f6d7e5fcd7
Addresses Peer-Review
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- Standarizes basic template algorithms for options and futures
- Fix typo
2020-02-12 22:28:45 +00:00
9690acfd25
Changes Basic Template Algorithms With Options and Futures to Show The New Overloads
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Keeps the original overloads in the comments.
2020-02-12 16:49:44 +00:00
49af364055
Update Algorithm.CSharp to respect CA1304 and CA1305
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Updates all occurrences of parsing/ToString-ing to go through the new
StringExtensions methods that use CultureInfo.InvariantCulture
See #3045
2019-09-12 15:30:45 -04:00
f606c6f0a6
Fix zero value issue in Greeks
2018-05-21 14:54:05 -04:00
4c98817c9e
change the benchmark setting
2018-04-12 18:33:01 -04:00
4c86c5f3df
change the resolution of option history request to minute
2018-04-12 16:54:57 -04:00
98a1b6a2a2
Refactors options algorithms
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AddEquity and SetDataNormalization calls were removed because they are not mandatory since PostInitialize calls them.
2017-12-18 11:24:08 +00:00
61043d9d98
Tagged algorithms for QCU
2017-09-20 15:44:51 -04:00
cf8163fc3a
Refactored option/future universe filters for performance improvements and versatility
2016-12-29 11:44:15 +01:00
54d373cbfb
Fixed too big option universe in history example algo
2016-12-27 16:02:08 +01:00
55299e60fb
Added new constructors to IBMapper class
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Added support for history requirements, exposed by vol models. AM processes requirements.
Added new volatility model - standard deviation of returns - default vol model. Compared its results with publicly available.
Refactored option pricing engine to support optimal approximation calculations.
Added basic greeks approximation in case they are not available in QL. Tests.
Updated BasicTemplateOptionHistoryAlgorithm to print greeks.
2016-11-25 15:11:01 +01:00
b6cd0b0b8c
Added support for derivatives history. Tested: IQFeed, IB. First cut. Added history sample algos. Added config.json.
2016-11-21 15:50:55 +01:00
AlexCatarino