symbols.EURUSD.ID.Market}. Using 'DEFAULT' as market", StringComparison.InvariantCultureIgnoreCase)); + Assert.IsTrue(debugMessages[1].Contains($"Warning: Collective2 failed to calculate target quantity for {targetList[0]}. The smallest quantity C2 trades is \"1\" which is a mini-lot (10,000 currency units), and the target quantity is 498. Will return 0 for all similar cases.", StringComparison.InvariantCultureIgnoreCase)); + Assert.IsTrue(debugMessages[2].Contains($"The market of the symbol {Symbols.GBPUSD.Value} was unexpected: {Symbols.GBPUSD.ID.Market}. Using 'DEFAULT' as market", StringComparison.InvariantCultureIgnoreCase)); } [Test] @@ -113,8 +113,8 @@ public void Collective2SignalExportManagerDoesNotLogMoreThanOnceWhenUnknownSecur Assert.AreEqual(2, algorithm.DebugMessages.Count); var debugMessages = algorithm.DebugMessages.ToList(); - Assert.AreEqual($"Unexpected security type found: {security.Symbol.SecurityType}. Collective2 just accepts: Equity, Future, Option, Index Option and Stock", debugMessages[0]); - Assert.AreEqual($"Unexpected security type found: {security2.Symbol.SecurityType}. Collective2 just accepts: Equity, Future, Option, Index Option and Stock", debugMessages[1]); + Assert.IsTrue(debugMessages[0].Contains($"Unexpected security type found: {security.Symbol.SecurityType}. Collective2 just accepts: Equity, Future, Option, Index Option and Stock", StringComparison.InvariantCultureIgnoreCase)); + Assert.IsTrue(debugMessages[1].Contains($"Unexpected security type found: {security2.Symbol.SecurityType}. Collective2 just accepts: Equity, Future, Option, Index Option and Stock", StringComparison.InvariantCultureIgnoreCase)); } [Test] diff --git a/Tests/Api/ApiTests.cs b/Tests/Api/ApiTests.cs index 5f7ff134eac6..3fa96ee57cce 100644 --- a/Tests/Api/ApiTests.cs +++ b/Tests/Api/ApiTests.cs @@ -34,7 +34,7 @@ public class ApiTest : ApiTestBase [Test, Explicit("Requires configured api access")] public void ApiConnectionWillAuthenticate_ValidCredentials_Successfully() { - var connection = new ApiConnection(TestAccount, TestToken); + using var connection = new ApiConnection(TestAccount, TestToken); Assert.IsTrue(connection.Connected); } @@ -55,7 +55,7 @@ public void ApiWillAuthenticate_ValidCredentials_Successfully() [Test] public void ApiConnectionWillAuthenticate_InvalidCredentials_Unsuccessfully() { - var connection = new ApiConnection(TestAccount, ""); + using var connection = new ApiConnection(TestAccount, ""); Assert.IsFalse(connection.Connected); } diff --git a/Tests/Api/ObjectStoreTests.cs b/Tests/Api/ObjectStoreTests.cs index fb6276c38705..a0aabf35632b 100644 --- a/Tests/Api/ObjectStoreTests.cs +++ b/Tests/Api/ObjectStoreTests.cs @@ -14,7 +14,6 @@ */ using NUnit.Framework; -using QuantConnect.Configuration; using System.Collections.Generic; using System; using System.IO; @@ -30,7 +29,7 @@ public class ObjectStoreTests: ApiTestBase private readonly byte[] _data = new byte[3] { 1, 2, 3 }; [TestCaseSource(nameof(GetObjectStoreWorksAsExpectedTestCases))] - public void GetObjectStoreWorksAsExpected(List keys, bool isSuccessExpected) + public void GetObjectStoreWorksAsExpected(string testName, List keys, bool isSuccessExpected) { var path = Directory.GetCurrentDirectory() + "/StoreObjectFolder/"; var result = ApiClient.GetObjectStore(TestOrganization, keys, path); @@ -122,20 +121,20 @@ public void ListObjectStoreWorksAsExpected() private static object[] GetObjectStoreWorksAsExpectedTestCases = { - new object[] { new List { "/trades_test.json", "/profile_results.json" }, true}, // Two keys present - new object[] { new List {}, false}, // No key is given - new object[] { new List { "/trades_test.json", "/orats_2024-02-32.json" }, true}, // One key is present and the other one not - new object[] { new List { "/orats_2024-02-32.json" }, false}, // The key is not present - new object[] { new List { "/CustomData" }, true}, // The type of the object store file is directory - new object[] { new List { "/log.txt" }, true}, // The type of the object store file is text/plain - new object[] { new List { "/model" }, true}, // The type of the object store file is application/octet-stream - new object[] { new List { "/l1_model.p" }, true}, // The type of the object store file is P - new object[] { new List { + new object[] { "Two keys present", new List { "/trades_test.json", "/profile_results.json" }, true}, + new object[] { "No key is given", new List {}, false}, + new object[] { "One key is present and the other one not", new List { "/trades_test.json", "/orats_2024-02-32.json" }, true}, + new object[] { "The key is not present", new List { "/orats_2024-02-32.json" }, false}, + new object[] { "The type of the object store file is directory", new List { "/CustomData" }, true}, + new object[] { "The type of the object store file is text/plain", new List { "/log.txt" }, true}, + new object[] { "The type of the object store file is application/octet-stream", new List { "/model" }, true}, + new object[] { "The type of the object store file is P", new List { "/l1_model.p" }, true}, + new object[] { "Heavy object store files", new List { "/latency_1_False.txt", "/portfolio-targets2.csv", "/Regressor", "/example_data_2.zip" - }, true} // Heavy object store files + }, true} }; } } diff --git a/Tests/Api/OptimizationBacktestJsonConverterTests.cs b/Tests/Api/OptimizationBacktestJsonConverterTests.cs index 1854d4db9f61..30b2268eaa8e 100644 --- a/Tests/Api/OptimizationBacktestJsonConverterTests.cs +++ b/Tests/Api/OptimizationBacktestJsonConverterTests.cs @@ -27,14 +27,34 @@ namespace QuantConnect.Tests.API public class OptimizationBacktestJsonConverterTests { private const string _validSerialization = "{\"name\":\"ImABacktestName\",\"id\":\"backtestId\",\"progress\":0.0,\"exitCode\":0," + - "\"startDate\":\"2023-01-01T00:00:00Z\",\"endDate\":\"2024-01-01T00:00:00Z\",\"outOfSampleMaxEndDate\":\"2024-01-01T00:00:00Z\",\"outOfSampleDays\":10,\"statistics\":[0.374,0.217,0.047,-4.51,2.86,-0.664,52.602,17.800,6300000.00,0.196,1.571,27.0,123.888,77.188,0.63,1.707,1390.49,180.0,0.233,-0.558,73.0]," + + "\"startDate\":\"2023-01-01T00:00:00Z\",\"endDate\":\"2024-01-01T00:00:00Z\",\"outOfSampleMaxEndDate\":\"2024-01-01T00:00:00Z\",\"outOfSampleDays\":10,\"statistics\":{\"0\":0.374,\"1\":0.217,\"2\":0.047,\"3\":-4.51,\"4\":2.86,\"5\":-0.664,\"6\":52.602,\"7\":17.800,\"8\":6300000.00,\"9\":0.196,\"10\":1.571,\"11\":27.0,\"12\":123.888,\"13\":77.188,\"14\":0.63,\"15\":1.707,\"16\":1390.49,\"17\":180.0,\"18\":0.233,\"19\":-0.558,\"20\":73.0,\"21\":0.1,\"22\":100000.0,\"23\":200000.0,\"24\":3.0}," + "\"parameterSet\":{\"pinocho\":\"19\",\"pepe\":\"-1\"},\"equity\":[[1,1.0,1.0,1.0,1.0],[2,2.0,2.0,2.0,2.0],[3,3.0,3.0,3.0,3.0]]}"; private const string _oldValidSerialization = "{\"name\":\"ImABacktestName\",\"id\":\"backtestId\",\"progress\":0.0,\"exitCode\":0," + - "\"statistics\":[0.374,0.217,0.047,-4.51,2.86,-0.664,52.602,17.800,6300000.00,0.196,1.571,27.0,123.888,77.188,0.63,1.707,1390.49,180.0,0.233,-0.558,73.0]," + + "\"statistics\":{\"0\":0.374,\"1\":0.217,\"2\":0.047,\"3\":-4.51,\"4\":2.86,\"5\":-0.664,\"6\":52.602,\"7\":17.800,\"8\":6300000.00,\"9\":0.196,\"10\":1.571,\"11\":27.0,\"12\":123.888,\"13\":77.188,\"14\":0.63,\"15\":1.707,\"16\":1390.49,\"17\":180.0,\"18\":0.233,\"19\":-0.558,\"20\":73.0,\"21\":0.1,\"22\":100000.0,\"23\":200000.0,\"24\":3.0}," + "\"parameterSet\":{\"pinocho\":\"19\",\"pepe\":\"-1\"},\"equity\":[[1,1.0,1.0,1.0,1.0],[2,2.0,2.0,2.0,2.0],[3,3.0,3.0,3.0,3.0]]}"; private const string _oldValid2Serialization = "{\"name\":\"ImABacktestName\",\"id\":\"backtestId\",\"progress\":0.0,\"exitCode\":0," + + "\"statistics\":{\"0\":0.374,\"1\":0.217,\"2\":0.047,\"3\":-4.51,\"4\":2.86,\"5\":-0.664,\"6\":52.602,\"7\":17.800,\"8\":6300000.00,\"9\":0.196,\"10\":1.571,\"11\":27.0,\"12\":123.888,\"13\":77.188,\"14\":0.63,\"15\":1.707,\"16\":1390.49,\"17\":180.0,\"18\":0.233,\"19\":-0.558,\"20\":73.0,\"21\":0.1,\"22\":100000.0,\"23\":200000.0,\"24\":3.0}," + + "\"parameterSet\":{\"pinocho\":\"19\",\"pepe\":\"-1\"},\"equity\":[[1,1.0],[2,2.0],[3,3.0]]}"; + private const string _oldValid3Serialization = "{\"name\":\"ImABacktestName\",\"id\":\"backtestId\",\"progress\":0.0,\"exitCode\":0," + + "\"statistics\":{\"0\":0.374,\"1\":0.217,\"2\":0.047,\"3\":-4.51,\"4\":2.86,\"5\":-0.664,\"6\":52.602,\"7\":17.800,\"8\":6300000.00,\"9\":0.196,\"10\":1.571,\"11\":27.0,\"12\":123.888,\"13\":77.188,\"14\":0.63,\"15\":1.707,\"16\":1390.49,\"17\":180.0,\"18\":0.233,\"19\":-0.558,\"20\":73.0}," + + "\"parameterSet\":{\"pinocho\":\"19\",\"pepe\":\"-1\"},\"equity\":[[1,1.0],[2,2.0],[3,3.0]]}"; + + private const string _validSerializationWithCustomStats = "{\"name\":\"ImABacktestName\",\"id\":\"backtestId\",\"progress\":0.0,\"exitCode\":0," + + "\"startDate\":\"2023-01-01T00:00:00Z\",\"endDate\":\"2024-01-01T00:00:00Z\",\"outOfSampleMaxEndDate\":\"2024-01-01T00:00:00Z\",\"outOfSampleDays\":10,\"statistics\":{\"0\":0.374,\"1\":0.217,\"2\":0.047,\"3\":-4.51,\"4\":2.86,\"5\":-0.664,\"6\":52.602,\"7\":17.800,\"8\":6300000.00,\"9\":0.196,\"10\":1.571,\"11\":27.0,\"12\":123.888,\"13\":77.188,\"14\":0.63,\"15\":1.707,\"16\":1390.49,\"17\":180.0,\"18\":0.233,\"19\":-0.558,\"20\":73.0,\"21\":0.1,\"22\":100000.0,\"23\":200000.0,\"24\":3.0,\"customstat2\":5.4321,\"customstat1\":1.2345}," + + "\"parameterSet\":{\"pinocho\":\"19\",\"pepe\":\"-1\"},\"equity\":[[1,1.0,1.0,1.0,1.0],[2,2.0,2.0,2.0,2.0],[3,3.0,3.0,3.0,3.0]]}"; + + private const string _validOldStatsDeserialization = "{\"name\":\"ImABacktestName\",\"id\":\"backtestId\",\"progress\":0.0,\"exitCode\":0," + + "\"startDate\":\"2023-01-01T00:00:00Z\",\"endDate\":\"2024-01-01T00:00:00Z\",\"outOfSampleMaxEndDate\":\"2024-01-01T00:00:00Z\",\"outOfSampleDays\":10,\"statistics\":[0.374,0.217,0.047,-4.51,2.86,-0.664,52.602,17.800,6300000.00,0.196,1.571,27.0,123.888,77.188,0.63,1.707,1390.49,180.0,0.233,-0.558,73.0]," + + "\"parameterSet\":{\"pinocho\":\"19\",\"pepe\":\"-1\"},\"equity\":[[1,1.0,1.0,1.0,1.0],[2,2.0,2.0,2.0,2.0],[3,3.0,3.0,3.0,3.0]]}"; + private const string _validOldStatsDeserialization2 = "{\"name\":\"ImABacktestName\",\"id\":\"backtestId\",\"progress\":0.0,\"exitCode\":0," + + "\"statistics\":[0.374,0.217,0.047,-4.51,2.86,-0.664,52.602,17.800,6300000.00,0.196,1.571,27.0,123.888,77.188,0.63,1.707,1390.49,180.0,0.233,-0.558,73.0]," + + "\"parameterSet\":{\"pinocho\":\"19\",\"pepe\":\"-1\"},\"equity\":[[1,1.0,1.0,1.0,1.0],[2,2.0,2.0,2.0,2.0],[3,3.0,3.0,3.0,3.0]]}"; + private const string _validOldStatsDeserialization3 = "{\"name\":\"ImABacktestName\",\"id\":\"backtestId\",\"progress\":0.0,\"exitCode\":0," + "\"statistics\":[0.374,0.217,0.047,-4.51,2.86,-0.664,52.602,17.800,6300000.00,0.196,1.571,27.0,123.888,77.188,0.63,1.707,1390.49,180.0,0.233,-0.558,73.0]," + "\"parameterSet\":{\"pinocho\":\"19\",\"pepe\":\"-1\"},\"equity\":[[1,1.0],[2,2.0],[3,3.0]]}"; + private const string _validOldStatsDeserializationWithLessStats = "{\"name\":\"ImABacktestName\",\"id\":\"backtestId\",\"progress\":0.0,\"exitCode\":0," + + "\"statistics\":[0.374,0.217,0.047,-4.51,2.86,-0.664,52.602,17.800,6300000.00,0.196,1.571,27.0,123.888,77.188,0.63]," + + "\"parameterSet\":{\"pinocho\":\"19\",\"pepe\":\"-1\"},\"equity\":[[1,1.0],[2,2.0],[3,3.0]]}"; [Test] public void SerializationNulls() @@ -58,7 +78,7 @@ public void Serialization(int version) optimizationBacktest.Statistics = new Dictionary { - { "Total Trades", "180" }, + { "Total Orders", "180" }, { "Average Win", "2.86%" }, { "Average Loss", "-4.51%" }, { "Compounding Annual Return", "52.602%" }, @@ -68,6 +88,7 @@ public void Serialization(int version) { "End Equity", "200000" }, { "Net Profit", "123.888%" }, { "Sharpe Ratio", "1.707" }, + { "Sortino Ratio", "0.1" }, { "Probabilistic Sharpe Ratio", "77.188%" }, { "Loss Rate", "27%" }, { "Win Rate", "73%" }, @@ -106,10 +127,72 @@ public void Serialization(int version) Assert.AreEqual(expected, serialized); } - [TestCase(_validSerialization)] - [TestCase(_oldValidSerialization)] - [TestCase(_oldValid2Serialization)] - public void Deserialization(string serialization) + [Test] + public void SerializationWithCustomStatistics() + { + var optimizationBacktest = new OptimizationBacktest(new ParameterSet(18, + new Dictionary + { + { "pinocho", "19" }, + { "pepe", "-1" } + }), "backtestId", "ImABacktestName"); + + optimizationBacktest.Statistics = new Dictionary + { + { "customstat2", "5.4321" }, + { "customstat1", "1.2345" }, + { "Total Orders", "180" }, + { "Average Win", "2.86%" }, + { "Average Loss", "-4.51%" }, + { "Compounding Annual Return", "52.602%" }, + { "Drawdown", "17.800%" }, + { "Expectancy", "0.196" }, + { "Start Equity", "100000" }, + { "End Equity", "200000" }, + { "Net Profit", "123.888%" }, + { "Sharpe Ratio", "1.707" }, + { "Sortino Ratio", "0.1" }, + { "Probabilistic Sharpe Ratio", "77.188%" }, + { "Loss Rate", "27%" }, + { "Win Rate", "73%" }, + { "Profit-Loss Ratio", "0.63" }, + { "Alpha", "0.374" }, + { "Beta", "-0.664" }, + { "Annual Standard Deviation", "0.217" }, + { "Annual Variance", "0.047" }, + { "Information Ratio", "1.571" }, + { "Tracking Error", "0.233" }, + { "Treynor Ratio", "-0.558" }, + { "Total Fees", "$1390.49" }, + { "Estimated Strategy Capacity", "ZRX6300000.00" }, + { "Drawdown Recovery", "3" } + }; + + optimizationBacktest.Equity = new CandlestickSeries + { + Values = new List { new Candlestick(1, 1, 1, 1, 1), new Candlestick(2, 2, 2, 2, 2), new Candlestick(3, 3, 3, 3, 3) } + }; + optimizationBacktest.StartDate = new DateTime(2023, 01, 01); + optimizationBacktest.EndDate = new DateTime(2024, 01, 01); + optimizationBacktest.OutOfSampleMaxEndDate = new DateTime(2024, 01, 01); + optimizationBacktest.OutOfSampleDays = 10; + + var serialized = JsonConvert.SerializeObject(optimizationBacktest); + + Assert.AreEqual(_validSerializationWithCustomStats, serialized); + } + + [TestCase(_validSerialization, false, 25)] + [TestCase(_oldValidSerialization, false, 25)] + [TestCase(_oldValid2Serialization, false, 25)] + // This case has only 21 stats because Sortino Ratio, Start Equity, End Equity and Drawdown Recovery were not supported + [TestCase(_oldValid3Serialization, false, 21)] + [TestCase(_validOldStatsDeserialization, false, 21)] + [TestCase(_validOldStatsDeserialization2, false, 21)] + [TestCase(_validOldStatsDeserialization3, false, 21)] + [TestCase(_validOldStatsDeserializationWithLessStats, false, 15)] + [TestCase(_validSerializationWithCustomStats, true, 25)] + public void Deserialization(string serialization, bool hasCustomStats, int expectedLeanStats) { var deserialized = JsonConvert.DeserializeObject(serialization); Assert.IsNotNull(deserialized); @@ -133,6 +216,19 @@ public void Deserialization(string serialization) Assert.IsTrue(((Candlestick)deserialized.Equity.Values[i]).Close == expected); } Assert.AreEqual("77.188", deserialized.Statistics[PerformanceMetrics.ProbabilisticSharpeRatio]); + + if (!hasCustomStats) + { + Assert.AreEqual(expectedLeanStats, deserialized.Statistics.Count); + } + else + { + // There are 2 custom stats + Assert.AreEqual(expectedLeanStats + 2, deserialized.Statistics.Count); + + Assert.AreEqual("1.2345", deserialized.Statistics["customstat1"]); + Assert.AreEqual("5.4321", deserialized.Statistics["customstat2"]); + } } } } diff --git a/Tests/Api/ProjectTests.cs b/Tests/Api/ProjectTests.cs index bacf628c9f1f..cb3e4b3cf7f2 100644 --- a/Tests/Api/ProjectTests.cs +++ b/Tests/Api/ProjectTests.cs @@ -285,7 +285,11 @@ private void Perform_CreateCompileBackTest_Tests(string projectName, Language la // Now read the backtest and wait for it to complete var backtestRead = WaitForBacktestCompletion(ApiClient, project.Projects.First().ProjectId, backtest.BacktestId, secondsTimeout: 600, returnFailedBacktest: true); Assert.IsTrue(backtestRead.Success); + + // Backtest completed, let's wait a second to allow status update + backtestRead = ApiClient.ReadBacktest(project.Projects.First().ProjectId, backtestRead.BacktestId); Assert.AreEqual(expectedStatus, backtestRead.Status); + if (expectedStatus == "Runtime Error") { Assert.IsTrue(backtestRead.Error.Contains("Intentional Failure", StringComparison.InvariantCulture) || backtestRead.HasInitializeError); diff --git a/Tests/Brokerages/Paper/PaperBrokerageTests.cs b/Tests/Brokerages/Paper/PaperBrokerageTests.cs index 4c4c26b93744..2087d01ac486 100644 --- a/Tests/Brokerages/Paper/PaperBrokerageTests.cs +++ b/Tests/Brokerages/Paper/PaperBrokerageTests.cs @@ -131,30 +131,35 @@ public void AppliesDividendsOnce() results.Initialize(new(job, eventMessagingHandler, api, transactions, null)); results.SetAlgorithm(algorithm, algorithm.Portfolio.TotalPortfolioValue); transactions.Initialize(algorithm, brokerage, results); - var realTime = new BacktestingRealTimeHandler(); - using var nullLeanManager = new AlgorithmManagerTests.NullLeanManager(); - using var tokenSource = new CancellationTokenSource(); - // run algorithm manager - manager.Run(job, - algorithm, - synchronizer, - transactions, - results, - realTime, - nullLeanManager, - tokenSource, - new() - ); - - var postDividendCash = algorithm.Portfolio.CashBook[Currencies.USD].Amount; - - realTime.Exit(); - results.Exit(); - Assert.AreEqual(initializedCash + dividend.Distribution, postDividendCash); - - transactions.Exit(); + try + { + using var nullLeanManager = new AlgorithmManagerTests.NullLeanManager(); + + using var tokenSource = new CancellationTokenSource(); + // run algorithm manager + manager.Run(job, + algorithm, + synchronizer, + transactions, + results, + realTime, + nullLeanManager, + tokenSource, + new() + ); + + var postDividendCash = algorithm.Portfolio.CashBook[Currencies.USD].Amount; + + Assert.AreEqual(initializedCash + dividend.Distribution, postDividendCash); + } + finally + { + realTime.Exit(); + results.Exit(); + transactions.Exit(); + } } [Test] @@ -278,6 +283,24 @@ public void PerformCashSyncDoesNotThrowWithKnownOrUnknownCurrencies() Assert.DoesNotThrow(() => brokerage.PerformCashSync(algorithm, algorithm.Time, () => TimeSpan.Zero)); } + [Test] + public void PerformCashSyncDoesNotAddZeroQuantityCurrenciesExceptAccountCurrency() + { + var algorithm = new AlgorithmStub(new MockDataFeed()); + algorithm.SetAccountCurrency("USD"); + algorithm.SetCash(10000); + + using var brokerage = new TestBrokerage(algorithm); + var currentTime = new DateTime(2024, 1, 1, 12, 0, 0, DateTimeKind.Utc); + var syncPerformed = brokerage.PerformCashSync(algorithm, currentTime, () => TimeSpan.FromMinutes(5)); + + Assert.IsTrue(syncPerformed); + Assert.IsTrue(algorithm.Portfolio.CashBook.ContainsKey("USD")); + Assert.IsTrue(algorithm.Portfolio.CashBook.ContainsKey("BNFCR")); + Assert.IsTrue(algorithm.Portfolio.CashBook.ContainsKey("TEST")); + Assert.IsFalse(algorithm.Portfolio.CashBook.ContainsKey("EUR")); + } + internal class TestBrokerage : BacktestingBrokerage { public TestBrokerage(IAlgorithm algorithm) : base(algorithm, "Test") @@ -286,7 +309,7 @@ public TestBrokerage(IAlgorithm algorithm) : base(algorithm, "Test") public override List GetCashBalance() { - return new List { new CashAmount(100, Currencies.USD), new CashAmount(200, "BNFCR"), new CashAmount(300, "TEST") }; + return new List { new CashAmount(0, Currencies.USD), new CashAmount(200, "BNFCR"), new CashAmount(300, "TEST"), new CashAmount(0, "EUR") }; } } diff --git a/Tests/Brokerages/TrailingStopOrderTestParameters.cs b/Tests/Brokerages/TrailingStopOrderTestParameters.cs index eecded16b30b..898492d0c39b 100644 --- a/Tests/Brokerages/TrailingStopOrderTestParameters.cs +++ b/Tests/Brokerages/TrailingStopOrderTestParameters.cs @@ -15,25 +15,60 @@ using System; using QuantConnect.Interfaces; +using QuantConnect.Logging; using QuantConnect.Orders; namespace QuantConnect.Tests.Brokerages { + /// + /// Provides configuration parameters used to test behavior, + /// including price bounds, trailing values, and modification thresholds. + /// public class TrailingStopOrderTestParameters : OrderTestParameters { private readonly decimal _highLimit; private readonly decimal _lowLimit; + + /// + /// Whether is a percentage (true) or absolute value (false). + /// private readonly decimal _trailingAmount; + + /// + /// Factor used to adjust the trailing stop during fill simulations (e.g., 0.001 = 0.1%, 1 = $1). + /// private readonly bool _trailingAsPercentage; + /// + /// The offset amount used when adjusting the trailing stop order during fill simulations. + /// Typically a small value such as 0.001m (for 0.1%) or 1m (for $1). + /// + private readonly decimal _trailingOffsetAmount; + + /// + /// Initializes a new instance of the class. + /// + /// The symbol associated with the order under test. + /// The upper price boundary for the simulated test environment. + /// The lower price boundary for the simulated test environment. + /// The trailing stop amount, expressed as either a fixed offset or percentage. + /// If true, the is a percentage; otherwise, it’s an absolute price offset. + /// Optional order properties used to customize the test order (such as time in force or brokerage-specific parameters). + /// Optional submission data containing fill and price context at order creation time. + /// + /// Optional offset amount applied when simulating trailing stop order modifications during tests. + /// Defaults to a typical small value such as 0.001m (0.1%) or 1m ($1), depending on . + /// public TrailingStopOrderTestParameters(Symbol symbol, decimal highLimit, decimal lowLimit, decimal trailingAmount, bool trailingAsPercentage, - IOrderProperties properties = null, OrderSubmissionData orderSubmissionData = null) + IOrderProperties properties = null, OrderSubmissionData orderSubmissionData = null, decimal? trailingOffsetAmount = null) : base(symbol, properties, orderSubmissionData) { _highLimit = highLimit; _lowLimit = lowLimit; _trailingAmount = trailingAmount; _trailingAsPercentage = trailingAsPercentage; + // trailingAsPercentage ? 0.001m (0.1%) or 1$ + _trailingOffsetAmount = trailingOffsetAmount ?? (trailingAsPercentage ? 0.001m : 0.5m); } public override Order CreateShortOrder(decimal quantity) @@ -56,11 +91,39 @@ public override Order CreateLongOrder(decimal quantity) }; } - public override bool ModifyOrderToFill(IBrokerage brokerage, Order order, decimal lastMarketPrice) => false; + public override bool ModifyOrderToFill(IBrokerage brokerage, Order order, decimal lastMarketPrice) + { + var trailingStopOrder = order as TrailingStopOrder; + + if (trailingStopOrder.TrailingAmount == _trailingOffsetAmount) + { + Log.Trace($"{nameof(TrailingStopOrderTestParameters)}.{nameof(ModifyOrderToFill)}: Trailing amount already equals modification factor for order {trailingStopOrder.Id}."); + return false; + } + + if (!TrailingStopOrder.TryUpdateStopPrice(lastMarketPrice, + trailingStopOrder.StopPrice, + _trailingOffsetAmount, + trailingStopOrder.TrailingAsPercentage, + trailingStopOrder.Direction, + out var updatedStopPrice)) + { + Log.Error($"Failed to compute updated stop price for order {trailingStopOrder.Id}. " + + $"Inputs: LastMarketPrice={lastMarketPrice}, CurrentStopPrice={trailingStopOrder.StopPrice}, " + + $"TrailingModificationFactor={_trailingOffsetAmount}, IsPercentage={trailingStopOrder.TrailingAsPercentage}, Direction={trailingStopOrder.Direction}."); + return false; + } + + var updateFields = new UpdateOrderFields() { StopPrice = updatedStopPrice, TrailingAmount = _trailingOffsetAmount }; + + ApplyUpdateOrderRequest(order, updateFields); + + return true; + } public override OrderStatus ExpectedStatus => OrderStatus.Submitted; - public override bool ExpectedCancellationResult => false; + public override bool ExpectedCancellationResult => true; public override string ToString() { diff --git a/Tests/Common/BaseExtendedDictionaryTests.cs b/Tests/Common/BaseExtendedDictionaryTests.cs new file mode 100644 index 000000000000..1762ebc60692 --- /dev/null +++ b/Tests/Common/BaseExtendedDictionaryTests.cs @@ -0,0 +1,338 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. +*/ + +using System; +using System.Collections.Generic; +using System.Linq; +using NUnit.Framework; +using Common.Util; +using Python.Runtime; + +namespace QuantConnect.Tests.Common +{ + [TestFixture] + public class BaseExtendedDictionaryTests + { + [Test] + public void AddAndGetItemsWorksCorrectly() + { + var dict = new BaseExtendedDictionary(); + + dict.Add("key1", "value1"); + dict["key2"] = "value2"; + + Assert.AreEqual("value1", dict["key1"]); + Assert.AreEqual("value2", dict["key2"]); + Assert.AreEqual(2, dict.Count); + } + + [Test] + public void ContainsKeyExistingKeyReturnsTrue() + { + var dict = new BaseExtendedDictionary(); + dict.Add(1, "one"); + + Assert.IsTrue(dict.ContainsKey(1)); + Assert.IsFalse(dict.ContainsKey(2)); + } + + [Test] + public void TryGetValueExistingKeyReturnsTrueAndValue() + { + var dict = new BaseExtendedDictionary(); + dict["price"] = 100.5m; + + bool result = dict.TryGetValue("price", out decimal value); + + Assert.IsTrue(result); + Assert.AreEqual(100.5m, value); + } + + [Test] + public void TryGetValueNonExistingKeyReturnsFalseAndDefault() + { + var dict = new BaseExtendedDictionary(); + + bool result = dict.TryGetValue("nonexistent", out decimal value); + + Assert.IsFalse(result); + Assert.AreEqual(0, value); + } + + [Test] + public void RemoveExistingKeyRemovesItem() + { + var dict = new BaseExtendedDictionary(); + dict.Add("a", 1); + dict.Add("b", 2); + + bool removed = dict.Remove("a"); + + Assert.IsTrue(removed); + Assert.AreEqual(1, dict.Count); + Assert.IsFalse(dict.ContainsKey("a")); + Assert.IsTrue(dict.ContainsKey("b")); + } + + [Test] + public void ClearRemovesAllItems() + { + var dict = new BaseExtendedDictionary(); + dict.Add("a", 1); + dict.Add("b", 2); + + dict.Clear(); + + Assert.AreEqual(0, dict.Count); + Assert.IsFalse(dict.ContainsKey("a")); + Assert.IsFalse(dict.ContainsKey("b")); + } + + [Test] + public void GetMethodExistingKeyReturnsValue() + { + var dict = new BaseExtendedDictionary(); + dict["test"] = "success"; + + var result = dict.get("test"); + + Assert.AreEqual("success", result); + } + + [Test] + public void GetMethodNonExistingKeyReturnsDefault() + { + var dict = new BaseExtendedDictionary(); + + var result = dict.get("nonexistent"); + + Assert.AreEqual(0, result); + } + + [Test] + public void KeysAndValuesPropertiesReturnCorrectCollections() + { + var dict = new BaseExtendedDictionary(); + dict[1] = "one"; + dict[2] = "two"; + + var keys = dict.Keys.ToList(); + var values = dict.Values.ToList(); + + Assert.AreEqual(2, keys.Count); + Assert.AreEqual(2, values.Count); + Assert.Contains(1, keys); + Assert.Contains(2, keys); + Assert.Contains("one", values); + Assert.Contains("two", values); + } + + [Test] + public void ConstructorWithInitialDictionaryCopiesData() + { + var initialDict = new Dictionary + { + {"a", 1}, + {"b", 2} + }; + + var extendedDict = new BaseExtendedDictionary(initialDict); + + Assert.AreEqual(2, extendedDict.Count); + Assert.AreEqual(1, extendedDict["a"]); + Assert.AreEqual(2, extendedDict["b"]); + } + + [Test] + public void ConstructorWithDataAndKeySelectorPopulatesDictionary() + { + var data = new List { "apple", "banana" }; + + var dict = new BaseExtendedDictionary( + data, + fruit => fruit.Substring(0, 1) // key is first letter + ); + + Assert.AreEqual(2, dict.Count); + Assert.AreEqual("apple", dict["a"]); + Assert.AreEqual("banana", dict["b"]); + } + + [Test] + public void EnumerationWorksCorrectly() + { + var dict = new BaseExtendedDictionary(); + dict[1] = "one"; + dict[2] = "two"; + + var items = new List>(); + foreach (var kvp in dict) + { + items.Add(kvp); + } + + Assert.AreEqual(2, items.Count); + Assert.IsTrue(items.Any(kvp => kvp.Key == 1 && kvp.Value == "one")); + Assert.IsTrue(items.Any(kvp => kvp.Key == 2 && kvp.Value == "two")); + } + + [Test] + public void CopyToCopiesItemsToArray() + { + var dict = new BaseExtendedDictionary(); + dict[1] = "one"; + dict[2] = "two"; + + var array = new KeyValuePair[2]; + dict.CopyTo(array, 0); + + Assert.AreEqual(2, array.Length); + Assert.IsTrue(array.Contains(new KeyValuePair(1, "one"))); + Assert.IsTrue(array.Contains(new KeyValuePair(2, "two"))); + } + + [Test] + public void ReadOnlyExtendedDictionaryReturnsTrueForIsReadOnly() + { + var dict = new ReadOnlyExtendedDictionary(); + Assert.IsTrue(dict.IsReadOnly); + } + + [Test] + public void ReadOnlyExtendedDictionaryThrowsInvalidOperationExceptionForIndexerSet() + { + var dict = new ReadOnlyExtendedDictionary(new Dictionary { { "test", 1 } }); + + Assert.Throws(() => dict["test"] = 2); + } + + [Test] + public void ReadOnlyExtendedDictionaryThrowsInvalidOperationExceptionForClear() + { + var dict = new ReadOnlyExtendedDictionary(); + Assert.Throws(() => dict.Clear()); + } + + [Test] + public void ReadOnlyExtendedDictionaryThrowsInvalidOperationExceptionForRemoveByKey() + { + var dict = new ReadOnlyExtendedDictionary(); + Assert.Throws(() => dict.Remove("anykey")); + } + + [Test] + public void ReadOnlyExtendedDictionaryThrowsInvalidOperationExceptionForAddByKeyValue() + { + var dict = new ReadOnlyExtendedDictionary(); + Assert.Throws(() => dict.Add("newkey", 123)); + } + + [Test] + public void BaseExtendedDictionaryBehavesAsPythonDictionary() + { + using var _ = Py.GIL(); + + var module = PyModule.FromString("BaseExtendedDictionaryBehavesAsPythonDictionary", + @" +def contains(dictionary, key): + return key in dictionary + +def get(dictionary, key): + return dictionary.get(key) + +def keys(dictionary): + return dictionary.keys() + +def items(dictionary): + return list(dictionary.items()) + +def values(dictionary): + return dictionary.values() + +def pop(dictionary, key): + return dictionary.pop(key) + +def setdefault(dictionary, key, default_value): + return dictionary.setdefault(key, default_value) + +def update(dictionary, other_dict): + dictionary.update(other_dict) +"); + + var dict = new BaseExtendedDictionary + { + ["a"] = 1, + ["b"] = 2, + ["c"] = 3 + }; + using var pyDict = dict.ToPython(); + + // Test keys() + var expectedKeys = new[] { "a", "b", "c" }; + var keys = module.InvokeMethod("keys", pyDict).GetAndDispose>(); + CollectionAssert.AreEquivalent(expectedKeys, keys); + + // Test values() + var expectedValues = new[] { 1, 2, 3 }; + var values = module.InvokeMethod("values", pyDict).GetAndDispose>(); + CollectionAssert.AreEquivalent(expectedValues, values); + + // Test items() method + using var itemsResult = module.InvokeMethod("items", pyDict); + Assert.IsNotNull(itemsResult); + var itemsLength = PythonEngine.Eval($"len({itemsResult.Repr()})").As(); + Assert.AreEqual(3, itemsLength); + + // Test contains and get + foreach (var (key, value) in keys.Zip(values)) + { + using var pyKey = key.ToPython(); + Assert.IsTrue(module.InvokeMethod("contains", pyDict, pyKey).As()); + Assert.AreEqual(value, module.InvokeMethod("get", pyDict, pyKey).As()); + } + + // Test non-existing key + using var pyNonExistingKey = "d".ToPython(); + Assert.IsFalse(module.InvokeMethod("contains", pyDict, pyNonExistingKey).As()); + + // Test pop + using var pyExistingKey = keys[0].ToPython(); + var popped = module.InvokeMethod("pop", pyDict, pyExistingKey).As(); + Assert.AreEqual(1, popped); + Assert.IsFalse(module.InvokeMethod("contains", pyDict, pyExistingKey).As()); + + // Test setdefault with existing key + using var pyExistingKey2 = keys[1].ToPython(); + var setdefaultExisting = module.InvokeMethod("setdefault", pyDict, pyExistingKey2, 999.ToPython()).As(); + Assert.AreEqual(2, setdefaultExisting); // Should return existing value + + // Test setdefault with new key + using var pyNewKey = "new".ToPython(); + using var pyDefaultValue = 100.ToPython(); + var setdefaultNew = module.InvokeMethod("setdefault", pyDict, pyNewKey, pyDefaultValue).As(); + Assert.AreEqual(100, setdefaultNew); + Assert.IsTrue(module.InvokeMethod("contains", pyDict, pyNewKey).As()); + + // Test update + using var updateDict = new PyDict(); + updateDict.SetItem("x".ToPython(), 10.ToPython()); + updateDict.SetItem("y".ToPython(), 20.ToPython()); + module.InvokeMethod("update", pyDict, updateDict); + + Assert.AreEqual(10, module.InvokeMethod("get", pyDict, "x".ToPython()).As()); + Assert.AreEqual(20, module.InvokeMethod("get", pyDict, "y".ToPython()).As()); + } + } +} diff --git a/Tests/Common/Brokerages/BrokerageModelTests.cs b/Tests/Common/Brokerages/BrokerageModelTests.cs index 780ebe0033bd..1ebc4fac69ee 100644 --- a/Tests/Common/Brokerages/BrokerageModelTests.cs +++ b/Tests/Common/Brokerages/BrokerageModelTests.cs @@ -276,10 +276,10 @@ def GetFillModel(self, security): Assert.AreEqual(typeof(ImmediateFillModel), fillModel.GetType()); var order = new Mock(); var subscriptionDataConfigProvider = new Mock(); - var securitiesForOrders = new Dictionary() { { order.Object, security} }; + var securitiesForOrders = new Dictionary() { { order.Object, security } }; var fillModelParameters = new FillModelParameters(security, order.Object, subscriptionDataConfigProvider.Object, TimeSpan.Zero, securitiesForOrders); var result = fillModel.Fill(fillModelParameters); - foreach( var entry in result) + foreach (var entry in result) { Assert.AreEqual(OrderStatus.Filled, entry.Status); } @@ -664,6 +664,27 @@ def GetMarginInterestRateModel(self, security): } } + [Test] + public void TradingTechnologiesBrokerageModelValidatesStopLimitOrders() + { + var model = new TradingTechnologiesBrokerageModel(); + var symbol = Symbols.Future_CLF19_Jan2019; + var security = GetSecurity(symbol); + security.SetMarketPrice(new Tick(DateTime.UtcNow, symbol, 4500m, 4500m)); + + var invalidStopLimit = new StopLimitOrder + { + Symbol = symbol, + Quantity = 1, + StopPrice = 4510m, + LimitPrice = 4505m + }; + + var canSubmit = model.CanSubmitOrder(security, invalidStopLimit, out var message); + Assert.IsFalse(canSubmit); + StringAssert.Contains("StopLimit Buy limit price must be greater than or equal to stop price", message.Message); + } + [TestCase(BrokerageName.Alpaca, OrderType.MarketOnOpen, 10, -15, false)] [TestCase(BrokerageName.Alpaca, OrderType.MarketOnOpen, 10, -10, true)] [TestCase(BrokerageName.Alpaca, OrderType.MarketOnClose, 10, -15, false)] @@ -847,25 +868,25 @@ private static TestCaseData[] GetBrokerageNameTestCases() }; } - private class CustomInteractiveBrokersBrokerageModel : InteractiveBrokersBrokerageModel {} - private class CustomTradierBrokerageModel : TradierBrokerageModel {} - private class CustomOandaBrokerageModel : OandaBrokerageModel {} - private class CustomFxcmBrokerageModel : FxcmBrokerageModel {} - private class CustomBitfinexBrokerageModel : BitfinexBrokerageModel {} - private class CustomBinanceUSBrokerageModel : BinanceUSBrokerageModel {} - private class CustomBinanceBrokerageModel : BinanceBrokerageModel {} - private class CustomCoinbaseBrokerageModel : CoinbaseBrokerageModel {} - private class CustomAlphaStreamsBrokerageModel : AlphaStreamsBrokerageModel {} - private class CustomZerodhaBrokerageModel : ZerodhaBrokerageModel {} - private class CustomAxosBrokerageModel : AxosClearingBrokerageModel {} - private class CustomTradingTechnologiesBrokerageModel : TradingTechnologiesBrokerageModel {} - private class CustomSamcoBrokerageModel : SamcoBrokerageModel {} - private class CustomKrakenBrokerageModel : KrakenBrokerageModel {} - private class CustomExanteBrokerageModel : ExanteBrokerageModel {} - private class CustomFTXUSBrokerageModel : FTXUSBrokerageModel {} - private class CustomFTXBrokerageModel : FTXBrokerageModel {} - private class CustomBybitBrokerageModel : BybitBrokerageModel { } - private class CustomDefaultBrokerageModel : DefaultBrokerageModel {} + private class CustomInteractiveBrokersBrokerageModel : InteractiveBrokersBrokerageModel { } + private class CustomTradierBrokerageModel : TradierBrokerageModel { } + private class CustomOandaBrokerageModel : OandaBrokerageModel { } + private class CustomFxcmBrokerageModel : FxcmBrokerageModel { } + private class CustomBitfinexBrokerageModel : BitfinexBrokerageModel { } + private class CustomBinanceUSBrokerageModel : BinanceUSBrokerageModel { } + private class CustomBinanceBrokerageModel : BinanceBrokerageModel { } + private class CustomCoinbaseBrokerageModel : CoinbaseBrokerageModel { } + private class CustomAlphaStreamsBrokerageModel : AlphaStreamsBrokerageModel { } + private class CustomZerodhaBrokerageModel : ZerodhaBrokerageModel { } + private class CustomAxosBrokerageModel : AxosClearingBrokerageModel { } + private class CustomTradingTechnologiesBrokerageModel : TradingTechnologiesBrokerageModel { } + private class CustomSamcoBrokerageModel : SamcoBrokerageModel { } + private class CustomKrakenBrokerageModel : KrakenBrokerageModel { } + private class CustomExanteBrokerageModel : ExanteBrokerageModel { } + private class CustomFTXUSBrokerageModel : FTXUSBrokerageModel { } + private class CustomFTXBrokerageModel : FTXBrokerageModel { } + private class CustomBybitBrokerageModel : BybitBrokerageModel { } + private class CustomDefaultBrokerageModel : DefaultBrokerageModel { } private static TestCaseData[] GetCustomBrokerageNameTestCases() { diff --git a/Tests/Common/Brokerages/DefaultBrokerageModelTests.cs b/Tests/Common/Brokerages/DefaultBrokerageModelTests.cs index 09c0f1c431a2..d3434b7ad1f6 100644 --- a/Tests/Common/Brokerages/DefaultBrokerageModelTests.cs +++ b/Tests/Common/Brokerages/DefaultBrokerageModelTests.cs @@ -98,61 +98,68 @@ public void ApplySplitWorksAsExpected() using var backtestingBrokerage = new BacktestingBrokerage(algorithm); transactionHandler.Initialize(algorithm, backtestingBrokerage, new TestResultHandler(Console.WriteLine)); - algorithm.Transactions.SetOrderProcessor(transactionHandler); - algorithm.AddEquity("IBM"); - var tickets = new List(); - foreach (var type in orderTypes) + try { - SubmitOrderRequest orderRequest = null; - switch (type) + algorithm.Transactions.SetOrderProcessor(transactionHandler); + algorithm.AddEquity("IBM"); + var tickets = new List(); + foreach (var type in orderTypes) { - case OrderType.Limit: - orderRequest = new SubmitOrderRequest(OrderType.Limit, SecurityType.Equity, Symbols.IBM, 100, 0, limitPrice: 8, 0, - DateTime.UtcNow, ""); - break; - case OrderType.StopLimit: - orderRequest = new SubmitOrderRequest(OrderType.StopLimit, SecurityType.Equity, Symbols.IBM, 100, stopPrice: 10, 0, 0, - DateTime.UtcNow, ""); - break; - case OrderType.LimitIfTouched: - orderRequest = new SubmitOrderRequest(OrderType.LimitIfTouched, SecurityType.Equity, Symbols.IBM, 100, 0, limitPrice: 14, - triggerPrice: 12, DateTime.UtcNow, ""); - break; - case OrderType.TrailingStop: - orderRequest = new SubmitOrderRequest(OrderType.TrailingStop, SecurityType.Equity, Symbols.IBM, 100, stopPrice: 10, 0, 0, - trailingAmount: 0.5m, trailingAsPercentage: false, DateTime.UtcNow, ""); - break; + SubmitOrderRequest orderRequest = null; + switch (type) + { + case OrderType.Limit: + orderRequest = new SubmitOrderRequest(OrderType.Limit, SecurityType.Equity, Symbols.IBM, 100, 0, limitPrice: 8, 0, + DateTime.UtcNow, ""); + break; + case OrderType.StopLimit: + orderRequest = new SubmitOrderRequest(OrderType.StopLimit, SecurityType.Equity, Symbols.IBM, 100, stopPrice: 10, 0, 0, + DateTime.UtcNow, ""); + break; + case OrderType.LimitIfTouched: + orderRequest = new SubmitOrderRequest(OrderType.LimitIfTouched, SecurityType.Equity, Symbols.IBM, 100, 0, limitPrice: 14, + triggerPrice: 12, DateTime.UtcNow, ""); + break; + case OrderType.TrailingStop: + orderRequest = new SubmitOrderRequest(OrderType.TrailingStop, SecurityType.Equity, Symbols.IBM, 100, stopPrice: 10, 0, 0, + trailingAmount: 0.5m, trailingAsPercentage: false, DateTime.UtcNow, ""); + break; + } + algorithm.Transactions.AddOrder(orderRequest); + var ticket = new OrderTicket(algorithm.Transactions, orderRequest); + tickets.Add(ticket); } - algorithm.Transactions.AddOrder(orderRequest); - var ticket = new OrderTicket(algorithm.Transactions, orderRequest); - tickets.Add(ticket); - } - var split = new Split(Symbols.IBM, DateTime.UtcNow, 1, 0.5m, SplitType.SplitOccurred); - _defaultBrokerageModel.ApplySplit(tickets, split); - transactionHandler.ProcessSynchronousEvents(); - foreach (var order in algorithm.Transactions.GetOrders()) - { - Assert.AreEqual(200, order.Quantity); - var orderType = order.Type; - switch (orderType) + var split = new Split(Symbols.IBM, DateTime.UtcNow, 1, 0.5m, SplitType.SplitOccurred); + _defaultBrokerageModel.ApplySplit(tickets, split); + transactionHandler.ProcessSynchronousEvents(); + foreach (var order in algorithm.Transactions.GetOrders()) { - case OrderType.Limit: - Assert.AreEqual(4, order.GetPropertyValue("LimitPrice")); - break; - case OrderType.StopLimit: - Assert.AreEqual(5, order.GetPropertyValue("StopPrice")); - break; - case OrderType.LimitIfTouched: - Assert.AreEqual(6, order.GetPropertyValue("TriggerPrice")); - Assert.AreEqual(7, order.GetPropertyValue("LimitPrice")); - break; - case OrderType.TrailingStop: - Assert.AreEqual(5, order.GetPropertyValue("StopPrice")); - Assert.AreEqual(0.25m, order.GetPropertyValue("TrailingAmount")); - break; + Assert.AreEqual(200, order.Quantity); + var orderType = order.Type; + switch (orderType) + { + case OrderType.Limit: + Assert.AreEqual(4, order.GetPropertyValue("LimitPrice")); + break; + case OrderType.StopLimit: + Assert.AreEqual(5, order.GetPropertyValue("StopPrice")); + break; + case OrderType.LimitIfTouched: + Assert.AreEqual(6, order.GetPropertyValue("TriggerPrice")); + Assert.AreEqual(7, order.GetPropertyValue("LimitPrice")); + break; + case OrderType.TrailingStop: + Assert.AreEqual(5, order.GetPropertyValue("StopPrice")); + Assert.AreEqual(0.25m, order.GetPropertyValue("TrailingAmount")); + break; + } } } + finally + { + transactionHandler.Exit(); + } } @@ -167,25 +174,32 @@ public void AppliesSplitOnlyWhenTrailingStopOrderTrailingAmountIsNotPercentage([ using var backtestingBrokerage = new BacktestingBrokerage(algorithm); transactionHandler.Initialize(algorithm, backtestingBrokerage, new TestResultHandler(Console.WriteLine)); - algorithm.Transactions.SetOrderProcessor(transactionHandler); - algorithm.AddEquity("IBM"); + try + { + algorithm.Transactions.SetOrderProcessor(transactionHandler); + algorithm.AddEquity("IBM"); - var tickets = new List(); - var orderTime = new DateTime(2023, 07, 21, 12, 0, 0); - var orderRequest = new SubmitOrderRequest(OrderType.TrailingStop, SecurityType.Equity, Symbols.IBM, 100, stopPrice: 10, 0, 0, - trailingAmount: 0.1m, trailingAsPercentage, orderTime, ""); - algorithm.Transactions.AddOrder(orderRequest); - var ticket = new OrderTicket(algorithm.Transactions, orderRequest); - tickets.Add(ticket); + var tickets = new List(); + var orderTime = new DateTime(2023, 07, 21, 12, 0, 0); + var orderRequest = new SubmitOrderRequest(OrderType.TrailingStop, SecurityType.Equity, Symbols.IBM, 100, stopPrice: 10, 0, 0, + trailingAmount: 0.1m, trailingAsPercentage, orderTime, ""); + algorithm.Transactions.AddOrder(orderRequest); + var ticket = new OrderTicket(algorithm.Transactions, orderRequest); + tickets.Add(ticket); - var split = new Split(Symbols.IBM, orderTime, 1, 0.5m, SplitType.SplitOccurred); - _defaultBrokerageModel.ApplySplit(tickets, split); - transactionHandler.ProcessSynchronousEvents(); + var split = new Split(Symbols.IBM, orderTime, 1, 0.5m, SplitType.SplitOccurred); + _defaultBrokerageModel.ApplySplit(tickets, split); + transactionHandler.ProcessSynchronousEvents(); - var order = algorithm.Transactions.GetOrders().Single(); + var order = algorithm.Transactions.GetOrders().Single(); - Assert.AreEqual(5, order.GetPropertyValue("StopPrice", Flags.Instance | Flags.Public)); - Assert.AreEqual(trailingAsPercentage ? 0.1m : 0.05m, order.GetPropertyValue("TrailingAmount")); + Assert.AreEqual(5, order.GetPropertyValue("StopPrice", Flags.Instance | Flags.Public)); + Assert.AreEqual(trailingAsPercentage ? 0.1m : 0.05m, order.GetPropertyValue("TrailingAmount")); + } + finally + { + transactionHandler.Exit(); + } } diff --git a/Tests/Common/Data/Market/FuturesContractTests.cs b/Tests/Common/Data/Market/FuturesContractTests.cs new file mode 100644 index 000000000000..6a59e71b3bd5 --- /dev/null +++ b/Tests/Common/Data/Market/FuturesContractTests.cs @@ -0,0 +1,109 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. +*/ + +using System; +using NUnit.Framework; +using QuantConnect.Data.Market; + +namespace QuantConnect.Tests.Common.Data.Market +{ + [TestFixture] + public class FuturesContractTests + { + [TestCase(true, true)] + [TestCase(true, false)] + [TestCase(false, true)] + [TestCase(false, false)] + public void QuoteBarNullBidAsk(bool hasBid, bool hasAsk) + { + var futureContract = new FuturesContract(Symbols.Future_CLF19_Jan2019); + + Bar bid = hasBid ? new Bar(1, 1, 1, 1) : null; + Bar ask = hasAsk ? new Bar(2, 2, 2, 2) : null; + var quoteBar = new QuoteBar(new DateTime(2025, 12, 10), Symbols.Future_CLF19_Jan2019, bid, 10, ask, 20); + futureContract.Update(quoteBar); + Assert.AreEqual(hasBid ? bid.Close : 0, futureContract.BidPrice); + Assert.AreEqual(hasAsk ? ask.Close : 0, futureContract.AskPrice); + Assert.AreEqual(hasAsk ? 20 : 0, futureContract.AskSize); + Assert.AreEqual(hasBid ? 10 : 0, futureContract.BidSize); + Assert.AreEqual(0, futureContract.Volume); + Assert.AreEqual(0, futureContract.LastPrice); + Assert.AreEqual(0, futureContract.OpenInterest); + } + + [Test] + public void QuoteTickUpdate() + { + var futureContract = new FuturesContract(Symbols.Future_CLF19_Jan2019); + + var tick = new Tick(new DateTime(2025, 12, 10), Symbols.Future_CLF19_Jan2019, 1, 2, 3, 4); + futureContract.Update(tick); + Assert.AreEqual(1, futureContract.BidSize); + Assert.AreEqual(2, futureContract.BidPrice); + Assert.AreEqual(3, futureContract.AskSize); + Assert.AreEqual(4, futureContract.AskPrice); + Assert.AreEqual(0, futureContract.Volume); + Assert.AreEqual(0, futureContract.LastPrice); + Assert.AreEqual(0, futureContract.OpenInterest); + } + + [Test] + public void TradeTickUpdate() + { + var futureContract = new FuturesContract(Symbols.Future_CLF19_Jan2019); + + var tick = new Tick(new DateTime(2025, 12, 10), Symbols.Future_CLF19_Jan2019, string.Empty, Exchange.UNKNOWN, 1, 2); + futureContract.Update(tick); + Assert.AreEqual(1, futureContract.Volume); + Assert.AreEqual(2, futureContract.LastPrice); + Assert.AreEqual(0, futureContract.BidSize); + Assert.AreEqual(0, futureContract.BidPrice); + Assert.AreEqual(0, futureContract.AskSize); + Assert.AreEqual(0, futureContract.AskPrice); + Assert.AreEqual(0, futureContract.OpenInterest); + } + + [Test] + public void TradeBarUpdate() + { + var futureContract = new FuturesContract(Symbols.Future_CLF19_Jan2019); + + var tick = new TradeBar(new DateTime(2025, 12, 10), Symbols.Future_CLF19_Jan2019, 1, 2, 3, 4, 5); + futureContract.Update(tick); + Assert.AreEqual(5, futureContract.Volume); + Assert.AreEqual(4, futureContract.LastPrice); + Assert.AreEqual(0, futureContract.BidSize); + Assert.AreEqual(0, futureContract.BidPrice); + Assert.AreEqual(0, futureContract.AskSize); + Assert.AreEqual(0, futureContract.AskPrice); + Assert.AreEqual(0, futureContract.OpenInterest); + } + + [Test] + public void OpenInterest() + { + var futureContract = new FuturesContract(Symbols.Future_CLF19_Jan2019); + var tick = new OpenInterest(new DateTime(2025, 12, 10), Symbols.Future_CLF19_Jan2019, 10); + futureContract.Update(tick); + Assert.AreEqual(10, futureContract.OpenInterest); + Assert.AreEqual(0, futureContract.Volume); + Assert.AreEqual(0, futureContract.LastPrice); + Assert.AreEqual(0, futureContract.BidSize); + Assert.AreEqual(0, futureContract.BidPrice); + Assert.AreEqual(0, futureContract.AskSize); + Assert.AreEqual(0, futureContract.AskPrice); + } + } +} diff --git a/Tests/Common/Data/SliceTests.cs b/Tests/Common/Data/SliceTests.cs index edbf530aff7c..e674b46af541 100644 --- a/Tests/Common/Data/SliceTests.cs +++ b/Tests/Common/Data/SliceTests.cs @@ -1131,7 +1131,7 @@ def Test(slice, symbol): var result = string.Empty; Assert.DoesNotThrow(() => result = test(GetSlice(), Symbols.SPY)); - Assert.AreEqual("SPY R735QTJ8XC9X: 10.0, AAPL R735QTJ8XC9X: 11.0", result); + Assert.AreEqual("AAPL R735QTJ8XC9X: 11.0, SPY R735QTJ8XC9X: 10.0", result); } } @@ -1149,7 +1149,7 @@ def Test(slice): var result = string.Empty; Assert.DoesNotThrow(() => result = test(GetSlice())); - Assert.AreEqual("SPY R735QTJ8XC9X: 10.0, AAPL R735QTJ8XC9X: 11.0", result); + Assert.AreEqual("AAPL R735QTJ8XC9X: 11.0, SPY R735QTJ8XC9X: 10.0", result); } } diff --git a/Tests/Common/Data/UniverseSelection/UserDefinedUniverseTests.cs b/Tests/Common/Data/UniverseSelection/UserDefinedUniverseTests.cs index 6bb8385787f2..02b43466e5cf 100644 --- a/Tests/Common/Data/UniverseSelection/UserDefinedUniverseTests.cs +++ b/Tests/Common/Data/UniverseSelection/UserDefinedUniverseTests.cs @@ -53,6 +53,8 @@ public override void Initialize() SetStartDate(2013, 10, 07); SetEndDate(2013, 10, 11); + Settings.SeedInitialPrices = false; + #pragma warning disable CS0618 var spy = AddEquity("SPY", Resolution.Minute, dataNormalizationMode: DataNormalizationMode.Raw).Symbol; diff --git a/Tests/Common/Exceptions/ClrBubbledExceptionInterpreterTests.cs b/Tests/Common/Exceptions/ClrBubbledExceptionInterpreterTests.cs index 86bc105b757b..3a4c860f924c 100644 --- a/Tests/Common/Exceptions/ClrBubbledExceptionInterpreterTests.cs +++ b/Tests/Common/Exceptions/ClrBubbledExceptionInterpreterTests.cs @@ -95,7 +95,7 @@ public void VerifyMessageContainsStackTraceInformation() { var exception = CreateExceptionFromType(typeof(ClrBubbledException)); var assembly = typeof(ClrBubbledExceptionInterpreter).Assembly; - var interpreter = StackExceptionInterpreter.CreateFromAssemblies(new[] { assembly }); + var interpreter = StackExceptionInterpreter.CreateFromAssemblies(); exception = interpreter.Interpret(exception, NullExceptionInterpreter.Instance); Assert.True(exception.Message.Contains("Value cannot be null. (Parameter 'key')", StringComparison.InvariantCulture)); diff --git a/Tests/Common/Exceptions/InvalidTokenPythonExceptionInterpreterTests.cs b/Tests/Common/Exceptions/InvalidTokenPythonExceptionInterpreterTests.cs index 1f5087f2bd32..f63795c5af8a 100644 --- a/Tests/Common/Exceptions/InvalidTokenPythonExceptionInterpreterTests.cs +++ b/Tests/Common/Exceptions/InvalidTokenPythonExceptionInterpreterTests.cs @@ -73,7 +73,7 @@ public void VerifyMessageContainsStackTraceInformation() { var exception = CreateExceptionFromType(typeof(PythonException)); var assembly = typeof(PythonExceptionInterpreter).Assembly; - var interpreter = StackExceptionInterpreter.CreateFromAssemblies(new[] { assembly }); + var interpreter = StackExceptionInterpreter.CreateFromAssemblies(); exception = interpreter.Interpret(exception, NullExceptionInterpreter.Instance); Assert.True(exception.Message.Contains("x = 01")); } diff --git a/Tests/Common/Exceptions/KeyErrorPythonExceptionInterpreterTests.cs b/Tests/Common/Exceptions/KeyErrorPythonExceptionInterpreterTests.cs index a08da22cd8af..b86259999832 100644 --- a/Tests/Common/Exceptions/KeyErrorPythonExceptionInterpreterTests.cs +++ b/Tests/Common/Exceptions/KeyErrorPythonExceptionInterpreterTests.cs @@ -1,4 +1,4 @@ -/* +/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * @@ -78,11 +78,11 @@ public void VerifyMessageContainsStackTraceInformation() { var exception = CreateExceptionFromType(typeof(PythonException)); var assembly = typeof(PythonExceptionInterpreter).Assembly; - var interpreter = StackExceptionInterpreter.CreateFromAssemblies(new[] { assembly }); + var interpreter = StackExceptionInterpreter.CreateFromAssemblies(); exception = interpreter.Interpret(exception, NullExceptionInterpreter.Instance); Assert.True(exception.Message.Contains("dict()['SPY']")); } private Exception CreateExceptionFromType(Type type) => type == typeof(PythonException) ? _pythonException : (Exception)Activator.CreateInstance(type); } -} \ No newline at end of file +} diff --git a/Tests/Common/Exceptions/NoMethodMatchPythonExceptionInterpreterTests.cs b/Tests/Common/Exceptions/NoMethodMatchPythonExceptionInterpreterTests.cs index bda9c80763e1..f97272859192 100644 --- a/Tests/Common/Exceptions/NoMethodMatchPythonExceptionInterpreterTests.cs +++ b/Tests/Common/Exceptions/NoMethodMatchPythonExceptionInterpreterTests.cs @@ -78,7 +78,7 @@ public void VerifyMessageContainsStackTraceInformation() { var exception = CreateExceptionFromType(typeof(PythonException)); var assembly = typeof(PythonExceptionInterpreter).Assembly; - var interpreter = StackExceptionInterpreter.CreateFromAssemblies(new[] { assembly }); + var interpreter = StackExceptionInterpreter.CreateFromAssemblies(); exception = interpreter.Interpret(exception, NullExceptionInterpreter.Instance); Assert.True(exception.Message.Contains("self.set_cash('SPY')")); } diff --git a/Tests/Common/Exceptions/PythonExceptionInterpreterTests.cs b/Tests/Common/Exceptions/PythonExceptionInterpreterTests.cs index d9285ae549d0..13b6f232b36c 100644 --- a/Tests/Common/Exceptions/PythonExceptionInterpreterTests.cs +++ b/Tests/Common/Exceptions/PythonExceptionInterpreterTests.cs @@ -1,4 +1,4 @@ -/* +/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * @@ -78,11 +78,11 @@ public void VerifyMessageContainsStackTraceInformation() { var exception = CreateExceptionFromType(typeof(PythonException)); var assembly = typeof(PythonExceptionInterpreter).Assembly; - var interpreter = StackExceptionInterpreter.CreateFromAssemblies(new[] { assembly }); + var interpreter = StackExceptionInterpreter.CreateFromAssemblies(); exception = interpreter.Interpret(exception, NullExceptionInterpreter.Instance); Assert.True(exception.Message.Contains("x = 1 / 0")); } private Exception CreateExceptionFromType(Type type) => type == typeof(PythonException) ? _pythonException : (Exception)Activator.CreateInstance(type); } -} \ No newline at end of file +} diff --git a/Tests/Common/Exceptions/StackExceptionInterpreterTests.cs b/Tests/Common/Exceptions/StackExceptionInterpreterTests.cs index 08513e7b501a..9a5f4ef17660 100644 --- a/Tests/Common/Exceptions/StackExceptionInterpreterTests.cs +++ b/Tests/Common/Exceptions/StackExceptionInterpreterTests.cs @@ -28,7 +28,7 @@ public class StackExceptionInterpretersTests public void CreatesFromAssemblies() { var assembly = typeof(ClrBubbledExceptionInterpreter).Assembly; - var interpreter = StackExceptionInterpreter.CreateFromAssemblies(new[] {assembly}); + var interpreter = StackExceptionInterpreter.CreateFromAssemblies(); Assert.AreEqual(1, interpreter.Interpreters.Count(p => p.GetType() == typeof(ClrBubbledExceptionInterpreter))); } diff --git a/Tests/Common/Exceptions/UnsupportedOperandPythonExceptionInterpreterTests.cs b/Tests/Common/Exceptions/UnsupportedOperandPythonExceptionInterpreterTests.cs index 66f875984e97..94211cfd8396 100644 --- a/Tests/Common/Exceptions/UnsupportedOperandPythonExceptionInterpreterTests.cs +++ b/Tests/Common/Exceptions/UnsupportedOperandPythonExceptionInterpreterTests.cs @@ -1,4 +1,4 @@ -/* +/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * @@ -78,11 +78,11 @@ public void VerifyMessageContainsStackTraceInformation() { var exception = CreateExceptionFromType(typeof(PythonException)); var assembly = typeof(PythonExceptionInterpreter).Assembly; - var interpreter = StackExceptionInterpreter.CreateFromAssemblies(new[] { assembly }); + var interpreter = StackExceptionInterpreter.CreateFromAssemblies(); exception = interpreter.Interpret(exception, NullExceptionInterpreter.Instance); Assert.True(exception.Message.Contains("x = None + \"Pepe Grillo\"")); } private Exception CreateExceptionFromType(Type type) => type == typeof(PythonException) ? _pythonException : (Exception)Activator.CreateInstance(type); } -} \ No newline at end of file +} diff --git a/Tests/Common/Orders/Fills/PartialMarketFillModelTests.cs b/Tests/Common/Orders/Fills/PartialMarketFillModelTests.cs index 1754eed43b8b..193582824178 100644 --- a/Tests/Common/Orders/Fills/PartialMarketFillModelTests.cs +++ b/Tests/Common/Orders/Fills/PartialMarketFillModelTests.cs @@ -32,6 +32,14 @@ namespace QuantConnect.Tests.Common.Orders.Fills [TestFixture, Ignore("TODO: fix me")] public class PartialMarketFillModelTests { + private static BacktestingTransactionHandler _transactionHandler; + + [TearDown] + public void TearDown() + { + _transactionHandler?.Exit(); + } + [Test] public void CreatesSpecificNumberOfFills() { @@ -92,13 +100,13 @@ private static DateTime InitializeTest(out BasicTemplateAlgorithm algorithm, out algorithm = new BasicTemplateAlgorithm(); algorithm.SetDateTime(referenceTimeUtc); - var transactionHandler = new BacktestingTransactionHandler(); + _transactionHandler = new BacktestingTransactionHandler(); # pragma warning disable CA2000 var backtestingBrokerage = new BacktestingBrokerage(algorithm); #pragma warning restore CA2000 - transactionHandler.Initialize(algorithm, backtestingBrokerage, new TestResultHandler(Console.WriteLine)); + _transactionHandler.Initialize(algorithm, backtestingBrokerage, new TestResultHandler(Console.WriteLine)); - algorithm.Transactions.SetOrderProcessor(transactionHandler); + algorithm.Transactions.SetOrderProcessor(_transactionHandler); var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Second, TimeZones.NewYork, TimeZones.NewYork, false, false, false); security = new Security( diff --git a/Tests/Common/Orders/OrderSizingTests.cs b/Tests/Common/Orders/OrderSizingTests.cs index c21855e0dc45..082a8e62e432 100644 --- a/Tests/Common/Orders/OrderSizingTests.cs +++ b/Tests/Common/Orders/OrderSizingTests.cs @@ -118,35 +118,43 @@ public void GetUnorderedQuantityHoldingsOpenOrders(decimal existingHoldings, dec var orderProcessor = new BrokerageTransactionHandler(); using var brokerage = new NullBrokerage(); orderProcessor.Initialize(algo, brokerage, new BacktestingResultHandler()); - algo.Transactions.SetOrderProcessor(orderProcessor); - - var orderRequest = new SubmitOrderRequest( - OrderType.Market, - SecurityType.Future, + + try + { + algo.Transactions.SetOrderProcessor(orderProcessor); + + var orderRequest = new SubmitOrderRequest( + OrderType.Market, + SecurityType.Future, + Symbols.Future_CLF19_Jan2019, + orderQuantity, + 250, + 250, + new DateTime(2020, 1, 1), + "Pepe" + ); + orderRequest.SetOrderId(1); + var order = Order.CreateOrder(orderRequest); + orderProcessor.AddOpenOrder(order, algo); + + brokerage.OnOrderEvent(new OrderEvent(1, Symbols.Future_CLF19_Jan2019, - orderQuantity, - 250, - 250, new DateTime(2020, 1, 1), - "Pepe" - ); - orderRequest.SetOrderId(1); - var order = Order.CreateOrder(orderRequest); - orderProcessor.AddOpenOrder(order, algo); - - brokerage.OnOrderEvent(new OrderEvent(1, - Symbols.Future_CLF19_Jan2019, - new DateTime(2020, 1, 1), - OrderStatus.PartiallyFilled, - filledQuantity > 0 ? OrderDirection.Buy : OrderDirection.Sell, - 250, - filledQuantity, - OrderFee.Zero)); - - var result = OrderSizing.GetUnorderedQuantity(algo, - new PortfolioTarget(Symbols.Future_CLF19_Jan2019, target)); - - Assert.AreEqual(expected, result); + OrderStatus.PartiallyFilled, + filledQuantity > 0 ? OrderDirection.Buy : OrderDirection.Sell, + 250, + filledQuantity, + OrderFee.Zero)); + + var result = OrderSizing.GetUnorderedQuantity(algo, + new PortfolioTarget(Symbols.Future_CLF19_Jan2019, target)); + + Assert.AreEqual(expected, result); + } + finally + { + orderProcessor.Exit(); + } } } } diff --git a/Tests/Common/Orders/ReadOrdersResponseJsonConverterTests.cs b/Tests/Common/Orders/ReadOrdersResponseJsonConverterTests.cs index d51ccb1ec638..cb05731dd975 100644 --- a/Tests/Common/Orders/ReadOrdersResponseJsonConverterTests.cs +++ b/Tests/Common/Orders/ReadOrdersResponseJsonConverterTests.cs @@ -593,7 +593,7 @@ public void SerializesCamelAndCapitalCaseOrders(string json) ], ""symbol"": { ""value"": ""GOOG 160115C00745000"", - ""id"": ""GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"", + ""id"": ""GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"", ""permtick"": ""GOOG 160115C00745000"", ""underlying"": { ""value"": ""GOOG"", @@ -639,7 +639,7 @@ public void SerializesCamelAndCapitalCaseOrders(string json) ""algorithmId"": ""c628892c0f508fd780013e01383f1c4e"", ""orderId"": 3, ""orderEventId"": 1, - ""symbol"": ""GOOCV W78ZEOEHQRYE|GOOCV VP83T1ZUHROL"", + ""symbol"": ""GOOCV W78ZEOEHV29Y|GOOCV VP83T1ZUHROL"", ""symbolValue"": ""GOOG 160115C00750000"", ""symbolPermtick"": ""GOOCV"", ""time"": 1450967460.0, @@ -665,7 +665,7 @@ public void SerializesCamelAndCapitalCaseOrders(string json) ], ""symbol"": { ""value"": ""GOOG 160115C00745000"", - ""id"": ""GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"", + ""id"": ""GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"", ""permtick"": ""GOOG 160115C00745000"", ""underlying"": { ""value"": ""GOOG"", @@ -711,7 +711,7 @@ public void SerializesCamelAndCapitalCaseOrders(string json) ""algorithmId"": ""02162a310244a08034bcbcd571f5aec9"", ""orderId"": 1, ""orderEventId"": 1, - ""symbol"": ""GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"", + ""symbol"": ""GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"", ""symbolValue"": ""GOOG 160115C00745000"", ""symbolPermtick"": ""GOOCV"", ""time"": 1450967460.0, @@ -738,7 +738,7 @@ public void SerializesCamelAndCapitalCaseOrders(string json) ], ""symbol"": { ""value"": ""GOOG 160115C00750000"", - ""id"": ""GOOCV W78ZEOEHQRYE|GOOCV VP83T1ZUHROL"", + ""id"": ""GOOCV W78ZEOEHV29Y|GOOCV VP83T1ZUHROL"", ""permtick"": ""GOOG 160115C00750000"", ""underlying"": { ""value"": ""GOOG"", @@ -784,7 +784,7 @@ public void SerializesCamelAndCapitalCaseOrders(string json) ""algorithmId"": ""a19c5b42ef28e3db679bb6fd59c14984"", ""orderId"": 3, ""orderEventId"": 1, - ""symbol"": ""GOOCV W78ZEOEHQRYE|GOOCV VP83T1ZUHROL"", + ""symbol"": ""GOOCV W78ZEOEHV29Y|GOOCV VP83T1ZUHROL"", ""symbolValue"": ""GOOG 160115C00750000"", ""symbolPermtick"": ""GOOCV"", ""time"": 1450967460.0, @@ -1171,7 +1171,7 @@ public void SerializesCamelAndCapitalCaseOrders(string json) ], ""Symbol"": { ""Value"": ""GOOG 160115C00745000"", - ""ID"": ""GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"", + ""ID"": ""GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"", ""Permtick"": ""GOOG 160115C00745000"", ""Underlying"": { ""Value"": ""GOOG"", @@ -1224,7 +1224,7 @@ public void SerializesCamelAndCapitalCaseOrders(string json) ], ""Symbol"": { ""Value"": ""GOOG 160115C00745000"", - ""ID"": ""GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"", + ""ID"": ""GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"", ""Permtick"": ""GOOG 160115C00745000"", ""Underlying"": { ""Value"": ""GOOG"", @@ -1278,7 +1278,7 @@ public void SerializesCamelAndCapitalCaseOrders(string json) ], ""Symbol"": { ""Value"": ""GOOG 160115C00750000"", - ""ID"": ""GOOCV W78ZEOEHQRYE|GOOCV VP83T1ZUHROL"", + ""ID"": ""GOOCV W78ZEOEHV29Y|GOOCV VP83T1ZUHROL"", ""Permtick"": ""GOOG 160115C00750000"", ""Underlying"": { ""Value"": ""GOOG"", @@ -1370,9 +1370,9 @@ public void SerializesCamelAndCapitalCaseOrders(string json) new object[] { _camelCaseMarketOnClose, OrderType.MarketOnClose, "SPY R735QTJ8XC9X", SecurityType.Equity }, new object[] { _camelCaseOptionExercise, OrderType.OptionExercise, "AAPL 2ZQGWTST4Z8NA|AAPL R735QTJ8XC9X", SecurityType.Option }, new object[] { _camelCaseLimitIfTouched, OrderType.LimitIfTouched, "SPY R735QTJ8XC9X", SecurityType.Equity }, - new object[] { _camelCaseComboMarket, OrderType.ComboMarket, "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL", SecurityType.Option }, - new object[] { _camelCaseComboLimit, OrderType.ComboLimit, "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL", SecurityType.Option }, - new object[] { _camelCaseComboLegLimit, OrderType.ComboLegLimit, "GOOCV W78ZEOEHQRYE|GOOCV VP83T1ZUHROL", SecurityType.Option }, + new object[] { _camelCaseComboMarket, OrderType.ComboMarket, "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL", SecurityType.Option }, + new object[] { _camelCaseComboLimit, OrderType.ComboLimit, "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL", SecurityType.Option }, + new object[] { _camelCaseComboLegLimit, OrderType.ComboLegLimit, "GOOCV W78ZEOEHV29Y|GOOCV VP83T1ZUHROL", SecurityType.Option }, new object[] { _camelCaseTrailingStop, OrderType.TrailingStop, "SPY R735QTJ8XC9X", SecurityType.Equity }, new object[] { _capitalCaseMarketOrder, OrderType.Market, "SPY R735QTJ8XC9X", SecurityType.Equity }, new object[] { _capitalCaseLimitOrder, OrderType.Limit, "SPY R735QTJ8XC9X", SecurityType.Equity }, @@ -1382,9 +1382,9 @@ public void SerializesCamelAndCapitalCaseOrders(string json) new object[] { _capitalCaseMarketOnClose, OrderType.MarketOnClose, "SPY R735QTJ8XC9X", SecurityType.Equity }, new object[] { _capitalCaseOptionExercise, OrderType.OptionExercise, "AAPL 2ZQGWTST4Z8NA|AAPL R735QTJ8XC9X", SecurityType.Option }, new object[] { _capitalCaseLimitIfTouched, OrderType.LimitIfTouched, "SPY R735QTJ8XC9X", SecurityType.Equity }, - new object[] { _capitalCaseComboMarket, OrderType.ComboMarket, "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL", SecurityType.Option }, - new object[] { _capitalCaseComboLimit, OrderType.ComboLimit, "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL", SecurityType.Option }, - new object[] { _capitalCaseComboLegLimit, OrderType.ComboLegLimit, "GOOCV W78ZEOEHQRYE|GOOCV VP83T1ZUHROL", SecurityType.Option }, + new object[] { _capitalCaseComboMarket, OrderType.ComboMarket, "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL", SecurityType.Option }, + new object[] { _capitalCaseComboLimit, OrderType.ComboLimit, "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL", SecurityType.Option }, + new object[] { _capitalCaseComboLegLimit, OrderType.ComboLegLimit, "GOOCV W78ZEOEHV29Y|GOOCV VP83T1ZUHROL", SecurityType.Option }, new object[] { _capitalCaseTrailingStop, OrderType.TrailingStop, "SPY R735QTJ8XC9X", SecurityType.Equity } }; diff --git a/Tests/Common/Orders/dYdXOrderPropertiesTests.cs b/Tests/Common/Orders/dYdXOrderPropertiesTests.cs new file mode 100644 index 000000000000..e07b5a617434 --- /dev/null +++ b/Tests/Common/Orders/dYdXOrderPropertiesTests.cs @@ -0,0 +1,100 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2023 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. + */ + +using NUnit.Framework; +using QuantConnect.Orders; + +namespace QuantConnect.Tests.Common.Orders; + +[TestFixture] +public class dYdXOrderPropertiesTests +{ + [Test] + public void PostOnlyPropertyCanBeSetAndRetrieved() + { + var properties = new dYdXOrderProperties(); + + properties.PostOnly = true; + Assert.IsTrue(properties.PostOnly); + + properties.PostOnly = false; + Assert.IsFalse(properties.PostOnly); + } + + [Test] + public void IOCPropertyCanBeSetAndRetrieved() + { + var properties = new dYdXOrderProperties(); + + properties.IOC = true; + Assert.IsTrue(properties.IOC); + + properties.IOC = false; + Assert.IsFalse(properties.IOC); + } + + [Test] + public void DefaultValuesAreCorrect() + { + var properties = new dYdXOrderProperties(); + + Assert.IsFalse(properties.PostOnly); + Assert.IsFalse(properties.IOC); + } + + [Test] + public void ThrowsIfSetIOCWhenPostOnlyAlreadySet() + { + var properties = new dYdXOrderProperties(); + + Assert.Throws(() => + { + properties.PostOnly = true; + properties.IOC = true; + }); + } + + [Test] + public void ThrowsIfSetPostOnlyWhenIOCAlreadySet() + { + var properties = new dYdXOrderProperties(); + + Assert.Throws(() => + { + properties.IOC = true; + properties.PostOnly = true; + }); + } + + [Test] + public void WhenPostOnlyIsTrueIOCRemainsFalse() + { + var properties = new dYdXOrderProperties(); + + properties.PostOnly = true; + Assert.IsTrue(properties.PostOnly); + Assert.IsFalse(properties.IOC); + } + + [Test] + public void WhenIOCIsTruePostOnlyRemainsFalse() + { + var properties = new dYdXOrderProperties(); + + properties.IOC = true; + Assert.IsTrue(properties.IOC); + Assert.IsFalse(properties.PostOnly); + } +} diff --git a/Tests/Common/Securities/CashTests.cs b/Tests/Common/Securities/CashTests.cs index 197be37b12e2..d47415916bb1 100644 --- a/Tests/Common/Securities/CashTests.cs +++ b/Tests/Common/Securities/CashTests.cs @@ -453,6 +453,37 @@ public void EnsureCurrencyDataFeedForCryptoCurrency() } } + [Test] + public void EnsureCurrencyDataFeedForCryptoCurrency_CryptoFuturesFirst_When_dYdX() + { + var book = new CashBook + { + {Currencies.USD, new Cash(Currencies.USD, 100, 1) }, + {"BTC", new Cash("BTC", 100, 6000) }, + {"ETH", new Cash("ETH", 100, 290) } + }; + + var subscriptions = new SubscriptionManager(NullTimeKeeper.Instance); + var dataManager = new DataManagerStub(TimeKeeper); + subscriptions.SetDataManager(dataManager); + var securities = new SecurityManager(TimeKeeper); + + var marketMapWithdYdX = MarketMap.ToDictionary(); + marketMapWithdYdX[SecurityType.CryptoFuture] = Market.DYDX; + + book.EnsureCurrencyDataFeeds(securities, subscriptions, marketMapWithdYdX, SecurityChanges.None, dataManager.SecurityService); + + var symbols = dataManager.SubscriptionManagerSubscriptions.Select(sdc => sdc.Symbol).ToHashSet(); + + Assert.IsTrue(symbols.Contains(Symbol.Create("BTCUSD", SecurityType.CryptoFuture, Market.DYDX))); + Assert.IsTrue(symbols.Contains(Symbol.Create("ETHUSD", SecurityType.CryptoFuture, Market.DYDX))); + + foreach (var subscription in subscriptions.Subscriptions) + { + Assert.AreEqual(subscription.Symbol.SecurityType, SecurityType.CryptoFuture); + } + } + [Test] public void UpdateModifiesConversionRateAsInvertedValue() { diff --git a/Tests/Common/Securities/FutureFilterTests.cs b/Tests/Common/Securities/FutureFilterTests.cs index 36489c76dcdc..5ea286e62867 100644 --- a/Tests/Common/Securities/FutureFilterTests.cs +++ b/Tests/Common/Securities/FutureFilterTests.cs @@ -62,12 +62,14 @@ public void FiltersExpiryRange() Assert.AreEqual(symbols[7], filtered[4]); } - [Test] - public void FiltersOutWeeklysByDefault() + [TestCase(false, 6)] + [TestCase(true, 2)] + public void FutureContractFiltering(bool standardsOnly, int expectedCount) { var time = new DateTime(2016, 02, 17, 13, 0, 0); - Func universeFunc = universe => universe; + Func universeFunc = universe => + standardsOnly ? universe.StandardsOnly() : universe; Func, IDerivativeSecurityFilterUniverse> func = universe => universeFunc(universe as FutureFilterUniverse).ApplyTypesFilter(); @@ -75,19 +77,33 @@ public void FiltersOutWeeklysByDefault() var filter = new FuncSecurityDerivativeFilter(func); var symbols = new[] { - Symbol.CreateFuture("VX", Market.CFE, time.AddDays(0)), // 0 Standard!! - Symbol.CreateFuture("VX", Market.CFE, time.AddDays(1)), // 1 - Symbol.CreateFuture("VX", Market.CFE, time.AddDays(2)), // 2 - Symbol.CreateFuture("VX", Market.CFE, time.AddDays(8)), // 8 - Symbol.CreateFuture("VX", Market.CFE, time.AddDays(16)), // 16 - Symbol.CreateFuture("VX", Market.CFE, time.AddDays(28)), // 28 Standard!! + Symbol.CreateFuture("VX", Market.CFE, time.AddDays(0)), // Standard + Symbol.CreateFuture("VX", Market.CFE, time.AddDays(1)), + Symbol.CreateFuture("VX", Market.CFE, time.AddDays(2)), + Symbol.CreateFuture("VX", Market.CFE, time.AddDays(8)), + Symbol.CreateFuture("VX", Market.CFE, time.AddDays(16)), + Symbol.CreateFuture("VX", Market.CFE, time.AddDays(28)), // Standard }; var data = symbols.Select(x => new FutureUniverse() { Symbol = x }); var filtered = filter.Filter(new FutureFilterUniverse(data, time)).Select(x => x.Symbol).ToList(); - Assert.AreEqual(2, filtered.Count); - Assert.AreEqual(symbols[0], filtered[0]); - Assert.AreEqual(symbols[5], filtered[1]); + + Assert.AreEqual(expectedCount, filtered.Count); + + if (standardsOnly) + { + // When StandardsOnly, only Standards should be returned + Assert.AreEqual(symbols[0], filtered[0]); + Assert.AreEqual(symbols[5], filtered[1]); + } + else + { + // By default both Standards and Weeklys are returned + for (int i = 0; i < 6; i++) + { + Assert.AreEqual(symbols[i], filtered[i]); + } + } } [Test] diff --git a/Tests/Common/Securities/FutureOption/FuturesOptionsExpiryFunctionsTests.cs b/Tests/Common/Securities/FutureOption/FuturesOptionsExpiryFunctionsTests.cs index 920c0af603f4..4ba76662e9b2 100644 --- a/Tests/Common/Securities/FutureOption/FuturesOptionsExpiryFunctionsTests.cs +++ b/Tests/Common/Securities/FutureOption/FuturesOptionsExpiryFunctionsTests.cs @@ -107,12 +107,39 @@ public void ExpiryFunctionsReturnExpectedResults(string futureTicker, string mar [TestCase("6N", Market.CME, "202511", "20251107", "20251215")] [TestCase("6N", Market.CME, "202512", "20251205", "20251215")] [TestCase("6N", Market.CME, "202601", "20260109", "20260316")] + [TestCase("6N", Market.CME, "202601", "20260109", "20260316")] + [TestCase("6N", Market.CME, "202602", "20260206", "20260316")] + [TestCase("6N", Market.CME, "202604", "20260403", "20260615")] + [TestCase("6B", Market.CME, "202601", "20260109", "20260316")] + [TestCase("6B", Market.CME, "202602", "20260206", "20260316")] + [TestCase("6B", Market.CME, "202603", "20260306", "20260316")] + [TestCase("6C", Market.CME, "202601", "20260109", "20260317")] + [TestCase("6C", Market.CME, "202602", "20260206", "20260317")] + [TestCase("6C", Market.CME, "202603", "20260306", "20260317")] + [TestCase("6J", Market.CME, "202601", "20260109", "20260316")] + [TestCase("6J", Market.CME, "202602", "20260206", "20260316")] + [TestCase("6J", Market.CME, "202603", "20260306", "20260316")] + [TestCase("6S", Market.CME, "202601", "20260109", "20260316")] + [TestCase("6S", Market.CME, "202602", "20260206", "20260316")] + [TestCase("6S", Market.CME, "202603", "20260306", "20260316")] + [TestCase("6E", Market.CME, "202601", "20260109", "20260316")] + [TestCase("6E", Market.CME, "202602", "20260206", "20260316")] + [TestCase("6E", Market.CME, "202603", "20260306", "20260316")] + [TestCase("6M", Market.CME, "202604", "20260403", "20260615")] + [TestCase("6M", Market.CME, "202605", "20260508", "20260615")] + [TestCase("6M", Market.CME, "202606", "20260605", "20260615")] + [TestCase("6A", Market.CME, "202601", "20260109", "20260316", Description = "Quarterly contract : Mar")] + [TestCase("6A", Market.CME, "202602", "20260206", "20260316", Description = "Quarterly contract : Mar")] + [TestCase("6A", Market.CME, "202603", "20260306", "20260316", Description = "Quarterly contract : Mar")] + [TestCase("6A", Market.CME, "202604", "20260403", "20260615", Description = "Quarterly contract : Jun")] + [TestCase("6A", Market.CME, "202605", "20260508", "20260615", Description = "Quarterly contract : Jun")] + [TestCase("6A", Market.CME, "202606", "20260605", "20260615", Description = "Quarterly contract : Jun")] public void FutureAndOptionMapping(string futureTicker, string market, string fopContractMonthYear, string expectedFop, string expectedFuture) { var contractMonth = DateTime.ParseExact(fopContractMonthYear, DateFormat.YearMonth, CultureInfo.InvariantCulture); var fopExpiry = Time.ParseDate(expectedFop); - var referenceDate = new DateTime(fopExpiry.Year, 9, 1); + var referenceDate = new DateTime(fopExpiry.Year, fopExpiry.Month, 1); var canonicalFuture = Symbol.Create(futureTicker, SecurityType.Future, market); var canonicalFutureOption = Symbol.CreateOption( canonicalFuture, diff --git a/Tests/Common/Securities/FutureOption/FuturesOptionsUnderlyingMapperTests.cs b/Tests/Common/Securities/FutureOption/FuturesOptionsUnderlyingMapperTests.cs index ec36649689c3..d96ae7f6b6db 100644 --- a/Tests/Common/Securities/FutureOption/FuturesOptionsUnderlyingMapperTests.cs +++ b/Tests/Common/Securities/FutureOption/FuturesOptionsUnderlyingMapperTests.cs @@ -35,18 +35,27 @@ public class FuturesOptionsUnderlyingMapperTests [TestCase("ZN", Market.CBOT, 2021, 2, 19, 2021, 3, 22, false)] [TestCase("ZS", Market.CBOT, 2021, 2, 19, 2021, 3, 12, false)] [TestCase("ZW", Market.CBOT, 2021, 2, 19, 2021, 3, 12, false)] - [TestCase("6A", Market.CME, 2025, 09, 05, 2025, 09, 15, false)] - [TestCase("6A", Market.CME, 2025, 12, 05, 2025, 12, 15, false)] - [TestCase("6B", Market.CME, 2025, 09, 05, 2025, 09, 15, false)] - [TestCase("6B", Market.CME, 2025, 12, 05, 2025, 12, 15, false)] - [TestCase("6C", Market.CME, 2025, 09, 05, 2025, 09, 16, false)] - [TestCase("6C", Market.CME, 2025, 12, 05, 2025, 12, 16, false)] - [TestCase("6E", Market.CME, 2025, 09, 05, 2025, 09, 15, false)] - [TestCase("6E", Market.CME, 2025, 12, 05, 2025, 12, 15, false)] - [TestCase("6J", Market.CME, 2025, 09, 05, 2025, 09, 15, false)] - [TestCase("6J", Market.CME, 2025, 12, 05, 2025, 12, 15, false)] - [TestCase("6S", Market.CME, 2025, 09, 05, 2025, 09, 15, false)] - [TestCase("6S", Market.CME, 2025, 12, 05, 2025, 12, 15, false)] + [TestCase("6A", Market.CME, 2021, 09, 05, 2021, 09, 13, false)] + [TestCase("6A", Market.CME, 2021, 10, 05, 2021, 12, 13, false)] + [TestCase("6A", Market.CME, 2021, 11, 05, 2021, 12, 13, false)] + [TestCase("6A", Market.CME, 2021, 12, 05, 2021, 12, 13, false)] + [TestCase("6N", Market.CME, 2021, 01, 09, 2021, 03, 15, false)] + [TestCase("6B", Market.CME, 2021, 02, 06, 2021, 03, 15, false)] + [TestCase("6B", Market.CME, 2021, 09, 05, 2021, 09, 13, false)] + [TestCase("6B", Market.CME, 2021, 12, 05, 2021, 12, 13, false)] + [TestCase("6C", Market.CME, 2021, 01, 09, 2021, 03, 16, false)] + [TestCase("6C", Market.CME, 2021, 09, 05, 2021, 09, 14, false)] + [TestCase("6C", Market.CME, 2021, 12, 05, 2021, 12, 14, false)] + [TestCase("6E", Market.CME, 2021, 09, 05, 2021, 09, 13, false)] + [TestCase("6E", Market.CME, 2021, 12, 05, 2021, 12, 13, false)] + [TestCase("6E", Market.CME, 2021, 01, 09, 2021, 03, 15, false)] + [TestCase("6M", Market.CME, 2021, 04, 03, 2021, 06, 14, false)] + [TestCase("6J", Market.CME, 2021, 09, 05, 2021, 09, 13, false)] + [TestCase("6J", Market.CME, 2021, 12, 05, 2021, 12, 13, false)] + [TestCase("6J", Market.CME, 2021, 02, 06, 2021, 03, 15, false)] + [TestCase("6S", Market.CME, 2021, 09, 05, 2021, 09, 13, false)] + [TestCase("6S", Market.CME, 2021, 12, 05, 2021, 12, 13, false)] + [TestCase("6S", Market.CME, 2021, 02, 06, 2021, 03, 15, false)] [TestCase("ZC", Market.CBOT, 2031, 12, 26, 2031, 12, 26, true)] [TestCase("ZS", Market.CBOT, 2034, 12, 22, 2034, 12, 22, true)] [TestCase("ZW", Market.CBOT, 2036, 12, 26, 2036, 12, 26, true)] diff --git a/Tests/Common/Securities/FutureOptionMarginBuyingPowerModelTests.cs b/Tests/Common/Securities/FutureOptionMarginBuyingPowerModelTests.cs index 12c2a0e312ef..bd3fb352958c 100644 --- a/Tests/Common/Securities/FutureOptionMarginBuyingPowerModelTests.cs +++ b/Tests/Common/Securities/FutureOptionMarginBuyingPowerModelTests.cs @@ -163,28 +163,35 @@ public void OptionExerciseWhenFullyInvested() algorithm.Transactions.SetOrderProcessor(backtestingTransactionHandler); backtestingTransactionHandler.Initialize(algorithm, brokerage, new TestResultHandler()); - const decimal price = 2600m; - var time = new DateTime(2020, 10, 14); - var expDate = new DateTime(2021, 3, 19); - - // For this symbol we dont have any history, but only one date and margins line - var ticker = QuantConnect.Securities.Futures.Indices.SP500EMini; - var future = Symbol.CreateFuture(ticker, Market.CME, expDate); - var symbol = Symbol.CreateOption(future, Market.CME, OptionStyle.American, OptionRight.Call, 2550m, - new DateTime(2021, 3, 19)); - - var optionSecurity = algorithm.AddOptionContract(symbol); - optionSecurity.Underlying = algorithm.AddFutureContract(future); - - optionSecurity.Underlying.SetMarketPrice(new Tick { Value = price, Time = time }); - optionSecurity.SetMarketPrice(new Tick { Value = 150, Time = time }); - optionSecurity.Holdings.SetHoldings(1.5m, 10); - - algorithm.SetDateTime(time.AddHours(14)); // 10am - var ticket = algorithm.ExerciseOption(optionSecurity.Symbol, 10, true); - // Process orders - backtestingTransactionHandler.ProcessSynchronousEvents(); - Assert.AreEqual(OrderStatus.Filled, ticket.Status); + try + { + const decimal price = 2600m; + var time = new DateTime(2020, 10, 14); + var expDate = new DateTime(2021, 3, 19); + + // For this symbol we dont have any history, but only one date and margins line + var ticker = QuantConnect.Securities.Futures.Indices.SP500EMini; + var future = Symbol.CreateFuture(ticker, Market.CME, expDate); + var symbol = Symbol.CreateOption(future, Market.CME, OptionStyle.American, OptionRight.Call, 2550m, + new DateTime(2021, 3, 19)); + + var optionSecurity = algorithm.AddOptionContract(symbol); + optionSecurity.Underlying = algorithm.AddFutureContract(future); + + optionSecurity.Underlying.SetMarketPrice(new Tick { Value = price, Time = time }); + optionSecurity.SetMarketPrice(new Tick { Value = 150, Time = time }); + optionSecurity.Holdings.SetHoldings(1.5m, 10); + + algorithm.SetDateTime(time.AddHours(14)); // 10am + var ticket = algorithm.ExerciseOption(optionSecurity.Symbol, 10, true); + // Process orders + backtestingTransactionHandler.ProcessSynchronousEvents(); + Assert.AreEqual(OrderStatus.Filled, ticket.Status); + } + finally + { + backtestingTransactionHandler.Exit(); + } } [Test] diff --git a/Tests/Common/Securities/Futures/FuturesExpiryFunctionsTests.cs b/Tests/Common/Securities/Futures/FuturesExpiryFunctionsTests.cs index b9e2c22e0608..e1522d91b895 100644 --- a/Tests/Common/Securities/Futures/FuturesExpiryFunctionsTests.cs +++ b/Tests/Common/Securities/Futures/FuturesExpiryFunctionsTests.cs @@ -319,6 +319,20 @@ public void BankHolidaysAreRespected() Assert.AreEqual(new DateTime(2025, 2, 14), expiryDate.Date); } + [TestCase(QuantConnect.Securities.Futures.Indices.NASDAQ100EMini, "20260302", "20260320")] + [TestCase(QuantConnect.Securities.Futures.Indices.NASDAQ100EMini, "20260602", "20260618")] + public void ExpirationUsesHolidays(string symbol, string dateStr, string expectedDate) + { + var date = Time.ParseDate(dateStr); + var expected = Time.ParseDate(expectedDate); + + var futureSymbol = GetFutureSymbol(symbol, date); + var func = FuturesExpiryFunctions.FuturesExpiryFunction(GetFutureSymbol(symbol)); + + var actual = func(futureSymbol.ID.Date); + Assert.AreEqual(expected, actual.Date, $"Failed for symbol: {symbol}. Date {dateStr}"); + } + // 25th is a sunday [TestCase(QuantConnect.Securities.Futures.Energy.MicroCrudeOilWTI, "20221001", "20220919")] [TestCase(QuantConnect.Securities.Futures.Energy.CrudeOilWTI, "20221001", "20220920")] diff --git a/Tests/Common/Securities/OptionFilterTests.cs b/Tests/Common/Securities/OptionFilterTests.cs index c925a027ebb2..a8e2eff009bc 100644 --- a/Tests/Common/Securities/OptionFilterTests.cs +++ b/Tests/Common/Securities/OptionFilterTests.cs @@ -373,7 +373,7 @@ public void FiltersOutWeeklys() var underlying = new Tick { Value = 10m, Time = new DateTime(2016, 12, 29) }; - Func universeFunc = universe => universe; + Func universeFunc = universe => universe.StandardsOnly(); Func, IDerivativeSecurityFilterUniverse> func = universe => universeFunc(universe as OptionFilterUniverse).ApplyTypesFilter(); @@ -418,7 +418,7 @@ public void FiltersOutWeeklysIfFridayHoliday() var underlying = new Tick { Value = 10m, Time = new DateTime(2016, 12, 29) }; - Func universeFunc = universe => universe; + Func universeFunc = universe => universe.StandardsOnly(); Func, IDerivativeSecurityFilterUniverse> func = universe => universeFunc(universe as OptionFilterUniverse).ApplyTypesFilter(); diff --git a/Tests/Common/Securities/Options/OptionPortfolioModelTests.cs b/Tests/Common/Securities/Options/OptionPortfolioModelTests.cs index 22f2cf235d23..45f7f83c6aee 100644 --- a/Tests/Common/Securities/Options/OptionPortfolioModelTests.cs +++ b/Tests/Common/Securities/Options/OptionPortfolioModelTests.cs @@ -64,63 +64,71 @@ public void OptionExercise_NonAccountCurrency() algorithm.Securities = securities; using var backtestingBrokerage = new BacktestingBrokerage(algorithm); transactionHandler.Initialize(algorithm, backtestingBrokerage, _resultHandler); - transactions.SetOrderProcessor(transactionHandler); - - securities.Add( - Symbols.SPY, - new Security( - SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), - CreateTradeBarConfig(Symbols.SPY), - EUR, - SymbolProperties.GetDefault(EUR.Symbol), - ErrorCurrencyConverter.Instance, - RegisteredSecurityDataTypesProvider.Null, - new SecurityCache() - ) - ); - securities.Add( - Symbols.SPY_C_192_Feb19_2016, - new Option( - SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), - CreateTradeBarConfig(Symbols.SPY_C_192_Feb19_2016), - EUR, - new OptionSymbolProperties(new SymbolProperties("EUR", "EUR", 100, 0.01m, 1, string.Empty)), - ErrorCurrencyConverter.Instance, - RegisteredSecurityDataTypesProvider.Null - ) - ); - securities[Symbols.SPY_C_192_Feb19_2016].Holdings.SetHoldings(1, 1); - securities[Symbols.SPY].SetMarketPrice(new Tick { Value = 200 }); - - transactions.AddOrder(new SubmitOrderRequest(OrderType.OptionExercise, SecurityType.Option, Symbols.SPY_C_192_Feb19_2016, -1, 0, 0, securities.UtcTime, "")); - var option = (Option)securities[Symbols.SPY_C_192_Feb19_2016]; - var order = (OptionExerciseOrder)transactions.GetOrders(x => true).First(); - option.Underlying = securities[Symbols.SPY]; - - var fills = option.OptionExerciseModel.OptionExercise(option, order).ToList(); - - Assert.AreEqual(2, fills.Count); - Assert.IsFalse(fills[0].IsAssignment); - - StringAssert.Contains("Automatic Exercise", fills[0].Message); - Assert.AreEqual("Option Exercise", fills[1].Message); - - foreach (var fill in fills) + + try { - fill.Ticket = order.ToOrderTicket(transactions); - portfolio.ProcessFills(new List { fill }); - } + transactions.SetOrderProcessor(transactionHandler); + + securities.Add( + Symbols.SPY, + new Security( + SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), + CreateTradeBarConfig(Symbols.SPY), + EUR, + SymbolProperties.GetDefault(EUR.Symbol), + ErrorCurrencyConverter.Instance, + RegisteredSecurityDataTypesProvider.Null, + new SecurityCache() + ) + ); + securities.Add( + Symbols.SPY_C_192_Feb19_2016, + new Option( + SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), + CreateTradeBarConfig(Symbols.SPY_C_192_Feb19_2016), + EUR, + new OptionSymbolProperties(new SymbolProperties("EUR", "EUR", 100, 0.01m, 1, string.Empty)), + ErrorCurrencyConverter.Instance, + RegisteredSecurityDataTypesProvider.Null + ) + ); + securities[Symbols.SPY_C_192_Feb19_2016].Holdings.SetHoldings(1, 1); + securities[Symbols.SPY].SetMarketPrice(new Tick { Value = 200 }); + + transactions.AddOrder(new SubmitOrderRequest(OrderType.OptionExercise, SecurityType.Option, Symbols.SPY_C_192_Feb19_2016, -1, 0, 0, securities.UtcTime, "")); + var option = (Option)securities[Symbols.SPY_C_192_Feb19_2016]; + var order = (OptionExerciseOrder)transactions.GetOrders(x => true).First(); + option.Underlying = securities[Symbols.SPY]; + + var fills = option.OptionExerciseModel.OptionExercise(option, order).ToList(); + + Assert.AreEqual(2, fills.Count); + Assert.IsFalse(fills[0].IsAssignment); - // now we have long position in SPY with average price equal to strike - var newUnderlyingHoldings = securities[Symbols.SPY].Holdings; - // we added 100*192 EUR (strike price) at beginning, all consumed by exercise - Assert.AreEqual(0, EUR.Amount); - Assert.AreEqual(0, portfolio.CashBook["USD"].Amount); - Assert.AreEqual(100, newUnderlyingHoldings.Quantity); - Assert.AreEqual(192.0, newUnderlyingHoldings.AveragePrice); + StringAssert.Contains("Automatic Exercise", fills[0].Message); + Assert.AreEqual("Option Exercise", fills[1].Message); - // and long call option position has disappeared - Assert.AreEqual(0, securities[Symbols.SPY_C_192_Feb19_2016].Holdings.Quantity); + foreach (var fill in fills) + { + fill.Ticket = order.ToOrderTicket(transactions); + portfolio.ProcessFills(new List { fill }); + } + + // now we have long position in SPY with average price equal to strike + var newUnderlyingHoldings = securities[Symbols.SPY].Holdings; + // we added 100*192 EUR (strike price) at beginning, all consumed by exercise + Assert.AreEqual(0, EUR.Amount); + Assert.AreEqual(0, portfolio.CashBook["USD"].Amount); + Assert.AreEqual(100, newUnderlyingHoldings.Quantity); + Assert.AreEqual(192.0, newUnderlyingHoldings.AveragePrice); + + // and long call option position has disappeared + Assert.AreEqual(0, securities[Symbols.SPY_C_192_Feb19_2016].Holdings.Quantity); + } + finally + { + transactionHandler.Exit(); + } } private static SubscriptionDataConfig CreateTradeBarConfig(Symbol symbol) diff --git a/Tests/Common/Securities/Options/OptionSecurityTests.cs b/Tests/Common/Securities/Options/OptionSecurityTests.cs index 7974acf0f915..1df74213315d 100644 --- a/Tests/Common/Securities/Options/OptionSecurityTests.cs +++ b/Tests/Common/Securities/Options/OptionSecurityTests.cs @@ -118,7 +118,7 @@ public void AlgorithmSendsOneTimeWarningAboutOptionModelsConsistency( parameter.ExpectedFinalStatus, returnLogs: true); - Assert.IsTrue(result.Logs.Any(message => message.Contains("Debug: Warning: Security ") && + Assert.IsTrue(result.Logs.Any(message => message.Contains("Warning: Security ") && message.EndsWith("To avoid this, consider using a security initializer to set the right models to each security type according to your algorithm's requirements."))); } } diff --git a/Tests/Common/Securities/SecurityIdentifierTests.cs b/Tests/Common/Securities/SecurityIdentifierTests.cs index e894f3684d70..d98bfa465138 100644 --- a/Tests/Common/Securities/SecurityIdentifierTests.cs +++ b/Tests/Common/Securities/SecurityIdentifierTests.cs @@ -420,6 +420,38 @@ public void GenerateBase_UsesProvidedSymbol_WhenBaseDataTypeIsNull() Assert.AreEqual(expected, sid.Symbol); } + [Test] + public void DecimalStrikePriceRoundTrip() + { + var future = Symbol.CreateFuture( + "CL", + Market.NYMEX, + new DateTime(2020, 5, 20)); + + var option = Symbol.CreateOption( + future, + Market.NYMEX, + OptionStyle.American, + OptionRight.Call, + 0.006425m, + new DateTime(2020, 4, 16)); + + Assert.AreEqual(0.006425m, option.ID.StrikePrice); + + var newSid = SecurityIdentifier.Parse(option.ID.ToString()); + Assert.AreEqual(0.006425m, newSid.StrikePrice); + + var option2 = Symbol.CreateOption( + future, + Market.NYMEX, + OptionStyle.American, + OptionRight.Call, + 0.0064m, + new DateTime(2020, 4, 16)); + + Assert.AreNotEqual(option2, option); + } + [Test] public void NegativeStrikePriceRoundTrip() { @@ -443,10 +475,10 @@ public void NegativeStrikePriceRoundTrip() Assert.AreEqual(-50, newSid.StrikePrice); } - [TestCase(OptionStyle.American, OptionRight.Call, "AAPL XEOLB4YAQ8BQ|AAPL R735QTJ8XC9X")] - [TestCase(OptionStyle.American, OptionRight.Put, "AAPL 31DSLGKXI01PI|AAPL R735QTJ8XC9X")] - [TestCase(OptionStyle.European, OptionRight.Call, "AAPL XEOOUQW0JB1I|AAPL R735QTJ8XC9X")] - [TestCase(OptionStyle.European, OptionRight.Put, "AAPL 31DSP06V7T4FA|AAPL R735QTJ8XC9X")] + [TestCase(OptionStyle.American, OptionRight.Call, "AAPL XEOLB4YAUINA|AAPL R735QTJ8XC9X")] + [TestCase(OptionStyle.American, OptionRight.Put, "AAPL 31DSLGKXI4C12|AAPL R735QTJ8XC9X")] + [TestCase(OptionStyle.European, OptionRight.Call, "AAPL XEOOUQW0NLD2|AAPL R735QTJ8XC9X")] + [TestCase(OptionStyle.European, OptionRight.Put, "AAPL 31DSP06V7XEQU|AAPL R735QTJ8XC9X")] public void SymbolHashForOptionsBackwardsCompatibilityWholeNumber(OptionStyle style, OptionRight right, string expected) { var equity = Symbol.Create("AAPL", SecurityType.Equity, Market.USA); @@ -462,10 +494,10 @@ public void SymbolHashForOptionsBackwardsCompatibilityWholeNumber(OptionStyle st Assert.AreEqual(100m, option.ID.StrikePrice); } - [TestCase(OptionStyle.American, OptionRight.Call, "AAPL XEOLB4YAHNOM|AAPL R735QTJ8XC9X")] - [TestCase(OptionStyle.American, OptionRight.Put, "AAPL 31DSLGKXHRH2E|AAPL R735QTJ8XC9X")] - [TestCase(OptionStyle.European, OptionRight.Call, "AAPL XEOOUQW0AQEE|AAPL R735QTJ8XC9X")] - [TestCase(OptionStyle.European, OptionRight.Put, "AAPL 31DSP06V7KJS6|AAPL R735QTJ8XC9X")] + [TestCase(OptionStyle.American, OptionRight.Call, "AAPL XEOLB4YALY06|AAPL R735QTJ8XC9X")] + [TestCase(OptionStyle.American, OptionRight.Put, "AAPL 31DSLGKXHVRDY|AAPL R735QTJ8XC9X")] + [TestCase(OptionStyle.European, OptionRight.Call, "AAPL XEOOUQW0F0PY|AAPL R735QTJ8XC9X")] + [TestCase(OptionStyle.European, OptionRight.Put, "AAPL 31DSP06V7OU3Q|AAPL R735QTJ8XC9X")] public void SymbolHashForOptionsBackwardsCompatibilityFractionalNumber(OptionStyle style, OptionRight right, string expected) { var equity = Symbol.Create("AAPL", SecurityType.Equity, Market.USA); diff --git a/Tests/Common/Securities/SecurityPortfolioManagerTests.cs b/Tests/Common/Securities/SecurityPortfolioManagerTests.cs index 190c9bc225f4..1240b79b5348 100644 --- a/Tests/Common/Securities/SecurityPortfolioManagerTests.cs +++ b/Tests/Common/Securities/SecurityPortfolioManagerTests.cs @@ -86,6 +86,7 @@ public void SetUp() [TearDown] public void TearDown() { + _transactionHandler.Exit(); _resultHandler.Exit(); _backtestingBrokerage.Dispose(); } diff --git a/Tests/Common/Securities/SecurityServiceTests.cs b/Tests/Common/Securities/SecurityServiceTests.cs index 5e8eb8019b7c..94625b7ac20b 100644 --- a/Tests/Common/Securities/SecurityServiceTests.cs +++ b/Tests/Common/Securities/SecurityServiceTests.cs @@ -19,6 +19,7 @@ using Moq; using NUnit.Framework; using QuantConnect.Algorithm.CSharp; +using QuantConnect.Configuration; using QuantConnect.Data; using QuantConnect.Data.Auxiliary; using QuantConnect.Data.Market; @@ -26,6 +27,8 @@ using QuantConnect.Interfaces; using QuantConnect.Securities; using QuantConnect.Tests.Engine.DataFeeds; +using QuantConnect.ToolBox.RandomDataGenerator; +using QuantConnect.Util; namespace QuantConnect.Tests.Common.Securities { @@ -216,7 +219,7 @@ public void CreatesEquityOptionWithContractMultiplierEqualsToContractUnitOfTrade var equityOptionSecurity = (QuantConnect.Securities.Option.Option)_securityService.CreateSecurity(equityOption, configs, 1.0m); Assert.AreEqual(100, equityOptionSecurity.ContractMultiplier); - Assert.AreEqual(100,equityOptionSecurity.ContractUnitOfTrade); + Assert.AreEqual(100, equityOptionSecurity.ContractUnitOfTrade); } [Test] @@ -277,5 +280,36 @@ public void AddPrimaryExchangeToSecurityObject() Assert.AreEqual(equity.Subscriptions.First().TickType, TickType.Trade); Assert.AreEqual(((QuantConnect.Securities.Equity.Equity)equity).PrimaryExchange, Exchange.NASDAQ); } + + [Test] + public void CreateSecurityDoesNotThrowWithNullAlgorithm() + { + var startDate = new DateTime(2024, 1, 1); + var securityManager = new SecurityManager(new TimeKeeper(startDate, new[] { TimeZones.Utc })); + + var securityService = new SecurityService( + new CashBook(), + MarketHoursDatabase.FromDataFolder(), + SymbolPropertiesDatabase.FromDataFolder(), + new SecurityInitializerProvider(new FuncSecurityInitializer(security => { })), + RegisteredSecurityDataTypesProvider.Null, + new SecurityCacheProvider( + new SecurityPortfolioManager(securityManager, + new SecurityTransactionManager(null, securityManager), + new AlgorithmSettings())), + new MapFilePrimaryExchangeProvider( + Composer.Instance.GetExportedValueByTypeName( + Config.Get("map-file-provider", "LocalDiskMapFileProvider"))), + algorithm: null + ); + + securityManager.SetSecurityService(securityService); + + Assert.DoesNotThrow(() => + { + var symbol = Symbol.Create("TEST", SecurityType.Equity, Market.USA); + var security = securityManager.CreateSecurity(symbol, new List(), underlying: null); + }); + } } } diff --git a/Tests/Common/Securities/UniverseManagerTests.cs b/Tests/Common/Securities/UniverseManagerTests.cs index 741c16586ba9..b10bc3b71c38 100644 --- a/Tests/Common/Securities/UniverseManagerTests.cs +++ b/Tests/Common/Securities/UniverseManagerTests.cs @@ -1,4 +1,4 @@ -/* +/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * @@ -38,7 +38,7 @@ public void NotifiesWhenSecurityAdded() manager.CollectionChanged += (sender, args) => { - if (args.NewItems.OfType().Single() != universe) + if (args.Value != universe) { Assert.Fail("Expected args.NewItems to have exactly one element equal to universe"); } @@ -63,7 +63,7 @@ public void NotifiesWhenSecurityAddedViaIndexer() manager.CollectionChanged += (sender, args) => { - if (args.NewItems.OfType().Single() != universe) + if (args.Value != universe) { Assert.Fail("Expected args.NewItems to have exactly one element equal to universe"); } @@ -89,7 +89,7 @@ public void NotifiesWhenSecurityRemoved() manager.Add(universe.Configuration.Symbol, universe); manager.CollectionChanged += (sender, args) => { - if (args.OldItems.OfType().Single() != universe) + if (args.Value != universe) { Assert.Fail("Expected args.OldItems to have exactly one element equal to universe"); } diff --git a/Tests/Common/Statistics/PortfolioStatisticsTests.cs b/Tests/Common/Statistics/PortfolioStatisticsTests.cs index 7387f74df4ea..c3288b19f228 100644 --- a/Tests/Common/Statistics/PortfolioStatisticsTests.cs +++ b/Tests/Common/Statistics/PortfolioStatisticsTests.cs @@ -178,7 +178,7 @@ private List CreateITMOptionAssignment(bool win) { new Trade { - Symbol = Symbols.SPY_C_192_Feb19_2016, + Symbols = [Symbols.SPY_C_192_Feb19_2016], EntryTime = time, EntryPrice = 80m, Direction = TradeDirection.Long, @@ -193,7 +193,7 @@ private List CreateITMOptionAssignment(bool win) }, new Trade { - Symbol = Symbols.SPY, + Symbols =[Symbols.SPY], EntryTime = time.AddMinutes(20), EntryPrice = 192m, Direction = TradeDirection.Long, diff --git a/Tests/Common/Statistics/TradeStatisticsTests.cs b/Tests/Common/Statistics/TradeStatisticsTests.cs index 754c16174c52..4d5b15a8e690 100644 --- a/Tests/Common/Statistics/TradeStatisticsTests.cs +++ b/Tests/Common/Statistics/TradeStatisticsTests.cs @@ -124,7 +124,7 @@ private IEnumerable CreateThreeWinners() { new Trade { - Symbol = Symbols.EURUSD, + Symbols =[Symbols.EURUSD], EntryTime = time, EntryPrice = 1.07m, Direction = TradeDirection.Long, @@ -138,7 +138,7 @@ private IEnumerable CreateThreeWinners() }, new Trade { - Symbol = Symbols.EURUSD, + Symbols =[Symbols.EURUSD], EntryTime = time.AddMinutes(10), EntryPrice = 1.08m, Direction = TradeDirection.Long, @@ -152,7 +152,7 @@ private IEnumerable CreateThreeWinners() }, new Trade { - Symbol = Symbols.EURUSD, + Symbols =[Symbols.EURUSD], EntryTime = time.AddMinutes(30), EntryPrice = 1.08m, Direction = TradeDirection.Long, @@ -220,7 +220,7 @@ private IEnumerable CreateThreeLosers() { new Trade { - Symbol = Symbols.EURUSD, + Symbols =[Symbols.EURUSD], EntryTime = time, EntryPrice = 1.07m, Direction = TradeDirection.Short, @@ -234,7 +234,7 @@ private IEnumerable CreateThreeLosers() }, new Trade { - Symbol = Symbols.EURUSD, + Symbols =[Symbols.EURUSD], EntryTime = time.AddMinutes(10), EntryPrice = 1.08m, Direction = TradeDirection.Short, @@ -248,7 +248,7 @@ private IEnumerable CreateThreeLosers() }, new Trade { - Symbol = Symbols.EURUSD, + Symbols =[Symbols.EURUSD], EntryTime = time.AddMinutes(30), EntryPrice = 1.08m, Direction = TradeDirection.Short, @@ -316,7 +316,7 @@ private IEnumerable CreateTwoLosersOneWinner() { new Trade { - Symbol = Symbols.EURUSD, + Symbols =[Symbols.EURUSD], EntryTime = time, EntryPrice = 1.07m, Direction = TradeDirection.Short, @@ -330,7 +330,7 @@ private IEnumerable CreateTwoLosersOneWinner() }, new Trade { - Symbol = Symbols.EURUSD, + Symbols =[Symbols.EURUSD], EntryTime = time.AddMinutes(10), EntryPrice = 1.08m, Direction = TradeDirection.Short, @@ -344,7 +344,7 @@ private IEnumerable CreateTwoLosersOneWinner() }, new Trade { - Symbol = Symbols.EURUSD, + Symbols =[Symbols.EURUSD], EntryTime = time.AddMinutes(30), EntryPrice = 1.08m, Direction = TradeDirection.Long, @@ -412,7 +412,7 @@ private IEnumerable CreateOneWinnerTwoLosers() { new Trade { - Symbol = Symbols.EURUSD, + Symbols =[Symbols.EURUSD], EntryTime = time, EntryPrice = 1.08m, Direction = TradeDirection.Long, @@ -426,7 +426,7 @@ private IEnumerable CreateOneWinnerTwoLosers() }, new Trade { - Symbol = Symbols.EURUSD, + Symbols =[Symbols.EURUSD], EntryTime = time.AddMinutes(20), EntryPrice = 1.07m, Direction = TradeDirection.Short, @@ -440,7 +440,7 @@ private IEnumerable CreateOneWinnerTwoLosers() }, new Trade { - Symbol = Symbols.EURUSD, + Symbols =[Symbols.EURUSD], EntryTime = time.AddMinutes(30), EntryPrice = 1.08m, Direction = TradeDirection.Short, @@ -508,7 +508,7 @@ private IEnumerable CreateOneLoserTwoWinners() { new Trade { - Symbol = Symbols.EURUSD, + Symbols =[Symbols.EURUSD], EntryTime = time, EntryPrice = 1.07m, Direction = TradeDirection.Short, @@ -522,7 +522,7 @@ private IEnumerable CreateOneLoserTwoWinners() }, new Trade { - Symbol = Symbols.EURUSD, + Symbols =[Symbols.EURUSD], EntryTime = time.AddMinutes(10), EntryPrice = 1.08m, Direction = TradeDirection.Long, @@ -536,7 +536,7 @@ private IEnumerable CreateOneLoserTwoWinners() }, new Trade { - Symbol = Symbols.EURUSD, + Symbols =[Symbols.EURUSD], EntryTime = time.AddMinutes(30), EntryPrice = 1.08m, Direction = TradeDirection.Long, @@ -618,7 +618,7 @@ private IEnumerable CreateITMOptionAssignment(bool win) { new Trade { - Symbol = Symbols.SPY_C_192_Feb19_2016, + Symbols = [Symbols.SPY_C_192_Feb19_2016], EntryTime = time, EntryPrice = 80m, Direction = TradeDirection.Long, @@ -633,7 +633,7 @@ private IEnumerable CreateITMOptionAssignment(bool win) }, new Trade { - Symbol = Symbols.SPY, + Symbols =[Symbols.SPY], EntryTime = time.AddMinutes(20), EntryPrice = 192m, Direction = TradeDirection.Long, diff --git a/Tests/Common/Statistics/TradeTests.cs b/Tests/Common/Statistics/TradeTests.cs new file mode 100644 index 000000000000..87599010b188 --- /dev/null +++ b/Tests/Common/Statistics/TradeTests.cs @@ -0,0 +1,125 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. +*/ + +using Newtonsoft.Json; +using Newtonsoft.Json.Linq; +using NUnit.Framework; +using QuantConnect.Statistics; +using System; + +namespace QuantConnect.Tests.Common.Statistics +{ + [TestFixture] + public class TradeTests + { + [Test] + public void JsonSerializationRoundTrip() + { + var trade = MakeTrade(); + + var json = JsonConvert.SerializeObject(trade); + var deserializedTrade = JsonConvert.DeserializeObject(json); + CollectionAssert.AreEqual(trade.Symbols, deserializedTrade.Symbols); + Assert.AreEqual(trade.EntryTime, deserializedTrade.EntryTime); + Assert.AreEqual(trade.EntryPrice, deserializedTrade.EntryPrice); + Assert.AreEqual(trade.Direction, deserializedTrade.Direction); + Assert.AreEqual(trade.Quantity, deserializedTrade.Quantity); + Assert.AreEqual(trade.ExitTime, deserializedTrade.ExitTime); + Assert.AreEqual(trade.ExitPrice, deserializedTrade.ExitPrice); + Assert.AreEqual(trade.ProfitLoss, deserializedTrade.ProfitLoss); + Assert.AreEqual(trade.TotalFees, deserializedTrade.TotalFees); + Assert.AreEqual(trade.MAE, deserializedTrade.MAE); + Assert.AreEqual(trade.MFE, deserializedTrade.MFE); + + // For backwards compatibility, also verify Symbol property is set correctly + Assert.IsNotNull(trade.Symbol); + Assert.AreEqual(trade.Symbols[0], trade.Symbol); + Assert.AreEqual(trade.Symbol, deserializedTrade.Symbol); + } + + [Test] + public void DeprecatedSymbolIsNotSerialized() + { + var trade = MakeTrade(); + var jsonStr = JsonConvert.SerializeObject(trade); + var json = JObject.Parse(jsonStr); + Assert.IsFalse(json.ContainsKey("Symbol")); + } + + [Test] + public void CanDeserializeOldFormatWithSymbol() + { + var jsonTrade = @" +{ + ""Symbol"": { + ""value"": ""EURUSD"", + ""id"": ""EURUSD 8G"", + ""permtick"": ""EURUSD"" + }, + ""EntryTime"": ""2023-01-02T12:31:45"", + ""EntryPrice"": 1.07, + ""Direction"": 0, + ""Quantity"": 1000.0, + ""ExitTime"": ""2023-01-02T12:51:45"", + ""ExitPrice"": 1.09, + ""ProfitLoss"": 20.0, + ""TotalFees"": 2.5, + ""MAE"": -5.0, + ""MFE"": 30.0, + ""Duration"": ""00:20:00"", + ""EndTradeDrawdown"": -10.0, + ""IsWin"": false, + ""OrderIds"": [] +}"; + var deserializedTrade = JsonConvert.DeserializeObject(jsonTrade); + Assert.IsNotNull(deserializedTrade); + CollectionAssert.AreEqual(new[] { Symbols.EURUSD }, deserializedTrade.Symbols); + Assert.AreEqual(new DateTime(2023, 1, 2, 12, 31, 45), deserializedTrade.EntryTime); + Assert.AreEqual(1.07m, deserializedTrade.EntryPrice); + Assert.AreEqual(TradeDirection.Long, deserializedTrade.Direction); + Assert.AreEqual(1000m, deserializedTrade.Quantity); + Assert.AreEqual(new DateTime(2023, 1, 2, 12, 51, 45), deserializedTrade.ExitTime); + Assert.AreEqual(1.09m, deserializedTrade.ExitPrice); + Assert.AreEqual(20m, deserializedTrade.ProfitLoss); + Assert.AreEqual(2.5m, deserializedTrade.TotalFees); + Assert.AreEqual(-5m, deserializedTrade.MAE); + Assert.AreEqual(30m, deserializedTrade.MFE); + // For backwards compatibility, also verify Symbol property is set correctly + Assert.IsNotNull(deserializedTrade.Symbol); + Assert.AreEqual(deserializedTrade.Symbols[0], deserializedTrade.Symbol); + } + + private static Trade MakeTrade() + { + var entryTime = new DateTime(2023, 1, 2, 12, 31, 45); + var exitTime = entryTime.AddMinutes(20); + var trade = new Trade + { + Symbols = [Symbols.EURUSD], + EntryTime = entryTime, + EntryPrice = 1.07m, + Direction = TradeDirection.Long, + Quantity = 1000, + ExitTime = exitTime, + ExitPrice = 1.09m, + ProfitLoss = 20, + TotalFees = 2.5m, + MAE = -5, + MFE = 30 + }; + return trade; + } + } +} diff --git a/Tests/Common/SymbolJsonConverterTests.cs b/Tests/Common/SymbolJsonConverterTests.cs index fe65f30732ee..745d1c742c06 100644 --- a/Tests/Common/SymbolJsonConverterTests.cs +++ b/Tests/Common/SymbolJsonConverterTests.cs @@ -243,14 +243,14 @@ public void UserFriendlyDeserialization(string jsonValue, SecurityType type, str }", "AAPL 140613P00660000", "AAPL 2ZQGWTST4Z8NA|AAPL R735QTJ8XC9X", SecurityType.Option, Symbols.AAPL }, new object[] { @"{ ""value"": ""GOOG 160115C00750000"", - ""id"": ""GOOCV W78ZEOEHQRYE|GOOCV VP83T1ZUHROL"", + ""id"": ""GOOCV W78ZEOEHV29Y|GOOCV VP83T1ZUHROL"", ""permtick"": ""GOOG 160115C00750000"", ""underlying"": { ""value"": ""GOOG"", ""id"": ""GOOCV VP83T1ZUHROL"", ""permtick"": ""GOOG"" } - }", "GOOG 160115C00750000", "GOOCV W78ZEOEHQRYE|GOOCV VP83T1ZUHROL", SecurityType.Option, Symbols.GOOG }, + }", "GOOG 160115C00750000", "GOOCV W78ZEOEHV29Y|GOOCV VP83T1ZUHROL", SecurityType.Option, Symbols.GOOG }, new object[] { @"{ ""value"": ""SPY"", ""id"": ""SPY R735QTJ8XC9X"", @@ -268,14 +268,14 @@ public void UserFriendlyDeserialization(string jsonValue, SecurityType type, str }", "AAPL 140613P00660000", "AAPL 2ZQGWTST4Z8NA|AAPL R735QTJ8XC9X", SecurityType.Option, Symbols.AAPL }, new object[] { @"{ ""Value"": ""GOOG 160115C00750000"", - ""ID"": ""GOOCV W78ZEOEHQRYE|GOOCV VP83T1ZUHROL"", + ""ID"": ""GOOCV W78ZEOEHV29Y|GOOCV VP83T1ZUHROL"", ""Permtick"": ""GOOG 160115C00750000"", ""Underlying"": { ""value"": ""GOOG"", ""id"": ""GOOCV VP83T1ZUHROL"", ""permtick"": ""GOOG"" } - }", "GOOG 160115C00750000", "GOOCV W78ZEOEHQRYE|GOOCV VP83T1ZUHROL", SecurityType.Option, Symbols.GOOG }, + }", "GOOG 160115C00750000", "GOOCV W78ZEOEHV29Y|GOOCV VP83T1ZUHROL", SecurityType.Option, Symbols.GOOG }, new object[] { @"{ ""Value"": ""SPY"", ""ID"": ""SPY R735QTJ8XC9X"", diff --git a/Tests/Common/SymbolTests.cs b/Tests/Common/SymbolTests.cs index a61ce646ddef..18c5d2a9f09c 100644 --- a/Tests/Common/SymbolTests.cs +++ b/Tests/Common/SymbolTests.cs @@ -458,7 +458,7 @@ public void SymbolWithSidContainingUnderlyingCreatedWithoutNullUnderlying() [TestCase("ES 1S4 | ES XLDTU1KH5XC1", "CL", "?ES21F21")] // Future Option Canonical [TestCase("ES XKGCMV4QK9VO | ES XLDTU1KH5XC1", "ES", "ES21F21 201218C00000000")] // Future Option [TestCase("SPY 2U | SPY R735QTJ8XC9X", "SPY", "?SPY")] // Option Canonical - [TestCase("GOOCV 305RBQ2BZBZT2 | GOOCV VP83T1ZUHROL", "GOOCV", "GOOCV 151224P00750000")] // Option + [TestCase("GOOCV 305RBQ2BZBZT2 | GOOCV VP83T1ZUHROL", "GOOCV", "GOOCV 151224P00007500")] // Option [TestCase("SPY R735QTJ8XC9X", "SPY", "SPY")] // Equity [TestCase("EURGBP 8G", "EURGBP", "EURGBP")] // Forex [TestCase("BTCUSD XJ", "BTCUSD", "BTCUSD")] // Crypto diff --git a/Tests/Common/Util/ExtensionsTests.cs b/Tests/Common/Util/ExtensionsTests.cs index a4894e46d403..6dce18d7b32d 100644 --- a/Tests/Common/Util/ExtensionsTests.cs +++ b/Tests/Common/Util/ExtensionsTests.cs @@ -2113,6 +2113,52 @@ def get_enum_string(value): } } + private class TestDto + { + public string Name { get; set; } + public DateTime Date { get; set; } + public decimal Amount { get; set; } + } + + [Test] + public void JsonStreamSerializationRoundTrip() + { + var original = new TestDto() + { + Name = "Test", + Date = new DateTime(2024, 1, 1), + Amount = 123.45m + }; + + using var stream = new MemoryStream(); + original.SerializeJsonToStream(stream); + + stream.Seek(0, SeekOrigin.Begin); + var deserialized = stream.DeserializeJson(); + + Assert.AreEqual(original.Name, deserialized.Name); + Assert.AreEqual(original.Date, deserialized.Date); + Assert.AreEqual(original.Amount, deserialized.Amount); + } + + [Test] + public void JsonStringSerializationRoundTrip() + { + var original = new TestDto() + { + Name = "Test", + Date = new DateTime(2024, 1, 1), + Amount = 123.45m + }; + + var jsonString = original.SerializeJsonToString(); + var deserialized = jsonString.DeserializeJson(); + + Assert.AreEqual(original.Name, deserialized.Name); + Assert.AreEqual(original.Date, deserialized.Date); + Assert.AreEqual(original.Amount, deserialized.Amount); + } + private PyObject ConvertToPyObject(object value) { using (Py.GIL()) diff --git a/Tests/Common/Util/LeanDataTests.cs b/Tests/Common/Util/LeanDataTests.cs index 9e9dabb4ccb2..f09a18f79737 100644 --- a/Tests/Common/Util/LeanDataTests.cs +++ b/Tests/Common/Util/LeanDataTests.cs @@ -257,7 +257,7 @@ public void GetSource(LeanDataTestParameters parameters) var factory = (BaseData)Activator.CreateInstance(parameters.BaseDataType); var source = factory.GetSource(parameters.Config, parameters.Date, false); var expected = parameters.ExpectedZipFilePath; - if (parameters.SecurityType == SecurityType.Option || parameters.SecurityType == SecurityType.Future) + if (parameters.SecurityType is SecurityType.Option or SecurityType.Future or SecurityType.FutureOption) { expected += "#" + parameters.ExpectedZipEntryName; } @@ -818,6 +818,10 @@ private static TestCaseData[] GetLeanDataTestParameters() new LeanDataTestParameters(Symbols.SPY_P_192_Feb19_2016, date, Resolution.Hour, TickType.Quote, "spy_2016_quote_american.zip", "spy_quote_american_put_1920000_20160219.csv", "option/usa/hour"), new LeanDataTestParameters(Symbols.SPY_P_192_Feb19_2016, date, Resolution.Daily, TickType.Trade, "spy_2016_trade_american.zip", "spy_trade_american_put_1920000_20160219.csv", "option/usa/daily"), new LeanDataTestParameters(Symbols.SPY_P_192_Feb19_2016, date, Resolution.Daily, TickType.Quote, "spy_2016_quote_american.zip", "spy_quote_american_put_1920000_20160219.csv", "option/usa/daily"), + + // future option + new LeanDataTestParameters(Symbol.CreateOption(Symbol.CreateFuture(Futures.Grains.SoybeanOil, Market.CBOT, new(2025, 12, 12)), Market.CBOT, SecurityType.FutureOption.DefaultOptionStyle(), OptionRight.Call, 0.45m, new(2025, 10, 24)), date, Resolution.Minute, TickType.Trade, "20160217_trade_american.zip", "20160217_ozl_minute_trade_american_call_4500_20251024.csv", "futureoption/cbot/minute/ozl/202512"), + new LeanDataTestParameters(Symbol.CreateOption(Symbol.CreateFuture(Futures.Currencies.JPY, Market.CME, new(2025, 12, 15)), Market.CME, SecurityType.FutureOption.DefaultOptionStyle(), OptionRight.Call, 0.006475m, new(2025, 12, 05)), date, Resolution.Minute, TickType.Quote, "20160217_quote_american.zip", "20160217_jpu_minute_quote_american_call_64.75_20251205.csv", "futureoption/cme/minute/jpu/202512"), // forex new LeanDataTestParameters(Symbols.EURUSD, date, Resolution.Tick, TickType.Quote, "20160217_quote.zip", "20160217_eurusd_tick_quote.csv", "forex/oanda/tick/eurusd"), diff --git a/Tests/Common/Util/PythonUtilTests.cs b/Tests/Common/Util/PythonUtilTests.cs index 6639fc9da53f..8d2fe6fb3471 100644 --- a/Tests/Common/Util/PythonUtilTests.cs +++ b/Tests/Common/Util/PythonUtilTests.cs @@ -13,11 +13,14 @@ * limitations under the License. */ -using System.Linq; -using Python.Runtime; using NUnit.Framework; +using Python.Runtime; +using QuantConnect.Python; +using QuantConnect.Securities; using QuantConnect.Util; +using System; using System.Collections.Generic; +using System.Linq; namespace QuantConnect.Tests.Common.Util { @@ -88,7 +91,7 @@ public void ConvertToSymbolsTest() Assert.AreEqual(expected.FirstOrDefault(), test1.FirstOrDefault()); // Test Python List of Strings - var list = (new List {"AIG", "BAC", "IBM", "GOOG"}).ToPyList(); + var list = (new List { "AIG", "BAC", "IBM", "GOOG" }).ToPyList(); var test2 = PythonUtil.ConvertToSymbols(list); Assert.IsTrue(typeof(List) == test2.GetType()); Assert.IsTrue(test2.SequenceEqual(expected)); @@ -231,5 +234,113 @@ public void ParsesPythonExceptionStackTrace(string expected, string original, in PythonUtil.ExceptionLineShift = originalShiftValue; Assert.AreEqual(expected, result); } + + [TestCase(true)] + [TestCase(false)] + public void BothInheritedAndNonInheritedClassesWork(bool inherited) + { + using (Py.GIL()) + { + string pythonCode = @" +from AlgorithmImports import * + +class PurePythonBuyingPowerModel: + def GetMaximumOrderQuantityForTargetBuyingPower(self, parameters): + return GetMaximumOrderQuantityResult(100) + + def GetMaximumOrderQuantityForDeltaBuyingPower(self, parameters): + return GetMaximumOrderQuantityResult(200) + + def HasSufficientBuyingPowerForOrder(self, parameters): + return HasSufficientBuyingPowerForOrderResult(True) + + def GetReservedBuyingPowerForPosition(self, parameters): + return ReservedBuyingPowerForPosition(0) + + def GetLeverage(self, security): + return 1.0 + + def GetBuyingPower(self, parameters): + return BuyingPower(1000) + + def SetLeverage(self, security, leverage): + pass + + def GetMaintenanceMargin(self, parameters): + return None + + def GetInitialMarginRequirement(self, parameters): + return None + + def GetInitialMarginRequiredForOrder(self, parameters): + return None + +class InheritedBuyingPowerModel(SecurityMarginModel): + def GetMaximumOrderQuantityForTargetBuyingPower(self, parameters): + return GetMaximumOrderQuantityResult(200) +"; + var module = PyModule.FromString("TestModels", pythonCode); + PyObject pyObject = null; + if (inherited) + { + pyObject = module.GetAttr("InheritedBuyingPowerModel").Invoke(); + } + else + { + pyObject = module.GetAttr("PurePythonBuyingPowerModel").Invoke(); + } + + var result = PythonUtil.CreateInstanceOrWrapper( + pyObject, + py => new BuyingPowerModelPythonWrapper(py) + ); + + Assert.IsNotNull(result); + Assert.IsInstanceOf(result); + } + } + + [Test] + public void MissingRequiredMethodThrowsException() + { + using (Py.GIL()) + { + string pythonCode = @" +class IncompleteBuyingPowerModel: + def GetMaximumOrderQuantityForTargetBuyingPower(self, parameters): + return GetMaximumOrderQuantityResult(100) + + def HasSufficientBuyingPowerForOrder(self, parameters): + return HasSufficientBuyingPowerForOrderResult(True) +"; + var module = PyModule.FromString("TestModels", pythonCode); + var purePython = module.GetAttr("IncompleteBuyingPowerModel").Invoke(); + + Assert.Throws(() => + PythonUtil.CreateInstanceOrWrapper(purePython, py => new BuyingPowerModelPythonWrapper(py))); + } + } + + [Test] + public void PureCSharpClassReturnsDirectInstanceWithoutWrapper() + { + using (Py.GIL()) + { + // Create pure C# instance + var csharpObject = new BuyingPowerModel(); + var pyObject = csharpObject.ToPython(); + + // Should return the same C# instance, not a wrapper + var result = PythonUtil.CreateInstanceOrWrapper( + pyObject, + py => new BuyingPowerModelPythonWrapper(py) + ); + + Assert.IsNotNull(result); + Assert.AreSame(csharpObject, result); + Assert.IsNotInstanceOf(result); + Assert.IsInstanceOf(result); + } + } } } diff --git a/Tests/Common/Util/StreamReaderExtensionsTests.cs b/Tests/Common/Util/StreamReaderExtensionsTests.cs index b3fcf7232f56..e4d46125de6a 100644 --- a/Tests/Common/Util/StreamReaderExtensionsTests.cs +++ b/Tests/Common/Util/StreamReaderExtensionsTests.cs @@ -320,6 +320,54 @@ public void GetIntWithLineFeed() Assert.AreEqual(201900, smartStream.GetInt32()); } + [Test] + public void GetInt64() + { + var stream = $"1588291200426000,0,1588291202486000{Environment.NewLine}1588291205550000{Environment.NewLine}".ToStream(); + using var smartStream = new StreamReader(stream); + + Assert.AreEqual(1588291200426000, smartStream.GetInt64()); + Assert.AreEqual(0L, smartStream.GetInt64()); + Assert.AreEqual(1588291202486000, smartStream.GetInt64()); + Assert.AreEqual(1588291205550000, smartStream.GetInt64()); + } + + [Test] + public void GetNegativeInt64() + { + var stream = $"-1588291200426000,0,-1588291202486000{Environment.NewLine}-1588291205550000{Environment.NewLine}".ToStream(); + using var smartStream = new StreamReader(stream); + + Assert.AreEqual(-1588291200426000, smartStream.GetInt64()); + Assert.AreEqual(0L, smartStream.GetInt64()); + Assert.AreEqual(-1588291202486000, smartStream.GetInt64()); + Assert.AreEqual(-1588291205550000, smartStream.GetInt64()); + } + + [Test] + public void GetInt64WithCarriageReturnAndLineFeed() + { + var stream = "1588291200426000,0,1588291202486000\r\n1588291205550000\r\n".ToStream(); + using var smartStream = new StreamReader(stream); + + Assert.AreEqual(1588291200426000, smartStream.GetInt64()); + Assert.AreEqual(0L, smartStream.GetInt64()); + Assert.AreEqual(1588291202486000, smartStream.GetInt64()); + Assert.AreEqual(1588291205550000, smartStream.GetInt64()); + } + + [Test] + public void GetInt64WithLineFeed() + { + var stream = "1588291200426000,0,1588291202486000\n1588291205550000\n".ToStream(); + using var smartStream = new StreamReader(stream); + + Assert.AreEqual(1588291200426000, smartStream.GetInt64()); + Assert.AreEqual(0L, smartStream.GetInt64()); + Assert.AreEqual(1588291202486000, smartStream.GetInt64()); + Assert.AreEqual(1588291205550000, smartStream.GetInt64()); + } + [Parallelizable(ParallelScope.None)] [TestCase(typeof(TradeBar), typeof(TradeBarTest), TickType.Trade)] [TestCase(typeof(QuoteBar), typeof(QuoteBarTest), TickType.Quote)] diff --git a/Tests/Engine/AlgorithmManagerTests.cs b/Tests/Engine/AlgorithmManagerTests.cs index f99b5e94255f..97faeecc3579 100644 --- a/Tests/Engine/AlgorithmManagerTests.cs +++ b/Tests/Engine/AlgorithmManagerTests.cs @@ -141,6 +141,7 @@ public void TestAlgorithmManagerSpeed() realtime.Exit(); results.Exit(); + transactions.Exit(); var thousands = nullSynchronizer.Count / 1000d; var seconds = sw.Elapsed.TotalSeconds; Log.Trace("COUNT: " + nullSynchronizer.Count + " KPS: " + thousands/seconds); diff --git a/Tests/Engine/BrokerageTransactionHandlerTests/BacktestingTransactionHandlerTests.cs b/Tests/Engine/BrokerageTransactionHandlerTests/BacktestingTransactionHandlerTests.cs index 5eb772f0a1e9..04cba991862f 100644 --- a/Tests/Engine/BrokerageTransactionHandlerTests/BacktestingTransactionHandlerTests.cs +++ b/Tests/Engine/BrokerageTransactionHandlerTests/BacktestingTransactionHandlerTests.cs @@ -64,24 +64,31 @@ public void InvalidOrderRequestWontSetTicketAsProcessed() using var backtestingBrokerage = new BacktestingBrokerage(_algorithm); transactionHandler.Initialize(_algorithm, backtestingBrokerage, new BacktestingResultHandler()); - // Creates the order - var security = _algorithm.Securities[Ticker]; - var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 600, 0, 0, 0, DateTime.Now, ""); + try + { + // Creates the order + var security = _algorithm.Securities[Ticker]; + var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 600, 0, 0, 0, DateTime.Now, ""); - // Mock the the order processor - var orderProcessorMock = new Mock(); - orderProcessorMock.Setup(m => m.GetOrderTicket(It.IsAny())).Returns(new OrderTicket(_algorithm.Transactions, orderRequest)); - _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); + // Mock the the order processor + var orderProcessorMock = new Mock(); + orderProcessorMock.Setup(m => m.GetOrderTicket(It.IsAny())).Returns(new OrderTicket(_algorithm.Transactions, orderRequest)); + _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); - var ticket = transactionHandler.AddOrder(orderRequest); + var ticket = transactionHandler.AddOrder(orderRequest); - var ticket2 = transactionHandler.AddOrder(orderRequest); + var ticket2 = transactionHandler.AddOrder(orderRequest); - // 600 after round off becomes 0 -> order is not placed - Assert.IsTrue(orderRequest.Response.IsProcessed); - Assert.IsTrue(orderRequest.Response.IsError); - Assert.IsTrue(orderRequest.Response.ErrorMessage - .Contains("Cannot process submit request because order with id {0} already exists")); + // 600 after round off becomes 0 -> order is not placed + Assert.IsTrue(orderRequest.Response.IsProcessed); + Assert.IsTrue(orderRequest.Response.IsError); + Assert.IsTrue(orderRequest.Response.ErrorMessage + .Contains("Cannot process submit request because order with id {0} already exists")); + } + finally + { + transactionHandler.Exit(); + } } [Test] @@ -92,67 +99,74 @@ public void SendingNewOrderFromOnOrderEvent() using var brokerage = new BacktestingBrokerage(_algorithm); transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); - // Creates a market order - var security = _algorithm.Securities[Ticker]; - var price = 1.12m; - security.SetMarketPrice(new Tick(DateTime.UtcNow.AddDays(-1), security.Symbol, price, price, price)); - var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 1000, 0, 0, 0, DateTime.UtcNow, ""); - var orderRequest2 = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, -1000, 0, 0, 0, DateTime.UtcNow, ""); - orderRequest.SetOrderId(1); - orderRequest2.SetOrderId(2); - - // Mock the the order processor - var orderProcessorMock = new Mock(); - orderProcessorMock.Setup(m => m.GetOrderTicket(It.Is(i => i == 1))).Returns(new OrderTicket(_algorithm.Transactions, orderRequest)); - orderProcessorMock.Setup(m => m.GetOrderTicket(It.Is(i => i == 2))).Returns(new OrderTicket(_algorithm.Transactions, orderRequest2)); - _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); - - var orderEventCalls = 0; - brokerage.OrdersStatusChanged += (sender, orderEvents) => + try { - orderEventCalls++; - var orderEvent = orderEvents[0]; - switch (orderEventCalls) + // Creates a market order + var security = _algorithm.Securities[Ticker]; + var price = 1.12m; + security.SetMarketPrice(new Tick(DateTime.UtcNow.AddDays(-1), security.Symbol, price, price, price)); + var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 1000, 0, 0, 0, DateTime.UtcNow, ""); + var orderRequest2 = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, -1000, 0, 0, 0, DateTime.UtcNow, ""); + orderRequest.SetOrderId(1); + orderRequest2.SetOrderId(2); + + // Mock the the order processor + var orderProcessorMock = new Mock(); + orderProcessorMock.Setup(m => m.GetOrderTicket(It.Is(i => i == 1))).Returns(new OrderTicket(_algorithm.Transactions, orderRequest)); + orderProcessorMock.Setup(m => m.GetOrderTicket(It.Is(i => i == 2))).Returns(new OrderTicket(_algorithm.Transactions, orderRequest2)); + _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); + + var orderEventCalls = 0; + brokerage.OrdersStatusChanged += (sender, orderEvents) => { - case 1: - Assert.AreEqual(1, orderEvent.OrderId); - Assert.AreEqual(OrderStatus.Submitted, orderEvent.Status); - - // we send a new order request - var ticket2 = transactionHandler.Process(orderRequest2); - break; - case 2: - Assert.AreEqual(2, orderEvent.OrderId); - Assert.AreEqual(OrderStatus.Submitted, orderEvent.Status); - break; - case 3: - Assert.AreEqual(1, orderEvent.OrderId); - Assert.AreEqual(OrderStatus.Filled, orderEvent.Status); - break; - case 4: - Assert.AreEqual(2, orderEvent.OrderId); - Assert.AreEqual(OrderStatus.Filled, orderEvent.Status); - break; - } - Log.Trace($"{orderEvent}"); - }; + orderEventCalls++; + var orderEvent = orderEvents[0]; + switch (orderEventCalls) + { + case 1: + Assert.AreEqual(1, orderEvent.OrderId); + Assert.AreEqual(OrderStatus.Submitted, orderEvent.Status); + + // we send a new order request + var ticket2 = transactionHandler.Process(orderRequest2); + break; + case 2: + Assert.AreEqual(2, orderEvent.OrderId); + Assert.AreEqual(OrderStatus.Submitted, orderEvent.Status); + break; + case 3: + Assert.AreEqual(1, orderEvent.OrderId); + Assert.AreEqual(OrderStatus.Filled, orderEvent.Status); + break; + case 4: + Assert.AreEqual(2, orderEvent.OrderId); + Assert.AreEqual(OrderStatus.Filled, orderEvent.Status); + break; + } + Log.Trace($"{orderEvent}"); + }; - var ticket = transactionHandler.Process(orderRequest); + var ticket = transactionHandler.Process(orderRequest); - Assert.IsTrue(orderRequest.Response.IsProcessed); - Assert.IsTrue(orderRequest.Response.IsSuccess); - Assert.AreEqual(OrderRequestStatus.Processed, orderRequest.Status); - Assert.IsTrue(orderRequest2.Response.IsProcessed); - Assert.IsTrue(orderRequest2.Response.IsSuccess); - Assert.AreEqual(OrderRequestStatus.Processed, orderRequest2.Status); + Assert.IsTrue(orderRequest.Response.IsProcessed); + Assert.IsTrue(orderRequest.Response.IsSuccess); + Assert.AreEqual(OrderRequestStatus.Processed, orderRequest.Status); + Assert.IsTrue(orderRequest2.Response.IsProcessed); + Assert.IsTrue(orderRequest2.Response.IsSuccess); + Assert.AreEqual(OrderRequestStatus.Processed, orderRequest2.Status); - var order1 = transactionHandler.GetOrderById(1); - Assert.AreEqual(OrderStatus.Filled, order1.Status); - var order2 = transactionHandler.GetOrderById(2); - Assert.AreEqual(OrderStatus.Filled, order2.Status); + var order1 = transactionHandler.GetOrderById(1); + Assert.AreEqual(OrderStatus.Filled, order1.Status); + var order2 = transactionHandler.GetOrderById(2); + Assert.AreEqual(OrderStatus.Filled, order2.Status); - // 2 submitted and 2 filled - Assert.AreEqual(4, orderEventCalls); + // 2 submitted and 2 filled + Assert.AreEqual(4, orderEventCalls); + } + finally + { + transactionHandler.Exit(); + } } [Test] @@ -163,77 +177,84 @@ public void SendingNewOrderFromPartiallyFilledOnOrderEvent() using var brokerage = new BacktestingBrokerage(_algorithm); transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); - // Creates a market order - var security = _algorithm.Securities[Ticker]; - security.FillModel = new TestPartialFilledModel(); - - var price = 1.12m; - security.SetMarketPrice(new Tick(DateTime.UtcNow.AddDays(-1), security.Symbol, price, price, price)); - var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 2000, 0, 0, 9, DateTime.UtcNow, ""); - var orderRequest2 = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, -2000, 0, 0, 9, DateTime.UtcNow, ""); - orderRequest.SetOrderId(1); - orderRequest2.SetOrderId(2); - - // Mock the the order processor - var orderProcessorMock = new Mock(); - orderProcessorMock.Setup(m => m.GetOrderTicket(It.Is(i => i == 1))).Returns(new OrderTicket(_algorithm.Transactions, orderRequest)); - orderProcessorMock.Setup(m => m.GetOrderTicket(It.Is(i => i == 2))).Returns(new OrderTicket(_algorithm.Transactions, orderRequest2)); - _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); - - var orderEventCalls = 0; - brokerage.OrdersStatusChanged += (sender, orderEvents) => + try { - orderEventCalls++; - var orderEvent = orderEvents[0]; - switch (orderEventCalls) + // Creates a market order + var security = _algorithm.Securities[Ticker]; + security.FillModel = new TestPartialFilledModel(); + + var price = 1.12m; + security.SetMarketPrice(new Tick(DateTime.UtcNow.AddDays(-1), security.Symbol, price, price, price)); + var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 2000, 0, 0, 9, DateTime.UtcNow, ""); + var orderRequest2 = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, -2000, 0, 0, 9, DateTime.UtcNow, ""); + orderRequest.SetOrderId(1); + orderRequest2.SetOrderId(2); + + // Mock the the order processor + var orderProcessorMock = new Mock(); + orderProcessorMock.Setup(m => m.GetOrderTicket(It.Is(i => i == 1))).Returns(new OrderTicket(_algorithm.Transactions, orderRequest)); + orderProcessorMock.Setup(m => m.GetOrderTicket(It.Is(i => i == 2))).Returns(new OrderTicket(_algorithm.Transactions, orderRequest2)); + _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); + + var orderEventCalls = 0; + brokerage.OrdersStatusChanged += (sender, orderEvents) => { - case 1: - Assert.AreEqual(1, orderEvent.OrderId); - Assert.AreEqual(OrderStatus.Submitted, orderEvent.Status); - - // we send a new order request - var ticket2 = transactionHandler.Process(orderRequest2); - break; - case 2: - Assert.AreEqual(2, orderEvent.OrderId); - Assert.AreEqual(OrderStatus.Submitted, orderEvent.Status); - break; - case 3: - Assert.AreEqual(1, orderEvent.OrderId); - Assert.AreEqual(OrderStatus.PartiallyFilled, orderEvent.Status); - break; - case 4: - Assert.AreEqual(2, orderEvent.OrderId); - Assert.AreEqual(OrderStatus.PartiallyFilled, orderEvent.Status); - break; - case 5: - Assert.AreEqual(1, orderEvent.OrderId); - Assert.AreEqual(OrderStatus.Filled, orderEvent.Status); - break; - case 6: - Assert.AreEqual(2, orderEvent.OrderId); - Assert.AreEqual(OrderStatus.Filled, orderEvent.Status); - break; - } - Log.Trace($"{orderEvent}"); - }; + orderEventCalls++; + var orderEvent = orderEvents[0]; + switch (orderEventCalls) + { + case 1: + Assert.AreEqual(1, orderEvent.OrderId); + Assert.AreEqual(OrderStatus.Submitted, orderEvent.Status); + + // we send a new order request + var ticket2 = transactionHandler.Process(orderRequest2); + break; + case 2: + Assert.AreEqual(2, orderEvent.OrderId); + Assert.AreEqual(OrderStatus.Submitted, orderEvent.Status); + break; + case 3: + Assert.AreEqual(1, orderEvent.OrderId); + Assert.AreEqual(OrderStatus.PartiallyFilled, orderEvent.Status); + break; + case 4: + Assert.AreEqual(2, orderEvent.OrderId); + Assert.AreEqual(OrderStatus.PartiallyFilled, orderEvent.Status); + break; + case 5: + Assert.AreEqual(1, orderEvent.OrderId); + Assert.AreEqual(OrderStatus.Filled, orderEvent.Status); + break; + case 6: + Assert.AreEqual(2, orderEvent.OrderId); + Assert.AreEqual(OrderStatus.Filled, orderEvent.Status); + break; + } + Log.Trace($"{orderEvent}"); + }; - var ticket = transactionHandler.Process(orderRequest); + var ticket = transactionHandler.Process(orderRequest); - Assert.IsTrue(orderRequest.Response.IsProcessed); - Assert.IsTrue(orderRequest.Response.IsSuccess); - Assert.AreEqual(OrderRequestStatus.Processed, orderRequest.Status); - Assert.IsTrue(orderRequest2.Response.IsProcessed); - Assert.IsTrue(orderRequest2.Response.IsSuccess); - Assert.AreEqual(OrderRequestStatus.Processed, orderRequest2.Status); + Assert.IsTrue(orderRequest.Response.IsProcessed); + Assert.IsTrue(orderRequest.Response.IsSuccess); + Assert.AreEqual(OrderRequestStatus.Processed, orderRequest.Status); + Assert.IsTrue(orderRequest2.Response.IsProcessed); + Assert.IsTrue(orderRequest2.Response.IsSuccess); + Assert.AreEqual(OrderRequestStatus.Processed, orderRequest2.Status); - var order1 = transactionHandler.GetOrderById(1); - Assert.AreEqual(OrderStatus.Filled, order1.Status); - var order2 = transactionHandler.GetOrderById(2); - Assert.AreEqual(OrderStatus.Filled, order2.Status); + var order1 = transactionHandler.GetOrderById(1); + Assert.AreEqual(OrderStatus.Filled, order1.Status); + var order2 = transactionHandler.GetOrderById(2); + Assert.AreEqual(OrderStatus.Filled, order2.Status); - // 2 submitted and 2 PartiallyFilled and 2 Filled - Assert.AreEqual(6, orderEventCalls); + // 2 submitted and 2 PartiallyFilled and 2 Filled + Assert.AreEqual(6, orderEventCalls); + } + finally + { + transactionHandler.Exit(); + } } [Test] @@ -245,81 +266,86 @@ public void ProcessesOrdersInLivePaperTrading() _algorithm.SetLiveMode(true); transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); - // Creates a market order - var security = _algorithm.Securities[Ticker]; - var price = 1.12m; - security.SetMarketPrice(new Tick(DateTime.UtcNow.AddDays(-1), security.Symbol, price, price, price)); - var reference = new DateTime(2025, 07, 03, 10, 0, 0); - var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 1000, 0, 0, 0, reference, ""); - var orderRequest2 = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, -1000, 0, 0, 0, reference.AddSeconds(1), ""); - orderRequest.SetOrderId(1); - orderRequest2.SetOrderId(2); - - // Mock the the order processor - var orderProcessorMock = new Mock(); - orderProcessorMock.Setup(m => m.GetOrderTicket(It.Is(i => i == 1))).Returns(new OrderTicket(_algorithm.Transactions, orderRequest)); - orderProcessorMock.Setup(m => m.GetOrderTicket(It.Is(i => i == 2))).Returns(new OrderTicket(_algorithm.Transactions, orderRequest2)); - _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); - - var allOrderEvents = new List(); - using var eventsReceived = new AutoResetEvent(false); - - brokerage.OrdersStatusChanged += (sender, orderEvents) => + try { - var orderEvent = orderEvents[0]; - lock (allOrderEvents) + // Creates a market order + var security = _algorithm.Securities[Ticker]; + var price = 1.12m; + security.SetMarketPrice(new Tick(DateTime.UtcNow.AddDays(-1), security.Symbol, price, price, price)); + var reference = new DateTime(2025, 07, 03, 10, 0, 0); + var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 1000, 0, 0, 0, reference, ""); + var orderRequest2 = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, -1000, 0, 0, 0, reference.AddSeconds(1), ""); + orderRequest.SetOrderId(1); + orderRequest2.SetOrderId(2); + + // Mock the the order processor + var orderProcessorMock = new Mock(); + orderProcessorMock.Setup(m => m.GetOrderTicket(It.Is(i => i == 1))).Returns(new OrderTicket(_algorithm.Transactions, orderRequest)); + orderProcessorMock.Setup(m => m.GetOrderTicket(It.Is(i => i == 2))).Returns(new OrderTicket(_algorithm.Transactions, orderRequest2)); + _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); + + var allOrderEvents = new List(); + using var eventsReceived = new AutoResetEvent(false); + + brokerage.OrdersStatusChanged += (sender, orderEvents) => { - allOrderEvents.Add(orderEvent); - if (allOrderEvents.Count == 4) + var orderEvent = orderEvents[0]; + lock (allOrderEvents) { - eventsReceived.Set(); + allOrderEvents.Add(orderEvent); + if (allOrderEvents.Count == 4) + { + eventsReceived.Set(); + } } - } - // Let's place another order before this one is filled - if (orderEvent.OrderId == 1 && orderEvent.Status == OrderStatus.Submitted) - { - var ticket2 = transactionHandler.Process(orderRequest2); - } - - Log.Debug($"{orderEvent}"); - }; + // Let's place another order before this one is filled + if (orderEvent.OrderId == 1 && orderEvent.Status == OrderStatus.Submitted) + { + var ticket2 = transactionHandler.Process(orderRequest2); + } - var ticket = transactionHandler.Process(orderRequest); + Log.Debug($"{orderEvent}"); + }; - if (!eventsReceived.WaitOne(10000)) - { - Assert.Fail($"Did not receive all order events, received {allOrderEvents.Count} order events: {string.Join(", ", allOrderEvents)}"); - } + var ticket = transactionHandler.Process(orderRequest); - Assert.IsTrue(orderRequest.Response.IsProcessed); - Assert.IsTrue(orderRequest.Response.IsSuccess); - Assert.AreEqual(OrderRequestStatus.Processed, orderRequest.Status); + if (!eventsReceived.WaitOne(10000)) + { + Assert.Fail($"Did not receive all order events, received {allOrderEvents.Count} order events: {string.Join(", ", allOrderEvents)}"); + } - Assert.IsTrue(orderRequest2.Response.IsProcessed); - Assert.IsTrue(orderRequest2.Response.IsSuccess); - Assert.AreEqual(OrderRequestStatus.Processed, orderRequest2.Status); + Assert.IsTrue(orderRequest.Response.IsProcessed); + Assert.IsTrue(orderRequest.Response.IsSuccess); + Assert.AreEqual(OrderRequestStatus.Processed, orderRequest.Status); - var order1 = transactionHandler.GetOrderById(1); - Assert.AreEqual(OrderStatus.Filled, order1.Status); + Assert.IsTrue(orderRequest2.Response.IsProcessed); + Assert.IsTrue(orderRequest2.Response.IsSuccess); + Assert.AreEqual(OrderRequestStatus.Processed, orderRequest2.Status); - var order2 = transactionHandler.GetOrderById(2); - Assert.AreEqual(OrderStatus.Filled, order2.Status); + var order1 = transactionHandler.GetOrderById(1); + Assert.AreEqual(OrderStatus.Filled, order1.Status); - // 2 submitted and 2 filled - Assert.AreEqual(4, allOrderEvents.Count); + var order2 = transactionHandler.GetOrderById(2); + Assert.AreEqual(OrderStatus.Filled, order2.Status); - var firstOrderSubmittedEvent = allOrderEvents.FirstOrDefault(x => x.OrderId == 1 && x.Status == OrderStatus.Submitted); - Assert.IsNotNull(firstOrderSubmittedEvent); - var firstOrderFilledEvent = allOrderEvents.FirstOrDefault(x => x.OrderId == 1 && x.Status == OrderStatus.Filled); - Assert.IsNotNull(firstOrderFilledEvent); + // 2 submitted and 2 filled + Assert.AreEqual(4, allOrderEvents.Count); - var secondOrderSubmittedEvent = allOrderEvents.FirstOrDefault(x => x.OrderId == 2 && x.Status == OrderStatus.Submitted); - Assert.IsNotNull(secondOrderSubmittedEvent); - var secondOrderFilledEvent = allOrderEvents.FirstOrDefault(x => x.OrderId == 2 && x.Status == OrderStatus.Filled); - Assert.IsNotNull(secondOrderFilledEvent); + var firstOrderSubmittedEvent = allOrderEvents.FirstOrDefault(x => x.OrderId == 1 && x.Status == OrderStatus.Submitted); + Assert.IsNotNull(firstOrderSubmittedEvent); + var firstOrderFilledEvent = allOrderEvents.FirstOrDefault(x => x.OrderId == 1 && x.Status == OrderStatus.Filled); + Assert.IsNotNull(firstOrderFilledEvent); - transactionHandler.Exit(); + var secondOrderSubmittedEvent = allOrderEvents.FirstOrDefault(x => x.OrderId == 2 && x.Status == OrderStatus.Submitted); + Assert.IsNotNull(secondOrderSubmittedEvent); + var secondOrderFilledEvent = allOrderEvents.FirstOrDefault(x => x.OrderId == 2 && x.Status == OrderStatus.Filled); + Assert.IsNotNull(secondOrderFilledEvent); + } + finally + { + transactionHandler.Exit(); + } } [Test] @@ -332,34 +358,40 @@ public void ProcessesOrdersConcurrentlyInLivePaperTrading() using var finishedEvent = new ManualResetEventSlim(false); var transactionHandler = new TestablePaperBrokerageTransactionHandler(expectedOrdersCount, finishedEvent); transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); - _algorithm.Transactions.SetOrderProcessor(transactionHandler); + + try + { + _algorithm.Transactions.SetOrderProcessor(transactionHandler); - var security = (Security)_algorithm.AddEquity("SPY"); - _algorithm.SetFinishedWarmingUp(); + var security = (Security)_algorithm.AddEquity("SPY"); + _algorithm.SetFinishedWarmingUp(); - // Set up security - var reference = new DateTime(2025, 07, 03, 10, 0, 0); - security.SetMarketPrice(new Tick(reference, security.Symbol, 300, 300)); + // Set up security + var reference = new DateTime(2025, 07, 03, 10, 0, 0); + security.SetMarketPrice(new Tick(reference, security.Symbol, 300, 300)); - // Creates the order - var orderRequests = Enumerable.Range(0, expectedOrdersCount) - .Select(_ => new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 1000, 0, 0, 0, reference, "")) - .ToList(); + // Creates the order + var orderRequests = Enumerable.Range(0, expectedOrdersCount) + .Select(_ => new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 1000, 0, 0, 0, reference, "")) + .ToList(); - // Act - for (var i = 0; i < orderRequests.Count; i++) + // Act + for (var i = 0; i < orderRequests.Count; i++) + { + var orderRequest = orderRequests[i]; + orderRequest.SetOrderId(i + 1); + transactionHandler.Process(orderRequest); + } + + // Wait for all orders to be processed + Assert.IsTrue(finishedEvent.Wait(10000)); + Assert.Greater(transactionHandler.ProcessingThreadNames.Count, 1); + CollectionAssert.AreEquivalent(orderRequests.Select(x => x.ToString()), transactionHandler.ProcessedRequests.Select(x => x.ToString())); + } + finally { - var orderRequest = orderRequests[i]; - orderRequest.SetOrderId(i + 1); - transactionHandler.Process(orderRequest); + transactionHandler.Exit(); } - - // Wait for all orders to be processed - Assert.IsTrue(finishedEvent.Wait(10000)); - Assert.Greater(transactionHandler.ProcessingThreadNames.Count, 1); - CollectionAssert.AreEquivalent(orderRequests.Select(x => x.ToString()), transactionHandler.ProcessedRequests.Select(x => x.ToString())); - - transactionHandler.Exit(); } private class TestablePaperBrokerageTransactionHandler : BacktestingTransactionHandler diff --git a/Tests/Engine/BrokerageTransactionHandlerTests/BrokerageTransactionHandlerTests.cs b/Tests/Engine/BrokerageTransactionHandlerTests/BrokerageTransactionHandlerTests.cs index 66030c51ec5b..842407d4c98a 100644 --- a/Tests/Engine/BrokerageTransactionHandlerTests/BrokerageTransactionHandlerTests.cs +++ b/Tests/Engine/BrokerageTransactionHandlerTests/BrokerageTransactionHandlerTests.cs @@ -49,6 +49,7 @@ public class BrokerageTransactionHandlerTests private MethodInfo _handleOptionNotification; private TestAlgorithm _algorithm; private Symbol _symbol; + private TestBrokerageTransactionHandler _transactionHandler; [SetUp] public void Initialize() @@ -64,6 +65,12 @@ public void Initialize() Assert.IsNotNull(_handleOptionNotification); } + [TearDown] + public void TearDown() + { + _transactionHandler?.Exit(); + } + private static SubmitOrderRequest MakeOrderRequest(Security security, OrderType orderType, DateTime date) { var groupOrderManager = new GroupOrderManager(1, 1, 100, orderType == OrderType.ComboLimit ? 100 : 0); @@ -93,32 +100,39 @@ public void RetrieveComboOrdersWithTheSameBrokerageIdEvenIfOneOfThemIsFilled(str _algorithm.AddSecurity(symbol); _algorithm.Securities[symbol].SetMarketPrice(new Tick(DateTime.UtcNow.AddDays(-1), symbol, 220m, 220m, 220m)); - var brokerageTransactionHandler = new BrokerageTransactionHandler(); + var transactionHandler = new BrokerageTransactionHandler(); using var brokerage = new TestingBrokerage(); - brokerageTransactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); - - var groupOrderManager = new GroupOrderManager(1, 3, 10); + transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); - var comboOrders = new List + try { - new ComboMarketOrder(symbol, 10m, DateTime.UtcNow, groupOrderManager) { Status = OrderStatus.Submitted }, - new ComboMarketOrder(symbol, -10m, DateTime.UtcNow, groupOrderManager) { Status = OrderStatus.PartiallyFilled }, - new ComboMarketOrder(symbol, 10m, DateTime.UtcNow, groupOrderManager) { Status = OrderStatus.Filled } - }; + var groupOrderManager = new GroupOrderManager(1, 3, 10); - foreach (var comboOrder in comboOrders) - { - comboOrder.BrokerId.Add(brokerageOrderId); - brokerageTransactionHandler.AddOpenOrder(comboOrder, _algorithm); - } + var comboOrders = new List + { + new ComboMarketOrder(symbol, 10m, DateTime.UtcNow, groupOrderManager) { Status = OrderStatus.Submitted }, + new ComboMarketOrder(symbol, -10m, DateTime.UtcNow, groupOrderManager) { Status = OrderStatus.PartiallyFilled }, + new ComboMarketOrder(symbol, 10m, DateTime.UtcNow, groupOrderManager) { Status = OrderStatus.Filled } + }; + + foreach (var comboOrder in comboOrders) + { + comboOrder.BrokerId.Add(brokerageOrderId); + transactionHandler.AddOpenOrder(comboOrder, _algorithm); + } - var openOrders = brokerageTransactionHandler.GetOrdersByBrokerageId(brokerageOrderId); + var openOrders = transactionHandler.GetOrdersByBrokerageId(brokerageOrderId); - Assert.IsNotEmpty(openOrders); - Assert.That(openOrders.Count, Is.EqualTo(expectedComboOrdersCount)); - Assert.True(openOrders.Any(o => o.Status == OrderStatus.Submitted)); - Assert.True(openOrders.Any(o => o.Status == OrderStatus.PartiallyFilled)); - Assert.True(openOrders.Any(o => o.Status == OrderStatus.Filled)); + Assert.IsNotEmpty(openOrders); + Assert.That(openOrders.Count, Is.EqualTo(expectedComboOrdersCount)); + Assert.True(openOrders.Any(o => o.Status == OrderStatus.Submitted)); + Assert.True(openOrders.Any(o => o.Status == OrderStatus.PartiallyFilled)); + Assert.True(openOrders.Any(o => o.Status == OrderStatus.Filled)); + } + finally + { + transactionHandler.Exit(); + } } [Test] @@ -134,9 +148,9 @@ public void OrderTagIsSetToTheDefaultOne([Values] OrderType orderType) algorithm.SetFinishedWarmingUp(); //Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new BacktestingBrokerage(algorithm); - transactionHandler.Initialize(algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(algorithm, brokerage, new BacktestingResultHandler()); // Set up security security.SetMarketPrice(new Tick(reference, security.Symbol, 300, 300)); @@ -157,9 +171,9 @@ public void OrderTagIsSetToTheDefaultOne([Values] OrderType orderType) algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); // Act - var orderTicket = transactionHandler.Process(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); Assert.IsTrue(orderTicket.Status == OrderStatus.New); - transactionHandler.HandleOrderRequest(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); // Assert Assert.IsTrue(orderRequest.Response.IsProcessed); @@ -167,7 +181,7 @@ public void OrderTagIsSetToTheDefaultOne([Values] OrderType orderType) Assert.AreEqual(OrderStatus.Submitted, orderTicket.Status); // Assert the order tag is set to the default one - var order = transactionHandler.GetOpenOrders().Single(); + var order = _transactionHandler.GetOpenOrders().Single(); Assert.AreEqual(orderType, order.Type); Assert.AreEqual(order.GetDefaultTag(), order.Tag); } @@ -176,9 +190,9 @@ public void OrderTagIsSetToTheDefaultOne([Values] OrderType orderType) public void OrderQuantityIsFlooredToNearestMultipleOfLotSizeWhenLongOrderIsRounded() { //Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new BacktestingBrokerage(_algorithm); - transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); // Creates the order var security = _algorithm.Securities[_symbol]; @@ -190,9 +204,9 @@ public void OrderQuantityIsFlooredToNearestMultipleOfLotSizeWhenLongOrderIsRound _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); // Act - var orderTicket = transactionHandler.Process(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); Assert.IsTrue(orderTicket.Status == OrderStatus.New); - transactionHandler.HandleOrderRequest(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); // Assert Assert.IsTrue(orderRequest.Response.IsProcessed); @@ -206,9 +220,9 @@ public void OrderQuantityIsFlooredToNearestMultipleOfLotSizeWhenLongOrderIsRound public void BrokerageOrderIdChanged() { //Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var testBrokerage = new TestBroker(_algorithm, true); - transactionHandler.Initialize(_algorithm, testBrokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, testBrokerage, new BacktestingResultHandler()); // Creates the order var security = _algorithm.Securities[_symbol]; @@ -220,14 +234,14 @@ public void BrokerageOrderIdChanged() _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); // Act - var orderTicket = transactionHandler.Process(orderRequest); - transactionHandler.HandleOrderRequest(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); - var originalBrokerageOrderId = transactionHandler.GetOrderById(orderTicket.OrderId).BrokerId; + var originalBrokerageOrderId = _transactionHandler.GetOrderById(orderTicket.OrderId).BrokerId; var orderIdChanged = new BrokerageOrderIdChangedEvent { OrderId = orderTicket.OrderId, BrokerId = new List { "asd" } }; testBrokerage.OnOrderIdChangedEventPublic(orderIdChanged); - var newBrokerageOrderId = transactionHandler.GetOrderById(orderTicket.OrderId).BrokerId; + var newBrokerageOrderId = _transactionHandler.GetOrderById(orderTicket.OrderId).BrokerId; Assert.AreNotEqual(originalBrokerageOrderId, newBrokerageOrderId); Assert.AreEqual(1, newBrokerageOrderId.Count); Assert.AreEqual("asd", newBrokerageOrderId[0]); @@ -237,9 +251,9 @@ public void BrokerageOrderIdChanged() public void OrderQuantityIsCeiledToNearestMultipleOfLotSizeWhenShortOrderIsRounded() { //Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new BacktestingBrokerage(_algorithm); - transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); // Creates the order var security = _algorithm.Securities[_symbol]; @@ -251,9 +265,9 @@ public void OrderQuantityIsCeiledToNearestMultipleOfLotSizeWhenShortOrderIsRound _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); // Act - var orderTicket = transactionHandler.Process(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); Assert.IsTrue(orderTicket.Status == OrderStatus.New); - transactionHandler.HandleOrderRequest(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); // Assert Assert.IsTrue(orderRequest.Response.IsProcessed); @@ -267,9 +281,9 @@ public void OrderQuantityIsCeiledToNearestMultipleOfLotSizeWhenShortOrderIsRound public void OrderIsNotPlacedWhenOrderIsLowerThanLotSize() { //Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new BacktestingBrokerage(_algorithm); - transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); // Creates the order var security = _algorithm.Securities[_symbol]; @@ -281,9 +295,9 @@ public void OrderIsNotPlacedWhenOrderIsLowerThanLotSize() _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); // Act - var orderTicket = transactionHandler.Process(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); Assert.IsTrue(orderTicket.Status == OrderStatus.New); - transactionHandler.HandleOrderRequest(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); // 600 after round off becomes 0 -> order is not placed Assert.IsTrue(orderRequest.Response.IsProcessed); @@ -295,9 +309,9 @@ public void OrderIsNotPlacedWhenOrderIsLowerThanLotSize() public void GetOpenOrderTicketsDoesWorksCorrectly() { //Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new BacktestingBrokerage(_algorithm); - transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); // Creates the order var security = _algorithm.Securities[_symbol]; @@ -309,18 +323,18 @@ public void GetOpenOrderTicketsDoesWorksCorrectly() _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); // Act - var orderTicket = transactionHandler.Process(orderRequest); - var newTicket = transactionHandler.GetOpenOrderTickets(ticket => ticket.Symbol == security.Symbol).Single(); + var orderTicket = _transactionHandler.Process(orderRequest); + var newTicket = _transactionHandler.GetOpenOrderTickets(ticket => ticket.Symbol == security.Symbol).Single(); Assert.IsTrue(orderTicket.Status == OrderStatus.New); Assert.AreEqual(newTicket, orderTicket); - transactionHandler.HandleOrderRequest(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); Assert.IsTrue(orderRequest.Response.IsProcessed); Assert.IsFalse(orderRequest.Response.IsError); Assert.IsTrue(orderTicket.Status == OrderStatus.Submitted); - var processedTicket = transactionHandler.GetOpenOrderTickets(ticket => ticket.Symbol == security.Symbol).ToList(); + var processedTicket = _transactionHandler.GetOpenOrderTickets(ticket => ticket.Symbol == security.Symbol).ToList(); Assert.IsNotEmpty(processedTicket); } @@ -328,9 +342,9 @@ public void GetOpenOrderTicketsDoesWorksCorrectly() public void GetOpenOrderTicketsDoesNotReturnInvalidatedOrder() { //Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new BacktestingBrokerage(_algorithm); - transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); // Creates the order var security = _algorithm.Securities[_symbol]; @@ -342,19 +356,19 @@ public void GetOpenOrderTicketsDoesNotReturnInvalidatedOrder() _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); // Act - var orderTicket = transactionHandler.Process(orderRequest); - var newTicket = transactionHandler.GetOpenOrderTickets(ticket => ticket.Symbol == security.Symbol).Single(); + var orderTicket = _transactionHandler.Process(orderRequest); + var newTicket = _transactionHandler.GetOpenOrderTickets(ticket => ticket.Symbol == security.Symbol).Single(); Assert.IsTrue(orderTicket.Status == OrderStatus.New); Assert.AreEqual(newTicket, orderTicket); - transactionHandler.HandleOrderRequest(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); // 600 after round off becomes 0 -> order is not placed Assert.IsTrue(orderRequest.Response.IsProcessed); Assert.IsTrue(orderRequest.Response.IsError); Assert.IsTrue(orderTicket.Status == OrderStatus.Invalid); - var processedTicket = transactionHandler.GetOpenOrderTickets(ticket => ticket.Symbol == security.Symbol).ToList(); + var processedTicket = _transactionHandler.GetOpenOrderTickets(ticket => ticket.Symbol == security.Symbol).ToList(); Assert.IsEmpty(processedTicket); } @@ -377,9 +391,9 @@ public void DynamicIndexOptionPriceRoundeding(string indexOption, string orderPr //Initializes the transaction handler _algorithm.SetBrokerageModel(new DefaultBrokerageModel()); - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new BacktestingBrokerage(_algorithm); - transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); // Creates the order var security = _algorithm.AddIndexOption(indexOption); @@ -393,9 +407,9 @@ public void DynamicIndexOptionPriceRoundeding(string indexOption, string orderPr _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); // Act - var orderTicket = transactionHandler.Process(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); Assert.IsTrue(orderTicket.Status == OrderStatus.New); - transactionHandler.HandleOrderRequest(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); // Assert Assert.IsTrue(orderRequest.Response.IsProcessed); @@ -410,9 +424,9 @@ public void DynamicIndexOptionPriceRoundeding(string indexOption, string orderPr public void LimitOrderPriceIsRounded() { //Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new BacktestingBrokerage(_algorithm); - transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); // Creates the order var security = _algorithm.Securities[_symbol]; @@ -426,9 +440,9 @@ public void LimitOrderPriceIsRounded() _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); // Act - var orderTicket = transactionHandler.Process(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); Assert.IsTrue(orderTicket.Status == OrderStatus.New); - transactionHandler.HandleOrderRequest(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); // Assert Assert.IsTrue(orderRequest.Response.IsProcessed); @@ -444,9 +458,9 @@ public void LimitOrderPriceIsRounded() public void StopMarketOrderPriceIsRounded() { //Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new BacktestingBrokerage(_algorithm); - transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); // Creates the order var security = _algorithm.Securities[_symbol]; @@ -460,9 +474,9 @@ public void StopMarketOrderPriceIsRounded() _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); // Act - var orderTicket = transactionHandler.Process(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); Assert.IsTrue(orderTicket.Status == OrderStatus.New); - transactionHandler.HandleOrderRequest(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); // Assert Assert.IsTrue(orderRequest.Response.IsProcessed); @@ -478,9 +492,9 @@ public void StopMarketOrderPriceIsRounded() public void TrailingStopOrderPriceIsRounded([Values] bool trailingAsPercentage) { //Initialize the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new BacktestingBrokerage(_algorithm); - transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); // Create the order _algorithm.SetBrokerageModel(new DefaultBrokerageModel()); @@ -497,9 +511,9 @@ public void TrailingStopOrderPriceIsRounded([Values] bool trailingAsPercentage) _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); // Act - var orderTicket = transactionHandler.Process(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); Assert.IsTrue(orderTicket.Status == OrderStatus.New); - transactionHandler.HandleOrderRequest(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); // Assert Assert.IsTrue(orderRequest.Response.IsProcessed); @@ -528,9 +542,9 @@ public void ComboLimitOrderPriceIsRounded(OrderType orderType, decimal groupOrde algorithm.SetFinishedWarmingUp(); //Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new BacktestingBrokerage(algorithm); - transactionHandler.Initialize(algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(algorithm, brokerage, new BacktestingResultHandler()); var expectedGroupOrderLimitPrice = 0m; if (orderType == OrderType.ComboLimit) @@ -575,13 +589,13 @@ public void ComboLimitOrderPriceIsRounded(OrderType orderType, decimal groupOrde algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); // Act - var orderTicket1 = transactionHandler.Process(orderRequest1); + var orderTicket1 = _transactionHandler.Process(orderRequest1); Assert.AreEqual(OrderStatus.New, orderTicket1.Status); - transactionHandler.HandleOrderRequest(orderRequest1); + _transactionHandler.HandleOrderRequest(orderRequest1); - var orderTicket2 = transactionHandler.Process(orderRequest2); + var orderTicket2 = _transactionHandler.Process(orderRequest2); Assert.AreEqual(OrderStatus.New, orderTicket2.Status); - transactionHandler.HandleOrderRequest(orderRequest2); + _transactionHandler.HandleOrderRequest(orderRequest2); // Assert Assert.IsTrue(orderRequest1.Response.IsProcessed); @@ -601,9 +615,9 @@ public void ComboLimitOrderPriceIsRounded(OrderType orderType, decimal groupOrde public void OrderCancellationTransitionsThroughCancelPendingStatus() { // Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new BacktestingBrokerage(_algorithm); - transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); // Creates a limit order var security = _algorithm.Securities[_symbol]; @@ -617,27 +631,27 @@ public void OrderCancellationTransitionsThroughCancelPendingStatus() _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); // Submit and process a limit order - var orderTicket = transactionHandler.Process(orderRequest); - transactionHandler.HandleOrderRequest(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); Assert.IsTrue(orderRequest.Response.IsProcessed); Assert.IsTrue(orderRequest.Response.IsSuccess); Assert.IsTrue(orderTicket.Status == OrderStatus.Submitted); // Cancel the order var cancelRequest = new CancelOrderRequest(DateTime.Now, orderTicket.OrderId, ""); - transactionHandler.Process(cancelRequest); + _transactionHandler.Process(cancelRequest); Assert.IsTrue(cancelRequest.Response.IsProcessed); Assert.IsTrue(cancelRequest.Response.IsSuccess); Assert.IsTrue(cancelRequest.Status == OrderRequestStatus.Processing); Assert.IsTrue(orderTicket.Status == OrderStatus.CancelPending); - Assert.AreEqual(transactionHandler.CancelPendingOrdersSize, 1); + Assert.AreEqual(_transactionHandler.CancelPendingOrdersSize, 1); - transactionHandler.HandleOrderRequest(cancelRequest); + _transactionHandler.HandleOrderRequest(cancelRequest); Assert.IsTrue(cancelRequest.Response.IsProcessed); Assert.IsTrue(cancelRequest.Response.IsSuccess); Assert.IsTrue(cancelRequest.Status == OrderRequestStatus.Processed); Assert.IsTrue(orderTicket.Status == OrderStatus.Canceled); - Assert.AreEqual(transactionHandler.CancelPendingOrdersSize, 0); + Assert.AreEqual(_transactionHandler.CancelPendingOrdersSize, 0); // Check CancelPending was sent Assert.AreEqual(_algorithm.OrderEvents.Count, 3); @@ -665,12 +679,12 @@ public void RoundsEquityLimitOrderPricesCorrectly(decimal securityPrice, decimal var security = algo.AddEquity("YGTY"); security.SetMarketPrice(new Tick { Value = securityPrice }); - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); var brokerage = new Mock(); - transactionHandler.Initialize(algo, brokerage.Object, null); + _transactionHandler.Initialize(algo, brokerage.Object, null); var order = new LimitOrder(security.Symbol, 1000, orderPrice, DateTime.UtcNow); - transactionHandler.RoundOrderPrices(order, security); + _transactionHandler.RoundOrderPrices(order, security); Assert.AreEqual(expected, order.LimitPrice); } @@ -688,14 +702,14 @@ public void RoundOff_Long_Fractional_Orders() var security = algo.AddSecurity(SecurityType.Crypto, "BTCUSD", Resolution.Hour, Market.Coinbase, false, 1m, true); //Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new BacktestingBrokerage(algo); - transactionHandler.Initialize(algo, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(algo, brokerage, new BacktestingResultHandler()); // Creates the order var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 123.123456789m, 0, 0, DateTime.Now, ""); var order = Order.CreateOrder(orderRequest); - var actual = transactionHandler.RoundOffOrder(order, security); + var actual = _transactionHandler.RoundOffOrder(order, security); Assert.AreEqual(123.12345678m, actual); } @@ -713,14 +727,14 @@ public void RoundOff_Short_Fractional_Orders() var security = algo.AddSecurity(SecurityType.Crypto, "BTCUSD", Resolution.Hour, Market.Coinbase, false, 1m, true); //Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new BacktestingBrokerage(algo); - transactionHandler.Initialize(algo, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(algo, brokerage, new BacktestingResultHandler()); // Creates the order var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, -123.123456789m, 0, 0, DateTime.Now, ""); var order = Order.CreateOrder(orderRequest); - var actual = transactionHandler.RoundOffOrder(order, security); + var actual = _transactionHandler.RoundOffOrder(order, security); Assert.AreEqual(-123.12345678m, actual); } @@ -738,14 +752,14 @@ public void RoundOff_LessThanLotSize_Fractional_Orders() var security = algo.AddSecurity(SecurityType.Crypto, "BTCUSD", Resolution.Hour, Market.Coinbase, false, 1m, true); //Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new BacktestingBrokerage(algo); - transactionHandler.Initialize(algo, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(algo, brokerage, new BacktestingResultHandler()); // Creates the order var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 0.000000009m, 0, 0, DateTime.Now, ""); var order = Order.CreateOrder(orderRequest); - var actual = transactionHandler.RoundOffOrder(order, security); + var actual = _transactionHandler.RoundOffOrder(order, security); Assert.AreEqual(0, actual); } @@ -753,19 +767,19 @@ public void RoundOff_LessThanLotSize_Fractional_Orders() [Test] public void InvalidUpdateOrderRequestShouldNotInvalidateCanceledOrder() { - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new NoSubmitTestBrokerage(_algorithm); - transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); var security = _algorithm.Securities[_symbol]; var price = 1.12m; security.SetMarketPrice(new Tick(DateTime.Now, security.Symbol, price, price, price)); var orderRequest = new SubmitOrderRequest(OrderType.Limit, security.Type, security.Symbol, 1000, 0, 1.11m, DateTime.Now, ""); - _algorithm.Transactions.SetOrderProcessor(transactionHandler); + _algorithm.Transactions.SetOrderProcessor(_transactionHandler); - var orderTicket = transactionHandler.Process(orderRequest); - transactionHandler.HandleOrderRequest(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); Assert.IsTrue(orderRequest.Response.IsProcessed); Assert.IsTrue(orderRequest.Response.IsSuccess); @@ -774,8 +788,8 @@ public void InvalidUpdateOrderRequestShouldNotInvalidateCanceledOrder() Assert.AreEqual(OrderStatus.Submitted, orderTicket.Status); var updateRequest = new UpdateOrderRequest(DateTime.Now, orderTicket.OrderId, new UpdateOrderFields() { Quantity = 10000 }); - var updateTicket = transactionHandler.Process(updateRequest); - transactionHandler.HandleOrderRequest(updateRequest); + var updateTicket = _transactionHandler.Process(updateRequest); + _transactionHandler.HandleOrderRequest(updateRequest); Assert.AreEqual(OrderRequestStatus.Processed, updateRequest.Status); Assert.IsTrue(updateRequest.Response.IsSuccess); @@ -796,19 +810,19 @@ public void InvalidUpdateOrderRequestShouldNotInvalidateCanceledOrder() [Test] public void InvalidUpdateOrderRequestShouldNotInvalidateFilledOrder() { - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new NoSubmitTestBrokerage(_algorithm); - transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); var security = _algorithm.Securities[_symbol]; var price = 1.12m; security.SetMarketPrice(new Tick(DateTime.Now, security.Symbol, price, price, price)); var orderRequest = new SubmitOrderRequest(OrderType.Limit, security.Type, security.Symbol, 1000, 0, 1.11m, DateTime.Now, ""); - _algorithm.Transactions.SetOrderProcessor(transactionHandler); + _algorithm.Transactions.SetOrderProcessor(_transactionHandler); - var orderTicket = transactionHandler.Process(orderRequest); - transactionHandler.HandleOrderRequest(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); Assert.IsTrue(orderRequest.Response.IsProcessed); Assert.IsTrue(orderRequest.Response.IsSuccess); @@ -817,8 +831,8 @@ public void InvalidUpdateOrderRequestShouldNotInvalidateFilledOrder() Assert.AreEqual(OrderStatus.Submitted, orderTicket.Status); var updateRequest = new UpdateOrderRequest(DateTime.Now, orderTicket.OrderId, new UpdateOrderFields() { Quantity = 10000 }); - var updateTicket = transactionHandler.Process(updateRequest); - transactionHandler.HandleOrderRequest(updateRequest); + var updateTicket = _transactionHandler.Process(updateRequest); + _transactionHandler.HandleOrderRequest(updateRequest); Assert.AreEqual(OrderRequestStatus.Processed, updateRequest.Status); Assert.IsTrue(updateRequest.Response.IsSuccess); @@ -844,9 +858,9 @@ public void InvalidUpdateOrderRequestShouldNotInvalidateFilledOrder() public void InvalidUpdateOrderRequestShouldNotInvalidateOrder() { // Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new BacktestingBrokerage(_algorithm); - transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); _algorithm.SetBrokerageModel(new TestBrokerageModel()); // Creates a limit order var security = _algorithm.Securities[_symbol]; @@ -860,19 +874,19 @@ public void InvalidUpdateOrderRequestShouldNotInvalidateOrder() _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); // Submit and process a limit order - var orderTicket = transactionHandler.Process(orderRequest); - transactionHandler.HandleOrderRequest(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); Assert.IsTrue(orderRequest.Response.IsProcessed); Assert.IsTrue(orderRequest.Response.IsSuccess); Assert.AreEqual(orderTicket.Status, OrderStatus.Submitted); var updateRequest = new UpdateOrderRequest(DateTime.Now, orderTicket.OrderId, new UpdateOrderFields()); - transactionHandler.Process(updateRequest); + _transactionHandler.Process(updateRequest); Assert.AreEqual(updateRequest.Status, OrderRequestStatus.Processing); Assert.IsTrue(updateRequest.Response.IsSuccess); Assert.AreEqual(orderTicket.Status, OrderStatus.Submitted); - transactionHandler.HandleOrderRequest(updateRequest); + _transactionHandler.HandleOrderRequest(updateRequest); Assert.IsFalse(updateRequest.Response.ErrorMessage.IsNullOrEmpty()); Assert.IsTrue(updateRequest.Response.IsError); Assert.AreEqual(orderTicket.Status, OrderStatus.Submitted); @@ -886,9 +900,9 @@ public void InvalidUpdateOrderRequestShouldNotInvalidateOrder() public void UpdateOrderRequestShouldWork() { // Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new BacktestingBrokerage(_algorithm); - transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); // Creates a limit order var security = _algorithm.Securities[_symbol]; @@ -902,19 +916,19 @@ public void UpdateOrderRequestShouldWork() _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); // Submit and process a limit order - var orderTicket = transactionHandler.Process(orderRequest); - transactionHandler.HandleOrderRequest(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); Assert.IsTrue(orderRequest.Response.IsProcessed); Assert.IsTrue(orderRequest.Response.IsSuccess); Assert.AreEqual(orderTicket.Status, OrderStatus.Submitted); var updateRequest = new UpdateOrderRequest(DateTime.Now, orderTicket.OrderId, new UpdateOrderFields()); - transactionHandler.Process(updateRequest); + _transactionHandler.Process(updateRequest); Assert.AreEqual(updateRequest.Status, OrderRequestStatus.Processing); Assert.IsTrue(updateRequest.Response.IsSuccess); Assert.AreEqual(OrderStatus.Submitted, orderTicket.Status); - transactionHandler.HandleOrderRequest(updateRequest); + _transactionHandler.HandleOrderRequest(updateRequest); Assert.IsTrue(updateRequest.Response.IsSuccess); Assert.AreEqual(OrderStatus.UpdateSubmitted, orderTicket.Status); @@ -927,10 +941,10 @@ public void UpdateOrderRequestShouldWork() public void UpdatePartiallyFilledOrderRequestShouldWork() { // Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using (var broker = new BacktestingBrokerage(_algorithm)) { - transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler()); // Creates a limit order var security = _algorithm.Securities[_symbol]; @@ -948,8 +962,8 @@ public void UpdatePartiallyFilledOrderRequestShouldWork() _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); // Submit and process a limit order - var orderTicket = transactionHandler.Process(orderRequest); - transactionHandler.HandleOrderRequest(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); Assert.IsTrue(orderRequest.Response.IsProcessed); Assert.IsTrue(orderRequest.Response.IsSuccess); Assert.AreEqual(orderTicket.Status, OrderStatus.Submitted); @@ -958,12 +972,12 @@ public void UpdatePartiallyFilledOrderRequestShouldWork() Assert.AreEqual(orderTicket.Status, OrderStatus.PartiallyFilled); var updateRequest = new UpdateOrderRequest(DateTime.Now, orderTicket.OrderId, new UpdateOrderFields()); - transactionHandler.Process(updateRequest); + _transactionHandler.Process(updateRequest); Assert.AreEqual(updateRequest.Status, OrderRequestStatus.Processing); Assert.IsTrue(updateRequest.Response.IsSuccess); Assert.AreEqual(OrderStatus.PartiallyFilled, orderTicket.Status); - transactionHandler.HandleOrderRequest(updateRequest); + _transactionHandler.HandleOrderRequest(updateRequest); Assert.IsTrue(updateRequest.Response.IsSuccess); Assert.AreEqual(OrderStatus.UpdateSubmitted, orderTicket.Status); @@ -979,13 +993,13 @@ public void UpdatePartiallyFilledOrderRequestShouldWork() public void UpdateOrderRequestShouldFailForInvalidOrder() { // Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var broker = new BacktestingBrokerage(_algorithm); - transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler()); // Creates a limit order var security = _algorithm.Securities[_symbol]; - _algorithm.Transactions.SetOrderProcessor(transactionHandler); + _algorithm.Transactions.SetOrderProcessor(_transactionHandler); var orderTicket = _algorithm.MarketOrder(security.Symbol, 1); Assert.AreEqual(orderTicket.Status, OrderStatus.Invalid); @@ -998,13 +1012,13 @@ public void UpdateOrderRequestShouldFailForInvalidOrder() public void CancelOrderRequestShouldFailForInvalidOrder() { // Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var broker = new BacktestingBrokerage(_algorithm); - transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler()); // Creates a limit order var security = _algorithm.Securities[_symbol]; - _algorithm.Transactions.SetOrderProcessor(transactionHandler); + _algorithm.Transactions.SetOrderProcessor(_transactionHandler); var orderTicket = _algorithm.MarketOrder(security.Symbol, 1); Assert.AreEqual(orderTicket.Status, OrderStatus.Invalid); @@ -1017,9 +1031,9 @@ public void CancelOrderRequestShouldFailForInvalidOrder() public void UpdateOrderRequestShouldFailForFilledOrder() { // Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var broker = new BacktestingBrokerage(_algorithm); - transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler()); // Creates a limit order var security = _algorithm.Securities[_symbol]; @@ -1033,8 +1047,8 @@ public void UpdateOrderRequestShouldFailForFilledOrder() _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); // Submit and process a limit order - var orderTicket = transactionHandler.Process(orderRequest); - transactionHandler.HandleOrderRequest(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); Assert.IsTrue(orderRequest.Response.IsProcessed); Assert.IsTrue(orderRequest.Response.IsSuccess); Assert.AreEqual(orderTicket.Status, OrderStatus.Submitted); @@ -1043,7 +1057,7 @@ public void UpdateOrderRequestShouldFailForFilledOrder() Assert.AreEqual(orderTicket.Status, OrderStatus.Filled); var updateRequest = new UpdateOrderRequest(DateTime.Now, orderTicket.OrderId, new UpdateOrderFields() { Quantity = 100 }); - transactionHandler.Process(updateRequest); + _transactionHandler.Process(updateRequest); Assert.AreEqual(updateRequest.Status, OrderRequestStatus.Error); Assert.IsTrue(updateRequest.Response.IsError); Assert.AreEqual(updateRequest.Response.ErrorCode, OrderResponseErrorCode.InvalidOrderStatus); @@ -1058,9 +1072,9 @@ public void UpdateOrderRequestShouldFailForFilledOrder() public void TagUpdateOrderRequestShouldSucceedForFilledOrder() { // Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var broker = new BacktestingBrokerage(_algorithm); - transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler()); // Creates a limit order var security = _algorithm.Securities[_symbol]; @@ -1074,8 +1088,8 @@ public void TagUpdateOrderRequestShouldSucceedForFilledOrder() _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); // Submit and process a limit order - var orderTicket = transactionHandler.Process(orderRequest); - transactionHandler.HandleOrderRequest(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); Assert.IsTrue(orderRequest.Response.IsProcessed); Assert.IsTrue(orderRequest.Response.IsSuccess); Assert.AreEqual(orderTicket.Status, OrderStatus.Submitted); @@ -1084,7 +1098,7 @@ public void TagUpdateOrderRequestShouldSucceedForFilledOrder() Assert.AreEqual(orderTicket.Status, OrderStatus.Filled); var updateRequest = new UpdateOrderRequest(DateTime.Now, orderTicket.OrderId, new UpdateOrderFields() { Tag = "New tag" }); - transactionHandler.Process(updateRequest); + _transactionHandler.Process(updateRequest); Assert.AreEqual(updateRequest.Status, OrderRequestStatus.Processing); Assert.IsTrue(updateRequest.Response.IsSuccess); @@ -1097,9 +1111,9 @@ public void TagUpdateOrderRequestShouldSucceedForFilledOrder() public void UpdateOrderRequestShouldFailForNewOrderStatus() { // Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new NoSubmitTestBrokerage(_algorithm); - transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); // Creates a limit order var security = _algorithm.Securities[_symbol]; @@ -1113,14 +1127,14 @@ public void UpdateOrderRequestShouldFailForNewOrderStatus() _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); // Submit and process a limit order - var orderTicket = transactionHandler.Process(orderRequest); - transactionHandler.HandleOrderRequest(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); Assert.IsTrue(orderRequest.Response.IsProcessed); Assert.IsTrue(orderRequest.Response.IsSuccess); Assert.AreEqual(orderTicket.Status, OrderStatus.New); var updateRequest = new UpdateOrderRequest(DateTime.Now, orderTicket.OrderId, new UpdateOrderFields()); - transactionHandler.Process(updateRequest); + _transactionHandler.Process(updateRequest); Assert.AreEqual(updateRequest.Status, OrderRequestStatus.Error); Assert.IsTrue(updateRequest.Response.IsError); Assert.AreEqual(updateRequest.Response.ErrorCode, OrderResponseErrorCode.InvalidNewOrderStatus); @@ -1133,9 +1147,9 @@ public void UpdateOrderRequestShouldFailForNewOrderStatus() public void CancelOrderRequestShouldFailForNewOrderStatus() { // Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new NoSubmitTestBrokerage(_algorithm); - transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); // Creates a limit order var security = _algorithm.Securities[_symbol]; @@ -1149,14 +1163,14 @@ public void CancelOrderRequestShouldFailForNewOrderStatus() _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); // Submit and process a limit order - var orderTicket = transactionHandler.Process(orderRequest); - transactionHandler.HandleOrderRequest(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); Assert.IsTrue(orderRequest.Response.IsProcessed); Assert.IsTrue(orderRequest.Response.IsSuccess); Assert.AreEqual(orderTicket.Status, OrderStatus.New); var cancelRequest = new CancelOrderRequest(DateTime.Now, orderTicket.OrderId, ""); - transactionHandler.Process(cancelRequest); + _transactionHandler.Process(cancelRequest); Assert.AreEqual(cancelRequest.Status, OrderRequestStatus.Error); Assert.IsTrue(cancelRequest.Response.IsError); Assert.AreEqual(cancelRequest.Response.ErrorCode, OrderResponseErrorCode.InvalidNewOrderStatus); @@ -1168,19 +1182,19 @@ public void CancelOrderRequestShouldFailForNewOrderStatus() [Test] public void CancelOrderTicket() { - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new NoSubmitTestBrokerage(_algorithm); - transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); var security = _algorithm.Securities[_symbol]; var price = 1.12m; security.SetMarketPrice(new Tick(DateTime.Now, security.Symbol, price, price, price)); var orderRequest = new SubmitOrderRequest(OrderType.Limit, security.Type, security.Symbol, 1000, 0, 1.11m, DateTime.Now, ""); - _algorithm.Transactions.SetOrderProcessor(transactionHandler); + _algorithm.Transactions.SetOrderProcessor(_transactionHandler); - var orderTicket = transactionHandler.Process(orderRequest); - transactionHandler.HandleOrderRequest(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); Assert.IsTrue(orderRequest.Response.IsProcessed); Assert.IsTrue(orderRequest.Response.IsSuccess); Assert.AreEqual(orderTicket.Status, OrderStatus.New); @@ -1210,9 +1224,9 @@ public void CancelOrderTicket() public void CancelOrderRequestShouldFailForFilledOrder() { // Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var broker = new BacktestingBrokerage(_algorithm); - transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler()); var security = _algorithm.Securities[_symbol]; var price = 1.12m; @@ -1224,15 +1238,15 @@ public void CancelOrderRequestShouldFailForFilledOrder() orderProcessorMock.Setup(m => m.GetOrderTicket(It.IsAny())).Returns(new OrderTicket(_algorithm.Transactions, orderRequest)); _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); - var orderTicket = transactionHandler.Process(orderRequest); - transactionHandler.HandleOrderRequest(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); Assert.AreEqual(orderTicket.Status, OrderStatus.Submitted); broker.Scan(); Assert.AreEqual(orderTicket.Status, OrderStatus.Filled); var cancelRequest = new CancelOrderRequest(DateTime.Now, orderTicket.OrderId, ""); - transactionHandler.Process(cancelRequest); + _transactionHandler.Process(cancelRequest); Assert.AreEqual(cancelRequest.Status, OrderRequestStatus.Error); Assert.IsTrue(cancelRequest.Response.IsError); Assert.AreEqual(cancelRequest.Response.ErrorCode, OrderResponseErrorCode.InvalidOrderStatus); @@ -1247,9 +1261,9 @@ public void CancelOrderRequestShouldFailForFilledOrder() public void SyncFailedCancelOrderRequestShouldUpdateOrderStatusCorrectly() { // Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var broker = new TestBroker(_algorithm, false); - transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler()); var security = _algorithm.Securities[_symbol]; var price = 1.12m; @@ -1261,26 +1275,26 @@ public void SyncFailedCancelOrderRequestShouldUpdateOrderStatusCorrectly() orderProcessorMock.Setup(m => m.GetOrderTicket(It.IsAny())).Returns(new OrderTicket(_algorithm.Transactions, orderRequest)); _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); - var orderTicket = transactionHandler.Process(orderRequest); - transactionHandler.HandleOrderRequest(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); Assert.AreEqual(orderTicket.Status, OrderStatus.Submitted); var cancelRequest = new CancelOrderRequest(DateTime.Now, orderTicket.OrderId, ""); - Assert.AreEqual(transactionHandler.CancelPendingOrdersSize, 0); - transactionHandler.Process(cancelRequest); - Assert.AreEqual(transactionHandler.CancelPendingOrdersSize, 1); + Assert.AreEqual(_transactionHandler.CancelPendingOrdersSize, 0); + _transactionHandler.Process(cancelRequest); + Assert.AreEqual(_transactionHandler.CancelPendingOrdersSize, 1); Assert.AreEqual(cancelRequest.Status, OrderRequestStatus.Processing); Assert.IsTrue(cancelRequest.Response.IsSuccess); Assert.AreEqual(orderTicket.Status, OrderStatus.CancelPending); - transactionHandler.HandleOrderRequest(cancelRequest); + _transactionHandler.HandleOrderRequest(cancelRequest); Assert.AreEqual(orderTicket.Status, OrderStatus.Submitted); Assert.AreEqual(cancelRequest.Status, OrderRequestStatus.Error); Assert.IsTrue(cancelRequest.Response.IsProcessed); Assert.IsTrue(cancelRequest.Response.IsError); Assert.IsTrue(cancelRequest.Response.ErrorMessage.Contains("Brokerage failed to cancel order")); - Assert.AreEqual(transactionHandler.CancelPendingOrdersSize, 0); + Assert.AreEqual(_transactionHandler.CancelPendingOrdersSize, 0); Assert.AreEqual(_algorithm.OrderEvents.Count, 2); Assert.AreEqual(_algorithm.OrderEvents.Count(orderEvent => orderEvent.Status == OrderStatus.CancelPending), 1); Assert.AreEqual(_algorithm.OrderEvents.Count(orderEvent => orderEvent.Status == OrderStatus.Submitted), 1); @@ -1290,9 +1304,9 @@ public void SyncFailedCancelOrderRequestShouldUpdateOrderStatusCorrectly() public void AsyncFailedCancelOrderRequestShouldUpdateOrderStatusCorrectly() { // Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var broker = new TestBroker(_algorithm, true); - transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler()); var security = _algorithm.Securities[_symbol]; var price = 1.12m; @@ -1304,28 +1318,28 @@ public void AsyncFailedCancelOrderRequestShouldUpdateOrderStatusCorrectly() orderProcessorMock.Setup(m => m.GetOrderTicket(It.IsAny())).Returns(new OrderTicket(_algorithm.Transactions, orderRequest)); _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); - var orderTicket = transactionHandler.Process(orderRequest); - transactionHandler.HandleOrderRequest(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); Assert.AreEqual(orderTicket.Status, OrderStatus.Submitted); var cancelRequest = new CancelOrderRequest(DateTime.Now, orderTicket.OrderId, ""); - Assert.AreEqual(transactionHandler.CancelPendingOrdersSize, 0); - transactionHandler.Process(cancelRequest); - Assert.AreEqual(transactionHandler.CancelPendingOrdersSize, 1); + Assert.AreEqual(_transactionHandler.CancelPendingOrdersSize, 0); + _transactionHandler.Process(cancelRequest); + Assert.AreEqual(_transactionHandler.CancelPendingOrdersSize, 1); Assert.AreEqual(cancelRequest.Status, OrderRequestStatus.Processing); Assert.IsTrue(cancelRequest.Response.IsSuccess); Assert.AreEqual(orderTicket.Status, OrderStatus.CancelPending); - transactionHandler.HandleOrderRequest(cancelRequest); + _transactionHandler.HandleOrderRequest(cancelRequest); Assert.AreEqual(orderTicket.Status, OrderStatus.CancelPending); Assert.AreEqual(cancelRequest.Status, OrderRequestStatus.Processed); Assert.IsTrue(cancelRequest.Response.IsProcessed); Assert.IsFalse(cancelRequest.Response.IsError); - Assert.AreEqual(transactionHandler.CancelPendingOrdersSize, 1); + Assert.AreEqual(_transactionHandler.CancelPendingOrdersSize, 1); broker.Scan(); Assert.AreEqual(orderTicket.Status, OrderStatus.Filled); - Assert.AreEqual(transactionHandler.CancelPendingOrdersSize, 0); + Assert.AreEqual(_transactionHandler.CancelPendingOrdersSize, 0); Assert.AreEqual(_algorithm.OrderEvents.Count, 3); Assert.AreEqual(_algorithm.OrderEvents.Count(orderEvent => orderEvent.Status == OrderStatus.CancelPending), 1); @@ -1337,9 +1351,9 @@ public void AsyncFailedCancelOrderRequestShouldUpdateOrderStatusCorrectly() public void AsyncFailedCancelOrderRequestShouldUpdateOrderStatusCorrectlyWithIntermediateUpdate() { // Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var broker = new TestBroker(_algorithm, true); - transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler()); var security = _algorithm.Securities[_symbol]; var price = 1.12m; @@ -1351,14 +1365,14 @@ public void AsyncFailedCancelOrderRequestShouldUpdateOrderStatusCorrectlyWithInt orderProcessorMock.Setup(m => m.GetOrderTicket(It.IsAny())).Returns(new OrderTicket(_algorithm.Transactions, orderRequest)); _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); - var orderTicket = transactionHandler.Process(orderRequest); - transactionHandler.HandleOrderRequest(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); Assert.AreEqual(orderTicket.Status, OrderStatus.Submitted); var cancelRequest = new CancelOrderRequest(DateTime.Now, orderTicket.OrderId, ""); - Assert.AreEqual(transactionHandler.CancelPendingOrdersSize, 0); - transactionHandler.Process(cancelRequest); - Assert.AreEqual(transactionHandler.CancelPendingOrdersSize, 1); + Assert.AreEqual(_transactionHandler.CancelPendingOrdersSize, 0); + _transactionHandler.Process(cancelRequest); + Assert.AreEqual(_transactionHandler.CancelPendingOrdersSize, 1); Assert.AreEqual(cancelRequest.Status, OrderRequestStatus.Processing); Assert.IsTrue(cancelRequest.Response.IsSuccess); Assert.AreEqual(orderTicket.Status, OrderStatus.CancelPending); @@ -1366,8 +1380,8 @@ public void AsyncFailedCancelOrderRequestShouldUpdateOrderStatusCorrectlyWithInt broker.Scan(); Assert.AreEqual(orderTicket.Status, OrderStatus.Filled); - transactionHandler.HandleOrderRequest(cancelRequest); - Assert.AreEqual(transactionHandler.CancelPendingOrdersSize, 0); + _transactionHandler.HandleOrderRequest(cancelRequest); + Assert.AreEqual(_transactionHandler.CancelPendingOrdersSize, 0); Assert.AreEqual(orderTicket.Status, OrderStatus.Filled); Assert.AreEqual(cancelRequest.Status, OrderRequestStatus.Error); Assert.IsTrue(cancelRequest.Response.IsProcessed); @@ -1384,9 +1398,9 @@ public void AsyncFailedCancelOrderRequestShouldUpdateOrderStatusCorrectlyWithInt public void SyncFailedCancelOrderRequestShouldUpdateOrderStatusCorrectlyWithIntermediateUpdate() { // Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var broker = new TestBroker(_algorithm, false); - transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler()); var security = _algorithm.Securities[_symbol]; var price = 1.12m; @@ -1398,14 +1412,14 @@ public void SyncFailedCancelOrderRequestShouldUpdateOrderStatusCorrectlyWithInte orderProcessorMock.Setup(m => m.GetOrderTicket(It.IsAny())).Returns(new OrderTicket(_algorithm.Transactions, orderRequest)); _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); - var orderTicket = transactionHandler.Process(orderRequest); - transactionHandler.HandleOrderRequest(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); Assert.AreEqual(orderTicket.Status, OrderStatus.Submitted); var cancelRequest = new CancelOrderRequest(DateTime.Now, orderTicket.OrderId, ""); - Assert.AreEqual(transactionHandler.CancelPendingOrdersSize, 0); - transactionHandler.Process(cancelRequest); - Assert.AreEqual(transactionHandler.CancelPendingOrdersSize, 1); + Assert.AreEqual(_transactionHandler.CancelPendingOrdersSize, 0); + _transactionHandler.Process(cancelRequest); + Assert.AreEqual(_transactionHandler.CancelPendingOrdersSize, 1); Assert.AreEqual(cancelRequest.Status, OrderRequestStatus.Processing); Assert.IsTrue(cancelRequest.Response.IsSuccess); Assert.AreEqual(orderTicket.Status, OrderStatus.CancelPending); @@ -1413,8 +1427,8 @@ public void SyncFailedCancelOrderRequestShouldUpdateOrderStatusCorrectlyWithInte broker.Scan(); Assert.AreEqual(orderTicket.Status, OrderStatus.Filled); - transactionHandler.HandleOrderRequest(cancelRequest); - Assert.AreEqual(transactionHandler.CancelPendingOrdersSize, 0); + _transactionHandler.HandleOrderRequest(cancelRequest); + Assert.AreEqual(_transactionHandler.CancelPendingOrdersSize, 0); Assert.AreEqual(orderTicket.Status, OrderStatus.Filled); Assert.AreEqual(cancelRequest.Status, OrderRequestStatus.Error); Assert.IsTrue(cancelRequest.Response.IsProcessed); @@ -1431,12 +1445,12 @@ public void SyncFailedCancelOrderRequestShouldUpdateOrderStatusCorrectlyWithInte public void UpdateOrderRequestShouldFailForInvalidOrderId() { // Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new BacktestingBrokerage(_algorithm); - transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); var updateRequest = new UpdateOrderRequest(DateTime.Now, -10, new UpdateOrderFields()); - transactionHandler.Process(updateRequest); + _transactionHandler.Process(updateRequest); Assert.AreEqual(updateRequest.Status, OrderRequestStatus.Error); Assert.IsTrue(updateRequest.Response.IsError); @@ -1447,9 +1461,9 @@ public void UpdateOrderRequestShouldFailForInvalidOrderId() public void GetOpenOrdersWorksForSubmittedFilledStatus() { // Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var broker = new BacktestingBrokerage(_algorithm); - transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler()); // Creates a limit order var security = _algorithm.Securities[_symbol]; @@ -1462,27 +1476,27 @@ public void GetOpenOrdersWorksForSubmittedFilledStatus() orderProcessorMock.Setup(m => m.GetOrderTicket(It.IsAny())).Returns(new OrderTicket(_algorithm.Transactions, orderRequest)); _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); - Assert.AreEqual(transactionHandler.GetOpenOrders().Count, 0); + Assert.AreEqual(_transactionHandler.GetOpenOrders().Count, 0); // Submit and process a limit order - var orderTicket = transactionHandler.Process(orderRequest); - transactionHandler.HandleOrderRequest(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); Assert.AreEqual(orderTicket.Status, OrderStatus.Submitted); - var openOrders = transactionHandler.GetOpenOrders(); + var openOrders = _transactionHandler.GetOpenOrders(); Assert.AreEqual(openOrders.Count, 1); Assert.AreEqual(openOrders[0].Id, orderTicket.OrderId); broker.Scan(); Assert.AreEqual(orderTicket.Status, OrderStatus.Filled); - Assert.AreEqual(transactionHandler.GetOpenOrders().Count, 0); + Assert.AreEqual(_transactionHandler.GetOpenOrders().Count, 0); } [Test] public void GetOpenOrdersWorksForCancelPendingCanceledStatus() { // Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new BacktestingBrokerage(_algorithm); - transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); // Creates a limit order var security = _algorithm.Securities[_symbol]; @@ -1495,50 +1509,50 @@ public void GetOpenOrdersWorksForCancelPendingCanceledStatus() orderProcessorMock.Setup(m => m.GetOrderTicket(It.IsAny())).Returns(new OrderTicket(_algorithm.Transactions, orderRequest)); _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); - Assert.AreEqual(transactionHandler.GetOpenOrders().Count, 0); + Assert.AreEqual(_transactionHandler.GetOpenOrders().Count, 0); // Submit and process a limit order - var orderTicket = transactionHandler.Process(orderRequest); - transactionHandler.HandleOrderRequest(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); Assert.IsTrue(orderTicket.Status == OrderStatus.Submitted); - var openOrders = transactionHandler.GetOpenOrders(); + var openOrders = _transactionHandler.GetOpenOrders(); Assert.AreEqual(openOrders.Count, 1); Assert.AreEqual(openOrders[0].Id, orderTicket.OrderId); // Cancel the order var cancelRequest = new CancelOrderRequest(DateTime.Now, orderTicket.OrderId, ""); - transactionHandler.Process(cancelRequest); + _transactionHandler.Process(cancelRequest); Assert.IsTrue(orderTicket.Status == OrderStatus.CancelPending); - openOrders = transactionHandler.GetOpenOrders(); + openOrders = _transactionHandler.GetOpenOrders(); Assert.AreEqual(openOrders.Count, 1); Assert.AreEqual(openOrders[0].Id, orderTicket.OrderId); - transactionHandler.HandleOrderRequest(cancelRequest); + _transactionHandler.HandleOrderRequest(cancelRequest); Assert.IsTrue(orderTicket.Status == OrderStatus.Canceled); - Assert.AreEqual(transactionHandler.GetOpenOrders().Count, 0); + Assert.AreEqual(_transactionHandler.GetOpenOrders().Count, 0); } [Test] public void ProcessSynchronousEventsShouldPerformCashSyncOnce() { // Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new TestBrokerage(); - transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); _algorithm.SetLiveMode(true); - var lastSyncDateBefore = transactionHandler.GetLastSyncDate(); + var lastSyncDateBefore = _transactionHandler.GetLastSyncDate(); // Advance current time UTC so cash sync is performed - transactionHandler.TestCurrentTimeUtc = transactionHandler.TestCurrentTimeUtc.AddDays(2); + _transactionHandler.TestCurrentTimeUtc = _transactionHandler.TestCurrentTimeUtc.AddDays(2); - transactionHandler.ProcessSynchronousEvents(); - var lastSyncDateAfter = transactionHandler.GetLastSyncDate(); + _transactionHandler.ProcessSynchronousEvents(); + var lastSyncDateAfter = _transactionHandler.GetLastSyncDate(); Assert.AreNotEqual(lastSyncDateAfter, lastSyncDateBefore); - transactionHandler.ProcessSynchronousEvents(); - var lastSyncDateAfterAgain = transactionHandler.GetLastSyncDate(); + _transactionHandler.ProcessSynchronousEvents(); + var lastSyncDateAfterAgain = _transactionHandler.GetLastSyncDate(); Assert.AreEqual(lastSyncDateAfter, lastSyncDateAfterAgain); Assert.AreEqual(1, brokerage.GetCashBalanceCallCount); @@ -1548,28 +1562,28 @@ public void ProcessSynchronousEventsShouldPerformCashSyncOnce() public void OrderFillShouldTriggerRePerformingCashSync() { // Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new TestBrokerage(); - transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); _algorithm.SetLiveMode(true); - var lastSyncDateBefore = transactionHandler.GetLastSyncDate(); + var lastSyncDateBefore = _transactionHandler.GetLastSyncDate(); // Advance current time UTC so cash sync is performed - transactionHandler.TestCurrentTimeUtc = transactionHandler.TestCurrentTimeUtc.AddDays(2); + _transactionHandler.TestCurrentTimeUtc = _transactionHandler.TestCurrentTimeUtc.AddDays(2); // update last fill time - transactionHandler.TestTimeSinceLastFill = TimeSpan.FromSeconds(15); + _transactionHandler.TestTimeSinceLastFill = TimeSpan.FromSeconds(15); - transactionHandler.ProcessSynchronousEvents(); - var lastSyncDateAfter = transactionHandler.GetLastSyncDate(); + _transactionHandler.ProcessSynchronousEvents(); + var lastSyncDateAfter = _transactionHandler.GetLastSyncDate(); // cash sync happened Assert.AreNotEqual(lastSyncDateAfter, lastSyncDateBefore); var count = 0; - while (!brokerage.ShouldPerformCashSync(transactionHandler.TestCurrentTimeUtc)) + while (!brokerage.ShouldPerformCashSync(_transactionHandler.TestCurrentTimeUtc)) { count++; if (count > 40) @@ -1579,7 +1593,7 @@ public void OrderFillShouldTriggerRePerformingCashSync() // delayed task should take ~10 seconds to set the perform cash sync flag up, due to TimeSinceLastFill Thread.Sleep(1000); } - transactionHandler.ProcessSynchronousEvents(); + _transactionHandler.ProcessSynchronousEvents(); Assert.AreEqual(2, brokerage.GetCashBalanceCallCount); } @@ -1588,22 +1602,22 @@ public void OrderFillShouldTriggerRePerformingCashSync() public void ProcessSynchronousEventsShouldPerformCashSyncOnlyAtExpectedTime() { // Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new TestBrokerage(); // This is 2 am New York - transactionHandler.TestCurrentTimeUtc = new DateTime(1, 1, 1, 7, 0, 0); + _transactionHandler.TestCurrentTimeUtc = new DateTime(1, 1, 1, 7, 0, 0); - transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); _algorithm.SetLiveMode(true); - var lastSyncDateBefore = transactionHandler.GetLastSyncDate(); + var lastSyncDateBefore = _transactionHandler.GetLastSyncDate(); // Advance current time UTC - transactionHandler.TestCurrentTimeUtc = transactionHandler.TestCurrentTimeUtc.AddDays(2); + _transactionHandler.TestCurrentTimeUtc = _transactionHandler.TestCurrentTimeUtc.AddDays(2); - transactionHandler.ProcessSynchronousEvents(); - var lastSyncDateAfter = transactionHandler.GetLastSyncDate(); + _transactionHandler.ProcessSynchronousEvents(); + var lastSyncDateAfter = _transactionHandler.GetLastSyncDate(); Assert.AreEqual(lastSyncDateAfter, lastSyncDateBefore); @@ -1632,14 +1646,14 @@ public void EmptyCashBalanceIsValid() algorithm.SetLiveMode(true); algorithm.SetFinishedWarmingUp(); - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); var resultHandler = new TestResultHandler(); - transactionHandler.Initialize(algorithm, brokerage, resultHandler); + _transactionHandler.Initialize(algorithm, brokerage, resultHandler); // Advance current time UTC so cash sync is performed - transactionHandler.TestCurrentTimeUtc = transactionHandler.TestCurrentTimeUtc.AddDays(2); + _transactionHandler.TestCurrentTimeUtc = _transactionHandler.TestCurrentTimeUtc.AddDays(2); - transactionHandler.ProcessSynchronousEvents(); + _transactionHandler.ProcessSynchronousEvents(); resultHandler.Exit(); @@ -1680,18 +1694,18 @@ public void DoesNotLoopEndlesslyIfGetCashBalanceAlwaysThrows() algorithm.SetLiveMode(true); algorithm.SetFinishedWarmingUp(); - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); var resultHandler = new TestResultHandler(); - transactionHandler.Initialize(algorithm, brokerage, resultHandler); + _transactionHandler.Initialize(algorithm, brokerage, resultHandler); // Advance current time UTC so cash sync is performed - transactionHandler.TestCurrentTimeUtc = transactionHandler.TestCurrentTimeUtc.AddDays(2); + _transactionHandler.TestCurrentTimeUtc = _transactionHandler.TestCurrentTimeUtc.AddDays(2); try { while (true) { - transactionHandler.ProcessSynchronousEvents(); + _transactionHandler.ProcessSynchronousEvents(); Assert.IsFalse(brokerage.IsConnected); @@ -1723,16 +1737,23 @@ public void AddOrderWaitsForOrderToBeProcessed() // lets wait until the transactionHandler starts running Thread.Sleep(250); - algorithm.Transactions.SetOrderProcessor(transactionHandler); + try + { + algorithm.Transactions.SetOrderProcessor(transactionHandler); - var ticket = algorithm.LimitOrder(security.Symbol, 1, 100); + var ticket = algorithm.LimitOrder(security.Symbol, 1, 100); - var openOrders = algorithm.Transactions.GetOpenOrders(); + var openOrders = algorithm.Transactions.GetOpenOrders(); - transactionHandler.Exit(); + transactionHandler.Exit(); - Assert.AreEqual(1, openOrders.Count); - Assert.IsTrue(ticket.HasOrder); + Assert.AreEqual(1, openOrders.Count); + Assert.IsTrue(ticket.HasOrder); + } + finally + { + transactionHandler.Exit(); + } } [Test, Parallelizable(ParallelScope.None)] @@ -1756,10 +1777,10 @@ public void IncrementalOrderId() public void InvalidOrderEventDueToNonShortableAsset() { // Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var broker = new TestBroker(_algorithm, false); _algorithm.SetBrokerageModel(new TestShortableBrokerageModel()); - transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler()); var security = _algorithm.Securities[_symbol]; var price = 1.12m; @@ -1771,8 +1792,8 @@ public void InvalidOrderEventDueToNonShortableAsset() orderProcessorMock.Setup(m => m.GetOrderTicket(It.IsAny())).Returns(new OrderTicket(_algorithm.Transactions, orderRequest)); _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); - var orderTicket = transactionHandler.Process(orderRequest); - transactionHandler.HandleOrderRequest(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); Assert.AreEqual(orderTicket.Status, OrderStatus.Invalid); Assert.AreEqual(_algorithm.OrderEvents.Count, 1); Assert.AreEqual(_algorithm.OrderEvents.Count(orderEvent => orderEvent.Status == OrderStatus.Invalid), 1); @@ -1818,15 +1839,15 @@ string expectedMessage equity.SetMarketPrice(new Tick { Value = underlyingPrice }); using var brokerage = new NoSubmitTestBrokerage(algorithm); - var transactionHandler = new TestBrokerageTransactionHandler(); - transactionHandler.Initialize(algorithm, brokerage, new BacktestingResultHandler()); - algorithm.Transactions.SetOrderProcessor(transactionHandler); + _transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler.Initialize(algorithm, brokerage, new BacktestingResultHandler()); + algorithm.Transactions.SetOrderProcessor(_transactionHandler); // 9 PM ET - transactionHandler.TestCurrentTimeUtc = new DateTime(2021, 9, 9, 1, 0, 0); + _transactionHandler.TestCurrentTimeUtc = new DateTime(2021, 9, 9, 1, 0, 0); var parameters = new object[] { new OptionNotificationEventArgs(optionSymbol, 0) }; - _handleOptionNotification.Invoke(transactionHandler, parameters); + _handleOptionNotification.Invoke(_transactionHandler, parameters); var tickets = algorithm.Transactions.GetOrderTickets().ToList(); Assert.AreEqual(1, tickets.Count); @@ -1844,8 +1865,8 @@ string expectedMessage Assert.AreEqual(expectedOptionPosition, algorithm.Portfolio[optionSymbol].Quantity); // let's push the same event again - _handleOptionNotification.Invoke(transactionHandler, parameters); - transactionHandler.Exit(); + _handleOptionNotification.Invoke(_transactionHandler, parameters); + _transactionHandler.Exit(); // we should not see any new orders or events come through tickets = algorithm.Transactions.GetOrderTickets().ToList(); @@ -1884,26 +1905,26 @@ string expectedMessage equity.SetMarketPrice(new Tick { Value = underlyingPrice }); using var brokerage = new NoSubmitTestBrokerage(algorithm); - var transactionHandler = new TestBrokerageTransactionHandler(); - transactionHandler.Initialize(algorithm, brokerage, new BacktestingResultHandler()); - algorithm.Transactions.SetOrderProcessor(transactionHandler); + _transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler.Initialize(algorithm, brokerage, new BacktestingResultHandler()); + algorithm.Transactions.SetOrderProcessor(_transactionHandler); // 10 AM ET - transactionHandler.TestCurrentTimeUtc = new DateTime(2021, 9, 8, 14, 0, 0); + _transactionHandler.TestCurrentTimeUtc = new DateTime(2021, 9, 8, 14, 0, 0); // Creates an exercise order var exerciseQuantity = initialOptionPosition - expectedOptionPosition; - var orderRequest = new SubmitOrderRequest(OrderType.OptionExercise, option.Type, option.Symbol, -exerciseQuantity, 0, 0, transactionHandler.TestCurrentTimeUtc, ""); + var orderRequest = new SubmitOrderRequest(OrderType.OptionExercise, option.Type, option.Symbol, -exerciseQuantity, 0, 0, _transactionHandler.TestCurrentTimeUtc, ""); // Submit and process the exercise order - var orderTicket = transactionHandler.Process(orderRequest); - transactionHandler.HandleOrderRequest(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); Assert.IsTrue(orderRequest.Response.IsProcessed); Assert.IsTrue(orderRequest.Response.IsSuccess); Assert.AreEqual(orderTicket.Status, OrderStatus.New); var parameters = new object[] { new OptionNotificationEventArgs(optionSymbol, expectedOptionPosition) }; - _handleOptionNotification.Invoke(transactionHandler, parameters); + _handleOptionNotification.Invoke(_transactionHandler, parameters); var tickets = algorithm.Transactions.GetOrderTickets().ToList(); Assert.AreEqual(1, tickets.Count); @@ -1918,8 +1939,8 @@ string expectedMessage Assert.AreEqual(expectedOptionPosition, algorithm.Portfolio[optionSymbol].Quantity); // let's push the same event again - _handleOptionNotification.Invoke(transactionHandler, parameters); - transactionHandler.Exit(); + _handleOptionNotification.Invoke(_transactionHandler, parameters); + _transactionHandler.Exit(); // we should not see any new orders or events come through tickets = algorithm.Transactions.GetOrderTickets().ToList(); @@ -1957,33 +1978,33 @@ string expectedMessage equity.SetMarketPrice(new Tick { Value = underlyingPrice }); using var brokerage = new NoSubmitTestBrokerage(algorithm); - var transactionHandler = new TestBrokerageTransactionHandler(); - transactionHandler.Initialize(algorithm, brokerage, new BacktestingResultHandler()); - algorithm.Transactions.SetOrderProcessor(transactionHandler); + _transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler.Initialize(algorithm, brokerage, new BacktestingResultHandler()); + algorithm.Transactions.SetOrderProcessor(_transactionHandler); // 10 AM ET - transactionHandler.TestCurrentTimeUtc = new DateTime(2021, 9, 8, 14, 0, 0); + _transactionHandler.TestCurrentTimeUtc = new DateTime(2021, 9, 8, 14, 0, 0); // Creates an exercise order var exerciseQuantity = initialOptionPosition - expectedOptionPosition; - var orderRequest = new SubmitOrderRequest(OrderType.OptionExercise, option.Type, option.Symbol, -exerciseQuantity, 0, 0, transactionHandler.TestCurrentTimeUtc, ""); + var orderRequest = new SubmitOrderRequest(OrderType.OptionExercise, option.Type, option.Symbol, -exerciseQuantity, 0, 0, _transactionHandler.TestCurrentTimeUtc, ""); // Submit and process the exercise order - var orderTicket = transactionHandler.Process(orderRequest); - transactionHandler.HandleOrderRequest(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); Assert.IsTrue(orderRequest.Response.IsProcessed); Assert.IsTrue(orderRequest.Response.IsSuccess); Assert.AreEqual(orderTicket.Status, OrderStatus.New); // Fill the exercise order - brokerage.PublishOrderEvent(new OrderEvent(orderTicket.OrderId, option.Symbol, transactionHandler.TestCurrentTimeUtc, + brokerage.PublishOrderEvent(new OrderEvent(orderTicket.OrderId, option.Symbol, _transactionHandler.TestCurrentTimeUtc, OrderStatus.Filled, OrderDirection.Sell, 0, orderRequest.Quantity, OrderFee.Zero)); Assert.IsTrue(orderTicket.Status.IsClosed()); var tickets = algorithm.Transactions.GetOrderTickets().ToList(); Assert.AreEqual(1, tickets.Count); - _handleOptionNotification.Invoke(transactionHandler, new object[] { new OptionNotificationEventArgs(optionSymbol, expectedOptionPosition) }); + _handleOptionNotification.Invoke(_transactionHandler, new object[] { new OptionNotificationEventArgs(optionSymbol, expectedOptionPosition) }); // assert nothing happens! tickets = algorithm.Transactions.GetOrderTickets().ToList(); @@ -2021,15 +2042,15 @@ int expectedUnderlyingPosition equity.SetMarketPrice(new Tick { Value = underlyingPrice }); using var brokerage = new NoSubmitTestBrokerage(algorithm); - var transactionHandler = new TestBrokerageTransactionHandler(); - transactionHandler.Initialize(algorithm, brokerage, new BacktestingResultHandler()); - algorithm.Transactions.SetOrderProcessor(transactionHandler); + _transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler.Initialize(algorithm, brokerage, new BacktestingResultHandler()); + algorithm.Transactions.SetOrderProcessor(_transactionHandler); // 10 AM ET - transactionHandler.TestCurrentTimeUtc = new DateTime(2021, 9, 8, 14, 0, 0); + _transactionHandler.TestCurrentTimeUtc = new DateTime(2021, 9, 8, 14, 0, 0); var parameters = new object[] { new OptionNotificationEventArgs(optionSymbol, expectedOptionPosition) }; - _handleOptionNotification.Invoke(transactionHandler, parameters); + _handleOptionNotification.Invoke(_transactionHandler, parameters); var tickets = algorithm.Transactions.GetOrderTickets().ToList(); Assert.AreEqual(1, tickets.Count); @@ -2043,8 +2064,8 @@ int expectedUnderlyingPosition Assert.AreEqual(expectedOptionPosition, algorithm.Portfolio[optionSymbol].Quantity); // let's push the same event again - _handleOptionNotification.Invoke(transactionHandler, parameters); - transactionHandler.Exit(); + _handleOptionNotification.Invoke(_transactionHandler, parameters); + _transactionHandler.Exit(); // we should not see any new orders or events come through tickets = algorithm.Transactions.GetOrderTickets().ToList(); @@ -2082,18 +2103,18 @@ int expectedUnderlyingPosition equity.SetMarketPrice(new Tick { Value = underlyingPrice }); using var brokerage = new NoSubmitTestBrokerage(algorithm); - var transactionHandler = new TestBrokerageTransactionHandler(); - transactionHandler.Initialize(algorithm, brokerage, new BacktestingResultHandler()); - algorithm.Transactions.SetOrderProcessor(transactionHandler); + _transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler.Initialize(algorithm, brokerage, new BacktestingResultHandler()); + algorithm.Transactions.SetOrderProcessor(_transactionHandler); // 10 AM ET - transactionHandler.TestCurrentTimeUtc = new DateTime(2021, 9, 8, 14, 0, 0); + _transactionHandler.TestCurrentTimeUtc = new DateTime(2021, 9, 8, 14, 0, 0); // Creates a market order - var orderTime = transactionHandler.TestCurrentTimeUtc.AddMinutes(-10); + var orderTime = _transactionHandler.TestCurrentTimeUtc.AddMinutes(-10); var orderRequest = new SubmitOrderRequest(OrderType.Market, option.Type, option.Symbol, 1, 0, 0, orderTime, ""); - var orderTicket = transactionHandler.Process(orderRequest); - transactionHandler.HandleOrderRequest(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); Assert.AreEqual(1, algorithm.Transactions.GetOrderTickets().Count()); @@ -2105,7 +2126,7 @@ int expectedUnderlyingPosition Assert.AreEqual(1, algorithm.Transactions.GetOrderTickets().Count()); var parameters = new object[] { new OptionNotificationEventArgs(optionSymbol, expectedOptionPosition) }; - _handleOptionNotification.Invoke(transactionHandler, parameters); + _handleOptionNotification.Invoke(_transactionHandler, parameters); var tickets = algorithm.Transactions.GetOrderTickets().ToList(); Assert.AreEqual(2, tickets.Count); @@ -2158,39 +2179,39 @@ OrderDirection orderDirection equity.SetMarketPrice(new Tick { Value = underlyingPrice }); using var brokerage = new NoSubmitTestBrokerage(algorithm); - var transactionHandler = new TestBrokerageTransactionHandler(); - transactionHandler.Initialize(algorithm, brokerage, new BacktestingResultHandler()); - algorithm.Transactions.SetOrderProcessor(transactionHandler); + _transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler.Initialize(algorithm, brokerage, new BacktestingResultHandler()); + algorithm.Transactions.SetOrderProcessor(_transactionHandler); // 10 AM ET - transactionHandler.TestCurrentTimeUtc = new DateTime(2021, 9, 8, 14, 0, 0); + _transactionHandler.TestCurrentTimeUtc = new DateTime(2021, 9, 8, 14, 0, 0); // Creates a market order - var orderRequest = new SubmitOrderRequest(OrderType.Market, option.Type, option.Symbol, orderDirection == OrderDirection.Buy ? 1 : -1, 0, 0, transactionHandler.TestCurrentTimeUtc, ""); - var orderTicket = transactionHandler.Process(orderRequest); - transactionHandler.HandleOrderRequest(orderRequest); + var orderRequest = new SubmitOrderRequest(OrderType.Market, option.Type, option.Symbol, orderDirection == OrderDirection.Buy ? 1 : -1, 0, 0, _transactionHandler.TestCurrentTimeUtc, ""); + var orderTicket = _transactionHandler.Process(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); Assert.AreEqual(1, algorithm.Transactions.GetOrderTickets().Count()); - _handleOptionNotification.Invoke(transactionHandler, new object[] { new OptionNotificationEventArgs(optionSymbol, expectedOptionPosition) }); + _handleOptionNotification.Invoke(_transactionHandler, new object[] { new OptionNotificationEventArgs(optionSymbol, expectedOptionPosition) }); // we expect no difference because there is an open market order! Assert.AreEqual(1, algorithm.Transactions.GetOrderTickets().Count()); // Fill the order - brokerage.PublishOrderEvent(new OrderEvent(orderTicket.OrderId, option.Symbol, transactionHandler.TestCurrentTimeUtc, + brokerage.PublishOrderEvent(new OrderEvent(orderTicket.OrderId, option.Symbol, _transactionHandler.TestCurrentTimeUtc, OrderStatus.Filled, orderDirection, 10, orderRequest.Quantity, OrderFee.Zero)); Assert.IsTrue(orderTicket.Status.IsClosed()); - _handleOptionNotification.Invoke(transactionHandler, new object[] { new OptionNotificationEventArgs(optionSymbol, expectedOptionPosition) }); + _handleOptionNotification.Invoke(_transactionHandler, new object[] { new OptionNotificationEventArgs(optionSymbol, expectedOptionPosition) }); // we expect no difference because there is a closed market order! Assert.AreEqual(1, algorithm.Transactions.GetOrderTickets().Count()); // Timeout the order effect - transactionHandler.TestCurrentTimeUtc = transactionHandler.TestCurrentTimeUtc.AddMinutes(1); + _transactionHandler.TestCurrentTimeUtc = _transactionHandler.TestCurrentTimeUtc.AddMinutes(1); - _handleOptionNotification.Invoke(transactionHandler, new object[] { new OptionNotificationEventArgs(optionSymbol, expectedOptionPosition) }); + _handleOptionNotification.Invoke(_transactionHandler, new object[] { new OptionNotificationEventArgs(optionSymbol, expectedOptionPosition) }); // we expect difference because market order is old! Assert.AreEqual(2, algorithm.Transactions.GetOrderTickets().Count()); @@ -2207,9 +2228,9 @@ public void OrderPriceAdjustmentModeIsSetAfterPlacingOrder(DataNormalizationMode _algorithm.SetLiveMode(liveMode); //Initializes the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new BacktestingBrokerage(_algorithm); - transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); // Add the security var security = _algorithm.AddSecurity(SecurityType.Forex, "CADUSD", dataNormalizationMode: dataNormalizationMode); @@ -2228,9 +2249,9 @@ public void OrderPriceAdjustmentModeIsSetAfterPlacingOrder(DataNormalizationMode _algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); // Act - var orderTicket = transactionHandler.Process(orderRequest); + var orderTicket = _transactionHandler.Process(orderRequest); Assert.AreEqual(OrderStatus.New, orderTicket.Status); - transactionHandler.HandleOrderRequest(orderRequest); + _transactionHandler.HandleOrderRequest(orderRequest); // Assert Assert.IsTrue(orderRequest.Response.IsProcessed); @@ -2238,7 +2259,7 @@ public void OrderPriceAdjustmentModeIsSetAfterPlacingOrder(DataNormalizationMode Assert.IsTrue(orderTicket.Status == OrderStatus.Submitted); var expectedNormalizationMode = liveMode ? DataNormalizationMode.Raw : dataNormalizationMode; - Assert.AreEqual(expectedNormalizationMode, transactionHandler.GetOrderById(orderTicket.OrderId).PriceAdjustmentMode); + Assert.AreEqual(expectedNormalizationMode, _transactionHandler.GetOrderById(orderTicket.OrderId).PriceAdjustmentMode); } [TestCaseSource(nameof(PriceAdjustmentModeTestCases))] @@ -2248,9 +2269,9 @@ public void OrderPriceAdjustmentModeIsSetWhenAddingOpenOrder(DataNormalizationMo // The engine might fetch brokerage open orders before even initializing the transaction handler, // so let's not initialize it here to simulate that scenario - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new TestingBrokerage(); - transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); // Add the security var security = _algorithm.AddSecurity(SecurityType.Forex, "CADUSD", dataNormalizationMode: dataNormalizationMode); @@ -2265,13 +2286,13 @@ public void OrderPriceAdjustmentModeIsSetWhenAddingOpenOrder(DataNormalizationMo var order = Order.CreateOrder(orderRequest); // Act - transactionHandler.AddOpenOrder(order, _algorithm); + _transactionHandler.AddOpenOrder(order, _algorithm); // Assert Assert.Greater(order.Id, 0); var expectedNormalizationMode = liveMode ? DataNormalizationMode.Raw : dataNormalizationMode; - Assert.AreEqual(expectedNormalizationMode, transactionHandler.GetOrderById(order.Id).PriceAdjustmentMode); + Assert.AreEqual(expectedNormalizationMode, _transactionHandler.GetOrderById(order.Id).PriceAdjustmentMode); } private static TestCaseData[] BrokerageSideOrdersTestCases => new[] @@ -2325,9 +2346,9 @@ private static Order GetOrder(OrderType type, Symbol symbol) public void NewBrokerageOrdersAreFiltered(OrderType orderType, bool accepted) { //Initialize the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new TestingBrokerage(); - transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); _algorithm.SetBrokerageModel(new DefaultBrokerageModel()); var brokerageMessageHandler = new TestBrokerageMessageHandler(); @@ -2339,16 +2360,16 @@ public void NewBrokerageOrdersAreFiltered(OrderType orderType, bool accepted) Assert.AreEqual(orderType, order.Type); brokerage.OnNewBrokerageOrder(new NewBrokerageOrderNotificationEventArgs(order)); Assert.AreEqual(accepted, brokerageMessageHandler.LastHandleOrderResult); - Assert.AreEqual(accepted ? 1 : 0, transactionHandler.OrdersCount); + Assert.AreEqual(accepted ? 1 : 0, _transactionHandler.OrdersCount); } [Test] public void UnrequestedSecuritiesAreAddedForNewBrokerageSideOrders() { //Initialize the transaction handler - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new TestingBrokerage(); - transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler()); _algorithm.SetBrokerageModel(new DefaultBrokerageModel()); var brokerageMessageHandler = new TestBrokerageMessageHandler(); @@ -2360,7 +2381,7 @@ public void UnrequestedSecuritiesAreAddedForNewBrokerageSideOrders() var order = GetOrder(OrderType.Market, symbol); brokerage.OnNewBrokerageOrder(new NewBrokerageOrderNotificationEventArgs(order)); Assert.IsTrue(brokerageMessageHandler.LastHandleOrderResult); - Assert.AreEqual(1, transactionHandler.OrdersCount); + Assert.AreEqual(1, _transactionHandler.OrdersCount); Assert.IsTrue(_algorithm.Securities.TryGetValue(symbol, out var security)); Assert.AreEqual(symbol, security.Symbol); @@ -2376,30 +2397,38 @@ public void ProcessesOrdersConcurrently() using var finishedEvent = new ManualResetEventSlim(false); var transactionHandler = new TestableConcurrentBrokerageTransactionHandler(expectedOrdersCount, finishedEvent); transactionHandler.Initialize(algorithm, brokerage, new BacktestingResultHandler()); - algorithm.Transactions.SetOrderProcessor(transactionHandler); + + try + { + algorithm.Transactions.SetOrderProcessor(transactionHandler); - var security = (Security)algorithm.AddEquity("SPY"); - algorithm.SetFinishedWarmingUp(); + var security = (Security)algorithm.AddEquity("SPY"); + algorithm.SetFinishedWarmingUp(); - // Set up security - var reference = new DateTime(2025, 07, 03, 10, 0, 0); - security.SetMarketPrice(new Tick(reference, security.Symbol, 300, 300)); + // Set up security + var reference = new DateTime(2025, 07, 03, 10, 0, 0); + security.SetMarketPrice(new Tick(reference, security.Symbol, 300, 300)); - // Creates the order - var orderRequests = Enumerable.Range(0, expectedOrdersCount).Select(_ => MakeOrderRequest(security, OrderType.Market, reference)).ToList(); + // Creates the order + var orderRequests = Enumerable.Range(0, expectedOrdersCount).Select(_ => MakeOrderRequest(security, OrderType.Market, reference)).ToList(); - // Act - for (var i = 0; i < orderRequests.Count; i++) + // Act + for (var i = 0; i < orderRequests.Count; i++) + { + var orderRequest = orderRequests[i]; + orderRequest.SetOrderId(i + 1); + transactionHandler.Process(orderRequest); + } + + // Wait for all orders to be processed + Assert.IsTrue(finishedEvent.Wait(10000)); + Assert.Greater(transactionHandler.ProcessingThreadNames.Count, 1); + CollectionAssert.AreEquivalent(orderRequests.Select(x => x.ToString()), transactionHandler.ProcessedRequests.Select(x => x.ToString())); + } + finally { - var orderRequest = orderRequests[i]; - orderRequest.SetOrderId(i + 1); - transactionHandler.Process(orderRequest); + transactionHandler.Exit(); } - - // Wait for all orders to be processed - Assert.IsTrue(finishedEvent.Wait(10000)); - Assert.Greater(transactionHandler.ProcessingThreadNames.Count, 1); - CollectionAssert.AreEquivalent(orderRequests.Select(x => x.ToString()), transactionHandler.ProcessedRequests.Select(x => x.ToString())); } [TestCase("OnAccountChanged")] @@ -2417,9 +2446,9 @@ public void BrokerageTransactionHandlerDoesNotProcessEventsWhenAlgorithmIsStoppe algorithm.SetBrokerageMessageHandler(new TestBrokerageMessageHandler()); // Initialize the transaction handler and brokerage - var transactionHandler = new TestBrokerageTransactionHandler(); + _transactionHandler = new TestBrokerageTransactionHandler(); using var brokerage = new EventEmittingBrokerage(algorithm); - transactionHandler.Initialize(algorithm, brokerage, new BacktestingResultHandler()); + _transactionHandler.Initialize(algorithm, brokerage, new BacktestingResultHandler()); // Set up option security and add a submitted order algorithm.AddOption("SPY"); @@ -2431,9 +2460,9 @@ public void BrokerageTransactionHandlerDoesNotProcessEventsWhenAlgorithmIsStoppe Id = 1, BrokerId = new List { "1" } }; - transactionHandler.AddOpenOrder(orderRequest, algorithm); + _transactionHandler.AddOpenOrder(orderRequest, algorithm); // Order status should be Submitted - Assert.AreEqual(OrderStatus.Submitted, transactionHandler.GetOrdersByBrokerageId(1)[0].Status); + Assert.AreEqual(OrderStatus.Submitted, _transactionHandler.GetOrdersByBrokerageId(1)[0].Status); // Stop the algorithm algorithm.Status = AlgorithmStatus.Stopped; @@ -2450,7 +2479,7 @@ public void BrokerageTransactionHandlerDoesNotProcessEventsWhenAlgorithmIsStoppe case "OnOptionNotification": brokerage.CreateOptionNotificationEvent(new OptionNotificationEventArgs(option.Symbol, 5)); // Order status should still be Submitted - Assert.AreEqual(OrderStatus.Submitted, transactionHandler.GetOrdersByBrokerageId(1)[0].Status); + Assert.AreEqual(OrderStatus.Submitted, _transactionHandler.GetOrdersByBrokerageId(1)[0].Status); break; case "OnNewBrokerageOrderNotification": @@ -2461,7 +2490,7 @@ public void BrokerageTransactionHandlerDoesNotProcessEventsWhenAlgorithmIsStoppe }; brokerage.CreateNewBrokerageOrderNotificationEvent(new NewBrokerageOrderNotificationEventArgs(order)); // No new orders should have been added - Assert.AreEqual(1, transactionHandler.GetOrdersByBrokerageId(1).Count); + Assert.AreEqual(1, _transactionHandler.GetOrdersByBrokerageId(1).Count); break; case "OnOrderIdChanged": @@ -2471,9 +2500,9 @@ public void BrokerageTransactionHandlerDoesNotProcessEventsWhenAlgorithmIsStoppe BrokerId = new List { "2" } }); // No order should exist under the new broker ID - Assert.AreEqual(0, transactionHandler.GetOrdersByBrokerageId(2).Count); + Assert.AreEqual(0, _transactionHandler.GetOrdersByBrokerageId(2).Count); // Original broker ID should remain unchanged - Assert.AreEqual("1", transactionHandler.GetOrdersByBrokerageId(1)[0].BrokerId[0]); + Assert.AreEqual("1", _transactionHandler.GetOrdersByBrokerageId(1)[0].BrokerId[0]); break; case "OnOrderUpdated": @@ -2483,9 +2512,9 @@ public void BrokerageTransactionHandlerDoesNotProcessEventsWhenAlgorithmIsStoppe BrokerId = new List { "1" }, StopTriggered = false }; - transactionHandler.AddOpenOrder(stopLimitOrder, algorithm); + _transactionHandler.AddOpenOrder(stopLimitOrder, algorithm); brokerage.CreateOrderUpdatedEvent(new OrderUpdateEvent { OrderId = 2, StopTriggered = true }); - var updatedStopLimitOrder = (StopLimitOrder)transactionHandler + var updatedStopLimitOrder = (StopLimitOrder)_transactionHandler .GetOrdersByBrokerageId(1) .First(e => e.Id == 2); // StopTriggered flag should remain false diff --git a/Tests/Engine/CustomBrokerageMessageHandlerTests.cs b/Tests/Engine/CustomBrokerageMessageHandlerTests.cs index 299a0f4f0520..1fe95b8f0898 100644 --- a/Tests/Engine/CustomBrokerageMessageHandlerTests.cs +++ b/Tests/Engine/CustomBrokerageMessageHandlerTests.cs @@ -71,27 +71,27 @@ public void RunPartialCustomBrokerageMessageHandlerRegressionAlgorithm([Values(L {PerformanceMetrics.TotalOrders, expectedOrdersCount.ToStringInvariant()}, {"Average Win", "0%"}, {"Average Loss", "0%"}, - {"Compounding Annual Return", "-10.771%"}, + {"Compounding Annual Return", "-11.597%"}, {"Drawdown", "0.200%"}, {"Expectancy", "0"}, - {"Net Profit", "-0.146%"}, - {"Sharpe Ratio", "-5.186"}, - {"Sortino Ratio", "-6.53"}, + {"Net Profit", "-0.157%"}, + {"Sharpe Ratio", "-5.199"}, + {"Sortino Ratio", "-6.546"}, {"Probabilistic Sharpe Ratio", "24.692%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, - {"Alpha", "0.059"}, - {"Beta", "-0.072"}, + {"Alpha", "0.058"}, + {"Beta", "-0.07"}, {"Annual Standard Deviation", "0.016"}, {"Annual Variance", "0"}, - {"Information Ratio", "-8.629"}, - {"Tracking Error", "0.239"}, - {"Treynor Ratio", "1.154"}, - {"Total Fees", "$50.00"}, - {"Estimated Strategy Capacity", "$17000000.00"}, + {"Information Ratio", "-8.635"}, + {"Tracking Error", "0.238"}, + {"Treynor Ratio", "1.157"}, + {"Total Fees", "$49.00"}, + {"Estimated Strategy Capacity", "$26000000.00"}, {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"}, - {"Portfolio Turnover", "1.45%"} + {"Portfolio Turnover", "1.42%"} }, language, AlgorithmStatus.Completed); @@ -114,27 +114,27 @@ public void RunCustomBrokerageMessageHandlerRegressionAlgorithm([Values(Language {PerformanceMetrics.TotalOrders, expectedOrdersCount.ToStringInvariant()}, {"Average Win", "0%"}, {"Average Loss", "0%"}, - {"Compounding Annual Return", "-10.771%"}, + {"Compounding Annual Return", "-11.597%"}, {"Drawdown", "0.200%"}, {"Expectancy", "0"}, - {"Net Profit", "-0.146%"}, - {"Sharpe Ratio", "-5.186"}, - {"Sortino Ratio", "-6.53"}, + {"Net Profit", "-0.157%"}, + {"Sharpe Ratio", "-5.199"}, + {"Sortino Ratio", "-6.546"}, {"Probabilistic Sharpe Ratio", "24.692%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, - {"Alpha", "0.059"}, - {"Beta", "-0.072"}, + {"Alpha", "0.058"}, + {"Beta", "-0.07"}, {"Annual Standard Deviation", "0.016"}, {"Annual Variance", "0"}, - {"Information Ratio", "-8.629"}, - {"Tracking Error", "0.239"}, - {"Treynor Ratio", "1.154"}, - {"Total Fees", "$50.00"}, - {"Estimated Strategy Capacity", "$17000000.00"}, + {"Information Ratio", "-8.635"}, + {"Tracking Error", "0.238"}, + {"Treynor Ratio", "1.157"}, + {"Total Fees", "$49.00"}, + {"Estimated Strategy Capacity", "$26000000.00"}, {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"}, - {"Portfolio Turnover", "1.45%"} + {"Portfolio Turnover", "1.42%"} }, language, AlgorithmStatus.Completed); diff --git a/Tests/Engine/DataFeeds/BaseDataExchangeTests.cs b/Tests/Engine/DataFeeds/BaseDataExchangeTests.cs index 05d5f5dd9701..fbac392abaf0 100644 --- a/Tests/Engine/DataFeeds/BaseDataExchangeTests.cs +++ b/Tests/Engine/DataFeeds/BaseDataExchangeTests.cs @@ -74,10 +74,15 @@ public void EndsQueueConsumption() using var finishedRunning = new AutoResetEvent(false); Task.Run(() => { exchange.Start(); finishedRunning.Set(); } ); - Assert.IsTrue(lastUpdated.WaitOne(DefaultTimeout)); - - exchange.Stop(); - cancellationToken.Cancel(); + try + { + Assert.IsTrue(lastUpdated.WaitOne(DefaultTimeout)); + } + finally + { + exchange.Stop(); + cancellationToken.Cancel(); + } Assert.IsTrue(finishedRunning.WaitOne(DefaultTimeout)); @@ -119,11 +124,16 @@ public void DefaultErrorHandlerDoesNotStopQueueConsumption() Task.Run(() => exchange.Start()); - Assert.IsTrue(lastUpdated.WaitOne(DefaultTimeout)); - - exchange.Stop(); - cancellationToken.Cancel(); - enqueable.Dispose(); + try + { + Assert.IsTrue(lastUpdated.WaitOne(DefaultTimeout)); + } + finally + { + exchange.Stop(); + cancellationToken.Cancel(); + enqueable.Dispose(); + } } [Test] @@ -164,14 +174,17 @@ public void SetErrorHandlerExitsOnTrueReturn() Task.Run(() => exchange.Start()); - Assert.IsTrue(errorCaught.WaitOne(DefaultTimeout)); - - exchange.Stop(); - - Assert.IsNull(last); - - enqueable.Dispose(); - cancellationToken.Cancel(); + try + { + Assert.IsTrue(errorCaught.WaitOne(DefaultTimeout)); + Assert.IsNull(last); + } + finally + { + exchange.Stop(); + enqueable.Dispose(); + cancellationToken.Cancel(); + } } [Test] @@ -189,10 +202,15 @@ public void RespectsShouldMoveNext() isCompletedEvent.Set(); }); - isCompletedEvent.WaitOne(); - Assert.IsFalse(isFaultedEvent.WaitOne(0)); - - exchange.Stop(); + try + { + isCompletedEvent.WaitOne(); + Assert.IsFalse(isFaultedEvent.WaitOne(0)); + } + finally + { + exchange.Stop(); + } } [Test] diff --git a/Tests/Engine/DataFeeds/Enumerators/FillForwardEnumeratorTests.cs b/Tests/Engine/DataFeeds/Enumerators/FillForwardEnumeratorTests.cs index 5cde411c3351..097389dcc907 100644 --- a/Tests/Engine/DataFeeds/Enumerators/FillForwardEnumeratorTests.cs +++ b/Tests/Engine/DataFeeds/Enumerators/FillForwardEnumeratorTests.cs @@ -2427,6 +2427,55 @@ public void FillForwardsFromLastTrackedPoint() Assert.AreEqual(7, dataCount); } + [Test] + public void DoesNotEmitFillForwardBarOverlappingNextAvailableBar() + { + var dataResolution = Time.OneDay; + var fillForwardResolution = Time.OneDay; + + var subscriptionStartTime = new DateTime(2024, 11, 1); + var subscriptionEndTime = subscriptionStartTime.AddDays(3); + + var bar1 = new TradeBar { Time = subscriptionStartTime.AddHours(-12), Value = 1, Period = dataResolution }; + var bar2 = new TradeBar { Time = subscriptionEndTime.AddHours(-12), Value = 2, Period = dataResolution }; + using var enumerator = new List { bar1, bar2 }.GetEnumerator(); + + var exchange = new SecurityExchange(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork)); + using var fillForwardEnumerator = new FillForwardEnumerator(enumerator, exchange, + Ref.Create(fillForwardResolution), false, subscriptionStartTime, subscriptionEndTime, + dataResolution, exchange.TimeZone, false); + + var ffBar1 = bar1.Clone(fillForward: true); + ffBar1.Time = subscriptionStartTime; + + var ffbar2 = bar1.Clone(fillForward: true); + ffbar2.Time = subscriptionStartTime.AddDays(1); + + var expectedData = new List + { + bar1, + ffBar1, + ffbar2, + // This test reproduces GH issue #9092: + // An additional FF bar would be emitted here overlapping bar2 + bar2 + }; + + var i = 0; + while (fillForwardEnumerator.MoveNext()) + { + var current = fillForwardEnumerator.Current; + var expectedCurrent = expectedData[i++]; + + Assert.AreEqual(expectedCurrent.Time, current.Time, $"Failed on index {i - 1}"); + Assert.AreEqual(expectedCurrent.EndTime, current.EndTime, $"Failed on index {i - 1}"); + Assert.AreEqual(expectedCurrent.Value, current.Value, $"Failed on index {i - 1}"); + Assert.AreEqual(expectedCurrent.IsFillForward, current.IsFillForward, $"Failed on index {i - 1}"); + } + + Assert.AreEqual(expectedData.Count, i); + } + private static SecurityExchangeHours CreateCustomFutureExchangeHours(DateTime earlyClose, DateTime lateOpen) { var sunday = new LocalMarketHours( diff --git a/Tests/Engine/DataFeeds/LiveTradingDataFeedTests.cs b/Tests/Engine/DataFeeds/LiveTradingDataFeedTests.cs index e11fb470d5fd..94a39684da83 100644 --- a/Tests/Engine/DataFeeds/LiveTradingDataFeedTests.cs +++ b/Tests/Engine/DataFeeds/LiveTradingDataFeedTests.cs @@ -1134,7 +1134,7 @@ public void WarmupExpiredOption(bool useWarmupResolution) } }, endDate: endDate, - secondsTimeStep: 60); + secondsTimeStep: 5); Assert.IsTrue(emittedData); } @@ -3819,7 +3819,7 @@ public void HandlesFutureAndOptionChainUniverse(SecurityType securityType, int e { algorithm.AddEquity("GOOG", Resolution.Minute); var option = algorithm.AddOption("GOOG", Resolution.Minute, Market.USA); - option.SetFilter(x => x); + option.SetFilter(x => x.StandardsOnly()); exchangeTimeZone = option.Exchange.TimeZone; canonicalOptionSymbol = option.Symbol; diff --git a/Tests/Engine/DataFeeds/PendingRemovalsManagerTests.cs b/Tests/Engine/DataFeeds/PendingRemovalsManagerTests.cs index f0c1fc775a64..62935caf3dc3 100644 --- a/Tests/Engine/DataFeeds/PendingRemovalsManagerTests.cs +++ b/Tests/Engine/DataFeeds/PendingRemovalsManagerTests.cs @@ -39,9 +39,10 @@ public void ReturnedRemoved_Add() var orderProvider = new FakeOrderProcessor(); var pendingRemovals = new PendingRemovalsManager(orderProvider); var security = SecurityTests.GetSecurity(); + var member = new Universe.Member(Noon, security, false); using var universe = new TestUniverse(); - var result = pendingRemovals.TryRemoveMember(security, universe); + var result = pendingRemovals.TryRemoveMember(member, universe); Assert.IsTrue(result.Any()); Assert.AreEqual(universe, result.First().Universe); @@ -57,9 +58,10 @@ public void ReturnedRemoved_Check() var orderProvider = new FakeOrderProcessor(); var pendingRemovals = new PendingRemovalsManager(orderProvider); var security = SecurityTests.GetSecurity(); + var member = new Universe.Member(Noon, security, false); using var universe = new TestUniverse(); orderProvider.AddOrder(new LimitOrder(security.Symbol, 1, 1, DateTime.UtcNow)); - pendingRemovals.TryRemoveMember(security, universe); + pendingRemovals.TryRemoveMember(member, universe); orderProvider.Clear(); var result = pendingRemovals.CheckPendingRemovals(new HashSet(), universe); @@ -78,6 +80,7 @@ public void WontRemoveBecauseOfUnderlying() var orderProvider = new FakeOrderProcessor(); var pendingRemovals = new PendingRemovalsManager(orderProvider); var equity = CreateSecurity(Symbols.SPY); + var member = new Universe.Member(Noon, equity, false); var equityOption = CreateSecurity(Symbols.SPY_C_192_Feb19_2016); // we add an order of the equity option @@ -87,11 +90,11 @@ public void WontRemoveBecauseOfUnderlying() universe.AddMember(DateTime.UtcNow, equityOption, false); // we try to remove the equity - Assert.IsNull(pendingRemovals.TryRemoveMember(equity, universe)); + Assert.IsNull(pendingRemovals.TryRemoveMember(member, universe)); Assert.AreEqual(1, pendingRemovals.PendingRemovals.Keys.Count()); Assert.AreEqual(1, pendingRemovals.PendingRemovals.Values.Count()); Assert.AreEqual(universe, pendingRemovals.PendingRemovals.Keys.First()); - Assert.AreEqual(equity, pendingRemovals.PendingRemovals.Values.First().First()); + Assert.AreEqual(equity, pendingRemovals.PendingRemovals.Values.First().First().Security); } [Test] @@ -100,14 +103,15 @@ public void WontRemoveBecauseOpenOrder_Add() var orderProvider = new FakeOrderProcessor(); var pendingRemovals = new PendingRemovalsManager(orderProvider); var security = SecurityTests.GetSecurity(); + var member = new Universe.Member(Noon, security, false); using var universe = new TestUniverse(); orderProvider.AddOrder(new LimitOrder(security.Symbol, 1, 1, DateTime.UtcNow)); - Assert.IsNull(pendingRemovals.TryRemoveMember(security, universe)); + Assert.IsNull(pendingRemovals.TryRemoveMember(member, universe)); Assert.AreEqual(1, pendingRemovals.PendingRemovals.Keys.Count()); Assert.AreEqual(1, pendingRemovals.PendingRemovals.Values.Count()); Assert.AreEqual(universe, pendingRemovals.PendingRemovals.Keys.First()); - Assert.AreEqual(security, pendingRemovals.PendingRemovals.Values.First().First()); + Assert.AreEqual(security, pendingRemovals.PendingRemovals.Values.First().First().Security); } [Test] @@ -116,15 +120,16 @@ public void WontRemoveBecauseOpenOrder_Check() var orderProvider = new FakeOrderProcessor(); var pendingRemovals = new PendingRemovalsManager(orderProvider); var security = SecurityTests.GetSecurity(); + var member = new Universe.Member(Noon, security, false); using var universe = new TestUniverse(); orderProvider.AddOrder(new LimitOrder(security.Symbol, 1, 1, DateTime.UtcNow)); - Assert.IsNull(pendingRemovals.TryRemoveMember(security, universe)); + Assert.IsNull(pendingRemovals.TryRemoveMember(member, universe)); Assert.IsFalse(pendingRemovals.CheckPendingRemovals(new HashSet(), universe).Any()); Assert.AreEqual(1, pendingRemovals.PendingRemovals.Keys.Count()); Assert.AreEqual(1, pendingRemovals.PendingRemovals.Values.Count()); Assert.AreEqual(universe, pendingRemovals.PendingRemovals.Keys.First()); - Assert.AreEqual(security, pendingRemovals.PendingRemovals.Values.First().First()); + Assert.AreEqual(security, pendingRemovals.PendingRemovals.Values.First().First().Security); } [Test] @@ -133,14 +138,15 @@ public void WontRemoveBecauseHoldings_Add() var orderProvider = new FakeOrderProcessor(); var pendingRemovals = new PendingRemovalsManager(orderProvider); var security = SecurityTests.GetSecurity(); + var member = new Universe.Member(Noon, security, false); using var universe = new TestUniverse(); security.Holdings.SetHoldings(10, 10); - Assert.IsNull(pendingRemovals.TryRemoveMember(security, universe)); + Assert.IsNull(pendingRemovals.TryRemoveMember(member, universe)); Assert.AreEqual(1, pendingRemovals.PendingRemovals.Keys.Count()); Assert.AreEqual(1, pendingRemovals.PendingRemovals.Values.Count()); Assert.AreEqual(universe, pendingRemovals.PendingRemovals.Keys.First()); - Assert.AreEqual(security, pendingRemovals.PendingRemovals.Values.First().First()); + Assert.AreEqual(security, pendingRemovals.PendingRemovals.Values.First().First().Security); } [Test] @@ -149,15 +155,16 @@ public void WontRemoveBecauseHoldings_Check() var orderProvider = new FakeOrderProcessor(); var pendingRemovals = new PendingRemovalsManager(orderProvider); var security = SecurityTests.GetSecurity(); + var member = new Universe.Member(Noon, security, false); using var universe = new TestUniverse(); security.Holdings.SetHoldings(10, 10); - Assert.IsNull(pendingRemovals.TryRemoveMember(security, universe)); + Assert.IsNull(pendingRemovals.TryRemoveMember(member, universe)); Assert.IsFalse(pendingRemovals.CheckPendingRemovals(new HashSet(), universe).Any()); Assert.AreEqual(1, pendingRemovals.PendingRemovals.Keys.Count()); Assert.AreEqual(1, pendingRemovals.PendingRemovals.Values.Count()); Assert.AreEqual(universe, pendingRemovals.PendingRemovals.Keys.First()); - Assert.AreEqual(security, pendingRemovals.PendingRemovals.Values.First().First()); + Assert.AreEqual(security, pendingRemovals.PendingRemovals.Values.First().First().Security); } [Test] @@ -166,14 +173,15 @@ public void WontRemoveBecauseTarget_Add() var orderProvider = new FakeOrderProcessor(); var pendingRemovals = new PendingRemovalsManager(orderProvider); var security = SecurityTests.GetSecurity(); + var member = new Universe.Member(Noon, security, false); using var universe = new TestUniverse(); security.Holdings.Target = new PortfolioTarget(security.Symbol, 10); - Assert.IsNull(pendingRemovals.TryRemoveMember(security, universe)); + Assert.IsNull(pendingRemovals.TryRemoveMember(member, universe)); Assert.AreEqual(1, pendingRemovals.PendingRemovals.Keys.Count()); Assert.AreEqual(1, pendingRemovals.PendingRemovals.Values.Count()); Assert.AreEqual(universe, pendingRemovals.PendingRemovals.Keys.First()); - Assert.AreEqual(security, pendingRemovals.PendingRemovals.Values.First().First()); + Assert.AreEqual(security, pendingRemovals.PendingRemovals.Values.First().First().Security); } [Test] @@ -182,15 +190,16 @@ public void WontRemoveBecauseTarget_Check() var orderProvider = new FakeOrderProcessor(); var pendingRemovals = new PendingRemovalsManager(orderProvider); var security = SecurityTests.GetSecurity(); + var member = new Universe.Member(Noon, security, false); using var universe = new TestUniverse(); security.Holdings.Target = new PortfolioTarget(security.Symbol, 10); - Assert.IsNull(pendingRemovals.TryRemoveMember(security, universe)); + Assert.IsNull(pendingRemovals.TryRemoveMember(member, universe)); Assert.IsFalse(pendingRemovals.CheckPendingRemovals(new HashSet(), universe).Any()); Assert.AreEqual(1, pendingRemovals.PendingRemovals.Keys.Count()); Assert.AreEqual(1, pendingRemovals.PendingRemovals.Values.Count()); Assert.AreEqual(universe, pendingRemovals.PendingRemovals.Keys.First()); - Assert.AreEqual(security, pendingRemovals.PendingRemovals.Values.First().First()); + Assert.AreEqual(security, pendingRemovals.PendingRemovals.Values.First().First().Security); } [Test] @@ -199,9 +208,10 @@ public void WontBeReturnedBecauseReSelected() var orderProvider = new FakeOrderProcessor(); var pendingRemovals = new PendingRemovalsManager(orderProvider); var security = SecurityTests.GetSecurity(); + var member = new Universe.Member(Noon, security, false); using var universe = new TestUniverse(); orderProvider.AddOrder(new LimitOrder(security.Symbol, 1, 1, DateTime.UtcNow)); - pendingRemovals.TryRemoveMember(security, universe); + pendingRemovals.TryRemoveMember(member, universe); Assert.IsFalse(pendingRemovals.CheckPendingRemovals( new HashSet { security.Symbol}, universe).Any()); @@ -218,6 +228,7 @@ public void WontRemoveBecauseUnsettledFunds() var pendingRemovals = new PendingRemovalsManager(orderProvider); using var universe = new TestUniverse(); var security = SecurityTests.GetSecurity(); + var member = new Universe.Member(Noon, security, false); security.SetSettlementModel(new DelayedSettlementModel(1, TimeSpan.FromHours(8))); var securities = new SecurityManager(TimeKeeper); @@ -226,12 +237,12 @@ public void WontRemoveBecauseUnsettledFunds() security.SettlementModel.ApplyFunds(new ApplyFundsSettlementModelParameters(portfolio, security, TimeKeeper.UtcTime.Date.AddDays(1), new CashAmount(1000, Currencies.USD), null)); - Assert.IsNull(pendingRemovals.TryRemoveMember(security, universe)); + Assert.IsNull(pendingRemovals.TryRemoveMember(member, universe)); Assert.IsFalse(pendingRemovals.CheckPendingRemovals(new HashSet(), universe).Any()); Assert.AreEqual(1, pendingRemovals.PendingRemovals.Keys.Count()); Assert.AreEqual(1, pendingRemovals.PendingRemovals.Values.Count()); Assert.AreEqual(universe, pendingRemovals.PendingRemovals.Keys.First()); - Assert.AreEqual(security, pendingRemovals.PendingRemovals.Values.First().First()); + Assert.AreEqual(security, pendingRemovals.PendingRemovals.Values.First().First().Security); } private class TestUniverse : Universe diff --git a/Tests/Engine/DataFeeds/SubscriptionDataReaderTests.cs b/Tests/Engine/DataFeeds/SubscriptionDataReaderTests.cs index e5006459f329..7474292070f5 100644 --- a/Tests/Engine/DataFeeds/SubscriptionDataReaderTests.cs +++ b/Tests/Engine/DataFeeds/SubscriptionDataReaderTests.cs @@ -14,10 +14,6 @@ * */ -using System; -using System.Collections.Generic; -using System.IO; -using System.Linq; using NUnit.Framework; using QuantConnect.Data; using QuantConnect.Data.Market; @@ -25,6 +21,9 @@ using QuantConnect.Lean.Engine.DataFeeds; using QuantConnect.Securities; using QuantConnect.Util; +using System; +using System.Collections.Generic; +using System.IO; namespace QuantConnect.Tests.Engine.DataFeeds { @@ -48,19 +47,10 @@ public void DoesNotEmitDataBeyondTradableDate(string data, bool shouldEmitSecond var start = new DateTime(2019, 12, 9); var end = new DateTime(2019, 12, 12); - var symbol = Symbols.SPY; - var entry = MarketHoursDatabase.FromDataFolder().GetEntry(symbol.ID.Market, symbol, symbol.SecurityType); - var config = new SubscriptionDataConfig(typeof(TradeBar), - symbol, - dataResolution, - TimeZones.NewYork, - TimeZones.NewYork, - false, - false, - false); - using var testDataCacheProvider = new TestDataCacheProvider() { Data = data}; + var request = GetRequest(typeof(TradeBar), start, end, dataResolution, out var config); + using var testDataCacheProvider = new TestDataCacheProvider() { Data = data }; using var dataReader = new SubscriptionDataReader(config, - new HistoryRequest(config, entry.ExchangeHours, start, end), + request, TestGlobals.MapFileProvider, TestGlobals.FactorFileProvider, testDataCacheProvider, @@ -80,27 +70,8 @@ public void EmitsNewTradableDateWhenDateAfterDelistingIsNonTradable(Type dataTyp var start = new DateTime(2023, 06, 30); var end = new DateTime(2023, 08, 01); - var symbol = Symbol.CreateOption( - Symbols.SPX, - "SPXW", - Market.USA, - OptionStyle.European, - OptionRight.Call, - 4445m, - // Next day is a holiday - new DateTime(2023, 7, 3)); - - var entry = MarketHoursDatabase.FromDataFolder().GetEntry(symbol.ID.Market, symbol, symbol.SecurityType); - var config = new SubscriptionDataConfig(dataType, - symbol, - Resolution.Minute, - entry.DataTimeZone, - entry.ExchangeHours.TimeZone, - false, - false, - false); + var request = GetRequest(dataType, start, end, Resolution.Minute, out var config); using var testDataCacheProvider = new TestDataCacheProvider(); - var request = new HistoryRequest(config, entry.ExchangeHours, start, end); using var dataReader = new SubscriptionDataReader(config, request, TestGlobals.MapFileProvider, @@ -124,6 +95,62 @@ public void EmitsNewTradableDateWhenDateAfterDelistingIsNonTradable(Type dataTyp Assert.AreEqual(expectedLastTradableDate, lastTradableDate); } + [Test] + public void DoesNotYieldDataWhenDelisted() + { + var start = new DateTime(2023, 8, 1); + var end = new DateTime(2023, 08, 10); + + var request = GetRequest(typeof(TradeBar), start, end, Resolution.Minute, out var config); + using var testDataCacheProvider = new TestDataCacheProvider(); + using var dataReader = new SubscriptionDataReader(config, + request, + TestGlobals.MapFileProvider, + TestGlobals.FactorFileProvider, + testDataCacheProvider, + TestGlobals.DataProvider, + null); + + var dataYielded = false; + var newTradableDateCalled = false; + dataReader.NewTradableDate += (sender, args) => + { + newTradableDateCalled = true; + }; + + while (dataReader.MoveNext()) + { + dataYielded = true; + } + + Assert.IsFalse(dataYielded); + Assert.IsFalse(newTradableDateCalled); + } + + private static BaseDataRequest GetRequest(Type dataType, DateTime start, DateTime end, Resolution resolution, out SubscriptionDataConfig config) + { + var symbol = Symbol.CreateOption( + Symbols.SPX, + "SPXW", + Market.USA, + OptionStyle.European, + OptionRight.Call, + 4445m, + // Next day is a holiday + new DateTime(2023, 7, 3)); + + var entry = MarketHoursDatabase.FromDataFolder().GetEntry(symbol.ID.Market, symbol, symbol.SecurityType); + config = new SubscriptionDataConfig(dataType, + symbol, + resolution, + entry.DataTimeZone, + entry.ExchangeHours.TimeZone, + false, + false, + false); + return new HistoryRequest(config, entry.ExchangeHours, start, end); + } + private class TestDataCacheProvider : IDataCacheProvider { private StreamWriter _writer; diff --git a/Tests/Engine/HistoricalData/HistoryProviderManagerTests.cs b/Tests/Engine/HistoricalData/HistoryProviderManagerTests.cs index ef36020e8d0a..bc0dfc33125e 100644 --- a/Tests/Engine/HistoricalData/HistoryProviderManagerTests.cs +++ b/Tests/Engine/HistoricalData/HistoryProviderManagerTests.cs @@ -37,26 +37,7 @@ public class HistoryProviderManagerTests [SetUp] public void Setup() { - _historyProviderWrapper = new(); - var historyProviders = Newtonsoft.Json.JsonConvert.SerializeObject(new[] { nameof(SubscriptionDataReaderHistoryProvider), nameof(TestHistoryProvider) }); - var jobWithArrayHistoryProviders = new LiveNodePacket - { - HistoryProvider = historyProviders - }; - _paperBrokerage = new PaperBrokerage(null, null); - _historyProviderWrapper.SetBrokerage(_paperBrokerage); - _historyProviderWrapper.Initialize(new HistoryProviderInitializeParameters( - jobWithArrayHistoryProviders, - null, - TestGlobals.DataProvider, - TestGlobals.DataCacheProvider, - TestGlobals.MapFileProvider, - TestGlobals.FactorFileProvider, - null, - false, - new DataPermissionManager(), - null, - new AlgorithmSettings())); + Setup(DeploymentTarget.LocalPlatform); } [TearDown] @@ -132,9 +113,12 @@ public void OptionsAreMappedCorrectly() Assert.AreEqual(426, _historyProviderWrapper.DataPointCount); } - [Test] - public void EquitiesMergedCorrectly() + [TestCase(DeploymentTarget.CloudPlatform)] + [TestCase(DeploymentTarget.LocalPlatform)] + public void EquitiesMergedCorrectly(DeploymentTarget deploymentTarget) { + TearDown(); + Setup(deploymentTarget); var symbol = Symbol.Create("WM", SecurityType.Equity, Market.USA); var request = TestsHelpers.GetHistoryRequest(symbol, new DateTime(2008, 01, 01), new DateTime(2008, 01, 05), Resolution.Daily, TickType.Trade); @@ -144,7 +128,7 @@ public void EquitiesMergedCorrectly() Assert.IsNotEmpty(result); var firstBar = result.First().Values.Single(); Assert.AreEqual("WMI", firstBar.Symbol.Value); - Assert.AreEqual(4, result.Count); + Assert.AreEqual(deploymentTarget == DeploymentTarget.CloudPlatform ? 3 : 4, result.Count); Assert.AreEqual(5, _historyProviderWrapper.DataPointCount); } @@ -164,5 +148,30 @@ public void DataIncreasesInTime() initialTime = slice.UtcTime; } } + + private void Setup(DeploymentTarget deploymentTarget) + { + _historyProviderWrapper = new(); + var historyProviders = Newtonsoft.Json.JsonConvert.SerializeObject(new[] { nameof(SubscriptionDataReaderHistoryProvider), nameof(TestHistoryProvider) }); + var jobWithArrayHistoryProviders = new LiveNodePacket + { + HistoryProvider = historyProviders, + DeploymentTarget = deploymentTarget + }; + _paperBrokerage = new PaperBrokerage(null, null); + _historyProviderWrapper.SetBrokerage(_paperBrokerage); + _historyProviderWrapper.Initialize(new HistoryProviderInitializeParameters( + jobWithArrayHistoryProviders, + null, + TestGlobals.DataProvider, + TestGlobals.DataCacheProvider, + TestGlobals.MapFileProvider, + TestGlobals.FactorFileProvider, + null, + false, + new DataPermissionManager(), + null, + new AlgorithmSettings())); + } } } diff --git a/Tests/Engine/RealTime/LiveTradingRealTimeHandlerTests.cs b/Tests/Engine/RealTime/LiveTradingRealTimeHandlerTests.cs index 3560230fc60f..6cd4210b50b5 100644 --- a/Tests/Engine/RealTime/LiveTradingRealTimeHandlerTests.cs +++ b/Tests/Engine/RealTime/LiveTradingRealTimeHandlerTests.cs @@ -131,38 +131,45 @@ public void ResetMarketHoursCorrectly() var transactionHandler = new TestBrokerageTransactionHandler(); using var broker = new BacktestingBrokerage(algorithm); transactionHandler.Initialize(algorithm, broker, new BacktestingResultHandler()); + var realTimeHandler = new TestLiveTradingRealTimeHandlerReset(); - // Creates a market order - security.SetMarketPrice(new TradeBar(new DateTime(2023, 5, 30), symbol, 280m, 280m, 280m, 280m, 100)); - - var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 1, 0, 0, new DateTime(2023, 5, 30), "TestTag1"); + try + { + // Creates a market order + security.SetMarketPrice(new TradeBar(new DateTime(2023, 5, 30), symbol, 280m, 280m, 280m, 280m, 100)); - var orderProcessorMock = new Mock(); - orderProcessorMock.Setup(m => m.GetOrderTicket(It.IsAny())).Returns(new OrderTicket(algorithm.Transactions, orderRequest)); - algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); - var orderTicket = transactionHandler.Process(orderRequest); - transactionHandler.HandleOrderRequest(orderRequest); - Assert.IsTrue(orderTicket.Status == OrderStatus.Submitted); - broker.Scan(); - Assert.IsTrue(orderTicket.Status == OrderStatus.Filled); + var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 1, 0, 0, new DateTime(2023, 5, 30), "TestTag1"); - var realTimeHandler = new TestLiveTradingRealTimeHandlerReset(); - realTimeHandler.Setup(algorithm, - new AlgorithmNodePacket(PacketType.AlgorithmNode), - new BacktestingResultHandler(), - null, - new TestTimeLimitManager()); - realTimeHandler.AddRefreshHoursScheduledEvent(); + var orderProcessorMock = new Mock(); + orderProcessorMock.Setup(m => m.GetOrderTicket(It.IsAny())).Returns(new OrderTicket(algorithm.Transactions, orderRequest)); + algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object); + var orderTicket = transactionHandler.Process(orderRequest); + transactionHandler.HandleOrderRequest(orderRequest); + Assert.IsTrue(orderTicket.Status == OrderStatus.Submitted); + broker.Scan(); + Assert.IsTrue(orderTicket.Status == OrderStatus.Filled); - orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 1, 0, 0, new DateTime(2023, 5, 30), "TestTag2"); - orderRequest.SetOrderId(2); - orderTicket = transactionHandler.Process(orderRequest); - transactionHandler.HandleOrderRequest(orderRequest); - Assert.IsTrue(orderTicket.Status == OrderStatus.Submitted); - broker.Scan(); - Assert.IsTrue(orderTicket.Status != OrderStatus.Filled); + realTimeHandler.Setup(algorithm, + new AlgorithmNodePacket(PacketType.AlgorithmNode), + new BacktestingResultHandler(), + null, + new TestTimeLimitManager()); + realTimeHandler.AddRefreshHoursScheduledEvent(); + + orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 1, 0, 0, new DateTime(2023, 5, 30), "TestTag2"); + orderRequest.SetOrderId(2); + orderTicket = transactionHandler.Process(orderRequest); + transactionHandler.HandleOrderRequest(orderRequest); + Assert.IsTrue(orderTicket.Status == OrderStatus.Submitted); + broker.Scan(); + Assert.IsTrue(orderTicket.Status != OrderStatus.Filled); + } + finally + { + transactionHandler.Exit(); + realTimeHandler.Exit(); + } - realTimeHandler.Exit(); } [TestCase(null)] diff --git a/Tests/Engine/Results/LiveTradingResultHandlerTests.cs b/Tests/Engine/Results/LiveTradingResultHandlerTests.cs index bc01c7eeb167..ba3da3aac2d1 100644 --- a/Tests/Engine/Results/LiveTradingResultHandlerTests.cs +++ b/Tests/Engine/Results/LiveTradingResultHandlerTests.cs @@ -151,38 +151,43 @@ public void DailySampleValueBasedOnMarketHour(bool extendedMarketHoursEnabled) var resultHandler = new LiveTradingResultHandler(); resultHandler.Initialize(new (new LiveNodePacket(), messagging, api, new BacktestingTransactionHandler(), null)); - var algo = new AlgorithmStub(createDataManager:false); - algo.SetFinishedWarmingUp(); - var dataManager = new DataManagerStub(new TestDataFeed(), algo); - algo.SubscriptionManager.SetDataManager(dataManager); - var aapl = algo.AddEquity("AAPL", extendedMarketHours: extendedMarketHoursEnabled); - algo.PostInitialize(); - resultHandler.SetAlgorithm(algo, 100000); - resultHandler.OnSecuritiesChanged(SecurityChangesTests.AddedNonInternal(aapl)); - - // Add values during market hours, should always update - algo.Portfolio.CashBook["USD"].AddAmount(1000); - algo.Portfolio.InvalidateTotalPortfolioValue(); - - resultHandler.Sample(referenceDate.AddHours(15)); - Assert.IsTrue(resultHandler.Charts.ContainsKey("Strategy Equity")); - Assert.AreEqual(1, resultHandler.Charts["Strategy Equity"].Series["Equity"].Values.Count); - - var currentEquityValue = (Candlestick)resultHandler.Charts["Strategy Equity"].Series["Equity"].Values.Last(); - Assert.AreEqual(101000, currentEquityValue.Close); - - // Add value to portfolio, see if portfolio updates with new sample - // will be changed to 'extendedMarketHoursEnabled' = true - algo.Portfolio.CashBook["USD"].AddAmount(10000); - algo.Portfolio.InvalidateTotalPortfolioValue(); - - resultHandler.Sample(referenceDate.AddHours(22)); - Assert.AreEqual(2, resultHandler.Charts["Strategy Equity"].Series["Equity"].Values.Count); - - currentEquityValue = (Candlestick)resultHandler.Charts["Strategy Equity"].Series["Equity"].Values.Last(); - Assert.AreEqual(extendedMarketHoursEnabled ? 111000 : 101000, currentEquityValue.Close); - - resultHandler.Exit(); + try + { + var algo = new AlgorithmStub(createDataManager: false); + algo.SetFinishedWarmingUp(); + var dataManager = new DataManagerStub(new TestDataFeed(), algo); + algo.SubscriptionManager.SetDataManager(dataManager); + var aapl = algo.AddEquity("AAPL", extendedMarketHours: extendedMarketHoursEnabled); + algo.PostInitialize(); + resultHandler.SetAlgorithm(algo, 100000); + resultHandler.OnSecuritiesChanged(SecurityChangesTests.AddedNonInternal(aapl)); + + // Add values during market hours, should always update + algo.Portfolio.CashBook["USD"].AddAmount(1000); + algo.Portfolio.InvalidateTotalPortfolioValue(); + + resultHandler.Sample(referenceDate.AddHours(15)); + Assert.IsTrue(resultHandler.Charts.ContainsKey("Strategy Equity")); + Assert.AreEqual(1, resultHandler.Charts["Strategy Equity"].Series["Equity"].Values.Count); + + var currentEquityValue = (Candlestick)resultHandler.Charts["Strategy Equity"].Series["Equity"].Values.Last(); + Assert.AreEqual(101000, currentEquityValue.Close); + + // Add value to portfolio, see if portfolio updates with new sample + // will be changed to 'extendedMarketHoursEnabled' = true + algo.Portfolio.CashBook["USD"].AddAmount(10000); + algo.Portfolio.InvalidateTotalPortfolioValue(); + + resultHandler.Sample(referenceDate.AddHours(22)); + Assert.AreEqual(2, resultHandler.Charts["Strategy Equity"].Series["Equity"].Values.Count); + + currentEquityValue = (Candlestick)resultHandler.Charts["Strategy Equity"].Series["Equity"].Values.Last(); + Assert.AreEqual(extendedMarketHoursEnabled ? 111000 : 101000, currentEquityValue.Close); + } + finally + { + resultHandler.Exit(); + } } private class TestDataFeed : IDataFeed diff --git a/Tests/Engine/Setup/BrokerageSetupHandlerTests.cs b/Tests/Engine/Setup/BrokerageSetupHandlerTests.cs index c62dbc440c4a..09eb0309d897 100644 --- a/Tests/Engine/Setup/BrokerageSetupHandlerTests.cs +++ b/Tests/Engine/Setup/BrokerageSetupHandlerTests.cs @@ -33,11 +33,14 @@ using QuantConnect.Securities; using QuantConnect.Securities.Option.StrategyMatcher; using QuantConnect.Securities.Option; -using QuantConnect.Tests.Common.Securities; using QuantConnect.Tests.Engine.DataFeeds; using QuantConnect.Util; using Bitcoin = QuantConnect.Algorithm.CSharp.LiveTradingFeaturesAlgorithm.Bitcoin; using System.Collections; +using QuantConnect.Configuration; +using NodaTime; +using QuantConnect.Data.Market; +using QuantConnect.Data; namespace QuantConnect.Tests.Engine.Setup { @@ -183,7 +186,7 @@ public void ExistingHoldingsAndOrdersUniverseSettings(Func> getHol catch { } - var algorithm = new TestAlgorithm { UniverseSettings = { Resolution = Resolution.Daily, Leverage = (hasCrypto ? 1 : 20), FillForward = false, ExtendedMarketHours = true} }; + var algorithm = new TestAlgorithm { UniverseSettings = { Resolution = Resolution.Daily, Leverage = (hasCrypto ? 1 : 20), FillForward = false, ExtendedMarketHours = true } }; algorithm.SetHistoryProvider(new BrokerageTransactionHandlerTests.BrokerageTransactionHandlerTests.EmptyHistoryProvider()); var job = GetJob(); var resultHandler = new Mock(); @@ -235,7 +238,7 @@ public void ExistingHoldingsAndOrdersUniverseSettings(Func> getHol } } - [TestCaseSource(typeof(ExistingHoldingAndOrdersDataClass),nameof(ExistingHoldingAndOrdersDataClass.GetExistingHoldingsAndOrdersTestCaseData))] + [TestCaseSource(typeof(ExistingHoldingAndOrdersDataClass), nameof(ExistingHoldingAndOrdersDataClass.GetExistingHoldingsAndOrdersTestCaseData))] public void LoadsExistingHoldingsAndOrders(Func> getHoldings, Func> getOrders, bool expected) { var algorithm = new TestAlgorithm(); @@ -282,7 +285,7 @@ public void EnforcesTotalPortfolioValue(bool fails) brokerage.Setup(x => x.IsConnected).Returns(true); brokerage.Setup(x => x.AccountBaseCurrency).Returns(Currencies.USD); - brokerage.Setup(x => x.GetCashBalance()).Returns(new List { new CashAmount(10000, Currencies.USD), new CashAmount(11, Currencies.GBP)}); + brokerage.Setup(x => x.GetCashBalance()).Returns(new List { new CashAmount(10000, Currencies.USD), new CashAmount(11, Currencies.GBP) }); brokerage.Setup(x => x.GetAccountHoldings()).Returns(new List()); brokerage.Setup(x => x.GetOpenOrders()).Returns(new List()); @@ -593,6 +596,51 @@ public void HasErrorWithZeroTotalPortfolioValue(bool hasCashBalance, bool hasHol } } + [Test] + public void ZeroQuantityCurrenciesAreNotAddedToCashBook() + { + var algorithm = new TestAlgorithm(); + algorithm.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage); + algorithm.SetHistoryProvider(new BrokerageTransactionHandlerTests.BrokerageTransactionHandlerTests.EmptyHistoryProvider()); + + var job = GetJob(); + var resultHandler = new Mock(); + var transactionHandler = new Mock(); + var realTimeHandler = new Mock(); + var brokerage = new Mock(); + + brokerage.Setup(x => x.IsConnected).Returns(true); + brokerage.Setup(x => x.AccountBaseCurrency).Returns(Currencies.USD); + + // EUR with zero quantity, should NOT be added to CashBook + brokerage.Setup(x => x.GetCashBalance()).Returns(new List + { + new CashAmount(0, "USD"), + new CashAmount(0, "EUR"), + new CashAmount(123, "ETH") + }); + + brokerage.Setup(x => x.GetAccountHoldings()).Returns(new List()); + brokerage.Setup(x => x.GetOpenOrders()).Returns(new List()); + + using var setupHandler = new BrokerageSetupHandler(); + + IBrokerageFactory factory; + setupHandler.CreateBrokerage(job, algorithm, out factory); + factory.Dispose(); + + var result = setupHandler.Setup(new SetupHandlerParameters(_dataManager.UniverseSelection, algorithm, brokerage.Object, job, resultHandler.Object, + transactionHandler.Object, realTimeHandler.Object, TestGlobals.DataCacheProvider, TestGlobals.MapFileProvider)); + + Assert.IsTrue(result); + // USD should be present even though it has zero quantity because it's the account currency + Assert.IsTrue(algorithm.Portfolio.CashBook.ContainsKey("USD")); + // EUR should NOT be present (zero amount) + Assert.IsFalse(algorithm.Portfolio.CashBook.ContainsKey("EUR")); + // ETH should be present + Assert.IsTrue(algorithm.Portfolio.CashBook.ContainsKey("ETH")); + } + private void TestLoadExistingHoldingsAndOrders(IAlgorithm algorithm, Func> getHoldings, Func> getOrders, bool expected) { var job = GetJob(); @@ -842,6 +890,28 @@ public bool TestLoadExistingHoldingsAndOrders(IBrokerage brokerage, IAlgorithm a return LoadExistingHoldingsAndOrders(brokerage, algorithm, parameters); } } + + private class TestHistoryProvider : HistoryProviderBase + { + public override int DataPointCount { get; } + public override void Initialize(HistoryProviderInitializeParameters parameters) + { + throw new NotImplementedException(); + } + + public override IEnumerable GetHistory(IEnumerable requests, DateTimeZone sliceTimeZone) + { + var requestsList = requests.ToList(); + if (requestsList.Count == 0) + { + return Enumerable.Empty(); + } + + var request = requestsList[0]; + return new List{ new Slice(DateTime.UtcNow, + new List {new QuoteBar(DateTime.MinValue, request.Symbol, new Bar(1, 2, 3, 4), 5, new Bar(1, 2, 3, 4), 5) }, DateTime.UtcNow)}; + } + } } internal class TestBrokerageFactory : BrokerageFactory diff --git a/Tests/Indicators/CovarianceTests.cs b/Tests/Indicators/CovarianceTests.cs new file mode 100644 index 000000000000..32981af7f30a --- /dev/null +++ b/Tests/Indicators/CovarianceTests.cs @@ -0,0 +1,291 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. +*/ + +using NUnit.Framework; +using QuantConnect.Data.Consolidators; +using QuantConnect.Data.Market; +using QuantConnect.Indicators; +using System; +using System.Collections.Generic; +using System.Linq; +using MathNet.Numerics.Statistics; +using static QuantConnect.Tests.Indicators.TestHelper; + +namespace QuantConnect.Tests.Indicators +{ + [TestFixture] + public class CovarianceTests : CommonIndicatorTests + { + protected override string TestFileName => "spy_qqq_cov.csv"; + + protected override string TestColumnName => "Covariance"; + + private DateTime _reference = new DateTime(2020, 1, 1); + + protected override IndicatorBase CreateIndicator() + { + Symbol symbolA; + Symbol symbolB; + if (SymbolList.Count > 1) + { + symbolA = SymbolList[0]; + symbolB = SymbolList[1]; + } + else + { + symbolA = Symbol.Create("SPY", SecurityType.Equity, Market.USA); + symbolB = Symbol.Create("QQQ", SecurityType.Equity, Market.USA); + } + var indicator = new Covariance("testCovarianceIndicator", symbolA, symbolB, 252); + return indicator; + } + + protected override List GetSymbols() + { + var QQQ = Symbol.Create("QQQ", SecurityType.Equity, Market.USA); + return [Symbols.SPY, QQQ]; + } + + [Test] + public override void TimeMovesForward() + { + var indicator = new Covariance("testCovarianceIndicator", Symbols.IBM, Symbols.SPY, 5); + + for (var i = 10; i > 0; i--) + { + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, Low = 1, High = 2, Volume = 100, Close = 500, Time = _reference.AddDays(1 + i) }); + indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = 500, Time = _reference.AddDays(1 + i) }); + } + + Assert.AreEqual(2, indicator.Samples); + } + + [Test] + public override void WarmsUpProperly() + { + var indicator = new Covariance("testCovarianceIndicator", Symbols.IBM, Symbols.SPY, 5); + var period = (indicator as IIndicatorWarmUpPeriodProvider)?.WarmUpPeriod; + + if (!period.HasValue) + { + Assert.Ignore($"{indicator.Name} is not IIndicatorWarmUpPeriodProvider"); + return; + } + + for (var i = 0; i < period.Value; i++) + { + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, Low = 1, High = 2, Volume = 100, Close = 500, Time = _reference.AddDays(1 + i) }); + indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = 500, Time = _reference.AddDays(1 + i) }); + } + + Assert.AreEqual(2 * period.Value, indicator.Samples); + } + + [Test] + public override void WorksWithLowValues() + { + SymbolList = GetSymbols(); + Symbol = SymbolList[1]; + base.WorksWithLowValues(); + } + + [Test] + public override void AcceptsRenkoBarsAsInput() + { + var indicator = new Covariance("testCovarianceIndicator", Symbols.SPY, Symbol.Create("QQQ", SecurityType.Equity, Market.USA), 5); + var firstRenkoConsolidator = new RenkoConsolidator(10m); + var secondRenkoConsolidator = new RenkoConsolidator(10m); + firstRenkoConsolidator.DataConsolidated += (sender, renkoBar) => + { + Assert.DoesNotThrow(() => indicator.Update(renkoBar)); + }; + + secondRenkoConsolidator.DataConsolidated += (sender, renkoBar) => + { + Assert.DoesNotThrow(() => indicator.Update(renkoBar)); + }; + + foreach (var parts in GetCsvFileStream(TestFileName).Take(50)) + { + var tradebar = parts.GetTradeBar(); + if (tradebar.Symbol.Value == "SPY") + { + firstRenkoConsolidator.Update(tradebar); + } + else + { + secondRenkoConsolidator.Update(tradebar); + } + } + + Assert.IsTrue(indicator.IsReady); + Assert.AreNotEqual(0, indicator.Samples); + firstRenkoConsolidator.Dispose(); + secondRenkoConsolidator.Dispose(); + } + + [Test] + public override void AcceptsVolumeRenkoBarsAsInput() + { + var indicator = new Covariance("testCovarianceIndicator", Symbols.SPY, Symbol.Create("QQQ", SecurityType.Equity, Market.USA), 5); + var firstVolumeRenkoConsolidator = new VolumeRenkoConsolidator(1000000); + var secondVolumeRenkoConsolidator = new VolumeRenkoConsolidator(1000000000); + firstVolumeRenkoConsolidator.DataConsolidated += (sender, renkoBar) => + { + Assert.DoesNotThrow(() => indicator.Update(renkoBar)); + }; + + secondVolumeRenkoConsolidator.DataConsolidated += (sender, renkoBar) => + { + Assert.DoesNotThrow(() => indicator.Update(renkoBar)); + }; + + foreach (var parts in GetCsvFileStream(TestFileName).Take(50)) + { + var tradebar = parts.GetTradeBar(); + if (tradebar.Symbol.Value == "SPY") + { + firstVolumeRenkoConsolidator.Update(tradebar); + } + else + { + secondVolumeRenkoConsolidator.Update(tradebar); + } + } + + // With VolumeRenkoConsolidator(1000000000), limited data won't produce enough bars + // The test verifies the indicator accepts the input, not that it becomes ready + Assert.AreNotEqual(0, indicator.Samples); + firstVolumeRenkoConsolidator.Dispose(); + secondVolumeRenkoConsolidator.Dispose(); + } + + + [Test] + public void AcceptsQuoteBarsAsInput() + { + var indicator = new Covariance("testCovarianceIndicator", Symbols.IBM, Symbols.SPY, 5); + + for (var i = 10; i > 0; i--) + { + indicator.Update(new QuoteBar { Symbol = Symbols.IBM, Ask = new Bar(1, 2, 1, 500), Bid = new Bar(1, 2, 1, 500), Time = _reference.AddDays(1 + i) }); + indicator.Update(new QuoteBar { Symbol = Symbols.SPY, Ask = new Bar(1, 2, 1, 500), Time = _reference.AddDays(1 + i) }); + } + + Assert.AreEqual(2, indicator.Samples); + } + + [Test] + public void ValidateCovarianceCalculation() + { + var cov = new Covariance(Symbols.AAPL, Symbols.SPX, 3); + + var values = new List() + { + new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 10, Time = _reference.AddDays(1), EndTime = _reference.AddDays(2) }, + new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 35, Time = _reference.AddDays(1), EndTime = _reference.AddDays(2) }, + new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 2, Time = _reference.AddDays(2),EndTime = _reference.AddDays(3) }, + new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 2, Time = _reference.AddDays(2), EndTime = _reference.AddDays(3) }, + new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 15, Time = _reference.AddDays(3), EndTime = _reference.AddDays(4) }, + new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 80, Time = _reference.AddDays(3), EndTime = _reference.AddDays(4) }, + new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 4, Time = _reference.AddDays(4), EndTime = _reference.AddDays(5) }, + new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 4, Time = _reference.AddDays(4), EndTime = _reference.AddDays(5) }, + new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 37, Time = _reference.AddDays(5), EndTime = _reference.AddDays(6) }, + new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 90, Time = _reference.AddDays(5), EndTime = _reference.AddDays(6) }, + new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 105, Time = _reference.AddDays(6), EndTime = _reference.AddDays(7) }, + new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 302, Time = _reference.AddDays(6), EndTime = _reference.AddDays(7) }, + }; + + // Calculating covariance manually + var closeAAPL = new List() { 10, 15, 90, 105 }; + var closeSPX = new List() { 35, 80, 37, 302 }; + var priceChangesAAPL = new List(); + var priceChangesSPX = new List(); + for (int i = 1; i < 4; i++) + { + priceChangesAAPL.Add((closeAAPL[i] - closeAAPL[i - 1]) / closeAAPL[i - 1]); + priceChangesSPX.Add((closeSPX[i] - closeSPX[i - 1]) / closeSPX[i - 1]); + } + var expectedCovariance = priceChangesAAPL.Covariance(priceChangesSPX); + + // Calculating covariance using the indicator + for (int i = 0; i < values.Count; i++) + { + cov.Update(values[i]); + } + + Assert.AreEqual((decimal)expectedCovariance, cov.Current.Value); + } + + [Test] + public void CovarianceWithDifferentTimeZones() + { + var indicator = new Covariance(Symbols.SPY, Symbols.BTCUSD, 5); + + for (int i = 0; i < 10; i++) + { + var startTime = _reference.AddDays(1 + i); + var endTime = startTime.AddDays(1); + indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = i + 1, Time = startTime, EndTime = endTime }); + indicator.Update(new TradeBar() { Symbol = Symbols.BTCUSD, Low = 1, High = 2, Volume = 100, Close = i + 1, Time = startTime, EndTime = endTime }); + } + // All close prices are increasing by constant amount, so returns are decreasing but positive. + // Both assets have same prices, so covariance should be equal to variance of either. + Assert.IsTrue(indicator.Current.Value > 0); + } + + [Test] + public override void TracksPreviousState() + { + var period = 5; + var indicator = new Covariance(Symbols.SPY, Symbols.AAPL, period); + var previousValue = indicator.Current.Value; + + // Update the indicator and verify the previous values + for (var i = 1; i < 2 * period; i++) + { + var startTime = _reference.AddDays(1 + i); + var endTime = startTime.AddDays(1); + indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = 1000 + i * 10, Time = startTime, EndTime = endTime }); + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 1000 + (i * 15), Time = startTime, EndTime = endTime }); + // Verify the previous value matches the indicator's previous value + Assert.AreEqual(previousValue, indicator.Previous.Value); + + // Update previousValue to the current value for the next iteration + previousValue = indicator.Current.Value; + } + } + + [Test] + public override void IndicatorShouldHaveSymbolAfterUpdates() + { + var period = 5; + var indicator = new Covariance(Symbols.SPY, Symbols.AAPL, period); + + for (var i = 0; i < 2 * period; i++) + { + var startTime = _reference.AddDays(1 + i); + var endTime = startTime.AddDays(1); + // Update with the first symbol (SPY) — indicator.Current.Symbol should reflect this update + indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = 1000 + i * 10, Time = startTime, EndTime = endTime }); + Assert.AreEqual(Symbols.SPY, indicator.Current.Symbol); + + // Update with the first symbol (AAPL) — indicator.Current.Symbol should reflect this update + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 1000 + (i * 15), Time = startTime, EndTime = endTime }); + Assert.AreEqual(Symbols.AAPL, indicator.Current.Symbol); + } + } + } +} diff --git a/Tests/Indicators/IchimokuKinkoHyoTests.cs b/Tests/Indicators/IchimokuKinkoHyoTests.cs index 68feaf0078eb..ef19b5ce846e 100644 --- a/Tests/Indicators/IchimokuKinkoHyoTests.cs +++ b/Tests/Indicators/IchimokuKinkoHyoTests.cs @@ -1,4 +1,4 @@ -/* +/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * @@ -36,7 +36,7 @@ protected override IndicatorBase CreateIndicator() protected override Action, double> Assertion => (indicator, expected) => - Assert.AreEqual(expected, (double) ((IchimokuKinkoHyo) indicator).Tenkan.Current.Value, 1e-3); + Assert.AreEqual(expected, (double)((IchimokuKinkoHyo)indicator).Tenkan.Current.Value, 1e-3); [Test] public void ComparesWithExternalDataTenkanMaximum() @@ -166,5 +166,25 @@ public void ComparesWithExternalDataDelayedMinimumSenkouB() (ind, expected) => Assert.AreEqual(expected, (double)((IchimokuKinkoHyo)ind).DelayedMinimumSenkouB.Current.Value) ); } + + [Test] + public void ComponentsAreNonZeroWhenIndicatorIsReady() + { + var indicator = new IchimokuKinkoHyo(2, 3, 2, 4, 2, 2); + var date = new DateTime(2017, 1, 1); + + for (int i = 1; i <= indicator.WarmUpPeriod; i++) + { + var tradeBar = new TradeBar(date + TimeSpan.FromDays(i), Symbols.SPY, + 100 * i, 200 * i, 100 * i, 200 * i, 500 * i); + indicator.Update(tradeBar); + } + + Assert.IsTrue(indicator.IsReady); + Assert.AreNotEqual(0m, indicator.Tenkan.Current.Value); + Assert.AreNotEqual(0m, indicator.Kijun.Current.Value); + Assert.AreNotEqual(0m, indicator.SenkouA.Current.Value); + Assert.AreNotEqual(0m, indicator.SenkouB.Current.Value); + } } -} \ No newline at end of file +} diff --git a/Tests/Indicators/NewHighsNewLowsDifferenceTests.cs b/Tests/Indicators/NewHighsNewLowsDifferenceTests.cs new file mode 100644 index 000000000000..1fc40a4fc100 --- /dev/null +++ b/Tests/Indicators/NewHighsNewLowsDifferenceTests.cs @@ -0,0 +1,245 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. +*/ + +using NUnit.Framework; +using QuantConnect.Data.Market; +using QuantConnect.Indicators; +using System; + +namespace QuantConnect.Tests.Indicators +{ + [TestFixture] + public class NewHighsNewLowsDifferenceTests : NewHighsNewLowsTestsBase + { + protected override NewHighsNewLows CreateNewHighsNewLowsIndicator() + { + // For test purposes we use period of two + return new NewHighsNewLows("test_name", 2); + } + + protected override IndicatorBase GetSubIndicator(IndicatorBase mainIndicator) + { + return (mainIndicator as NewHighsNewLows).Difference; + } + + [Test] + public virtual void ShouldIgnoreRemovedStocks() + { + var indicator = CreateIndicator() as NewHighsNewLows; + var reference = DateTime.Today; + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 0.9m, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 0.9m, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 0.9m, Time = reference.AddMinutes(2) }); + + // value is not ready yet + Assert.AreEqual(0m, indicator.Difference.Current.Value); + + // new low + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 0.5m, Time = reference.AddMinutes(3) }); + // new low + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 0.3m, Time = reference.AddMinutes(3) }); + // new low + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 0.2m, Time = reference.AddMinutes(3) }); + + Assert.AreEqual(-3m, indicator.Difference.Current.Value); + + indicator.Reset(); + indicator.Remove(Symbols.GOOG); + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 0.9m, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 0.9m, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 0.9m, Time = reference.AddMinutes(2) }); + + // value is not ready yet + Assert.AreEqual(0m, indicator.Difference.Current.Value); + + // new low + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 0.5m, Time = reference.AddMinutes(3) }); + // new low + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 0.3m, Time = reference.AddMinutes(3) }); + // new low (ignored) + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 0.2m, Time = reference.AddMinutes(3) }); + + Assert.AreEqual(-2m, indicator.Difference.Current.Value); + } + + [Test] + public virtual void IgnorePeriodIfAnyStockMissed() + { + var indicator = CreateIndicator() as NewHighsNewLows; + indicator.Add(Symbols.MSFT); + var reference = DateTime.Today; + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.MSFT, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 2, Low = 1, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 2, Low = 1, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 2, Low = 1, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.MSFT, High = 2, Low = 1, Time = reference.AddMinutes(2) }); + + // value is not ready yet + Assert.AreEqual(0m, indicator.Difference.Current.Value); + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 3, Low = 1, Time = reference.AddMinutes(3) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 2, Low = 0.5m, Time = reference.AddMinutes(3) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 3, Low = 1, Time = reference.AddMinutes(3) }); + + Assert.AreEqual(0m, indicator.Difference.Current.Value); + + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 4, Low = 1, Time = reference.AddMinutes(4) }); + // new low + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 2, Low = 0.3m, Time = reference.AddMinutes(4) }); + // no change + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 3, Low = 1, Time = reference.AddMinutes(4) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.MSFT, High = 4, Low = 1, Time = reference.AddMinutes(4) }); + + Assert.AreEqual(1m, indicator.Difference.Current.Value); + + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 5, Low = 1, Time = reference.AddMinutes(5) }); + // new low + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 2, Low = 0.2m, Time = reference.AddMinutes(5) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 4, Low = 1, Time = reference.AddMinutes(5) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.MSFT, High = 5, Low = 1, Time = reference.AddMinutes(5) }); + + Assert.AreEqual(2m, indicator.Difference.Current.Value); + + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 6, Low = 1, Time = reference.AddMinutes(6) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 3, Low = 1, Time = reference.AddMinutes(6) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.MSFT, High = 6, Low = 1, Time = reference.AddMinutes(6) }); + + Assert.AreEqual(2m, indicator.Difference.Current.Value); + + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 7, Low = 1, Time = reference.AddMinutes(7) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 5, Low = 1, Time = reference.AddMinutes(7) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.MSFT, High = 7, Low = 1, Time = reference.AddMinutes(7) }); + + Assert.AreEqual(2m, indicator.Difference.Current.Value); + } + + [Test] + public override void WarmsUpProperly() + { + var indicator = CreateIndicator() as NewHighsNewLows; + var reference = DateTime.Today; + + // setup period (unordered) + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 2, Low = 1, Time = reference.AddMinutes(2) }); + + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 0.5m, Low = 0.2m, Time = reference.AddMinutes(2) }); + + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 3, Low = 1, Time = reference.AddMinutes(2) }); + + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 3, Low = 1, Time = reference.AddMinutes(3) }); + // new low + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 0.75m, Low = 0.1m, Time = reference.AddMinutes(3) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 5, Low = 2, Time = reference.AddMinutes(3) }); + + Assert.IsTrue(indicator.IsReady); + Assert.AreEqual(1m, indicator.Difference.Current.Value); + Assert.AreEqual(9, indicator.Samples); + Assert.AreEqual(1, indicator.Difference.Samples); + } + + [Test] + public virtual void WarmsUpOrdered() + { + var indicator = CreateIndicator() as NewHighsNewLows; + var reference = DateTime.Today; + + // setup period (ordered) + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 2, Low = 1, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 0.5m, Low = 1, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 3, Low = 1, Time = reference.AddMinutes(2) }); + + // indicator is not ready yet + Assert.IsFalse(indicator.IsReady); + + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 3, Low = 1, Time = reference.AddMinutes(3) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 4, Low = 1, Time = reference.AddMinutes(3) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 5, Low = 1, Time = reference.AddMinutes(3) }); + + Assert.IsTrue(indicator.IsReady); + Assert.AreEqual(3m, indicator.Difference.Current.Value); + } + + [Test] + public override void IndicatorShouldHaveSymbolAfterUpdates() + { + var indicator = CreateIndicator() as NewHighsNewLows; + var reference = DateTime.Today; + + for (int i = 0; i < 10; i++) + { + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 1, Volume = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 1, Volume = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 1, Volume = 1, Time = reference.AddMinutes(1) }); + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 2, Low = 1, Volume = 1, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 0.5m, Volume = 1, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 3, Low = 1, Volume = 1, Time = reference.AddMinutes(2) }); + + // indicator is not ready yet + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 3, Low = 1, Volume = 1, Time = reference.AddMinutes(3) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 0.3m, Volume = 1, Time = reference.AddMinutes(3) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 4, Low = 1, Volume = 1, Time = reference.AddMinutes(3) }); + + // indicator is ready + + // The last update used Symbol.GOOG, so the indicator's current Symbol should be GOOG + Assert.AreEqual(Symbols.GOOG, indicator.Difference.Current.Symbol); + } + } + + protected override string TestFileName => "nhnl_data.csv"; + + protected override string TestColumnName => "NH/NL Difference"; + } +} diff --git a/Tests/Indicators/NewHighsNewLowsRatioTests.cs b/Tests/Indicators/NewHighsNewLowsRatioTests.cs new file mode 100644 index 000000000000..7d1816d8dcb2 --- /dev/null +++ b/Tests/Indicators/NewHighsNewLowsRatioTests.cs @@ -0,0 +1,246 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. +*/ + +using NUnit.Framework; +using QuantConnect.Data.Market; +using QuantConnect.Indicators; +using System; + +namespace QuantConnect.Tests.Indicators +{ + [TestFixture] + public class NewHighsNewLowsRatioTests : NewHighsNewLowsTestsBase + { + protected override NewHighsNewLows CreateNewHighsNewLowsIndicator() + { + // For test purposes we use period of two + return new NewHighsNewLows("test_name", 2); + } + + protected override IndicatorBase GetSubIndicator(IndicatorBase mainIndicator) + { + // we need to use the Ratio sub-indicator + return (mainIndicator as NewHighsNewLows).Ratio; + } + + [Test] + public void ShouldIgnoreRemovedStocks() + { + var indicator = (NewHighsNewLows)CreateIndicator(); + var reference = DateTime.Today; + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 0.9m, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 0.9m, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 0.9m, Time = reference.AddMinutes(2) }); + + // value is not ready yet + Assert.AreEqual(0m, indicator.Ratio.Current.Value); + + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 2, Low = 0.9m, Time = reference.AddMinutes(3) }); + // new low + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 0.3m, Time = reference.AddMinutes(3) }); + // new low + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 0.2m, Time = reference.AddMinutes(3) }); + + Assert.AreEqual(0.5m, indicator.Ratio.Current.Value); + + indicator.Reset(); + indicator.Remove(Symbols.GOOG); + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 0.9m, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 0.9m, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 0.9m, Time = reference.AddMinutes(2) }); + + // value is not ready yet + Assert.AreEqual(0m, indicator.Ratio.Current.Value); + + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 2, Low = 0.9m, Time = reference.AddMinutes(3) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 2, Low = 0.9m, Time = reference.AddMinutes(3) }); + // new low (ignored) + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 0.2m, Time = reference.AddMinutes(3) }); + + Assert.AreEqual(2m, indicator.Ratio.Current.Value); + } + + [Test] + public void IgnorePeriodIfAnyStockMissed() + { + var indicator = (NewHighsNewLows)CreateIndicator(); + indicator.Add(Symbols.MSFT); + var reference = DateTime.Today; + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.MSFT, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 2, Low = 1, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 2, Low = 1, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 2, Low = 1, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.MSFT, High = 2, Low = 1, Time = reference.AddMinutes(2) }); + + // value is not ready yet + Assert.AreEqual(0m, indicator.Ratio.Current.Value); + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 3, Low = 1, Time = reference.AddMinutes(3) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 2, Low = 0.5m, Time = reference.AddMinutes(3) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 3, Low = 1, Time = reference.AddMinutes(3) }); + + Assert.AreEqual(0m, indicator.Ratio.Current.Value); + + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 4, Low = 1, Time = reference.AddMinutes(4) }); + // new low + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 2, Low = 0.3m, Time = reference.AddMinutes(4) }); + // no change + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 3, Low = 1, Time = reference.AddMinutes(4) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.MSFT, High = 4, Low = 1, Time = reference.AddMinutes(4) }); + + Assert.AreEqual(2m, indicator.Ratio.Current.Value); + + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 5, Low = 1, Time = reference.AddMinutes(5) }); + // new low + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 2, Low = 0.2m, Time = reference.AddMinutes(5) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 4, Low = 1, Time = reference.AddMinutes(5) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.MSFT, High = 5, Low = 1, Time = reference.AddMinutes(5) }); + + Assert.AreEqual(3m, indicator.Ratio.Current.Value); + + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 6, Low = 1, Time = reference.AddMinutes(6) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 3, Low = 1, Time = reference.AddMinutes(6) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.MSFT, High = 6, Low = 1, Time = reference.AddMinutes(6) }); + + Assert.AreEqual(3m, indicator.Ratio.Current.Value); + + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 7, Low = 1, Time = reference.AddMinutes(7) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 5, Low = 1, Time = reference.AddMinutes(7) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.MSFT, High = 7, Low = 1, Time = reference.AddMinutes(7) }); + + Assert.AreEqual(3m, indicator.Ratio.Current.Value); + } + + [Test] + public override void WarmsUpProperly() + { + var indicator = (NewHighsNewLows)CreateIndicator(); + var reference = DateTime.Today; + + // setup period (unordered) + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 2, Low = 1, Time = reference.AddMinutes(2) }); + + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 0.5m, Low = 0.2m, Time = reference.AddMinutes(2) }); + + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 3, Low = 1, Time = reference.AddMinutes(2) }); + + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 3, Low = 1, Time = reference.AddMinutes(3) }); + // new low + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 0.75m, Low = 0.1m, Time = reference.AddMinutes(3) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 5, Low = 2, Time = reference.AddMinutes(3) }); + + Assert.IsTrue(indicator.Ratio.IsReady); + Assert.AreEqual(2m, indicator.Ratio.Current.Value); + Assert.AreEqual(9, indicator.Samples); + Assert.AreEqual(1, indicator.Ratio.Samples); + } + + [Test] + public void WarmsUpOrdered() + { + var indicator = (NewHighsNewLows)CreateIndicator(); + var reference = DateTime.Today; + + // setup period (ordered) + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 1, Time = reference.AddMinutes(1) }); + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 2, Low = 1, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 0.5m, Low = 1, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 3, Low = 1, Time = reference.AddMinutes(2) }); + + // indicator is not ready yet + Assert.IsFalse(indicator.Ratio.IsReady); + + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 3, Low = 1, Time = reference.AddMinutes(3) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 4, Low = 1, Time = reference.AddMinutes(3) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 5, Low = 1, Time = reference.AddMinutes(3) }); + + Assert.IsTrue(indicator.Ratio.IsReady); + Assert.AreEqual(3m, indicator.Ratio.Current.Value); + } + + [Test] + public override void IndicatorShouldHaveSymbolAfterUpdates() + { + var indicator = CreateIndicator() as NewHighsNewLows; + var reference = DateTime.Today; + + for (int i = 0; i < 10; i++) + { + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 1, Volume = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 1, Volume = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 1, Volume = 1, Time = reference.AddMinutes(1) }); + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 2, Low = 1, Volume = 1, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 0.5m, Volume = 1, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 3, Low = 1, Volume = 1, Time = reference.AddMinutes(2) }); + + // indicator is not ready yet + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 3, Low = 1, Volume = 1, Time = reference.AddMinutes(3) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 0.3m, Volume = 1, Time = reference.AddMinutes(3) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 4, Low = 1, Volume = 1, Time = reference.AddMinutes(3) }); + + // indicator is ready + + // The last update used Symbol.GOOG, so the indicator's current Symbol should be GOOG + Assert.AreEqual(Symbols.GOOG, indicator.Ratio.Current.Symbol); + } + } + + protected override string TestFileName => "nhnl_data.csv"; + + protected override string TestColumnName => "NH/NL Ratio"; + } +} diff --git a/Tests/Indicators/NewHighsNewLowsTestsBase.cs b/Tests/Indicators/NewHighsNewLowsTestsBase.cs new file mode 100644 index 000000000000..b6a85a05f636 --- /dev/null +++ b/Tests/Indicators/NewHighsNewLowsTestsBase.cs @@ -0,0 +1,166 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. +*/ + +using NUnit.Framework; +using QuantConnect.Data.Consolidators; +using QuantConnect.Data.Market; +using QuantConnect.Indicators; +using System; +using System.Collections.Generic; +using System.Linq; +using static QuantConnect.Tests.Indicators.TestHelper; + +namespace QuantConnect.Tests.Indicators +{ + public abstract class NewHighsNewLowsTestsBase : CommonIndicatorTests + where T : class, IBaseDataBar + { + protected override IndicatorBase CreateIndicator() + { + var nhnlRatio = CreateNewHighsNewLowsIndicator(); + if (SymbolList.Count > 2) + { + SymbolList.Take(3).ToList().ForEach(nhnlRatio.Add); + } + else + { + nhnlRatio.Add(Symbols.AAPL); + nhnlRatio.Add(Symbols.IBM); + nhnlRatio.Add(Symbols.GOOG); + RenkoBarSize = 5000000; + } + + // Even if the indicator is ready, there may be zero values + ValueCanBeZero = true; + + return nhnlRatio; + } + + protected override List GetSymbols() + { + return [Symbols.SPY, Symbols.AAPL, Symbols.IBM]; + } + + protected override Action, double> Assertion => (indicator, expected) => + { + // we need to use the Ratio sub-indicator + base.Assertion(GetSubIndicator(indicator), expected); + }; + + protected abstract NewHighsNewLows CreateNewHighsNewLowsIndicator(); + + protected abstract IndicatorBase GetSubIndicator(IndicatorBase mainIndicator); + + [Test] + public override void AcceptsRenkoBarsAsInput() + { + var indicator = CreateIndicator(); + if (indicator is IndicatorBase) + { + var aaplRenkoConsolidator = new RenkoConsolidator(10000m); + aaplRenkoConsolidator.DataConsolidated += (sender, renkoBar) => + { + Assert.DoesNotThrow(() => indicator.Update(renkoBar)); + }; + + var googRenkoConsolidator = new RenkoConsolidator(100000m); + googRenkoConsolidator.DataConsolidated += (sender, renkoBar) => + { + Assert.DoesNotThrow(() => indicator.Update(renkoBar)); + }; + + var ibmRenkoConsolidator = new RenkoConsolidator(10000m); + ibmRenkoConsolidator.DataConsolidated += (sender, renkoBar) => + { + Assert.DoesNotThrow(() => indicator.Update(renkoBar)); + }; + + foreach (var parts in GetCsvFileStream(TestFileName)) + { + var tradebar = parts.GetTradeBar(); + if (tradebar.Symbol.Value == "AAPL") + { + aaplRenkoConsolidator.Update(tradebar); + } + else if (tradebar.Symbol.Value == "GOOG") + { + googRenkoConsolidator.Update(tradebar); + } + else + { + ibmRenkoConsolidator.Update(tradebar); + } + } + + Assert.IsTrue(indicator.IsReady); + Assert.AreNotEqual(0, indicator.Samples); + IndicatorValueIsNotZeroAfterReceiveRenkoBars(indicator); + aaplRenkoConsolidator.Dispose(); + googRenkoConsolidator.Dispose(); + ibmRenkoConsolidator.Dispose(); + } + } + + [Test] + public override void AcceptsVolumeRenkoBarsAsInput() + { + var indicator = CreateIndicator(); + if (indicator is IndicatorBase) + { + var aaplRenkoConsolidator = new VolumeRenkoConsolidator(10000000m); + aaplRenkoConsolidator.DataConsolidated += (sender, renkoBar) => + { + Assert.DoesNotThrow(() => indicator.Update(renkoBar)); + }; + + var googRenkoConsolidator = new VolumeRenkoConsolidator(500000m); + googRenkoConsolidator.DataConsolidated += (sender, renkoBar) => + { + Assert.DoesNotThrow(() => indicator.Update(renkoBar)); + }; + + var ibmRenkoConsolidator = new VolumeRenkoConsolidator(500000m); + ibmRenkoConsolidator.DataConsolidated += (sender, renkoBar) => + { + Assert.DoesNotThrow(() => indicator.Update(renkoBar)); + }; + + foreach (var parts in GetCsvFileStream(TestFileName)) + { + var tradebar = parts.GetTradeBar(); + if (tradebar.Symbol.Value == "AAPL") + { + aaplRenkoConsolidator.Update(tradebar); + } + else if (tradebar.Symbol.Value == "GOOG") + { + googRenkoConsolidator.Update(tradebar); + } + else + { + ibmRenkoConsolidator.Update(tradebar); + } + } + + Assert.IsTrue(indicator.IsReady); + Assert.AreNotEqual(0, indicator.Samples); + IndicatorValueIsNotZeroAfterReceiveVolumeRenkoBars(indicator); + aaplRenkoConsolidator.Dispose(); + googRenkoConsolidator.Dispose(); + ibmRenkoConsolidator.Dispose(); + } + } + } +} diff --git a/Tests/Indicators/NewHighsNewLowsVolumeRatioTests.cs b/Tests/Indicators/NewHighsNewLowsVolumeRatioTests.cs new file mode 100644 index 000000000000..2245d3ef1492 --- /dev/null +++ b/Tests/Indicators/NewHighsNewLowsVolumeRatioTests.cs @@ -0,0 +1,255 @@ +/* + * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. + * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. +*/ + +using NUnit.Framework; +using QuantConnect.Data.Market; +using QuantConnect.Indicators; +using System; + +namespace QuantConnect.Tests.Indicators +{ + [TestFixture] + internal class NewHighsNewLowsVolumeRatioTests : NewHighsNewLowsTestsBase + { + protected override NewHighsNewLows CreateNewHighsNewLowsIndicator() + { + // For test purposes we use period of two + return new NewHighsNewLowsVolume("test_name", 2); + } + + protected override IndicatorBase GetSubIndicator(IndicatorBase mainIndicator) + { + return (mainIndicator as NewHighsNewLowsVolume).VolumeRatio; + } + + [Test] + public void ShouldIgnoreRemovedStocks() + { + var indicator = (NewHighsNewLowsVolume)CreateIndicator(); + var reference = DateTime.Today; + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 1, Volume = 100, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 1, Volume = 100, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 1, Volume = 100, Time = reference.AddMinutes(1) }); + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 0.9m, Volume = 100, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 0.9m, Volume = 100, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 0.9m, Volume = 100, Time = reference.AddMinutes(2) }); + + // value is not ready yet + Assert.AreEqual(0m, indicator.VolumeRatio.Current.Value); + + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 2, Low = 0.9m, Volume = 100, Time = reference.AddMinutes(3) }); + // new low + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 0.3m, Volume = 100, Time = reference.AddMinutes(3) }); + // new low + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 0.2m, Volume = 100, Time = reference.AddMinutes(3) }); + + Assert.AreEqual(0.5m, indicator.VolumeRatio.Current.Value); + + indicator.Reset(); + indicator.Remove(Symbols.GOOG); + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 1, Volume = 100, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 1, Volume = 100, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 1, Volume = 100, Time = reference.AddMinutes(1) }); + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 0.9m, Volume = 100, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 0.9m, Volume = 100, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 0.9m, Volume = 100, Time = reference.AddMinutes(2) }); + + // value is not ready yet + Assert.AreEqual(0m, indicator.VolumeRatio.Current.Value); + + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 2, Low = 0.9m, Volume = 100, Time = reference.AddMinutes(3) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 2, Low = 0.9m, Volume = 100, Time = reference.AddMinutes(3) }); + // new low (ignored) + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 0.2m, Volume = 100, Time = reference.AddMinutes(3) }); + + Assert.AreEqual(200m, indicator.VolumeRatio.Current.Value); + } + + [Test] + public void IgnorePeriodIfAnyStockMissed() + { + var indicator = (NewHighsNewLowsVolume)CreateIndicator(); + indicator.Add(Symbols.MSFT); + var reference = DateTime.Today; + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 1, Volume = 100, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 1, Volume = 100, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 1, Volume = 100, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.MSFT, High = 1, Low = 1, Volume = 100, Time = reference.AddMinutes(1) }); + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 2, Low = 1, Volume = 100, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 2, Low = 1, Volume = 100, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 2, Low = 1, Volume = 100, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.MSFT, High = 2, Low = 1, Volume = 100, Time = reference.AddMinutes(2) }); + + // value is not ready yet + Assert.AreEqual(0m, indicator.VolumeRatio.Current.Value); + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 3, Low = 1, Volume = 100, Time = reference.AddMinutes(3) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 2, Low = 0.5m, Volume = 100, Time = reference.AddMinutes(3) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 3, Low = 1, Volume = 100, Time = reference.AddMinutes(3) }); + + Assert.AreEqual(0m, indicator.VolumeRatio.Current.Value); + + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 4, Low = 1, Volume = 100, Time = reference.AddMinutes(4) }); + // new low + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 2, Low = 0.3m, Volume = 100, Time = reference.AddMinutes(4) }); + // no change + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 3, Low = 1, Volume = 100, Time = reference.AddMinutes(4) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.MSFT, High = 4, Low = 1, Volume = 100, Time = reference.AddMinutes(4) }); + + Assert.AreEqual(2m, indicator.VolumeRatio.Current.Value); + + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 5, Low = 1, Volume = 100, Time = reference.AddMinutes(5) }); + // new low + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 2, Low = 0.2m, Volume = 100, Time = reference.AddMinutes(5) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 4, Low = 1, Volume = 100, Time = reference.AddMinutes(5) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.MSFT, High = 5, Low = 1, Volume = 100, Time = reference.AddMinutes(5) }); + + Assert.AreEqual(3m, indicator.VolumeRatio.Current.Value); + + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 6, Low = 1, Volume = 100, Time = reference.AddMinutes(6) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 3, Low = 1, Volume = 100, Time = reference.AddMinutes(6) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.MSFT, High = 6, Low = 1, Volume = 100, Time = reference.AddMinutes(6) }); + + Assert.AreEqual(3m, indicator.VolumeRatio.Current.Value); + + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 7, Low = 1, Volume = 100, Time = reference.AddMinutes(7) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 5, Low = 1, Volume = 100, Time = reference.AddMinutes(7) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.MSFT, High = 7, Low = 1, Volume = 100, Time = reference.AddMinutes(7) }); + + Assert.AreEqual(3m, indicator.VolumeRatio.Current.Value); + } + + [Test] + public override void WarmsUpProperly() + { + var indicator = CreateIndicator() as NewHighsNewLowsVolume; + var reference = DateTime.Today; + + // setup period (unordered) + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 1, Volume = 100, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 2, Low = 1, Volume = 100, Time = reference.AddMinutes(2) }); + + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 1, Volume = 100, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 0.5m, Low = 0.2m, Volume = 100, Time = reference.AddMinutes(2) }); + + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 1, Volume = 100, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 3, Low = 1, Volume = 100, Time = reference.AddMinutes(2) }); + + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 3, Low = 1, Volume = 100, Time = reference.AddMinutes(3) }); + // new low + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 0.75m, Low = 0.1m, Volume = 100, Time = reference.AddMinutes(3) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 5, Low = 2, Volume = 100, Time = reference.AddMinutes(3) }); + + Assert.IsTrue(indicator.IsReady); + Assert.AreEqual(2m, indicator.VolumeRatio.Current.Value); + Assert.AreEqual(9, indicator.Samples); + Assert.AreEqual(1, indicator.VolumeRatio.Samples); + } + + [Test] + public void WarmsUpOrdered() + { + var indicator = CreateIndicator() as NewHighsNewLowsVolume; + var reference = DateTime.Today; + + // setup period (ordered) + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 1, Volume = 100, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 1, Volume = 100, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 1, Volume = 100, Time = reference.AddMinutes(1) }); + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 2, Low = 1, Volume = 100, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 0.5m, Low = 1, Volume = 100, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 3, Low = 1, Volume = 100, Time = reference.AddMinutes(2) }); + + // indicator is not ready yet + Assert.IsFalse(indicator.IsReady); + + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 3, Low = 1, Volume = 100, Time = reference.AddMinutes(3) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 4, Low = 1, Volume = 100, Time = reference.AddMinutes(3) }); + // new high + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 5, Low = 1, Volume = 100, Time = reference.AddMinutes(3) }); + + Assert.IsTrue(indicator.IsReady); + Assert.AreEqual(300m, indicator.VolumeRatio.Current.Value); + } + + [Test] + public override void IndicatorShouldHaveSymbolAfterUpdates() + { + var indicator = CreateIndicator() as NewHighsNewLowsVolume; + var reference = DateTime.Today; + + for (int i = 0; i < 10; i++) + { + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 1, Volume = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 1, Volume = 1, Time = reference.AddMinutes(1) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 1, Volume = 1, Time = reference.AddMinutes(1) }); + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 2, Low = 1, Volume = 1, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 0.5m, Volume = 1, Time = reference.AddMinutes(2) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 3, Low = 1, Volume = 1, Time = reference.AddMinutes(2) }); + + // indicator is not ready yet + + indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 3, Low = 1, Volume = 1, Time = reference.AddMinutes(3) }); + indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 0.3m, Volume = 1, Time = reference.AddMinutes(3) }); + indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 4, Low = 1, Volume = 1, Time = reference.AddMinutes(3) }); + + // indicator is ready + + // The last update used Symbol.GOOG, so the indicator's current Symbol should be GOOG + Assert.AreEqual(Symbols.GOOG, indicator.VolumeRatio.Current.Symbol); + } + } + + protected override string TestFileName => "nhnl_data.csv"; + + protected override string TestColumnName => "NH/NL Volume Ratio"; + + /// + /// The final value of this indicator is zero because it uses the Volume of the bars it receives. + /// Since RenkoBar's don't always have Volume, the final current value is zero. Therefore we + /// skip this test + /// + /// + protected override void IndicatorValueIsNotZeroAfterReceiveRenkoBars(IndicatorBase indicator) + { + } + } +} diff --git a/Tests/Indicators/SessionTests.cs b/Tests/Indicators/SessionTests.cs index e9c9efbb8969..8422749357f3 100644 --- a/Tests/Indicators/SessionTests.cs +++ b/Tests/Indicators/SessionTests.cs @@ -48,6 +48,7 @@ public void AddMethodPreservesPreviousValuesInSessionWindow(int initialSize) // Start of a new trading day date = date.AddDays(1); + session.Scan(date); bar1 = new TradeBar(date.AddHours(12), symbol, 200, 201, 199, 200, 2000, TimeSpan.FromHours(1)); session.Update(bar1); bar2 = new TradeBar(date.AddHours(13), symbol, 300, 301, 299, 300, 3100, TimeSpan.FromHours(1)); @@ -67,6 +68,28 @@ public void AddMethodPreservesPreviousValuesInSessionWindow(int initialSize) Assert.AreEqual(101, session[1].Close); Assert.AreEqual(2100, session[1].Volume); } + + [Test] + public void EndTimeDoesNotOverflowWhenAccessedBeforeFirstUpdate() + { + var symbol = Symbols.SPY; + var session = GetSession(TickType.Trade, 3); + + // Verify EndTime does not overflow when accessed before the first Update() + Assert.DoesNotThrow(() => + { + var currentEndTime = session.EndTime; + }); + + session.Update(new TradeBar(new DateTime(2025, 8, 25, 10, 0, 0), symbol, 100, 101, 99, 100, 1000, TimeSpan.FromHours(1))); + Assert.AreEqual(new DateTime(2025, 8, 26), session.EndTime); + Assert.AreEqual(100, session.Open); + Assert.AreEqual(101, session.High); + Assert.AreEqual(99, session.Low); + Assert.AreEqual(100, session.Close); + Assert.AreEqual(1000, session.Volume); + } + private Session GetSession(TickType tickType, int initialSize) { var symbol = Symbols.SPY; diff --git a/Tests/Python/PythonOptionTests.cs b/Tests/Python/PythonOptionTests.cs index 0b9199f7cf19..afc6f75e45b6 100644 --- a/Tests/Python/PythonOptionTests.cs +++ b/Tests/Python/PythonOptionTests.cs @@ -98,7 +98,7 @@ public void FilterReturnsUniverseRegression() {"Tracking Error", "0"}, {"Treynor Ratio", "0"}, {"Total Fees", "$1.00"}, - {"OrderListHash", "5992d2e5c087de07814404f81762e2ac"} + {"OrderListHash", "22f0bc8a92f13dfa5d16c507824e2b68"} }, Language.Python, AlgorithmStatus.Completed); diff --git a/Tests/Python/PythonPackagesTests.cs b/Tests/Python/PythonPackagesTests.cs index 0f492a1ea4a9..3170ee2b1db9 100644 --- a/Tests/Python/PythonPackagesTests.cs +++ b/Tests/Python/PythonPackagesTests.cs @@ -1393,7 +1393,7 @@ from google import genai from google.genai import types def RunTest(): - assert(genai.__version__ == '1.41.0')" + assert(genai.__version__ == '1.56.0')" ); } @@ -1405,7 +1405,7 @@ public void IgniteTest() import ignite def RunTest(): - assert(ignite.__version__ == '0.5.2')" + assert(ignite.__version__ == '0.5.3')" ); } @@ -2925,14 +2925,17 @@ def RunTest(): public void Sweetviz() { AssertCode(@" -import sweetviz as sv -from sklearn.datasets import fetch_california_housing -from sklearn.model_selection import train_test_split - def RunTest(): - housing = fetch_california_housing(as_frame = True) - df = housing.frame - report = sv.analyze([df, 'Train'], target_feat='MedHouseVal')"); + import sweetviz as sv + import pandas as pd + + df = pd.DataFrame({ + 'col1': [1, 2, 3], + 'col2': [4, 5, 6], + 'target': [0, 1, 0] + }) + + report = sv.analyze(df, target_feat='target')"); } [TestCase("tf2onnx", "1.16.1", "__version__"), Explicit("These need to be run by themselves")] @@ -2952,20 +2955,20 @@ public void ModuleVersionTestExplicit(string module, string value, string attrib [TestCase("pymc", "5.25.1", "__version__")] [TestCase("pypfopt", "pypfopt", "__name__")] [TestCase("wrapt", "1.17.3", "__version__")] - [TestCase("tslearn", "0.6.4", "__version__")] + [TestCase("tslearn", "0.7.0", "__version__")] [TestCase("tweepy", "4.16.0", "__version__")] [TestCase("pywt", "1.8.0", "__version__")] [TestCase("umap", "0.5.9.post2", "__version__")] [TestCase("dtw", "1.5.3", "__version__")] [TestCase("mplfinance", "0.12.10b0", "__version__")] [TestCase("cufflinks", "0.17.3", "__version__")] - [TestCase("ipywidgets", "8.1.7", "__version__")] - [TestCase("astropy", "7.1.0", "__version__")] + [TestCase("ipywidgets", "8.1.8", "__version__")] + [TestCase("astropy", "7.2.0", "__version__")] [TestCase("gluonts", "0.16.2", "__version__")] [TestCase("featuretools", "1.31.0", "__version__")] - [TestCase("pennylane", "0.42.3", "version()")] + [TestCase("pennylane", "0.43.1", "version()")] [TestCase("pyfolio", "0.9.9", "__version__")] - [TestCase("altair", "5.5.0", "__version__")] + [TestCase("altair", "6.0.0", "__version__")] [TestCase("modin", "0.37.1", "__version__")] [TestCase("persim", "0.3.8", "__version__")] [TestCase("pydmd", "pydmd", "__name__")] @@ -2979,10 +2982,10 @@ public void ModuleVersionTestExplicit(string module, string value, string attrib [TestCase("cv2", "4.11.0", "__version__")] [TestCase("ot", "0.9.6.post1", "__version__")] [TestCase("datasets", "3.6.0", "__version__")] - [TestCase("ipympl", "0.9.7", "__version__")] + [TestCase("ipympl", "0.9.8", "__version__")] [TestCase("PyQt6", "PyQt6", "__name__")] - [TestCase("pytorch_forecasting", "1.4.0", "__version__")] - [TestCase("sismic", "1.6.10", "__version__")] + [TestCase("pytorch_forecasting", "1.5.0", "__version__")] + [TestCase("sismic", "1.6.11", "__version__")] [TestCase("chronos", "chronos", "__name__")] public void ModuleVersionTest(string module, string value, string attribute) { diff --git a/Tests/QuantConnect.Tests.csproj b/Tests/QuantConnect.Tests.csproj index 87810318cc75..9ec36875f36a 100644 --- a/Tests/QuantConnect.Tests.csproj +++ b/Tests/QuantConnect.Tests.csproj @@ -4,7 +4,7 @@ AnyCPU QuantConnect.Tests QuantConnect.Tests - net9.0 + net10.0 ..\ AllEnabledByDefault false @@ -31,7 +31,7 @@ - + @@ -48,7 +48,6 @@ all - @@ -344,12 +343,18 @@ PreserveNewest + + PreserveNewest + PreserveNewest PreserveNewest + + PreserveNewest + PreserveNewest diff --git a/Tests/Research/QuantBookHistoryTests.cs b/Tests/Research/QuantBookHistoryTests.cs index e4feb70ef72a..5f66ce9c50af 100644 --- a/Tests/Research/QuantBookHistoryTests.cs +++ b/Tests/Research/QuantBookHistoryTests.cs @@ -813,6 +813,32 @@ def get_history(): } } + [Test] + public void IndicatorHistoryDoesNotReturnPeriodColumn() + { + using (Py.GIL()) + { + var testModule = PyModule.FromString("testModule", + @" +from AlgorithmImports import * + +def get_indicator_history(): + qb = QuantBook() + qb.set_start_date(2014, 4, 8) + symbol = qb.add_equity(""AAPL"", Resolution.DAILY).symbol + history = qb.indicator(ValueAtRisk(252, 0.95), symbol, 365, Resolution.DAILY) + return history +"); + dynamic getHistory = testModule.GetAttr("get_indicator_history"); + var pyHistory = getHistory() as PyObject; + var columns = pyHistory.GetAttr("columns") + .InvokeMethod("tolist") + .AsManagedObject(typeof(List)) as List; + Assert.IsFalse(columns.Contains("period")); + Assert.AreEqual(1, columns.Count); + } + } + private class TestHistoryProvider : HistoryProviderBase { private IHistoryProvider _provider; diff --git a/Tests/TestData/FuturesExpiryFunctionsTestData.xml b/Tests/TestData/FuturesExpiryFunctionsTestData.xml index d44a7c2aaed1..2e304b3f875e 100644 Binary files a/Tests/TestData/FuturesExpiryFunctionsTestData.xml and b/Tests/TestData/FuturesExpiryFunctionsTestData.xml differ diff --git a/Tests/TestData/nhnl_data.csv b/Tests/TestData/nhnl_data.csv new file mode 100644 index 000000000000..2b48e39a38c1 --- /dev/null +++ b/Tests/TestData/nhnl_data.csv @@ -0,0 +1,757 @@ +Date,Symbol,Open,High,Low,Close,Volume,NH/NL Difference,NH/NL Ratio,NH/NL Volume Ratio +20190102,AAPL,1548900,1588500,1542400,1579200,28370261,0.0,0.0,0.0 +20190102,GOOG,10171300,10524000,10141300,10458600,1219740,0.0,0.0,0.0 +20190102,IBM,1120000,1159800,1116900,1151900,3244233,0.0,0.0,0.0 +20190103,AAPL,1439500,1457500,1420000,1420900,83238505,0.0,0.0,0.0 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+20191231,GOOG,13330900,13383100,13292100,13368700,708707,-2.0,0.0,0.0 +20191231,IBM,1325500,1341200,1324000,1340200,2844027,-2.0,0.0,0.0 diff --git a/Tests/TestData/spy_hurst_exponent.csv b/Tests/TestData/spy_hurst_exponent.csv index 6412dfa37d27..ecc8193480ab 100644 --- a/Tests/TestData/spy_hurst_exponent.csv +++ b/Tests/TestData/spy_hurst_exponent.csv @@ -250,753 +250,5601 @@ date,close,hurst_exponent 19981228 00:00,1226300, 19981229 00:00,1243100, 19981230 00:00,1233800, -19981231 00:00,1228800,0.4709650229354222 -19990104 00:00,1228800,0.4724702457187315 -19990105 00:00,1244400,0.47572427532708894 -19990106 00:00,1275000,0.47725189261727285 -19990107 00:00,1269400,0.48117374681335173 -19990108 00:00,1275000,0.48383867794231367 -19990111 00:00,1262800,0.48596627730936864 -19990112 00:00,1240000,0.4838328851409185 -19990113 00:00,1233100,0.48051416557538146 -19990114 00:00,1211600,0.474928060885975 -19990115 00:00,1243100,0.47444766056425774 -19990119 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00:00,1793400,1798700,1787200,1790300,85703243,5.290035084989677e-05 +QQQ,20131119 00:00,830900,834900,827600,829000,24472996,5.290035084989677e-05 +SPY,20131120 00:00,1794100,1799300,1779800,1785100,108921426,5.295451531679213e-05 +QQQ,20131120 00:00,831200,834300,824600,827000,30334723,5.295451531679213e-05 +SPY,20131121 00:00,1789800,1800500,1788600,1799700,70890848,5.321592068290254e-05 +QQQ,20131121 00:00,830500,836100,829800,835500,25424452,5.321592068290254e-05 +SPY,20131122 00:00,1799600,1808300,1797700,1808100,66142514,5.259431962037627e-05 +QQQ,20131122 00:00,836800,840200,836200,840000,23816428,5.259431962037627e-05 +SPY,20131125 00:00,1811400,1811700,1803700,1807100,66442019,5.261985153989762e-05 +QQQ,20131125 00:00,842900,843800,839800,841900,21042353,5.261985153989762e-05 +SPY,20131126 00:00,1807500,1812200,1804100,1806400,72012227,5.246682958818137e-05 +QQQ,20131126 00:00,842100,848400,840300,847000,24328260,5.246682958818137e-05 +SPY,20131127 00:00,1808800,1812400,1806500,1811200,51121354,5.229506297015225e-05 +QQQ,20131127 00:00,848000,852400,847300,852200,19823184,5.229506297015225e-05 +SPY,20131129 00:00,1813400,1817500,1808000,1809300,41250857,5.2181054488592756e-05 +QQQ,20131129 00:00,855600,858400,854800,857300,14900285,5.2181054488592756e-05 +SPY,20131202 00:00,1811300,1814300,1802500,1805400,76545928,5.221250735367119e-05 +QQQ,20131202 00:00,858200,859600,853500,854800,24364586,5.221250735367119e-05 +SPY,20131203 00:00,1799500,1803900,1791700,1798500,92867713,5.2204133981933075e-05 +QQQ,20131203 00:00,854000,856400,850900,854000,30805607,5.2204133981933075e-05 +SPY,20131204 00:00,1792100,1804800,1783500,1796700,107731159,5.217104818144302e-05 +QQQ,20131204 00:00,850500,857700,847800,854700,35176633,5.217104818144302e-05 +SPY,20131205 00:00,1794200,1797400,1787800,1790100,88220890,5.2256555483801015e-05 +QQQ,20131205 00:00,855600,856600,851700,853800,37493947,5.2256555483801015e-05 +SPY,20131206 00:00,1807300,1811100,1801600,1809500,99444907,5.246266896356081e-05 +QQQ,20131206 00:00,861000,861800,855900,860000,32744675,5.246266896356081e-05 +SPY,20131209 00:00,1814800,1816700,1811600,1814000,60060446,5.254548347463655e-05 +QQQ,20131209 00:00,863500,865300,862000,863500,20696434,5.254548347463655e-05 +SPY,20131210 00:00,1809600,1813600,1806400,1807500,62301715,5.258019206549853e-05 +QQQ,20131210 00:00,862100,864500,861200,862900,24381167,5.258019206549853e-05 +SPY,20131211 00:00,1808100,1808500,1785000,1787200,111930458,5.300072679209616e-05 +QQQ,20131211 00:00,862800,864000,850600,851800,34470799,5.300072679209616e-05 +SPY,20131212 00:00,1786400,1788600,1777600,1781300,94786627,5.306065547414935e-05 +QQQ,20131212 00:00,852100,854200,849000,849600,29962653,5.306065547414935e-05 +SPY,20131213 00:00,1784700,1786600,1777700,1781100,83056349,5.2827866852504485e-05 +QQQ,20131213 00:00,853600,854000,847100,848500,31226220,5.2827866852504485e-05 +SPY,20131216 00:00,1789200,1798100,1789000,1792200,74941906,5.271953691080919e-05 +QQQ,20131216 00:00,852700,858100,852100,853300,20847465,5.271953691080919e-05 +SPY,20131217 00:00,1793700,1794100,1782500,1785400,75948317,5.2253502063782634e-05 +QQQ,20131217 00:00,853400,855200,849900,851500,23291934,5.2253502063782634e-05 +SPY,20131218 00:00,1789400,1817300,1773300,1817000,207030899,5.2361732717014445e-05 +QQQ,20131218 00:00,852500,862200,840500,861400,64031984,5.2361732717014445e-05 +SPY,20131219 00:00,1812000,1817000,1807200,1815000,112655750,5.218267732574696e-05 +QQQ,20131219 00:00,860000,860100,855200,859000,42197117,5.218267732574696e-05 +SPY,20131220 00:00,1806700,1819900,1806600,1815800,133819141,5.2187646518704126e-05 +QQQ,20131220 00:00,857900,866800,857300,864700,34200758,5.2187646518704126e-05 +SPY,20131223 00:00,1824100,1826400,1820700,1825400,66321111,5.114363913353175e-05 +QQQ,20131223 00:00,872100,874100,869500,874100,24476170,5.114363913353175e-05 +SPY,20131224 00:00,1825700,1830000,1825300,1829300,38250253,5.109569187717384e-05 +QQQ,20131224 00:00,874300,875100,872700,874500,12736703,5.109569187717384e-05 +SPY,20131226 00:00,1833700,1839600,1833300,1838400,53110222,5.089680851641716e-05 +QQQ,20131226 00:00,876100,878100,874400,877400,13877683,5.089680851641716e-05 +SPY,20131227 00:00,1841600,1841800,1836600,1838400,53771801,5.089613013837023e-05 +QQQ,20131227 00:00,878500,879000,874200,875200,14785346,5.089613013837023e-05 +SPY,20131230 00:00,1839200,1840200,1835800,1838200,47180243,5.033489968579243e-05 +QQQ,20131230 00:00,873900,875100,871400,873900,18024432,5.033489968579243e-05 +SPY,20131231 00:00,1841200,1846800,1839300,1846700,68550651,4.901430396363705e-05 +QQQ,20131231 00:00,875500,879600,875200,879600,23007605,4.901430396363705e-05 +SPY,20140102 00:00,1839100,1840600,1824800,1829200,108167846,4.636929793793845e-05 +QQQ,20140102 00:00,875600,875800,870200,872700,27825620,4.636929793793845e-05 +SPY,20140103 00:00,1832400,1836000,1826300,1828800,71382847,4.6316599042682844e-05 +QQQ,20140103 00:00,872700,873500,866200,866400,29271884,4.6316599042682844e-05 +SPY,20140106 00:00,1835200,1835600,1820800,1823600,89901576,4.6462233292553e-05 +QQQ,20140106 00:00,866600,867600,860000,863200,27757464,4.6462233292553e-05 +SPY,20140107 00:00,1831200,1837900,1829600,1834300,75867995,4.661130254204214e-05 +QQQ,20140107 00:00,867200,872500,865600,870900,25858017,4.661130254204214e-05 +SPY,20140108 00:00,1834600,1838300,1829000,1835200,86342393,4.6567069787129204e-05 +QQQ,20140108 00:00,871400,875500,869500,873100,23942763,4.6567069787129204e-05 +SPY,20140109 00:00,1841000,1841400,1828000,1836400,79126576,4.6553985601835124e-05 +QQQ,20140109 00:00,876300,876400,867200,870100,22253847,4.6553985601835124e-05 +SPY,20140110 00:00,1839600,1842100,1830100,1841400,77972574,4.64433915253262e-05 +QQQ,20140110 00:00,872300,874000,865800,873000,35086007,4.64433915253262e-05 +SPY,20140113 00:00,1836900,1841800,1813400,1816600,122813410,4.7368676650687485e-05 +QQQ,20140113 00:00,871700,874800,856800,859800,40329318,4.7368676650687485e-05 +SPY,20140114 00:00,1822700,1837700,1819500,1837200,85261773,4.8097866874423146e-05 +QQQ,20140114 00:00,863000,877200,863000,876500,35990060,4.8097866874423146e-05 +SPY,20140115 00:00,1841000,1849400,1840100,1846900,83647160,4.8216878445809644e-05 +QQQ,20140115 00:00,880300,885400,879400,883700,34433362,4.8216878445809644e-05 +SPY,20140116 00:00,1843000,1845000,1838400,1843900,61950237,4.8239651738433373e-05 +QQQ,20140116 00:00,883000,885100,881600,883800,27909058,4.8239651738433373e-05 +SPY,20140117 00:00,1841000,1844500,1833300,1836500,89214819,4.8300651496457404e-05 +QQQ,20140117 00:00,881100,883800,876700,878500,30782579,4.8300651496457404e-05 +SPY,20140121 00:00,1847200,1847700,1830500,1841800,77312943,4.8375999716015615e-05 +QQQ,20140121 00:00,884400,885900,878100,885500,24876851,4.8375999716015615e-05 +SPY,20140122 00:00,1845100,1845700,1839100,1843000,53915460,4.836572111795742e-05 +QQQ,20140122 00:00,887800,890000,885200,888100,25718497,4.836572111795742e-05 +SPY,20140123 00:00,1833500,1834000,1818300,1827900,115258815,4.852471670819784e-05 +QQQ,20140123 00:00,885100,885200,878600,884700,29992632,4.852471670819784e-05 +SPY,20140124 00:00,1815700,1816500,1788300,1788300,175573279,5.037448882009034e-05 +QQQ,20140124 00:00,880500,881800,867100,867100,61735444,5.037448882009034e-05 +SPY,20140127 00:00,1790500,1795100,1771300,1780100,160064102,5.0515877531334714e-05 +QQQ,20140127 00:00,867400,868900,852500,859000,59324167,5.0515877531334714e-05 +SPY,20140128 00:00,1782500,1793000,1781300,1791000,90568738,5.0488374305724485e-05 +QQQ,20140128 00:00,855000,859400,853100,858400,42937856,5.0488374305724485e-05 +SPY,20140129 00:00,1776200,1785500,1768800,1772800,179260502,5.1000468441984055e-05 +QQQ,20140129 00:00,851100,857400,847600,849300,47807341,5.1000468441984055e-05 +SPY,20140130 00:00,1788800,1798100,1782600,1792300,96632848,5.16569255856853e-05 +QQQ,20140130 00:00,859700,867900,858800,864900,59035956,5.16569255856853e-05 +SPY,20140131 00:00,1770200,1792900,1769200,1781800,159765786,5.171228942310651e-05 +QQQ,20140131 00:00,855400,866800,854500,862700,39874762,5.171228942310651e-05 +SPY,20140203 00:00,1779400,1783700,1738300,1741500,222544720,5.351448032046346e-05 +QQQ,20140203 00:00,861100,865000,840700,842900,60101399,5.351448032046346e-05 +SPY,20140204 00:00,1749400,1758400,1743400,1753600,144004983,5.2782424535150236e-05 +QQQ,20140204 00:00,847200,852500,844600,849100,35682519,5.2782424535150236e-05 +SPY,20140205 00:00,1747800,1755600,1737100,1751700,146216400,5.2261297981423776e-05 +QQQ,20140205 00:00,846300,849900,837400,846900,38952842,5.2261297981423776e-05 +SPY,20140206 00:00,1756100,1774800,1755800,1774800,110630862,5.2850971659461946e-05 +QQQ,20140206 00:00,849400,858800,849200,857700,29877943,5.2850971659461946e-05 +SPY,20140207 00:00,1782800,1798700,1777400,1797400,132131649,5.3661681766398477e-05 +QQQ,20140207 00:00,862500,873500,860000,873100,35785768,5.3661681766398477e-05 +SPY,20140210 00:00,1797100,1800700,1792100,1800100,72626938,5.349860587347533e-05 +QQQ,20140210 00:00,872700,878300,872100,878100,27965402,5.349860587347533e-05 +SPY,20140211 00:00,1802300,1824400,1800700,1819800,103111329,5.390654957310243e-05 +QQQ,20140211 00:00,879900,889700,878900,887900,36673442,5.390654957310243e-05 +SPY,20140212 00:00,1822600,1828300,1817100,1821600,87336980,5.3923419303250465e-05 +QQQ,20140212 00:00,889800,891600,887100,889700,30459185,5.3923419303250465e-05 +SPY,20140213 00:00,1808700,1832000,1808300,1830000,86663567,5.4017931202171906e-05 +QQQ,20140213 00:00,883200,897000,883000,896300,36046644,5.4017931202171906e-05 +SPY,20140214 00:00,1829000,1843600,1826800,1840100,79238964,5.4036061361673374e-05 +QQQ,20140214 00:00,896000,900100,893300,898100,31687128,5.4036061361673374e-05 +SPY,20140218 00:00,1842000,1844900,1836500,1842600,68488244,5.4016861340726614e-05 +QQQ,20140218 00:00,899600,904100,897400,902500,26876524,5.4016861340726614e-05 +SPY,20140219 00:00,1837800,1849500,1828700,1830500,107451814,5.4105341788639076e-05 +QQQ,20140219 00:00,900800,902900,894500,896400,34832280,5.4105341788639076e-05 +SPY,20140220 00:00,1833000,1845200,1826200,1841000,89178782,5.329533028053562e-05 +QQQ,20140220 00:00,896900,902200,893100,900500,37174480,5.329533028053562e-05 +SPY,20140221 00:00,1844200,1848900,1838000,1839600,100978693,5.3002284543700923e-05 +QQQ,20140221 00:00,903400,904700,898300,899300,27496934,5.3002284543700923e-05 +SPY,20140224 00:00,1843000,1861500,1842100,1849100,93723541,5.275120227361322e-05 +QQQ,20140224 00:00,901400,908200,900400,904300,30101716,5.275120227361322e-05 +SPY,20140225 00:00,1850300,1855800,1842300,1848400,97120950,5.167911931731908e-05 +QQQ,20140225 00:00,905400,907200,900200,903100,24950263,5.167911931731908e-05 +SPY,20140226 00:00,1851000,1856000,1843300,1848500,84192425,5.162666906440644e-05 +QQQ,20140226 00:00,905500,908400,898800,902300,37952454,5.162666906440644e-05 +SPY,20140227 00:00,1845800,1858700,1843800,1858700,80283904,5.1233042876696716e-05 +QQQ,20140227 00:00,898800,905300,897300,904400,26390229,5.1233042876696716e-05 +SPY,20140228 00:00,1857800,1871500,1850500,1863000,127758775,5.117760895202686e-05 +QQQ,20140228 00:00,904200,909600,895500,903400,41851761,5.117760895202686e-05 +SPY,20140303 00:00,1846500,1854500,1837500,1849800,141848312,5.140960014318062e-05 +QQQ,20140303 00:00,894900,899000,888700,896800,35467056,5.140960014318062e-05 +SPY,20140304 00:00,1868100,1879800,1867500,1875800,149682598,5.196473667808801e-05 +QQQ,20140304 00:00,906500,909800,905600,908300,30906558,5.196473667808801e-05 +SPY,20140305 00:00,1877500,1880700,1874500,1876100,72001348,5.152016263059333e-05 +QQQ,20140305 00:00,909600,912200,907700,910600,24910323,5.152016263059333e-05 +SPY,20140306 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00:00,2053000,2055500,2043000,2052200,77328648,5.202949221208929e-05 +QQQ,20141119 00:00,1035600,1035700,1027400,1032100,22506680,5.202949221208929e-05 +SPY,20141120 00:00,2042500,2057100,2041900,2055800,64783018,5.199995810069504e-05 +QQQ,20141120 00:00,1027900,1037600,1026900,1036700,19564210,5.199995810069504e-05 +SPY,20141121 00:00,2076000,2077200,2059800,2067200,121172657,5.1736507720829525e-05 +QQQ,20141121 00:00,1046200,1046900,1035400,1038700,29619626,5.1736507720829525e-05 +SPY,20141124 00:00,2071900,2073900,2069100,2072600,59414411,5.171944622458036e-05 +QQQ,20141124 00:00,1041700,1047300,1040600,1046800,16799716,5.171944622458036e-05 +SPY,20141125 00:00,2075100,2077900,2068000,2072500,66365644,5.1723964829879124e-05 +QQQ,20141125 00:00,1048600,1051400,1045700,1048400,16545703,5.1723964829879124e-05 +SPY,20141126 00:00,2072700,2077600,2070300,2076400,48377586,5.1772768523685186e-05 +QQQ,20141126 00:00,1049100,1055800,1048400,1055200,16499205,5.1772768523685186e-05 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00:00,1037500,1042000,1024500,1029400,29310772,5.6851173087424556e-05 +SPY,20150105 00:00,2042000,2043700,2013500,2017600,151790532,5.795002086859352e-05 +QQQ,20150105 00:00,1025000,1026100,1011500,1014300,33994158,5.795002086859352e-05 +SPY,20150106 00:00,2021300,2027200,1988600,1998200,191309913,5.8454791321669e-05 +QQQ,20150106 00:00,1015800,1017500,996200,1000700,63345086,5.8454791321669e-05 +SPY,20150107 00:00,2014600,2027200,2008800,2023100,110907078,5.8863262787753914e-05 +QQQ,20150107 00:00,1007400,1016000,1004900,1013600,33961867,5.8863262787753914e-05 +SPY,20150108 00:00,2040000,2061600,2039900,2059000,135532145,6.013537986738278e-05 +QQQ,20150108 00:00,1022500,1035000,1021200,1033000,37950558,6.013537986738278e-05 +SPY,20150109 00:00,2063900,2064100,2035200,2041900,138380098,6.039298840534804e-05 +QQQ,20150109 00:00,1036100,1036500,1020200,1026200,39201903,6.039298840534804e-05 +SPY,20150112 00:00,2044200,2045900,2019300,2026500,130060345,6.072086412560078e-05 +QQQ,20150112 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00:00,3099900,3134344,3073850,3113300,73199853,0.00020602472527279402 +SPY,20210326 00:00,3909800,3964100,3902900,3959800,101407276,0.00019538115598653926 +QQQ,20210326 00:00,3110200,3163300,3096700,3160000,59438321,0.00019538115598653926 +SPY,20210329 00:00,3943500,3967499,3928100,3957800,93832458,0.0001908004696126226 +QQQ,20210329 00:00,3155200,3169900,3124600,3159100,50225374,0.0001908004696126226 +SPY,20210330 00:00,3943500,3957800,3930299,3947300,66174457,0.0001867468036635878 +QQQ,20210330 00:00,3140500,3157420,3115400,3143200,41179093,0.0001867468036635878 +SPY,20210331 00:00,3953500,3980000,3953300,3963300,90673494,0.00018615835302076886 +QQQ,20210331 00:00,3161400,3207400,3150500,3191300,50120342,0.00018615835302076886 diff --git a/Tests/ToolBox/LeanDataReaderTests.cs b/Tests/ToolBox/LeanDataReaderTests.cs index 73a7fe3a9346..bb756f3d53a0 100644 --- a/Tests/ToolBox/LeanDataReaderTests.cs +++ b/Tests/ToolBox/LeanDataReaderTests.cs @@ -484,6 +484,65 @@ public void ReadLeanSpotMarketsSecuritiesDataFromFilePath(string securityType, s new object[] {"crypto", "coinbase", "daily", "btcusd", "btcusd_trade.zip", 1318, 3725052.03}, }; + private static IEnumerable MinuteZipEntryFileNames + { + get + { + yield return new TestCaseData( + Symbol.CreateCanonicalOption(Symbol.CreateFuture(Futures.Grains.Corn, Market.CBOT, new(2025, 12, 12))), + "20251103_ozc_minute_trade_american_call_41000_20251121.csv", + 4.1m, + OptionRight.Call, + new DateTime(2025, 11, 21)); + + yield return new TestCaseData( + Symbol.CreateCanonicalOption(Symbol.CreateFuture(Futures.Currencies.JPY, Market.CME, new(2025, 12, 15))), + "20251103_jpu_minute_trade_american_call_62.50000_20260109.csv", + 0.00625m, + OptionRight.Call, + new DateTime(2026, 01, 09)); + + yield return new TestCaseData( + Symbol.CreateCanonicalOption(Symbol.CreateFuture(Futures.Currencies.AUD, Market.CME, new(2025, 12, 15))), + "20251103_adu_minute_openinterest_american_put_6350_20251205.csv", + 0.635m, + OptionRight.Put, + new DateTime(2025, 12, 05)); + + yield return new TestCaseData( + Symbol.CreateCanonicalOption(Symbol.CreateFuture(Futures.Currencies.AUD, Market.CME, new(2025, 12, 15))), + "20251103_adu_minute_quote_american_call_8400_20260306.csv", + 0.84m, + OptionRight.Call, + new DateTime(2026, 03, 06)); + + yield return new TestCaseData( + Symbol.CreateCanonicalOption(Symbol.CreateFuture(Futures.Currencies.NZD, Market.CME, new(2025, 12, 15))), + "20251103_6n_minute_quote_american_call_5600_20260403.csv", + 0.56m, + OptionRight.Call, + new DateTime(2026, 04, 03)); + + yield return new TestCaseData( + Symbol.CreateCanonicalOption(Symbol.CreateFuture(Futures.Meats.LiveCattle, Market.CME, new(2025, 12, 31))), + "20251103_le_minute_quote_american_call_21800_20251205.csv", + 2.18m, + OptionRight.Call, + new DateTime(2025, 12, 05)); + } + } + + [TestCaseSource(nameof(MinuteZipEntryFileNames))] + public void ReadSymbolFromZipEntryShouldParseFileNameWithFloatingNumber(Symbol rootSymbol, string fileNameCsv, + decimal expectedStrike, OptionRight expectedOptionRight, DateTime expectedExpiry) + { + var actualSymbol = LeanData.ReadSymbolFromZipEntry(rootSymbol, Resolution.Minute, fileNameCsv); + + Assert.AreEqual(expectedStrike, actualSymbol.ID.StrikePrice); + Assert.AreEqual(expectedOptionRight, actualSymbol.ID.OptionRight); + Assert.AreEqual(expectedExpiry, actualSymbol.ID.Date); + } + public static string GenerateFilepathForTesting(string dataDirectory, string securityType, string market, string resolution, string ticker, string fileName) { diff --git a/Tests/ToolBox/RandomDataGenerator/RandomDataGeneratorTests.cs b/Tests/ToolBox/RandomDataGenerator/RandomDataGeneratorTests.cs index 099fe2b1cf92..3cb3559c0a1e 100644 --- a/Tests/ToolBox/RandomDataGenerator/RandomDataGeneratorTests.cs +++ b/Tests/ToolBox/RandomDataGenerator/RandomDataGeneratorTests.cs @@ -29,6 +29,7 @@ using static QuantConnect.ToolBox.RandomDataGenerator.RandomDataGenerator; using QuantConnect.Algorithm; using System.Linq; +using System.IO; namespace QuantConnect.Tests.ToolBox.RandomDataGenerator { @@ -162,6 +163,102 @@ public void GetProgressAsPercentageShouldLogWhenProgressExceedsThreshold(Resolut Assert.IsTrue(logs.All(p => p >= 0 && p <= 100)); } + [Test] + public void RandomDataGeneratorCompletesSuccessfully() + { + var tempFolder = Path.Combine(Path.GetTempPath(), $"LeanTest_{Guid.NewGuid()}"); + var originalDataFolder = Config.Get("data-folder"); + try + { + Directory.CreateDirectory(tempFolder); + Config.Set("data-folder", tempFolder); + Globals.Reset(); + + var hourPath = Path.Combine(tempFolder, "equity", "usa", "hour"); + var dailyPath = Path.Combine(tempFolder, "equity", "usa", "daily"); + var factorFilesPath = Path.Combine(tempFolder, "equity", "usa", "factor_files"); + var mapFilesPath = Path.Combine(tempFolder, "equity", "usa", "map_files"); + + // Create the required folders + Directory.CreateDirectory(hourPath); + Directory.CreateDirectory(dailyPath); + Directory.CreateDirectory(factorFilesPath); + Directory.CreateDirectory(mapFilesPath); + + var settings = new RandomDataGeneratorSettings + { + Start = new DateTime(2024, 1, 1, 9, 30, 0), + End = new DateTime(2024, 1, 2, 16, 0, 0), + SymbolCount = 1, + Market = "usa", + SecurityType = SecurityType.Equity, + Resolution = Resolution.Hour, + DataDensity = DataDensity.Dense, + IncludeCoarse = false, + QuoteTradeRatio = 1.0, + RandomSeed = 123456, + HasDividendsPercentage = 0, + HasSplitsPercentage = 0, + HasIpoPercentage = 0, + HasRenamePercentage = 0, + Tickers = new List() { "AAPL" } + }; + + var generator = GetGenerator(settings); + + Assert.DoesNotThrow(() => generator.Run()); + + var allFiles = Directory.GetFiles(tempFolder, "*", SearchOption.AllDirectories); + Assert.Greater(allFiles.Length, 0); + + var hourFiles = Directory.GetFiles(hourPath, "*.zip"); + Assert.Greater(hourFiles.Length, 0); + } + finally + { + Config.Set("data-folder", originalDataFolder); + Globals.Reset(); + Directory.Delete(tempFolder, true); + } + } + + private static QuantConnect.ToolBox.RandomDataGenerator.RandomDataGenerator GetGenerator(RandomDataGeneratorSettings settings) + { + var securityManager = new SecurityManager(new TimeKeeper(settings.Start, new[] { TimeZones.Utc })); + + var securityService = new SecurityService( + new CashBook(), + MarketHoursDatabase.FromDataFolder(), + SymbolPropertiesDatabase.FromDataFolder(), + new SecurityInitializerProvider(new FuncSecurityInitializer(security => + { + // init price + security.SetMarketPrice(new Tick(settings.Start, security.Symbol, 100, 100)); + security.SetMarketPrice(new OpenInterest(settings.Start, security.Symbol, 10000)); + + // from settings + security.VolatilityModel = new StandardDeviationOfReturnsVolatilityModel(settings.VolatilityModelResolution); + + // from settings + if (security is Option option) + { + option.PriceModel = OptionPriceModels.Create(settings.OptionPriceEngineName, + _interestRateProvider.GetRiskFreeRate(settings.Start, settings.End)); + } + })), + RegisteredSecurityDataTypesProvider.Null, + new SecurityCacheProvider( + new SecurityPortfolioManager(securityManager, new SecurityTransactionManager(null, securityManager), new AlgorithmSettings())), + new MapFilePrimaryExchangeProvider(Composer.Instance.GetExportedValueByTypeName(Config.Get("map-file-provider", "LocalDiskMapFileProvider"))) + ); + + securityManager.SetSecurityService(securityService); + + var generator = new QuantConnect.ToolBox.RandomDataGenerator.RandomDataGenerator(); + generator.Init(settings, securityManager); + return generator; + } + private static readonly IRiskFreeInterestRateModel _interestRateProvider = new InterestRateProvider(); private static SecurityService GetSecurityService(RandomDataGeneratorSettings settings, SecurityManager securityManager) diff --git a/ToolBox/QuantConnect.ToolBox.csproj b/ToolBox/QuantConnect.ToolBox.csproj index 52fd576aee02..196fe98c86f9 100644 --- a/ToolBox/QuantConnect.ToolBox.csproj +++ b/ToolBox/QuantConnect.ToolBox.csproj @@ -5,7 +5,7 @@ Exe QuantConnect.ToolBox QuantConnect.ToolBox - net9.0 + net10.0 AllEnabledByDefault false bin\$(Configuration)\