Pull latest from origin #5

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Merged

ben-v merged 103 commits into teqbench:master from QuantConnect:master

Jan 22, 2026

.github/workflows/research-regression-tests.yml

            
                      Original file line number
                      Diff line number
                      Diff line change
                  
    @@ -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

Algorithm.CSharp/AddAndRemoveOptionContractRegressionAlgorithm.cs

-Original file line number
+Diff line change
@@ Expand Up / @@ -87,7 +87,7 @@ public override void OnEndOfAlgorithm() @@
             /// <summary>
             /// Data Points count of all timeslices of algorithm
             /// </summary>
-            public long DataPoints => 24;
+            public long DataPoints => 26;
             /// <summary>
             /// Data Points count of the algorithm history
@@ Expand Down @@

Algorithm.CSharp/AddAndRemoveSecuritySameLoopRegressionAlgorithm.cs

-Original file line number
+Diff line change
@@ Expand Up / @@ -82,7 +82,7 @@ public override void OnEndOfAlgorithm() @@
             /// <summary>
             /// Data Points count of all timeslices of algorithm
             /// </summary>
-            public long DataPoints => 24;
+            public long DataPoints => 25;
             /// <summary>
             /// Data Points count of the algorithm history
@@ Expand Down @@

Algorithm.CSharp/AddBetaIndicatorNewAssetsRegressionAlgorithm.cs

            
                      Original file line number
                      Diff line number
                      Diff line change
                  
    @@ -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)
  
            /// <summary>

            /// Data Points count of the algorithm history

            /// </summary>

            public int AlgorithmHistoryDataPoints => 77;

            public int AlgorithmHistoryDataPoints => 26;

            /// <summary>

            /// 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"}

            };

        }

    }

Algorithm.CSharp/AddFutureContractWithContinuousRegressionAlgorithm.cs

            
                      Original file line number
                      Diff line number
                      Diff line change
                  
    @@ -132,34 +132,34 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
  
            /// </summary>

            public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>

            {

                {"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"}

            };

        }

    }

Algorithm.CSharp/AddFutureOptionContractFromFutureChainRegressionAlgorithm.cs

            
                      Original file line number
                      Diff line number
                      Diff line change
                  
    @@ -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"}

            };

        }

    }

...thm.CSharp/AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm.cs

            
                      Original file line number
                      Diff line number
                      Diff line change
                  
    @@ -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"}

            };

        }

    }

Algorithm.CSharp/AddOptionContractExpiresRegressionAlgorithm.cs

            
                      Original file line number
                      Diff line number
                      Diff line change
                  
    @@ -117,7 +117,7 @@ public override void OnData(Slice slice)
  
            /// <summary>

            /// Data Points count of all timeslices of algorithm

            /// </summary>

            public long DataPoints => 37597;

            public long DataPoints => 37598;

            /// <summary>

            /// 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"}

            };

        }

    }

Algorithm.CSharp/AddOptionContractFromUniverseRegressionAlgorithm.cs

            
                      Original file line number
                      Diff line number
                      Diff line change
                  
    @@ -169,7 +169,7 @@ public override void OnEndOfAlgorithm()
  
            /// <summary>

            /// Data Points count of all timeslices of algorithm

            /// </summary>

            public long DataPoints => 5798;

            public long DataPoints => 5800;

            /// <summary>

            /// 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"}

            };

        }

    }

Algorithm.CSharp/AddOptionContractTwiceRegressionAlgorithm.cs

            
                      Original file line number
                      Diff line number
                      Diff line change
                  
    @@ -116,7 +116,7 @@ public override void OnEndOfAlgorithm()
  
            /// <summary>

            /// Data Points count of all timeslices of algorithm

            /// </summary>

            public long DataPoints => 3814;

            public long DataPoints => 3818;

            /// <summary>

            /// 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"}

            };

        }

    }

Algorithm.CSharp/AddOptionUniverseSelectionModelRegressionAlgorithm.cs

-Original file line number
+Diff line change
@@ Expand Up / @@ -96,7 +96,7 @@ public override void OnEndOfAlgorithm() @@
             /// <summary>
             /// Data Points count of all timeslices of algorithm
             /// </summary>
-            public long DataPoints => 1658167;
+            public long DataPoints => 2349547;
             /// <summary>
             /// Data Points count of the algorithm history
@@ Expand Down @@

Algorithm.CSharp/AddRemoveOptionUniverseRegressionAlgorithm.cs

            
                      Original file line number
                      Diff line number
                      Diff line change
                  
    @@ -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"}

            };

        }

    }

Algorithm.CSharp/AddRemoveSecurityCacheRegressionAlgorithm.cs

-Original file line number
+Diff line change
@@ Expand Up / @@ -83,7 +83,7 @@ public override void OnData(Slice slice) @@
             /// <summary>
             /// Data Points count of all timeslices of algorithm
             /// </summary>
-            public long DataPoints => 11202;
+            public long DataPoints => 15042;
             /// <summary>
             /// Data Points count of the algorithm history
@@ Expand Down @@

Algorithm.CSharp/AddRemoveSecurityRegressionAlgorithm.cs

-Original file line number
+Diff line change
@@ Expand Up / @@ -110,7 +110,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) @@
             /// <summary>
             /// Data Points count of all timeslices of algorithm
             /// </summary>
-            public long DataPoints => 7063;
+            public long DataPoints => 7065;
             /// <summary>
             /// Data Points count of the algorithm history
@@ Expand Down @@

Algorithm.CSharp/AddTwoAndRemoveOneOptionContractRegressionAlgorithm.cs

            
                      Original file line number
                      Diff line number
                      Diff line change
                  
    @@ -101,7 +101,7 @@ public override void OnEndOfAlgorithm()
  
            /// <summary>

            /// Data Points count of all timeslices of algorithm

            /// </summary>

            public long DataPoints => 1578;

            public long DataPoints => 1579;

            /// <summary>

            /// 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"}

            };

        }

    }

Algorithm.CSharp/AutomaticIndicatorWarmupDataTypeRegressionAlgorithm.cs

-Original file line number
+Diff line change
@@ Expand Up / @@ -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<QuoteBar> indicator using Future unsubscribed symbol
                 var indicator1 = new CustomIndicator();
@@ Expand Down @@

Provide feedback

Saved searches

Use saved searches to filter your results more quickly

Pull latest from origin #5

Uh oh!

Diff view

Diff view

Uh oh!

There are no files selected for viewing

Uh oh!

Uh oh!