QuantConnect / QuantConnect/Lean
PearsonCorrelationPairsTradingAlphaModel Doesn't Use ScaledRaw Data
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- Dominant language
- C#
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Description
Expected Behavior
The PearsonCorrelationPairsTradingAlphaModel uses ScaledRaw data
Actual Behavior
The PearsonCorrelationPairsTradingAlphaModel requests historical data with the data normalization of the security subscription
Potential Solution
Update PearsonCorrelationPairsTradingAlphaModel to use ScaledRaw data
Reproducing the Problem
N/A. View source code
System Information
N/A
Checklist
- I have completely filled out this template
- I have confirmed that this issue exists on the current
masterbranch - I have confirmed that this is not a duplicate issue by searching issues
- I have provided detailed steps to reproduce the issue
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Start with Algorithm.Framework/Alphas/PearsonCorrelationPairsTradingAlphaModel.py at the source line linked in the issue. Check how the model requests historical data and compare that request with the expected ScaledRaw normalization. Done means the model requests ScaledRaw data as described; the issue does not mention a test to run.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- python
- Domain
- data
- Issue type
- Bug
- Difficulty
- 2/5
- Estimated time
- 1-3 hours
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 45/100