* 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
* Bump time by one tick in adding subscription
* Adjust regressions
* Change removal to immediate
* Use series.AddPoint instead of directly adding it
* Adjust regression
* Add checks for fixed behavior in regressions
* Address review
* initial commit
* run parametrized algorithm with command line parameters
* skeleton: top level structure
* OptimizationNodePacket scheme
* pass parameters as HashSet
* run Lean and read results
* call method on optimization completion
* refactor public interfaces
- close ParameterSet collection; allow only get operations
- explicit method to start LeanOptimizer
* synchronize RunLean method; the result could come in before the backtest id is set in the collections
* another portion of refactoring and interface changes
* comments
* comments & tests for Extremum, Minimization and Maximization classes
* unify optimization paramater values (min, max, step) & mode GridSearch tests
- swap min&max if necessary
- iterate left => right (negate step value if necessary) & provide default step value if step == 0
- no StackOverflow Exception
- parameterSet Id should be global for current generator and retain between steps
- test signle point boundary (min == max)
* BruteForceStrategy tests
* more comments
* Update Optimizer assembly information
- Update Optimizer projects assembly information to match behavior of
the other projects
* Tweaks
- Adding comments
- Replace OnComplete for Ended event
- Replace Abort for Dispose
- ConsoleLeanOptimizer will keep track of running processes
- Each backtest will store results in a separated directory, so they
don't fight for the log.txt file.
- Adding cmdline option for lean to close automatically
- Adding concurrent execution backtest limit
- Console optimizer will start Lean minimized
- Escape spaces in Json path
* remove parameter set generator abstraction layer
we don't need this flexibility now.
* refactor public methods; Step shouldn't be public
* constraints: wip
* define contract
* comparison operators and tests
* specify JsonProperty values
* Move SafeMultiply100 to extensions
* Throw exception on failed Optimizer.Start
* constraints: wip
* change finish & dispose process
* minor fixes
- handle force lean abort
- notify consumer if target has been reached
* target & constraints; adapt unit tests
* Minor Tweaks and fixes
- Some logging improvements
- Remove Public since not required
* Ignore empty ParameterValue
* simplify condition
* avoid reinitialization
* reduce type; force immutable
* unit tests for constraints and target value
* parse & normalize percent values, i.e. 20% => 0.2
* fixup
* Target & Constraint & OptimizationNodePacket unit tests
* Add more json unit tests
- Adding more json conversion unit tests. Fix bug for Extremum which
wasn't using the converter.
* LeanOptimizer tests
* Estimation results
* User thread safe counters
* LeanOptimizer unit tests; push OptimizationResult on Ended event
* more unit tests
* Minor tweaks
-Estimate ToString in a single line.
-Typos and missing header file
* Add base SendUpdate method
- Add base SendUpdate method for LeanOptimizer
* fix LeanOptimizer test; rely on internal Update rather than timer
* Add OptimizationStatus
- Add missing commments and OptimizationStatus
* EulerSearch implementation: wip
* OptimizationParameter custom converter
* change the type
* make step optional
* change folder structure
* enumerate optimization parameter using IEnumerable & IEnumerator
* unit tests: parameters & objectives
* unit tests: strategies
* remove redundant TODO
* change Euler search boundaries
* more Euler tests
* prevent race condition
* Add account/read endpoint
- Adding account/read endpoint. Adding unit test
* Add status check before running lean
* Minor self review
- Adding missing comments, minor changes
* remove array parameters
* minor changes
- tidy up config file, rename variable
- accept min less or equal than max
* move OptimizationParameter methods to strategies
* Minor improvements for BaseResultHandler derivates
* minor changes
- strict requirements for Step and MinStep values
- strategy specific settigs
* Add TotalRuntime to estimate
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Reformat/cleanup OptionStrategies
This file was breaking pretty much every style convention in LEAN.
There are other things that should be addressed in here that weren't,
such as passing non-argument names as argument names for ArgumentException,
as well as preferring constructors over property initializer syntax, but
such changes aren't being made to keep this commit strictly reformatting
instead of refactoring.
Added braces and reformatted long lines to make code more legible.
* Add abstract base class for OptionStrategy Option/UnderlyingLegData
This allows us to create either or and later use the Invoke method to push it
into the appropriate list on OptionStrategy.
* Replace O(n) option contract search with 2 O(1) TryGetValue calls
A better improvement would be resolving the correct symbol in the strategy, but
this immediate change is instead just focused on removing the O(n) search inside
a loop.
* Add BinaryComparison and supporting methods in ExpressionBuilder
We're going to use these binary comparisons to make it possible to create
ad-hoc queries against a collection of symbols. Using these expressions,
along with type supporting composition of these expression, we'll be able
to define predicates that can declaratively define how to match an option
strategy with an algorithms current holdings.
* Make GetValueOrDefault defaultValue optional
Was receiving ambiguous invocations leading to neading to invoke this
method explicitly (LinqExtensions.GetValueOrDefault) instead of being
able to use it as an extension method. Making the default value optional
seems to have resolved this ambiguity, leading to cleaner code in the
OptionPositionCollection (forthcoming)
* Add OptionPosition and OptionPositionCollection
OptionPositionCollection aims to provide a single coherent interface
for querying an algorithm's option contract positions and the underlying
equity's position in a performant, immutable way. The immutability of
the type is necessary for how the options matcher will operate. We need
to recursively evaluate potential matches, each step down the stack removing
positions from the collection consumed by each leg matched. This will enable
parallelism of the solution as well as simplifying the mental model for
understanding due to not needing to track mutations to the collection
instance.
* Add Option test class for easily creating option symbol objects
* Add OptionStrategyLegPredicate and OptionStrategyLegDefinition
The definition is a composition of predicates, and each predicate supports
matching against a set of pre-existing legs and a current position being
checked for the next leg (this leg). In addition to the matching functionality,
it also supports filtering the OptionPositionCollection, which is where much
of the work for resolving potential option strategies is done. By successively
filtering the OptionPositionCollection through successive application of predicates,
we wil end up with a small set of remaining positions that can be individually
evaluated for best margin impacts.
All of this effectively unrolls into a giant evaluation tree. Because of this
inherent structure, common in combinatorial optimization, the OptionPositionCollection
is an immutable type to support concurrent evaluations of different branches of
the tree. For large position collections this will dramatically improve strategy
resolution times. Finally, the interface between the predicate and the positions
collection is purposefully thin and provides a target for future optimizations.
* Add OptionStrategyDefinition and OptionStrategyDefinitions pre-defined definitions
The OptionStrategyDefinition is a definitional object provided a template and functions
used to match algorithm holdings (via OptionPositionCollection) to this definition. The
definition defines a particular way in which option positions can be combined in order to
achieve a more favorable margin requirement, thereby allowing the algorithm to hold more
positions than otherwise possible. This ties into the existing OptionStrategy classes and
the end result of the matching process will be OptionStrategy instances definiing all
strategies matched according to the provided definitions.
* Add OptionStrategyMatcher and Options class, w/ supporting types
OptionStrategyMatcherOptions aims to provide some knobs and dials to control how
the matcher behaves, and more importantly, which positions get prioritized when
matching. Prioritization is controlled via two different enumerators, one controller
which definitions are matched first and the other controller which positions are
matched first. Still unimplemented, is computing multiple solutions and running the
provided objective function to determine the best match. When this gets implemented,
we'll also want to implement the timer. For anyone looking to implement these features,
please talk with Michael Handschuh as there's a particular way of representing these
types of combinatorial solutions (a 3D tree) that can be used as a variation of the
linear simplex method for optimizing combinatorial problems.
* OptionStrategyMatcher: Address PR review comments
* Ensure created OptionStrategy legs all have the same multiplier
Each leg definition match gets it's own multiplier which indicates the
maximum number of times we matched that particular leg. When we finish
matching all legs, we pick the smallest multiplier from all the legs in
the definition and use that as the definition's multiplier. When we go
to create the OptionStrategy object we MUST make sure we're using the
multiplier from the definition and not from the individual legs.
This change fixes this issue and also provides a guard clause to ensure
that we're not trying to use a multiplier larger than what was matched.
* Add XML docs for OptionStrategyDefinitions from OptionStrategies
* Reenable extended market hours sampling
- Will re enable extended market hours sampling using the last benchmark
and portfolio value when user exchange were open.
* Add unit test minor tweak
- Improve shutdown latency.
- Setting portfolio initial value
- Adding unit test asserting sample behavior.
* DividedEventProvider distribution computation
- Update regression algorithm which was using a different reference
price when calculating the dividend
- Adjust divided event provider to compute distribution using factor
file reference price, if not 0. Adding unit tests
- For equities, only emit auxiliary data points for
TradeBar configurations, not for QuoteBars, nor internal.
* Address reviews
- Split and Dividend event provider will throw an exception when there
is no reference price available. Updating `wm` factor file which was
missing references price and regression algorithms using WM.
- Updating unit tests asserting new exception
* Change GetSubscriptionDataConfigs to return IEnumerable<SubscriptionDataConfig>
* Move localTime outside loop
* Remove legacy code
* Remove unnecessary OrderBy
* Reorder conditions to reduce number of times Contains() is called
* Revert "Remove unnecessary OrderBy"
This reverts commit 85383b062e5ac958ec09231df21e0fa3efd3622d.
* Revert "Change GetSubscriptionDataConfigs to return IEnumerable<SubscriptionDataConfig>"
This reverts commit cbd97c9f36e7ed349f1dea740b417e73837bd42b.
* Store temp files in subdirectory
* Fix Dispose case for new temp dir
* Adjust tests for new temp dir
* Dispose unit tests
* Unit test for issue 4811
* Refactor for not using temp files
* Fix storage checks for saving data, plus tests
* Use Base64 for storing keys and decoding them; handles odd key strings
* Don't allow "?" in a key
* Address review
* Deleted test cases
* PersistData handle deletion of files
* Refactor GetFilePath to use Persist()
* Make PathForKey protected
* Allow account currency to be overridden by the algorithm
* Fix failing unit test
* Address review
- Revert removal of call check in SecurityPortfolioManager.SetAccountCurrency
- Revert changes to unit tests
- IBrokerage.AccountBaseCurrency now defaults to null
- BrokerageSetupHandler will not change the algorithm's account currency if the brokerage returns null, allowing the algorithm to call SetAccountCurrency in Initialize
* Add underlying holdings to regression result handler details log
When debugging option exercise/assignment issues it's useful to see the
underlying holdings at the time the option contract fill event is processed.
Also adds the full symbol string to the top of the order event section.
The Symbol.Value was being logged via OrderEvent.ToString(), but it wasn't
the full SecurityIdentifier - by including the full SID string it makes it
easier to correlate fills over symbol rename boundaries.
* Fix automatic option assignment from market simulation
During the recent OptionExerciseOrder.Quantity refactor, this case was missed.
Additionally, it was realized that there were no regression tests covering the
automatic assignment via the market conditions simulation. This change introduces
a regression algorithm that covers the automatic assignment of put/call options.
* Update BasicOptionAssignmentSimulation._rand to be non-static
If this value is static then we reuse the same Random instance for ALL regression
tests, thereby defeating the purpose of using a well known seed number. This means
we get different results based on the order execution of preceding algorithms.
By making this an instance variable each algorithm will start with the same seed
value, ensuring consistent runs between regression tests, either run as a suite or
running a single algorithm in isolation.
* Do not update price scale for fillforward data
- Do no update price scale for fill forward data. FillForward data
should keep using the prev scale for which it was created. Adding unit tests
- When cloning do not lose IsFillForward flag state, affects
QuoteBars/Ticks, does not affect TradeBars since they perform a memberwise clone.
Adding unit tests
* Auxiliaries shouldn't really affect on applied price factor scale.
Despite we can receeive FillForward'ed data points, corresponding
Auxiliaries for them are not FillForward so we do meet the condition
and then refresh price factor. As a result all futher FF data points are scaled too.
* Regression algorithm to check that FillForward'ed data points arrived with last real price factor
* Add trade for regression algorithm
- Minot tweaks and adding trade for new regression algorithm.
- Updating AddOptionContractExpiresRegressionAlgorithm because it is
using the symbol for which new data was added.
Co-authored-by: Adalyat Nazirov <aenazirov@gmail.com>
* OptionChain and OptionContract improvements
- QCAlgorithm.AddUniverse will return the added Universe instance.
- Adding new OptionChainedUniverseSelectionModel will monitor a Universe changes
and will spwan new OptionChainUniverse from it's selections. Adding
regression test Py/C#.
- Adding new OptionContractUniverse that will own option contracts and
their underlying symbol. Adding regression test
- Fix double notification for security changes, bug seen in updated
UniverseSelectionRegressionAlgorithm
- Remove UniverseSelection special handling for Option and Future chains
- Fix DataManager not removing SubscriptionDataConfigs for Subscriptions
which finished before being removed from the universe
- Refactor detection of user added Universe so that they do not get
removed after calling the UniverseSelectionModel
* Add check for option underlying price is set
* Address reviews
- Adding python regression algorithm for
`AddOptionContractFromUniverseRegressionAlgorithm`
and `AddOptionContractExpiresRegressionAlgorithm`
- Rename QCAlgorithm new api method to `AddChainedOptionUniverse`
* Fix universe refresh bug
- Fix bug where a universe selection refresh would cause option or
future chain universes from being removed. Adding regression algorithm
reproducing the issue.
* Rename new option universe Algorithm API method
- Rename new option universe Algorith API method from
AddChainedOptionUniverse to AddUniverseOptions
- Rebase and update regression test order hash because of
option expiration message changed
* Add property IBrokerage.AccountBaseCurrency
* Set AccountCurrency to brokerage AccountBaseCurrency
* Remove USD AccountCurrency check
* Fix Oanda account base currency
* Fix currency symbol in CashBook.ToString()
* Fix unit tests
* Address review
* Add DebugMessage when changing account currency
* Add debug message for brokerage account base currency
* Fix currency symbol in equity chart and runtime statistics
* Update unit tests
* 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.
- LocalObjectStore.Delete() will also delete file from the local object
store path if present, this will avoid the issue where restarting the
object store will re load the same deleted file. Adding unit test.
Issue https://github.com/QuantConnect/Lean/issues/4811
* Add OrderRight.GetExerciseDirection(isShort) extension
Returns the OrderDirection resulting from exercise/assignment of a particular
option right
See: BUG #4731
* Fix option exercise/assignment order tags and order event messages
The algorithm manager was doing work to determine whether or not the option ended
in exercise or assignment at expiration. This decision should be left for the exercise
model to decide -- from the algorithm manager's perspective, all that matters is that
the option was expired. The DefaultExerciseModel was updated to properly track whether
the option expired with automatic assignment or exercise, dependending on whether or
not we wrote or bought the option (held liability or right, respectively). Updated unit
tests to check for order event counts and order event messages for option exercise cases.
Fixes: #4731
* Fix typo in algorithm documentation
* Update regression tests order hash
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
In OptionChainUniverseDataCollectionEnumerator.IsValid we check the underlying
foir null and ensure that there are data points but we forget to check the actual
collection object for null, which it is initialized to. The collection remains
null in the case where no data is found.
* Simplify BaseWebSocketsBrokerage reconnection
- Gdax does not emit time pulse so when no subscription was present the
DefaultConnectionHandler would trigger a reconnect. Replacing for
directly resubscribing on reconnect.
- TPV == 0 will send warning message instead of being an exception
* Fix unit test
* regression tests
* fix: apply the same time convertion to history request time as for data time
* ver2
* fixup
* unit tests
* do not need this conversion because RoundDownInTimeZone returns in proper TZ
* comment
* requested changes
* refactoring
* more refactoring
* fix existing test: should return Sunday if open
* more symbols
* fix existing tests: submit new btcusd data
* fix
* add Cfd symbol
* Fix regression *.{lang}.details.logs
Regression tests produce syslogs and a details.logs file. The details log file
provides a mechanism for logging data that passes through the result handler,
such as order event data. A change in the initialization ordeer of components in
the engine cause the algorithm id to not be set yet. The base result handler's
AlgorithmId property is populated via the job and is available, so we use that
instance.
* Update RegressionResultHandler.cs
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Add DataProviderEventArgs base class for IDataProviderEvents event args
This base class includes a Symbol property. This will empower event listeners
to make decisions based on which security (symbol) raised the event. The immediate
use case is preventing multiple numerical precision messages for the same security.
This pattern can equally be applied to other error messages that are raised each
time a security is added to a universe.
See: #BUG-4722
* Update ConcurrentSet.Add to use ISet<T>.Add returning bool
It's a very common pattern to use if (set.Add(item)) which is enabled
via bool ISet<T>.Add(item) but not enabled via void ICollectiont<T>.Add(item).
This change simples changes the default Add implementation to use the ISet<T>
overload and relegates the ICollection<T>.Add implementation to be explicit.
See: #BUG-4722
* Prevent multiple numerical precision messages for same symbol
If a security is continually added/removed from a universe, then the user will
see this message each time the security is added. This results in some spam.
This change simply remembers for which symbols we've notified the user about the
numerical precision issue.
Fixes: #BUG-4722
* Calculate both raw and adjuasted prices for backtesting
* disable second price factoring
* move and reuse method
* test coverage for new methods
* reuse scaling method
* reuse subscriptionData.Create method
* removed unused code
* regression test
* switch to aapl
* fix regression test output
* more asserts
* fix comments - reduce shortcuts and abbrevation
* more comments
* merge parameters
* reduce number of getting price factors
* fix tests
* fix tests
* fix regression tests
* calculate TotalReturn on demand
* include TotalReturn calculations
* perf tuning
* more unit tests for SubscriptionData.Create
* simplify things - store and return only raw and precalculated data
* fix regression tests; change it back
* factor equals 1 for Raw data
* small changes
* follow code style
* implement backward compatibility
* Add set market price during extended market hours
- Set market prices during extended market hours for live trading.
Adding unit test
* Add assert on internal data count
* Fix key not found exception at InternalSubsManager
- Fix key not found exception
- Fix backtesting chart sampling
* Add comment about PreviousUtcSampleTime
* Add internal subscription manager
- Add InternalSubscriptionManager that will handle internal
Subscription. Replaces the realtime updates
- Fix thread race condition in the TimeTriggeredUniverseSubscription, we
have one thread injecting data points, the main algorithm thread, and
the base exchange is pulling from it
- Fixes for FakeDataQueue
- Adding unit tests
* Address reviews and fixes
- Internal subscription will use extended market hours
- Only sample charts accordingly
- Get api-url once
- `UniverseSelection` and `Research` will always use
`AlgorithmHandler.DataProvider` instance instead of
`DefaultDataProvider`
- Remove Compression at test/app.config since the dll isn't required
- Add missing license header
* DataConsolidator Wrapper for Python Consolidators
* Regression Unit Test
* Refactor Regression test
* Bad test fix
* pre review
* self review
* Add RegisterIndicator for Python Consolidator
* Python base class for consolidators
* Modify regression algo to register indicator
* unit test - attach event
* Test fix
* Fix test python imports
* Add license header file and null check
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Add empty cashbook check in BrokerageSetupHandler
* Update check for zero TotalPortfolioValue
* Move check for zero TPV after setting currency conversions
* Fix zero conversion rate for account currency + add unit tests
* Fix unit test
Gerardo Salazar