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* Improve error message when consolidator period Python object is unsupported
* Make unsupported consolidator period error message more concise
* Apply descriptive Python conversion errors to other user-facing sites and add QuoteBarConsolidator.FromResolution
* List available overloads in unsupported Python argument error messages
* Update QuantConnect.pythonnet to 2.0.61
* Update overload hint test expectations to Python-typed signatures
* Exclude PyObject overloads from error hints and update to Python annotation style
* Move PyObject overload filtering from consumers into MethodSignatureFormatter
* Update Python alpha model name expectations for Python-style enum rendering
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* Initial solution
* Solve review comments
* Add PythonSelectionModelHandler to reduce code duplication
* Refactor universe selection models
* Add python instance to Selection Models with virtual/override methods
* Add python instance to Alpha Models
* Add python instance to Execution models
* Solve review comments
* Solve new review comments
* Fix calling SetPythonInstance only when method exists and is callable
* Use unit test instead of regression algorithms
* Solve review comments
* Set python instance to the models
* Initialize Python containers only when instance is set
* Replace try-catch with explicit method existence check
* Initialize containers in BasePythonWrapper only when needed
* Add null instance check before method invocation
* Refactor TryExecuteMethod
* Refactor Python wrappers which inherit from BasePythonWrapper<>
* Solve review comments
* Remove ununsed methods
* Solve review comments
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* Make FOPs selection universe file-based for backtesting
* Make FOPs option chains universe file based
* Make Future universe selection file-based like option universe
* Make Future universe selection file-based like option universe
* Abstraction cleanup
* Add FuturesChains API to QC algorithm
Also refactor future chain provider to use the new FutureUniverse instead of zip file names
* Update regression algorithms stats
* Refactor QuantBook option and future history to use new universes
* Fix failing tests
* Fix failing tests
* Fix failing tests
* Minor future chains unit test improvement
* Add futures chains DataFrame property
Also, remove IDerivativeSecurity interface from Future
* Add DataFrame property to FuturesChains class
* Add regression algorithms
* Add regression algorithms
* Replace QCAlgorithm.FutureChainProvider usages with new FuturesChain api
* Minor fixes
* Reduce number of universe files in repo
* Minor data fixes
* Regression algorithms updates
* Add implicit conversion from FuturesContract to Symbol
Modified algorithms to use futures contract objects directly instead of accessing their Symbol property.
Removed unnecessary import statements and redundant lines in various files.
* Improve resolution handling for history requests
* Changed _auxiliaryData field to lazily-initialized AuxiliaryData property
* Refactor data handling in BaseChain and TimeSliceFactory
- Added `AddData` method to `BaseChain` for adding market data
- Refactored `TimeSliceFactory` to use `BaseChain.AddData` method
* Remove specific constructors and indexers from Chain classes
Removed public indexers in `BaseChains` for getting or setting `BaseChain` instances by `ticker` or `Symbol`, which were used for Pythonnet compatibility.
* Remove chain cache logic from FuturesChainUniverse
* Refactor class and interface names for clarity
Renamed `FileBasedUniverse` to `BaseChainUniverseData` and
`IFileBasedUniverse` to `IChainUniverseData`.
* Add base class for options and futures contracts
- Introduced `BaseContract` as an abstract base class for contracts, consolidating common properties and methods.
- Removed ISymbolInterface
* Add minor fix for future options tickers parsing
Added tests
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* Clean chain provider classes up
* Remove ZipEntryName other classes and unused code
Removed ZipEntryName class and references across various files.
Removed DataQueueFuturesChainUniverseDataCollectionEnumerator and DataQueueOptionChainUniverseDataCollectionEnumerator classes.
Removed OptionChainUniverseSubscriptionEnumeratorFactory class.
Removed unused code for handling OptionChainUniverse and FuturesChainUniverse in FileSystemDataFeed.cs and LiveTradingDataFeed.cs.
Removed several test files related to enumerator factories and universe data collection.
* Minor changes and cleanup
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* Refactor FuturesContract data handling
Forward price data from bars and ticks stored in private fields for improved memory usage
* Fix: use universe data for market data in FuturesContract
* Update regression algorithms stats after rebase
Added HSI futures universe files
* Sort configs by internal flag
Internals go first
* Throw from option universe data filters for future options
Future options IV, Open interest and greeks are not supported for future options
* Minor changes
* Improve some regression algorithms
* Minor fix for failing unit tests
* Update FOPs universe file header
Removed greeks and IV columns.
Updated FOPs universe files: removed outdated columns.
* Minor unit test fix
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* Minor fix
* Add history provider as constructor argument for chain providers
* Update new regression algorithms data points count
* Minor fix for FakeDataQueue
* Add initialize method to chain providers classes
* Minor changes
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* Minor fix
* Minor fix
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* Add logs to ProcessedDataProvider
* Removed test logs
* Minor fix
* Support downloading options and futures universe files from api data provider
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* Refactor universe historical data source
- Add new universe history API methods
- Refactor QuantBook UniverseHistory to use the universe selection
itself instead of a given func
- Refactor and rename fundamental types
- Refactor AddUniverse API to handle universe collection data which
holds another type internally, like fundamental
* Fix minor bug causing ApiDataProvider not to serve Bitfinex universe data
* Further improvements to add universe API
* Handle no selection function
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* feat: ETFConstituentsModel overloading constructor
* test
* feat: new constructor of ETFConstituentsUniverse
test: support all constructor on c#
* feat: cached symbol in ETFConstituentsUniverse.py
test: validate getting symbol from cahed collection
* remove: extra ctor in ETFConstituentsUniverseSelectionModel
* refactor: add miss condition secType in py
refactor: rename out existTicker -> Symbol
refacotr: rewrite test
* feat: new ETFConstituentsFrameworkAlgos
* refactor: more neat ETFConstituentsAlgos
* fix: CompositeUniverse to SetUniverse
* Async universe selection
- Add support for async universe selection, which will happen ahead of
time in the data stack for a performance improvement
* Thrown if using Coarse+Fine Asynchronous Universe selectioon
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* New Fundamental Data
* Minor CIK lookup fix
* Handle live mode & delete unexisting properties
* Minor coarse fundamental adjustment
* Add fundamental history support
* Fix unit tests
* Performance improvements
* Fixes
* Minor regression algorithm fix
* Improvements. Add FundamentalUniverseSelectionModel
* Change default values
* Fix unit test
* Minor tweaks
* Fix unit test
* Minor error handling improvement
* Fix rebase
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* Implement ShortableProviderPythonWrapper.cs
- Modify AllShortableSymbolsCoarseSelectionRegressionAlgorithm.cs and ShortableProviderOrdersRejectedRegressionAlgorithm.cs to use ShortableProvider from Security and not from the Brokerage model
- Add SetShortableProvider() overload method in Security.cs to set a custom shortable provider from Python
- Remove AllShortableSymbols() method from LocalDiskShortableProvider.cs
- Remove DefaultShortableProvider class
- Add regresion algorithms in C# to cover the changes done
* Revert "Merge process"
This reverts commit 775a4b8ec18e0f1562b72c27203ec0df84c8f675, reversing
changes made to bcc3e790f66fe744ea6f4cb2083c3e9d1881ea2f.
* Revert "Revert "Merge process""
This reverts commit aa18fb40eec2aa551ab7a81310ba4515270d6c1a.
* Solve bug
- Add new constructor overload in OpenInterestFutureUniverseSelectionModel.cs that accepts future chain symbol selector as PyObject
- Add a private static method in OpenInterestFutureUniverseSelectionModel that converts Python lambda function to Func<DateTime, IEnumerable<Symbol>>
- Add a regression algorithm in Python to cover changes. In these case, add Python version of OpenInterestFuturesRegressionAlgorithm.cs
* Nit changes
* Nit change
* Minor docs tweak
---------
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Normalize time in universe behavior
- Normalize Option & Future chain universe behavior regarding their
assets time in universe. They will now respect the universe settings
time in universe value. Adding new regression algorithms asserting the
behavior
* Address reviews & cleanup
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* Make continuous futures untradable
- To match live trading behavior. Adjust continuous futures securities
to be untradable
* Set ContinuousFuture as non tradable
- Set continuous futures as non tradable. Update regression algorithms
- Fixes for symbol capacity calculation
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* Adds ETF(...) to UniverseDefinitions
* Adds ETF constituents universe framework regression algorithm
for C#/Python
* Address review: adds test cases for ticker/Symbol ETF universe additions
* Fixes bug where null Market would result in null dereference exception
* Address review: add missing Index tests
* Address review: don't hardcode market when creating constituent universe
* Uses Brokerage Model's default markets collection to determine
the market for the given security type
* Address review: restore QC500 and DollarVolume.Top(...)
* Restores algorithms related to both helper universe
definition methods
* Address review: remove copy to output directory for python algos
* Add example algorithms for ETF constituent universes using custom RSI alpha model
* Address review: adjust algorithm to use cache + algo RSI & clean up code
* Address review: make ETF Constituent RSI Alpha Model algo a regression test
* Address review: increase trade count and remove single trade logic
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* Order handling improvements
- Execution model will only trigger market order if they are above the
minimum order margin portfolio percetage value
- SecurityCache.Reset is complete
* Python Import fixes
- Add regression test for ImmediateExecutionModel minimum order margin
check
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* Python research import improvements
- Improve start.py for research env
- Remove unrequired imports
* Centralize algorithm imports
* Add regression test GH action
* Unit test python import clean up
* Join research and main imports
* More python import clean up
* Fix failing skipped regression algorithm
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* Attempt to remove SecurityInitializer from UniverseSelection stack entirely
* Fix broken Python Universe Selection model
* Remove mistake change (meant for another branch)
* Add support for Index SecurityType 🚀 (#5364)
* Add Index SecurityType 🚀
* Extend SecurityIdentifier & Lean Data classes with Index support
* Add Index SecurityType 🚀
* Extend SecurityIdentifier & Lean Data classes with Index support
* Fixes
* Added index cross basic template demonstration
* WIP: Prototype index security type for LEAN as non tradable asset
* Re-adds Index entries to MHDB after rebase
* First steps to getting Index Options running
* Looks at any instance where we pattern match for an option type
and replaces it with a generic call to `.IsOption()` for easier
extensibility in the future for additional option security types
* Adds IndexOption security and misc. classes
* Misc. changes, mainly related to any sort of special casing of
equity options and made index options take the same path
* Enables index options data for backtesting
* Adds new index options market hours to MHDB
* Misc. bug fixes for index options
* WIP: add live support for index options and indexes
* Use OptionMarginModel for Index Options because they both use the
same calculation for margin requirements
* Fixes contract not found errors on SPX index options and SPX index in IB
* Turns out index options' last trading day is the day before expiry,
which IB was expecting the last trading day.
* Add index option test cases (temp)
* LiveOptionChainProvider fix, use Symbol vs. ticker
* Description updates to regression algorithms
* Fixes bug in live trading for indexes and index options
* Adds overridable minimum price variation symbol property
* Adds variable sized minimum price variation for index options
* Adjusts symbol properties for index options
* Misc. bug fixes
* Fixes option assignment simulation for European options
* Updates index options regression algorithms (WIP)
* Fixes bug where index option exercise would trade index underlying
* Fixes bugs where SecurityType.Index was getting flagged as tradable
* Regression algorithms updates and addresses review
* Misc. style fixes and refactoring + a few bug fixes
* Updates regression algorithms to run without runtime errors
* Adds data for regression algos
* Sets DefaultOptionStyle on Canonical and support index options
* Update regression algos statistics
* Removes bad line in regression algorithm causing build to fail
* Minor tweaks
* Address review add comment about quoteBar parse scale
Co-authored-by: Balamurali Pandranki <balamurali@live.com>
Co-authored-by: Jared Broad <jaredbroad@gmail.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* 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
* 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
* 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
The class field that tracks the current month is updated only if there are securities that passed the selection criteria. It prevents division by zero and allows the universe selection a new attempt on the next trading day while keeps the universe unchanged
- `ITimeRules` are expected to yield time date in UTC, fixing `Noon`,
`Midnight` and `Every`
- `ScheduledUniverseSelectionModel` will use UTC time zone by default
since that is the default expected time zone `ITimeRule` provides
- Adding regression test
- Creates `CustomUniverseSelectionModel` that mimics `QCAlgorithm.AddUniverse(String, Func<DateTime, IEnumerable<string>>)`
- Replaces `BaseETFUniverse` for `InceptionDateUniverseSelectionModel` that inherits from `CustomUniverseSelectionModel`
- ETF Basket USMs inherits from `InceptionDateUniverseSelectionModel`
Jhonathan Abreu