* SafeDecimalCast Throws Exception For Non-Finite Numbers
* Fixes Arithmetic Overflow Exception in QCAlgorithm.Trading Methods
Replace decimal cast for `SafeDecimalCast()`.
If the algorithm uses a non-finite number in QCAlgorithm trading methods, it will throw with an user-frieldly exception message.
* Fixes KellyCriterionProbabilityValue Calculation
- `SetHoldings` will take `OnMarketOpen` ordes into account when
determining order quantity
- Adding new regression test. Updating existing algorithms which
suffered of the issue
- Adding a performance improvement, will avoid margin and portfolio
calculations for MarketOnOpen orders that wont be able to fill
- `FactorFile` will keep an ordered reversed list with the dates.
Calling `Reverse()` on the `SortedList` is expensive.
- `MapFiles` will keep first and last date, so we don't need to call
`First()` and `Last()` multiple times.
- `Liquidate` will go through all the algorithms securities only if
necessary
- `TradeBar` parsing will not call `new T` for pure `TradeBar` which is
expensive
- Removing `Lazy` hash code and security type for the
`SecurityIdentifier`, replacing for direct initialization. Accessing the
`Lazy` value adds an overhead.
- Replacing `Enum` to string for hardcoded switch statement. `Enum.ToString` is expensive.
- `DataManager` will be lazy for counting the subscriptions for
determining if its above the limit
- Adding `AlgorithmSecurityValuesProvider.GetAllValues()`, removes the
need to fetch all the security keys twice.
- During universe selection, will not try to re add already added symbol
The logic to select the right market order type is moved to `SetHoldings`. If the market is closed or there is only daily data, a market on open order is placed.
When buying power models return a zero quantity for an order, a flag can be set to indicate if it's an error condition, so CalculateOrderQuantity will show the error to the user.
The HasSufficientBuyingPowerForOrder method has been updated to return a result object including the reason the order cannot be executed.
The SetHoldings method has also been updated to display a message if CalculateOrderQuantity returns zero.
This is the default time span before market close that we'll allow an MOC
order to be placed. Nominally set to 15 minutes + 30 second buffer for
processing/transport.
This method is being added to allow algorithms to complete initialization tasks that cannot be executed during Initialize, such as cancelling existing open orders in live trading.
This method will be called only once, when the warmup task is complete.
Closes#1043
Since we were not rounding off feeToPriceRatio, we were reducing order quantity more than needed in limit cases.
Fixes RegressionTests that were wrongly modified.
In quantity calculation, we didn't reduce the order quantity by decimal numbers, leading to a big step when dealing with crypto-currencies. For example, from 2.3456 it would drop to 1.3456 where values in between should've been tested.
This change will make it easier to add other planned brokerage features:
for Interactive Brokers, besides Financial Advisor support, we will be adding IB algorithmic orders soon (PR #1203).
The properties in the default instance can be modified by users duing Initialize.
These properties are always copied into all new orders submitted with any method available (Order, SetHoldings, etc.)
The algorithm had two issues:
1. the LINQ query for contract selection was not including the option right (Put or Call)
2. the algorithm was submitting two extra orders at the end of the day (when market closed)
A helper method was also added in QCAlgorithm to determine if the market is open for a given symbol at the current time.
- Added OptionStrategies class with 10 popular option strats
- Defined OptionStrategy class
- Added support for trading of option strategies in QCAlgorithm.Trading.cs
- Added several estimator interfaces to introduce QL pricing models extention points: IDividendYieldEstimator, IRiskFreeRateEstimator, IUnderlyingVolatilityEstimator provided default implementation (flat term structure)
- Added QLOptionPriceModel class that contains meat of the calculations
- Added OptionPriceModels class that exposes 12 popular option pricing models to the user: those include Black Scholes, Barone-Adesi Whaley, Bjerksund Stensland, Crank Nicolson FD, Binomial Trees and more.
- Modified Greeks class to support lazy evaluation and introduce IV
- Partially tested on live data and trading (IQFeed/IB) and backtests. Need more data for tests.
- Updated IB fee model to support option exercise
- Added support for splits for options. Not tested on real data yet.
- Added option exercise functionality for long positions. Unit Tests. Not tested on real data yet.
- Added option assignment functionality for short positions. Assignment event. Unit Tests.
- Added basic option assignment simulator for backtesting brokerage. Simulates assignments for deep ITM short positions close to expiration. Unit Tests.
Alexandre Catarino