Merge branch 'QuantConnect:master' into master

.github/workflows/gh-actions.yml

@@ -10,23 +10,21 @@ on:
 jobs:
   build:
     runs-on: ubuntu-20.04
-    container:
-        image: quantconnect/lean:foundation
     steps:
-      - uses: actions/checkout@v2
+      - name: Checkout
+        uses: actions/checkout@v2
+      - name: Free space
+        run: df -h && rm -rf /opt/hostedtoolcache* && df -h
 
-      - name: Build
-        run: dotnet build /p:Configuration=Release /v:quiet /p:WarningLevel=1 QuantConnect.Lean.sln
-
-      - name: Run Tests
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --blame-hang-timeout 300seconds --blame-crash --filter "TestCategory!=TravisExclude&TestCategory!=ResearchRegressionTests" -- TestRunParameters.Parameter\(name=\"log-handler\", value=\"ConsoleErrorLogHandler\"\)
-
-      - name: Generate & Publish python stubs
-        if: startsWith(github.ref, 'refs/tags/')
-        run: |
-          chmod +x ci_build_stubs.sh
-          ./ci_build_stubs.sh -t -g -p
-        env:
-          PYPI_API_TOKEN: ${{ secrets.PYPI_API_TOKEN }}
-          ADDITIONAL_STUBS_REPOS: ${{ secrets.ADDITIONAL_STUBS_REPOS }}
-          QC_GIT_TOKEN: ${{ secrets.QC_GIT_TOKEN }}
+      - uses: addnab/docker-run-action@v3
+        with:
+          image: quantconnect/lean:foundation
+          options: --workdir /__w/Lean/Lean -v /home/runner/work:/__w -e GITHUB_REF=${{ github.ref }} -e PYPI_API_TOKEN=${{ secrets.PYPI_API_TOKEN }} -e ADDITIONAL_STUBS_REPOS=${{ secrets.ADDITIONAL_STUBS_REPOS }} -e QC_GIT_TOKEN=${{ secrets.QC_GIT_TOKEN }}
+          shell: bash
+          run: |
+            # Build
+            dotnet build /p:Configuration=Release /v:quiet /p:WarningLevel=1 QuantConnect.Lean.sln && \
+            # Run Tests
+            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --blame-hang-timeout 300seconds --blame-crash --filter "TestCategory!=TravisExclude&TestCategory!=ResearchRegressionTests" -- TestRunParameters.Parameter\(name=\"log-handler\", value=\"ConsoleErrorLogHandler\"\) && \
+            # Generate & Publish python stubs
+            echo "GITHUB_REF $GITHUB_REF" && if [[ $GITHUB_REF = refs/tags/* ]]; then (chmod +x ci_build_stubs.sh && ./ci_build_stubs.sh -t -g -p); else echo "Skipping stub generation"; fi

.github/workflows/regression-tests.yml

@@ -10,13 +10,19 @@ on:
 jobs:
   build:
     runs-on: ubuntu-20.04
-    container:
-        image: quantconnect/lean:foundation
     steps:
-      - uses: actions/checkout@v2
+      - name: Checkout
+        uses: actions/checkout@v2
+      - name: Free space
+        run: df -h && rm -rf /opt/hostedtoolcache* && df -h
 
-      - name: Build
-        run: dotnet build /p:Configuration=Release /v:quiet /p:WarningLevel=1 QuantConnect.Lean.sln
-
-      - name: Run Tests
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter TestCategory=RegressionTests -- TestRunParameters.Parameter\(name=\"log-handler\", value=\"ConsoleErrorLogHandler\"\) TestRunParameters.Parameter\(name=\"reduced-disk-size\", value=\"true\"\)
+      - uses: addnab/docker-run-action@v3
+        with:
+          image: quantconnect/lean:foundation
+          options: --workdir /__w/Lean/Lean -v /home/runner/work:/__w
+          shell: bash
+          run: |
+            # Build
+            dotnet build /p:Configuration=Release /v:quiet /p:WarningLevel=1 QuantConnect.Lean.sln
+            # Run Tests
+            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter TestCategory=RegressionTests -- TestRunParameters.Parameter\(name=\"log-handler\", value=\"ConsoleErrorLogHandler\"\) TestRunParameters.Parameter\(name=\"reduced-disk-size\", value=\"true\"\)

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

@@ -10,26 +10,27 @@ on:
 jobs:
   build:
     runs-on: ubuntu-20.04
-    container:
-        image: quantconnect/lean:foundation
     steps:
-      - uses: actions/checkout@v2
-
-      - name: install dependencies
-        run: |
-          pip3 install papermill==2.4.0 clr-loader==0.1.6
-
-      - name: install kernel
-        run: dotnet tool install --global Microsoft.dotnet-interactive --version 1.0.340501
-
-      - name: Add dotnet tools to Path
-        run: echo "$HOME/.dotnet/tools" >> $GITHUB_PATH
-
-      - name: activate kernel for jupyter
-        run: dotnet interactive jupyter install
-
-      - name: Build
-        run: dotnet build /p:Configuration=Release /v:quiet /p:WarningLevel=1 QuantConnect.Lean.sln
-
-      - name: Run Tests
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter TestCategory=ResearchRegressionTests -- TestRunParameters.Parameter\(name=\"log-handler\", value=\"ConsoleErrorLogHandler\"\) TestRunParameters.Parameter\(name=\"reduced-disk-size\", value=\"true\"\)
+      - name: Checkout
+        uses: actions/checkout@v2
+      - name: Free space
+        run: df -h && rm -rf /opt/hostedtoolcache* && df -h
+
+      - uses: addnab/docker-run-action@v3
+        with:
+          image: quantconnect/lean:foundation
+          options: --workdir /__w/Lean/Lean -v /home/runner/work:/__w
+          shell: bash
+          run: |
+            # install dependencies
+            pip3 install papermill==2.4.0 clr-loader==0.1.6
+            # install kernel
+            dotnet tool install --global Microsoft.dotnet-interactive --version 1.0.340501
+            # Add dotnet tools to Path
+            export PATH="$HOME/.dotnet/tools:$PATH"
+            # activate kernel for jupyter
+            dotnet interactive jupyter install
+            # Build
+            dotnet build /p:Configuration=Release /v:quiet /p:WarningLevel=1 QuantConnect.Lean.sln
+            # Run Tests
+            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter TestCategory=ResearchRegressionTests -- TestRunParameters.Parameter\(name=\"log-handler\", value=\"ConsoleErrorLogHandler\"\) TestRunParameters.Parameter\(name=\"reduced-disk-size\", value=\"true\"\)

.github/workflows/virtual-environments.yml

@@ -10,61 +10,49 @@ on:
 jobs:
   build:
     runs-on: ubuntu-20.04
-    container:
-        image: quantconnect/lean:foundation
     steps:
-      - uses: actions/checkout@v2
-
-      - name: Build
-        run: dotnet build /p:Configuration=Release /v:quiet /p:WarningLevel=1 QuantConnect.Lean.sln
-
-      - name: Python Virtual Environment System Packages
-        run: python -m venv /lean-testenv --system-site-packages && . /lean-testenv/bin/activate && pip install --no-cache-dir lean==1.0.99 && deactivate
-
-      - name: Run Virtual Environment Test System Packages
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonVirtualEnvironmentTests.AssertVirtualEnvironment"
-
-      - name: Python Virtual Environment
-        run: rm -rf /lean-testenv && python -m venv /lean-testenv && . /lean-testenv/bin/activate && pip install --no-cache-dir lean==1.0.99 && deactivate
-
-      - name: Run Virtual Environment Test
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonVirtualEnvironmentTests.AssertVirtualEnvironment"
-
-      - name: Run Python Package Tests
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests" --blame-hang-timeout 120seconds --blame-crash
-
-      - name: Run Pomegranate & Tigramite Python Package Test
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.PomegranateTest|Tigramite" --blame-hang-timeout 120seconds --blame-crash
-
-      - name: Run StableBaselines Python Package Test
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.StableBaselinesTest" --blame-hang-timeout 120seconds --blame-crash
-
-      - name: Run AxPlatform Python Package Test
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.AxPlatformTest" --blame-hang-timeout 120seconds --blame-crash
-
-      - name: Run NBeats Python Package Test
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.NBeatsTest" --blame-hang-timeout 120seconds --blame-crash
-
-      - name: Run TensorlyTest Python Package Test
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.TensorlyTest" --blame-hang-timeout 120seconds --blame-crash
-
-      - name: Run NeuralTangents, Ignite Python Package Test
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.NeuralTangentsTest|IgniteTest" --blame-hang-timeout 120seconds --blame-crash
-
-      - name: Run TensorflowTest
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.TensorflowTest" --blame-hang-timeout 120seconds --blame-crash
-
-      - name: Run TensorflowProbability
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.TensorflowProbabilityTest" --blame-hang-timeout 120seconds --blame-crash
-
-      - name: Run Hvplot Python Package Test
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.HvplotTest" --blame-hang-timeout 120seconds --blame-crash
-
-      - name: Run Hvplot Python Package Test
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.StellargraphTest" --blame-hang-timeout 120seconds --blame-crash
-
-      - name: Run Keras Python Package Test
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.KerasTest" --blame-hang-timeout 120seconds --blame-crash
-
-      - name: Run Keras Python Package Test
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.ScikerasTest" --blame-hang-timeout 120seconds --blame-crash
+      - name: Checkout
+        uses: actions/checkout@v2
+      - name: Free space
+        run: df -h && rm -rf /opt/hostedtoolcache* && df -h
+
+      - uses: addnab/docker-run-action@v3
+        with:
+          image: quantconnect/lean:foundation
+          options: --workdir /__w/Lean/Lean -v /home/runner/work:/__w
+          shell: bash
+          run: |
+            # Build
+            dotnet build /p:Configuration=Release /v:quiet /p:WarningLevel=1 QuantConnect.Lean.sln
+            # Python Virtual Environment System Packages
+            python -m venv /lean-testenv --system-site-packages && . /lean-testenv/bin/activate && pip install --no-cache-dir lean==1.0.99 && deactivate
+            # Run Virtual Environment Test System Packages
+            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonVirtualEnvironmentTests.AssertVirtualEnvironment"
+            # Python Virtual Environment
+            rm -rf /lean-testenv && python -m venv /lean-testenv && . /lean-testenv/bin/activate && pip install --no-cache-dir lean==1.0.99 && deactivate
+            # Run Virtual Environment Test
+            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonVirtualEnvironmentTests.AssertVirtualEnvironment"
+            # Run Python Package Tests
+            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests" --blame-hang-timeout 120seconds --blame-crash
+            # Run StableBaselines Python Package Test
+            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.StableBaselinesTest" --blame-hang-timeout 120seconds --blame-crash
+            # Run AxPlatform Python Package Test
+            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.AxPlatformTest" --blame-hang-timeout 120seconds --blame-crash
+            # Run TensorlyTest Python Package Test
+            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.TensorlyTest" --blame-hang-timeout 120seconds --blame-crash
+            # Run NeuralTangents, Ignite Python Package Test
+            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.NeuralTangentsTest|IgniteTest" --blame-hang-timeout 120seconds --blame-crash
+            # Run TensorflowTest
+            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.TensorflowTest" --blame-hang-timeout 120seconds --blame-crash
+            # Run TensorflowProbability
+            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.TensorflowProbabilityTest" --blame-hang-timeout 120seconds --blame-crash
+            # Run Hvplot Python Package Test
+            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.HvplotTest" --blame-hang-timeout 120seconds --blame-crash
+            # Run Stellargraph Python Package Test
+            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.StellargraphTest" --blame-hang-timeout 120seconds --blame-crash
+            # Run Keras Python Package Test
+            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.KerasTest" --blame-hang-timeout 120seconds --blame-crash
+            # Run Scikeras Python Package Test
+            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.ScikerasTest" --blame-hang-timeout 120seconds --blame-crash
+            # Run Transformers
+            dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.Transformers|XTransformers" --blame-hang-timeout 120seconds --blame-crash

.gitignore

@@ -1,3 +1,6 @@
+# OS Files
+.DS_Store
+
 # Object files
 *.o
 *.ko

Algorithm.CSharp/AccumulativeInsightPortfolioRegressionAlgorithm.cs

@@ -91,23 +91,24 @@ public override void OnEndOfAlgorithm()
             {"Drawdown", "0.200%"},
             {"Expectancy", "-0.585"},
             {"Net Profit", "-0.172%"},
-            {"Sharpe Ratio", "-10.169"},
+            {"Sharpe Ratio", "-11.13"},
+            {"Sortino Ratio", "-16.704"},
             {"Probabilistic Sharpe Ratio", "12.075%"},
             {"Loss Rate", "78%"},
             {"Win Rate", "22%"},
             {"Profit-Loss Ratio", "0.87"},
-            {"Alpha", "-0.149"},
+            {"Alpha", "-0.156"},
             {"Beta", "0.035"},
             {"Annual Standard Deviation", "0.008"},
             {"Annual Variance", "0"},
             {"Information Ratio", "-9.603"},
             {"Tracking Error", "0.215"},
-            {"Treynor Ratio", "-2.264"},
+            {"Treynor Ratio", "-2.478"},
             {"Total Fees", "$199.00"},
             {"Estimated Strategy Capacity", "$26000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "119.89%"},
-            {"OrderListHash", "3c4c4085810cc5ecdb927d3647b9bbf3"}
+            {"OrderListHash", "2b4c6d1cb2fc32e25f9a744e8aa7229a"}
         };
     }
 }

Algorithm.CSharp/AddAlphaModelAlgorithm.cs

@@ -127,23 +127,24 @@ public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)
             {"Drawdown", "1.700%"},
             {"Expectancy", "1.781"},
             {"Net Profit", "1.442%"},
-            {"Sharpe Ratio", "4.86"},
+            {"Sharpe Ratio", "4.836"},
+            {"Sortino Ratio", "10.481"},
             {"Probabilistic Sharpe Ratio", "59.497%"},
             {"Loss Rate", "33%"},
             {"Win Rate", "67%"},
             {"Profit-Loss Ratio", "3.17"},
-            {"Alpha", "4.181"},
+            {"Alpha", "4.164"},
             {"Beta", "-1.322"},
             {"Annual Standard Deviation", "0.321"},
             {"Annual Variance", "0.103"},
             {"Information Ratio", "-0.795"},
             {"Tracking Error", "0.532"},
-            {"Treynor Ratio", "-1.18"},
+            {"Treynor Ratio", "-1.174"},
             {"Total Fees", "$14.78"},
             {"Estimated Strategy Capacity", "$47000000.00"},
             {"Lowest Capacity Asset", "IBM R735QTJ8XC9X"},
             {"Portfolio Turnover", "41.18%"},
-            {"OrderListHash", "9da9afe1e9137638a55db1676adc2be1"}
+            {"OrderListHash", "e07dec6ddf0ef6b5d9c791b0593ec4dc"}
         };
     }
 }

Algorithm.CSharp/AddAndRemoveOptionContractRegressionAlgorithm.cs

@@ -105,6 +105,7 @@ public override void OnEndOfAlgorithm()
             {"Expectancy", "0"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},

Algorithm.CSharp/AddAndRemoveSecuritySameLoopRegressionAlgorithm.cs

@@ -102,6 +102,7 @@ public override void OnEndOfAlgorithm()
             {"Expectancy", "0"},
             {"Net Profit", "0%"},
             {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},

Algorithm.CSharp/AddBetaIndicatorRegressionAlgorithm.cs

@@ -121,23 +121,24 @@ public override void OnOrderEvent(OrderEvent orderEvent)
             {"Drawdown", "0.300%"},
             {"Expectancy", "0"},
             {"Net Profit", "0.289%"},
-            {"Sharpe Ratio", "4.233"},
+            {"Sharpe Ratio", "3.924"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "68.349%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.035"},
+            {"Alpha", "0.028"},
             {"Beta", "0.122"},
             {"Annual Standard Deviation", "0.024"},
             {"Annual Variance", "0.001"},
             {"Information Ratio", "-3.181"},
             {"Tracking Error", "0.142"},
-            {"Treynor Ratio", "0.842"},
+            {"Treynor Ratio", "0.78"},
             {"Total Fees", "$1.00"},
             {"Estimated Strategy Capacity", "$35000000.00"},
             {"Lowest Capacity Asset", "IBM R735QTJ8XC9X"},
             {"Portfolio Turnover", "1.51%"},
-            {"OrderListHash", "bd88c6a0e10c7e146b05377205101a12"}
+            {"OrderListHash", "e930f95771bc50dd2db1c353e054c4e7"}
         };
     }
 }

Algorithm.CSharp/AddFutureContractWithContinuousRegressionAlgorithm.cs

@@ -135,23 +135,24 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
             {"Drawdown", "0.000%"},
             {"Expectancy", "-1"},
             {"Net Profit", "-0.034%"},
-            {"Sharpe Ratio", "-7.854"},
+            {"Sharpe Ratio", "-10.666"},
+            {"Sortino Ratio", "0"},
             {"Probabilistic Sharpe Ratio", "1.216%"},
             {"Loss Rate", "100%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "-0.022"},
+            {"Alpha", "-0.029"},
             {"Beta", "0.004"},
             {"Annual Standard Deviation", "0.003"},
             {"Annual Variance", "0"},
             {"Information Ratio", "-0.768"},
             {"Tracking Error", "0.241"},
-            {"Treynor Ratio", "-4.689"},
+            {"Treynor Ratio", "-6.368"},
             {"Total Fees", "$8.60"},
             {"Estimated Strategy Capacity", "$5500000.00"},
             {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
             {"Portfolio Turnover", "66.80%"},
-            {"OrderListHash", "802a335b5c355e83b8cd2174f053c1b9"}
+            {"OrderListHash", "0ade3a7a7aaafa3263082c93cf17c4d8"}
         };
     }
 }