When using BrokerageHistoryProvider with InteractiveBrokers, GetOrderByBrokerageId calls on open orders were logging NullReferenceExceptions because SetOrderProcessor is called later, in BrokerageSetupHandler.Setup.
This PR reverts and replaces PR #674 because it caused issue #678.
The margin call model has been refactored and now contains both methods for margin call order handling (generation and execution).
Disabling margin calls is now much simpler:
Portfolio.MarginCallModel = MarginCallModel.Null;
List of changes:
- Added a new IMarginCallModel interface
- Renamed MarginCallModel to DefaultMarginCallModel
- Refactored margin call models by moving the GenerateMarginCallOrder method from ISecurityMarginModel to IMarginCallModel
- Disabled margin calls by default for live trading in BrokerageSetupHandler initialization
- Added IQFeed options support to toolbox: option chain universe, option symbol list, subscriptions, live prices
- Added LiveTradingDataFeed to support options live screaming
- Added IB live options trading support: trading orders, holdings, live option exercising
- Modified ISymbolMapper interface to support derivatives (options, futures)
- Fixed minor bugs with (introduced ealier) symbol changes for options
Tested with IQFeed version 5.2.4.2. IB TWS offline version 957.
- 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.
This removes the SetupHandler.UpdateModels(...) method which used the brokerage
model to set fill/fee/slippage/settlement models. This will also allow the
removal of flags indicating that the user has set certain Security properties
IResultHandler has an Initialize method which accepts a job, so all instances should know
they job (algo id, proj id, user id) and so these methods shouldn't be requiring the field
Since we now support universe selection and by convention never remove a security
object, we can't rely on the counts of the security manager to perform limits on
data subscriptions, this logic was moved deeper into the engine, where we perform
UniverseSelection, which is the path taken to add new data subscriptions
Stefano Raggi