Derek Melchin

Python Version of Black Litterman PCM Throws ValueError

1

#### Expected Behavior The python implementation of BlackLittermanOptimizationPortfolioConstructionModel matches the C# implementation. #### Actual Behavior The python implementation of BlackLittermanOptimizationPortfolioConstructionModel doesn't match the C# implementation. For instance, [this backtest](https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_def6eceba5117135cb8b7a763d518567.html) shows...

#### Expected Behavior `GetFutureHistory` and `GetOptionHistory` work for C# QuantBook #### Actual Behavior If we run ``` var qb = new QuantBook(); var gold = qb.AddFuture(Futures.Metals.Gold); gold.SetFilter(0, 90); var history...

#### Expected Behavior We can call `CalculateOrderQuantity` with an Equity Symbol when we have a cash account. #### Actual Behavior We get the following error message: > Backtest Handled Error:...

#### Expected Behavior We have a universe selection model for FOP. #### Actual Behavior There is no universe selection model for FOP. #### Potential Solution Add a universe selection model...

#### Expected Behavior If we define an `OnData` method that accepts a `FuturesChains` argument, LEAN passes the `FuturesChains` to the method. #### Actual Behavior The algorithm manager doesn't call an...

Can't Maximize Position Size of OptionStrategies

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#### Expected Behavior We can place an order with OptionStrategies to maximize the position size (minimize the amount of margin remaining). #### Actual Behavior When we try to maximize the...

#### Expected Behavior If we don't provide a `universeFilterFunc` to the `Universe.ETF` method, the [universe selects all of the ETF constituents](https://github.com/QuantConnect/Lean/blob/master/Common/Data/UniverseSelection/ETFConstituentsUniverse.cs#L37). #### Actual Behavior If we don't provide a `universeFilterFunc`...

Add Fundamental History Method to Backtester

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#### Expected Behavior History requests for fundamental data is implemented in both the research and backtesting environment. #### Actual Behavior History requests for fundamental data is not implemented in the...

OpenInterestFutureUniverseSelectionModel doesn't work with Python

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#### Expected Behavior We can add a `OpenInterestFutureUniverseSelectionModel` to a Python algorithm. #### Actual Behavior We can add a `OpenInterestFutureUniverseSelectionModel` to a C# algorithm but not a Python algorithm. ####...

#### Expected Behavior If we emit a down insight with a weight, the InsightWeightingPortfolioConstructionModel creates targets to sell the security. #### Actual Behavior If we emit a down insight with...