Open
Conversation
…sses - Implemented `generate_signals` method in `BacktestEngine` to evaluate strategy-generated signals over a specified time range without a full backtest. - Enhanced `Strategy` class with a `predict` method to return continuous signals based on historical data, facilitating signal research mode. - Updated documentation for both methods to clarify usage and parameters, improving overall code clarity and usability.
- Deleted unused database files and example scripts to streamline the project structure. - Refactored the `Context` class in the `Strategy` module to replace the private engine reference with a public attribute, enhancing accessibility for strategies. - Updated strategy methods to utilize the new context structure, improving consistency across the codebase.
- Added support for ingesting TBBO tick data files and directories in the `DataLayer` and `DatabaseManager` classes, improving data handling capabilities. - Introduced a new command in the CLI for ingesting TBBO data, allowing users to specify file or directory sources. - Updated the `BacktestEngine` to accommodate frequency specifications and data types for improved backtesting flexibility. - Refactored the `Portfolio` class to include error handling for performance metrics calculations, ensuring robustness in analytics. - Enhanced the `.gitignore` file to exclude new tick data directories and removed the obsolete `test_plan.md` file.
…ze' in various classes, improving consistency in handling data. - Enhanced the `TickBars`, `VolumeBars`, and `DollarBars` classes to aggregate data based on 'size' and adjusted related methods for better performance. - Improved the `TickImbalanceBars` and `DollarImbalanceBars` classes to calculate imbalances and runs per symbol, optimizing the processing of financial data. - Added print statement for debugging in the `BacktestEngine` to track the timestamp index during backtests.
- Added frequency optimization ranges and configuration options in `OptimizationConfig` for better strategy evaluation. - Updated `evaluate_strategy_params` to incorporate frequency and data type settings, improving flexibility in backtesting. - Introduced methods in `DataPortal` and `BacktestEngine` to set and retrieve default frequency for data queries, enhancing data handling. - Created a new `TwentyFourSevenESTCalendar` for Eastern Standard Time support in trading calendars, expanding calendar options.
- Added `scikit-learn` version 1.7.2 and `joblib` version 1.5.2 to `pyproject.toml` for improved machine learning capabilities. - Removed deprecated packages from `poetry.lock`, including `bottle`, `lightweight-charts`, and others, streamlining the dependency list. - Enhanced the `DataLayer` class to allow optional frequency specification for data retrieval, improving flexibility in data handling. - Introduced side-based aggregation methods in the `BarTransformer` class to support new data processing requirements.
- Added order cancellation capability in the `Broker` class, allowing specified orders to be cancelled before placing new ones. - Introduced `get_bracket_order_ids` method to retrieve active bracket order IDs for a given symbol. - Updated `TradingCalendar` to include market open and close times, enabling better handling of trading hours. - Implemented `NYSECalendarExtended` for extended trading hours support, enhancing trading calendar options. - Enhanced `BacktestEngine` to inject market open/close timestamps into the timestamp index, improving strategy execution at market events. - Updated `Strategy` class methods to return lists of signals for market open and close events, facilitating immediate execution of trading signals.
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
1 participant
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
No description provided.