* Adds preliminary universe selection for Future Options
* Fixes scaling issues with Future Options
* Fixes scaling multiplying by 10000x instead of using _scaleFactor
* Fixes scaling for Tick
* Revert changes to Tick since it divides the scaling factor
* Changes stale method name to new method name after rebase
* Fixes selection bugs, adds new methods, and adds unit tests
* Fixes bug where Equity Symbol was created for an underlying
non-equity Symbol, resulting in equity data trying to be loaded
* Adds unit tests covering changes to Tick, QuoteBar, TradeBar and
LeanData
* Adds regression test for AddUniverseOption filter contract selection
for Future Options
* Addresses review - modifies the AddFutureOption signature
* Adds new AddUniverseOptions method overload
* Removes and adds a new unit test
* Misc. modifications to account for new changes
* Fixes bug where futures were loaded using default SID Date
* Refactors and removes unnecessary work
* Fixes regression algorithm, which previously made no trades
* Adds future option data
* Adds the corresponding underlying data, in this case, futures data
to enable usage of future options data
* Replaces data with new data (ES18Z20)
* Improves Future chain filtering and updates regression stats
* Add AddFutureOptionContract API
* Expands regression and unit tests to test in finer detail
* Adds Python regression algorithms for AddFutureOption[Contract] methods
* Adds new unit test for BacktestingOptionChainProvider
* Fixes bug with BacktesingOptionChainProvider where we
attempted to load the Trades option chain first, resulting
in breakage of backwards compatibility and limitation of the
option chain.
* Adds new regression algorithms (Py) to Algorithm.Python project
* Adds FutureOptionMarginBuyingPowerModel
* Modifies code paths used to select margin model
* Adds related unit tests for margin model
* Fixes issue with unit test and MHDB/SPDB lookup for Future Options
* Preliminary regression algorithm testing ITM call/put option buying
* Fixes bug where fee model used did not find non-US market
options fee model. We now use the futures fee model for future
options because IB charges the same commissions per contract
between futures and futures options
* Adds proper regression algorithm for ITM future options expiration
* Pushing broken algorithm for review
* Currently, algorithm does not fill forward, causing
a single future option to not get exercised when it is delisted.
* Adds FutureOptionPutITMExpiryRegressionAlgorithm
* Improves existing regression algorithm for call side
* Fixes bug in existing regression algorithm
* Adds AAPL daily data to advance enumerator for ^^^ fix
* Adds additional future option regression algorithms
* Adds Buy OTM expiration regression algorithms
* Adds Sell ITM/OTM expiration regression algorithms
* Adds missing Python regression algorithms
* Adds remaining Python regression algorithms and fixes issues
* Fixes naming issues and statistics
* Adds short option OTM regression algorithms (Py)
* Add license header and class comments to python algorithms
* Cleans up comments and docstrings
* Create Buy/Sell call intraday regression algo
* Redirects future options symbol properties to futures symbol properties
* Asserts exercise/assignment price and updates stats in regression algos
* Adds new unit test covering changes to SecurityService
* Adds comments and fixes failing test
* Partially fixes future option mis-calculated profit/loss
* Adjusts portfolio model to calculate FOP as a no upfront pay asset class
* Updates regression algorithm statistics
* Begin IB FOP support
* Initial support for FOP IB data streaming, live í¾
* Adds additional functionality to LiveOptionChainProvider
- Allows querying CME API to retrieve option chains for CME products
- Ultimately, it's also the groundwork for the CME
LiveFutureChainProvider
* Edits IDataQueueUniverseProvider interface to provide greater
control to implementors of it
* Misc. bug fixes required to get FOP data streaming through IB
* Adds comments, adds missing rategate call, and cleans up code
* Force exchange for FOP and Futures when no exchange is provided
* Fixes bug with Portfolio modeling across all asset classes
* Adds LiveOptionChainProvider tests for Future Options
* IB brokerage option symbol bug fixes and improvements
* Fixes contract multiplier lookup bug
* Fixes issue where we attempted to subscribe to IB data feed with canonical security
* Adds ES MHDB entry
* Reverts portfolio modeling changes for Futures Options
* Since IB eats into our account's cash balance when
a new FOP contract is purchased, we must model by applying funds
to our cash whenever a new purchase/sell occurs.
If we choose to model FOPs exactly as we do with futures, we
will end up with an invalid TotalPortfolioValue on algorithm
restart. By all means and purposes, FOPs are modeled exactly
the same as equity options with respect to the portfolio.
* Adds comments clarifying portfolio modeling and clarifies
existing portfolio modeling comments with additional context.
* Fixes IB symbol lookup for future options
* Fixes LiveOptionChainProvider looping 5 times per option chain
request, even on success
* Sets OptionChainedUniverseSelectionModel to produce a canonical
future/future option/option Symbol to avoid creating two Symbols
* Adds GLOBEX future option symbol mapping from future -> fop
* Fixes LiveOptionChainProvider loading wrong contract option chains
* Fixes loading of futures options ZIP files when backtesting
* Adds a string -> decimal JSON converter
* Additional fixes/refactoring to the LiveOptionChainProvider
* Adds tests for changes to Symbol and LeanData
* Reverts changes to IB-symbol-map
* Fixes Value for mapped future options tickers
* Fixes Symbol test
* Changes path of future options to future's expiry date
* Extra changes made to remove scaling from writing CSV
* Added method to map from FOP Globex -> FUT Globex
* Fixes MOO and MOC orders for future options
* Note: this order type might not be supported by IB or CME.
* Bug fixes and updates unit tests
* Update regression tests and data format
* Rebase changes
* 1. Multiple bug fixes for LiveOptionChainProvider, reverts IQFeed changes
2. Address review (partial): Code reuse and cleanup
1.
* Modifies check in
`AddFutureOptionShort(Call|Put)ITMExpiryRegressionAlgorithm`
to ensure no buys have negative quantity
* Code reuse changes in IB brokerage
* Bug fix in IB brokerage where we assigned the FOP expiry
as the futures expiry (requires verification)
* Doc changes and adds missing summaries/license banners
* Disposes of HTTP client resources in LiveOptionChainProvider
* Renames classes and adds FutureOption folder in Common/Securities
2.
* We revert back to the quotes API for the option chain,
since the settlement API sometimes had missing strikes.
* Fixes future option expiry being set as future's expiry
in LiveOptionChainProvider
* Fixes bug where wrong option chain was selected because of bad
expiry lookup in the futures expiries returned from CME
* Fixes multiple looping bug in LiveOptionChainProvider
* Adds strike price scaling for LiveOptionChainProvider
* Reverts IQFeed changes and simplifies interface upgrade changes
Some additional challenges we'll have to solve as part of FOPs:
- The `OptionSymbol.IsStandard` method makes the assumption that
weeklies contracts follow the pattern equities follows, which
does not apply to Futures Options
- The Subscription created in:
`OptionChainUniverseSubscriptionEnumeratorFactory`
...adds a Trade config. For illiquid contracts, this
will delay universe selection for the option symbol
until we get a trade. However, if we add a quote config,
the data would instead be loaded based on the first quote
we received from the brokerage.
But since we're currently using a trade config, illiquid
contracts won't start streaming data until it receives a trade.
NOTE: this commit is a WIP to addressing the reviews received in the PR,
but has been committed early for efficiency in the review process
* Fixes regression algorithms and misc. bugs
* Fixes map file lookup for non-equity options
* Adds extra assertion at end of algorithm to ensure no holdings are
left when the algorithm ends.
* Adds FutureOptionSymbol, allowing all contracts through as standard
* Changes SPDB to allow defaulting to underlying future symbol
properties if no entry is found for the given FOP
* Fixes calls to SPDB in SecurityService, IBBrokerage
* Reverts AAPL daily ZIP file to fix majority of regression algorithms
* Adds FOPs symbol properties
* Fixes existing symbol properties for a few futures
* Adds tests for changes to Symbol Properties Database
* Removes string SPDB lookup method
* Updates tests and misc callees of previous method
* Updates all regression tests to use data of already expired contracts
* Adds Futures Options Expiry Functions tests
* Adds required futures data for 2020-01-05
* Address review (partial): Expands test coverage and fixes tests
* Set option chain tests parallelism to fixture only
* Fixes broken test for contract month delta for FuturesOptionsExpiryFunctions
* Changes delisting date logic for Futures Options
* Address review: removes duplicate code, misc code fixes
* Bug fix in MarketHoursDatabase.GetDatabaseSymbolKey() where
we would use the underlying's Symbol for lookup in the MHDB
* Adds missing license banner
* Removes Futures Options entries from MHDB
* Adds new tests
* Adds SecurityType.FutureOption
* Converts any underlying comparisons and uses SecurityType directly
instead for FOP specific behavior
* Extra code modifications to acommodate new SecurityType
* Addresses review: fixes order fee bug on exercise
* Additional bug fixes and adding of SecurityType.FutureOption
* Updates regression algorithms OrderListHash
* Fixes various bugs in IB live implementation
* Fixes bug setting the right contract expiration date for FOP
generated by LiveOptionChainProvider
* Adds new function to FuturesOptionsExpiryFunctions
* Clarifies parameter names better in some functions/methods
* Fixes bugs in IB brokerage for FOPs
* Address review - code cleanup and refactor
* Remove MappingEventProvider, SplitEventProvider, and
DividendEventProvider for Futures Options in
CorporateEventEnumeratorFactory
* Address review: Use MHDB key resolver in SPDB
* Makes regression tests pass and adds comment for expiry issue
* Fixes MHDB lookup on string symbol method
* Adds Futures Options greeks regression algorithm (C# only)
* Adds explanitory comment on MHDB FOP lookup
* Remove python from FutureOptionCallITMGreeksExpiryRegressionAlgorithm
* Fixes weeklies parsing, causing certain futures to be inaccessible in Algorithm
The FuturesExpiryFunction expects the contract month of the Future,
not the expiration. As a result, the contract gets filtered as a
weekly contract, rather than as a standard due to the discrepancy
between the expiry dates when the contract month differs from the
expiry date's month.
A very important fact to note is that futures can and do expire prior
to the contract month. BZ,(brent crude financial futures) expire two
months prior to the contract month, CL one month prior, etc.
There has been an addition that contains a "reverse" futures expiry function
lookup table. We use this to lookup the contract month to re-calculate
the Future expiry.
This PR also fixes dairy and adds extra expiry dates. Dairy can have
an expiry *after* the contract month, so a new path was added to the
SymbolRepresentation to ensure that these contracts are loaded
correctly.
* Address review: Adds tests and fixes bug in SymbolRepresentation
* Updates SID comment on `Date` property to reflect fact that we use
future expiry for its value
* Fixes bug in SymbolRepresentation where expiration day would always
be 01 when parsing a contract with an expiration after the contract
month
* Fixes bug in SybmolRepresentation where expiration year would be
four digits long when parsing a contract with an expiration after
the contract month
* Fixes some bad dairy expiry dates
* Adds tests for SymbolRepresentation and the futures filtering for
standard contracts
* Renames method used to extract delta between contract month and
expiry date
* Removes GH comment and restores Futures contract month expiry param
* Improve information tracked in regression's {algorithm}.{lang}.details.log
The details.log file aims at providing a diff-able document that quickly and
easily provides actionable information. Since many regression algorithms use
the algorithm's debug/error messaging facilities to log various pieces of algo
state. This document also support a configuration option: regression-high-fidelity-logging'
that logs EVERY piece of data, again, with the aim of providing an easily diff-able
documenbt to quickly highlight actionable information. I may have missed omse key
pieces of information here, but now that the entire QC knows about this regression
tool, if additional information is required then hopefully it's easy enough at this
point to extend the RegressionResultHandler to suit our needs.
The RegressionResultHandler was initially implemented to provide a concise log of
all orders. This was achieved by simply using the Order.ToString method. While
testing/investigating OptionExerciseOrder behavior, it became evident that more
information was required to properly identify the source of potential failures or
differences between previous regression test runs. This change adds logging for
almost every IResultHandler method and additionally attempts to capture the
actual portfolio impact of every OrderEvent. This is accomplished by logging
the portfolio's TotalPortfolioValue, Cash properties and the security's
SecurityHolding.Quantity property.
This change also standardizes the timestamps used to folloow the ISO-8601 format.
When using the RegressionResultHandler, it is highly recommeded to also disable
'forward-console-message' configuration option to ensure algorithm Debug/Error
message logging is done synchronously to ensure correct ordering with respect to
log messages via Log.Debug/Trace/Error.
* Fix typo in options OrderTests test case name
* Update SymbolRepresentation.GenerationOptionTickerOSI to extension method
Far more convenient as an extension method
* Improve R# default code formatting rules
Many of these rule changes focus on improving the readability of code,
with a particular emphasis on multi-line constructs, chained method calls
and multi-line method invocations/declarations.
* Add braces, use string interpolation and limit long lines
* Refactor OptionExerciseOrder.Quantity to indicate change in #contracts
For all other order types, the Order.Quantity indicates the change in the algorithm's
holdings upon order execution for the order's symbol. For OptionExerciseOrder, this
convention was broken. It appears as though only exercise was initially implemented,
in which case only long positions were supported and a code comment indicated that
only positive values of quantity were acceptable, indicating the number of contracts
to exercise. At a later date, assignment simulation was added and utilized a negative
order quantity. This caused some major inconsistencies in how models view exercise
orders compared to all other order types. This change brings OptionExerciseOrder.Quantity
into alignment with the other order types by making it represent the change in holdings
quantity upon order execution.
This change was originally going to be much larger, but in order to minimize risks and to
make for an easier review experience, the additional changes will be committed separately
and pushed in their own PR. Some of the issues identified include:
* Manual Exercise (especially for OTM) is not covered
* Margin Calculations (in particular taking into account opposing contracts held)
* IBrokerage.OptionPositionAssigned is raised for exercise (later filtered by tx handler)
Fixes OptionPortfolioModelTests to use exercise model to properly model exercise of
non-account quote currency option contract.
- Replace Enum to string operations on Options enums, since it's
expensive
- Replace Enum IsDefined check since it uses reflection
- Improve OptionFilterUniverse linq operations
- Improve performance of SecurityIdentifier properties to avoid having
to extract them from properties always
- Avoid calling ToList for already list data collections (it creates a
copy)
- Avoid iterating over securities for which we have no holdings when
calculating TPV or MarginUsed
Energy futures (CL, HO, RB, NG) expire in the month before the contract month.
To handle these properly, the following changes have been implemented:
- the AlgoSeekFuturesReader has been updated to create the future symbol with the correct expiry date
- the zip entry names in futures data files now contain the full expiry date (in addition to the contract month)
- the sample data files have been updated to use the new zip entry names
- new unit tests have been added and existing ones updated
Some Futures (CL, HO, RB, NG) expire during the month before the contract month. Incorrect symbol mapping was causing two issues:
- IB requests were returning an "Ambiguous contract" error
- The ticker generated by SymbolRepresentation was referring to the previous contract month
Gerardo Salazar