FuncSecuritySeeder implements this new interface and is used in BrokerageModelSecurityInitializer to seed new securities with a price when they are created. FuncSecuritySeeder uses a new method, GetSingleBarHistory, in QCAlgorithm.History to get the last price from the history provider.
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.
Refactors existing consolidators, indicators, and helper methods to depend on
IBaseData instead of BaseData. These updates also defines an IBaseDataBar to
act as an abstraction point between TradeBar and QuoteBar.
IAlgorithm DebugMessage, ErrorMessage and LogMessage are now ConcurrentQueue<string> instead of List<string> because List.Add is not thread safe.
Copying a list (using ToList()) at LiveTradingResultHandler while adding an element to it at QCAlgorithm caused a runtime error.
The default value for the market parameter in AddForex, AddOption, AddEquity and AddCfd is null. This allows unspecified markets to be set from the BrokerageModel.DefaultMarkets in the AddSecurity method for new securities added with these methods. SetBrokerageModel updates BrokerageModel.DefaultMarkets and therefore the market used for all new securities.
Implements IPriceVariationModel interface which takes the security object and returns a decimal variation
Implemets SecurityVariationModel class: default implementation of IPriceVariationModel that returns a fixed value (read from symbol-properties-database) for decimal variation
Implemets EquityVariationModel class: implementaion of IPriceVariationModel that returns a decimal variation as a function of equity price
Implemets AdjustedPriceVariationModel class: implementaion of IPriceVariationModel that returns zero
Adds unit test
- 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
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
AlexCatarino