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2 Commits

Author SHA1 Message Date
quant1729 1141cd21e6 Merge branch 'futures' into master 
Conflicts:
	Algorithm.CSharp/QuantConnect.Algorithm.CSharp.csproj
	Algorithm/QCAlgorithm.cs
	Brokerages/InteractiveBrokers/InteractiveBrokersBrokerage.cs
	Common/QuantConnect.csproj
	Common/Securities/Option/Option.cs
	Data/equity/usa/factor_files/aapl.csv
	Data/symbol-properties/symbol-properties-database.csv
	Engine/DataFeeds/Enumerators/Factories/BaseDataSubscriptionEnumeratorFactory.cs
	Engine/DataFeeds/Enumerators/Factories/OptionChainUniverseSubscriptionEnumeratorFactory.cs
	Engine/DataFeeds/SubscriptionDataReader.cs
	ToolBox/QuantConnect.ToolBox.csproj
 2016-11-07 16:18:11 +01:00
quant1729 2dce74e26d - Extended Option security and Option holding classes 
- 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.
 2016-08-31 18:00:00 +02:00