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Author SHA1 Message Date
Jhonathan Abreu 69d2f5ae82 Futures and Future Options file-based universes (#8480)
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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

* Trigger Build

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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
 2025-03-25 16:22:38 -04:00
Martin-Molinero 7879795207 Enable daily precise end time by default (#8254)
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* Default daily precise end times

- Enable by default daily precise end times. Updating stats
- Minor fix for algorithm manager consolidator updates, adding new regression test
  asserting behavior and updating others
- Minor fix for SubscriptionData creator avoid round down on warmup if
  not appropiate
- Adjust consolidators to emit on daily strict end times if requested
  daily resolution and setting enabled
- Updating regression algorithms

* Skip daily data on extended market hours

* Some cleanup and self review

* Revert unrequired change
 2024-08-14 12:49:56 -03:00
Louis Szeto 784e497691 pep8 conversion on python algorithms #2 (#7933) 
* pep8 conversion

* more

* Minor fix

* Fix related regression algorithm

---------

Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
 2024-04-17 17:36:53 -03:00
Jhonathan Abreu 475f295ce0 Support market orders for futures and FOPs on extended hours (#6575)
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* Allow market orders for futures and FOPs on extended market hours

* Update regression algorithms stats

* Add futures fill model to allow extended market hours

* Add unit tests

* Update regression algorithms stats

* Update regression algorithms stats

* Housekeeping
 2022-08-24 11:04:52 -03:00
Jhonathan Abreu 539011274c Support extended market hours for futures (#6522)
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* Support extended market hours in AddFuture()

* Support extended market hours in AddFutureContract()

* Add C# regression algorithm

* Add Python regression algorithm

* Add regression algorithm for future contracts

* Add regression algorithm checking market hour ranges

* Fixed future regression algorithms to use extended market hours

* Fixed future regression algorithms to use extended market hours

* Fixed future regression algorithms to use extended market hours

* Fixed AddFutureOptionContractFromFutureChainRegressionAlgorithm to use extended market hours

* Update future market hours to include extended in market hours database

* Fixed AddFutureOptionContractDataStreamingRegressionAlgorithm to use extended market hours

* Fixed AddFutureOptionContractFromFutureChainRegressionAlgorithm to use extended market hours

* Fixed AddFutureContractWithContinuousRegressionAlgorithm to use extended market hours

* Fixed BasicTemplateContinuousFutureAlgorithm to use extended market hours

* Fixed BasicTemplateFuturesAlgorithm to use extended market hours

* Fix BasicTemplateFuturesDailyAlgorithm to use extended market hours

* Fixed BasicTemplateFuturesFrameworkAlgorithm to use extended market hours

* Fixed BasicTemplateFuturesHistoryAlgorithm to use extended market hours

* Fixed ContinuousBackMonthRawFutureRegressionAlgorithm to use extended market hours

* Fixed ContinuousFutureBackMonthRegressionAlgorithm to use extended market hours

* Fixed ContinuousFutureHistoryRegressionAlgorithm to use extended market hours

* Fixed ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm to use extended market hours

* Fixed ContinuousFutureRegressionAlgorithm to use extended market hours

* Fixed DelistedFutureLiquidateRegressionAlgorithm to use extended market hours

* Fixed AutomaticIndicatorWarmupDataTypeRegressionAlgorithm to use extended market hours

* Fixed ConsolidateRegressionAlgorithm to use extended market hours

* Fixed DelistingFutureOptionRegressionAlgorithm to use extended market hours

* Fixed EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm to use extended market hours

* Fixed FutureContractsExtendedMarketHoursRegressionAlgorithm to use extended market hours

* Fixed FutureMarketOpenAndCloseRegressionAlgorithm to use extended market hours

* Fixed FutureMarketOpenConsolidatorRegressionAlgorithm to use extended market hours

* Fixed FutureOptionBuySellCallIntradayRegressionAlgorithm to use extended market hours

* Fixed FutureOptionCallITMExpiryRegressionAlgorithm to use extended market hours

* Fixed FutureOptionCallITMGreeksExpiryRegressionAlgorithm to use extended market hours

* Fixed FutureOptionCallOTMExpiryRegressionAlgorithm to use extended market hours

* Fixed FutureOptionDailyRegressionAlgorithm to use extended market hours

* Fixed FutureOptionHourlyRegressionAlgorithm to use extended market hours

* Fixed FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm to use extended market hours

* Fixed FutureOptionPutITMExpiryRegressionAlgorithm to use extended market hours

* Fixed FutureOptionPutOTMExpiryRegressionAlgorithm to use extended market hours

* Fixed FutureOptionShortCallITMExpiryRegressionAlgorithm to use extended market hours

* Fixed FutureOptionShortCallOTMExpiryRegressionAlgorithm to use extended market hours

* Fixed FutureOptionShortPutITMExpiryRegressionAlgorithm to use extended market hours

* Fixed FutureOptionShortPutOTMExpiryRegressionAlgorithm to use extended market hours

* Fixed FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm to use extended market hours

* Fixed FuturesExpiredContractRegression to use extended market hours

* Fixed FutureSharingTickerRegressionAlgorithm to use extended market hours

* Fixed HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm to use extended market hours

* Fixed HistoryWithDifferentDataMappingModeRegressionAlgorithm to use extended market hours

* Fixed HistoryWithDifferentDataNormalizationModeRegressionAlgorithm to use extended market hours

* Fixed LimitOrdersAreFilledAfterHoursForFuturesRegressionAlgorithm to use extended market hours

* Fixed OpenInterestFuturesRegressionAlgorithm to use extended market hours

* Fixed RegisterIndicatorRegressionAlgorithm to use extended market hours

* Fixed SetHoldingsFutureRegressionAlgorithm to use extended market hours

* Fixed WarmupFutureRegressionAlgorithm to use extended market hours

* Fixed AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm to use extended market hours

* Fixed AlgorithmHistoryTests to use extended market hours for futures

* Fixed AlgorithmTradingTests to use extended market hours for futures

* Fixed BrokerageSetupHandlerTests to use extended market hours for futures

* Fixed TimeRulesTests to use extended market hours for futures

* Fixed FutureOptionMarginBuyingPowerModelTests to use extended market hours for futures

* Fixed FutureMarginBuyingPowerModelTests to use extended market hours for futures

* Fixed FileSystemDataFeedTests to use extended market hours for futures

* Fixed QuantBookHistoryTests to use extended market hours for futures

* Split BasicTemplateContinuousFutureAlgorithm to have an extended market version

* Fixed FutureMarketOpenAndCloseRegressionAlgorithm to use extended market hours

* Split BasicTemplateFuturesAlgorithm to have an extended market version

* Split BasicTemplateFuturesAlgorithm to have an extended market version

* Split BasicTemplateFuturesFrameworkAlgorithm to have an extended market version

* Split BasicTemplateFuturesHistoryAlgorithm to have an extended market version

* Revert AddFutureContractWithContinuousRegressionAlgorithm

* Revert AddFutureOptionContractDataStreamingRegressionAlgorithm and added data

* Revert AddFutureOptionContractFromFutureChainRegressionAlgorithm

* Revert AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm

* Revert ConsolidateRegressionAlgorithm

* Revert Algorithm.CSharp/ContinuousBackMonthRawFutureRegressionAlgorithm.cs

* Revert ContinuousFutureBackMonthRegressionAlgorithm

* Revert ContinuousFutureHistoryRegressionAlgorithm

* Revert ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm

* Revert ContinuousFutureRegressionAlgorithm

* Revert Algorithm.CSharp/DelistedFutureLiquidateRegressionAlgorithm.cs

* Revert EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm

* Split FutureMarketOpenAndCloseRegressionAlgorithm to have an extended market version

* Split FutureMarketOpenConsolidatorRegressionAlgorithm to have an extended market version

* Revert FutureOptionBuySellCallIntradayRegressionAlgorithm

* Revert FutureOptionCallITMExpiryRegressionAlgorithm

* Revert FutureOptionDailyRegressionAlgorithm

* Revert FutureOptionPutITMExpiryRegressionAlgorithm

* Revert FutureSharingTickerRegressionAlgorithm

* Revert FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm

* Revert FuturesExpiredContractRegression

* Revert HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm

* Revert HistoryWithDifferentDataMappingModeRegressionAlgorithm

* Revert HistoryWithDifferentDataNormalizationModeRegressionAlgorithm

* Revert OpenInterestFuturesRegressionAlgorithm

* Revert RegisterIndicatorRegressionAlgorithm

* Revert SetHoldingsFutureRegressionAlgorithm

* Revert WarmupFutureRegressionAlgorithm

* Revert AutomaticIndicatorWarmupDataTypeRegressionAlgorithm

* Some cleanup

* Address changes request

* Address changes request

* Add more Class III Milk data to fix DelistingFutureOptionDailyRegressionAlgorithm
 2022-08-18 10:56:44 -03:00
Jhonathan Abreu 6c93af96a1 Disable MOO orders for futures out of regular market hours (#6480)
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* Remove suppport for market orders and MOO orders for futures

* Add regression algorithm to assert that limit orders are filled on after hours for futures

* Remove suppport for market orders and MOO orders for futures in DefaultBrokerageModel

* Update regression algorithms stats

* Fixed regression algorithm and clean up

* Add unit tests

* Fix regression algorithms

* Address changes request
 2022-07-19 16:18:06 -03:00
Jhonathan Abreu e9409bf207 Add contractDepthOffset parameter to QCAlgorithm.History() (#6438)
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* Add contract depth offset parameter to big History() methods

- Added unit tests
- Added little more ED daily data

* Add C# regression algorithm

* Add Python regression algorithm

* Update regression algorithms stats

* Address changes request
 2022-06-27 10:04:33 -03:00
Martin-Molinero c8dc343c13 GetLastKnownPrices python data (#6191)
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* Adding unit tests reproducing issue.

* Fix a couple of minor bugs

- IsMarketOpen will work correctly when used with daily and hourly
  resolution.
- slice.Get will work correctly with python custom data
- ExtendedDictionary will be able to dinamically access methods,
  required for python and private C# data types

* Refactor solution. Add more tests

* Remove unrequired import statement
 2022-02-08 15:37:05 -03:00
Martin-Molinero 1aaaa20c61 Fix daily auxiliary data points emission time (#6186)
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* Use GC server mode for tests

* Fix daily auxiliary data points emission time

- Due to fillforwarding, in some cases with daily resolution symbol
  change events (generically any auxiliary data) would arrive late.
  Updating regression test to reproduce the issue. Adding unit test
- Some refactoring and logging improvements

* Address reviews

* Remove old xml docs param
 2022-02-04 21:06:45 -03:00
Colton Sellers 1358bd8115 Future and FutureOption low res support (#6069)
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* Fixes for FutureOptions support in LeanData

* Add CreateCanonicalOption() utility function for Symbol.cs

* Add aggregated Futures/FuturesOptions data to Lean

* Add FutureOptions regressions for daily/hourly data

* Allow Futures to be added with low resolution

* Add Future regressions using hour/daily data

* Nit - Python Class names

* Add reviews

* Add alias into CreateCanonicalOption
 2021-11-24 09:53:21 -03:00