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* Implement indicator-based option price model
This model uses IV and Greeks indicators to implement Lean's own option pricing model
* Minor fixes
* Address peer review
* Minor tests fixes
* Make the indicator based price model the default for options
* Address peer review
* Cleanup and minor changes
* Support indicators configuration for new pricing model
* Some cleanup
* Add QL option price model example algorithm
* Return lean models from static helpers
* Minor tests fixes
* Minor test fixes
* Address peer review
* Cleanup
* Fix unit tests
* Move QL models to OptionPriceModels.QuantLib.*
* Add forward tree helper method
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* Add new QCAlgorithm.OptionChain method to get full data option chain
* Add extension method to get canonical symbol
* Support future options in new OptionChain method
* Replace option chain provider with OptionChain method in some regression algorithms
* Add new regression algorithms for OptionChain method
* Replace option chain provider with OptionChain method in some regression algorithms
* Minor
* Cleanup
* Minor changes in regression algorithms
* Minor adjustments
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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
* Improves greeks configurability and defaults for all option asset types
* Makes `StandardDeviationOfReturns` configurable by users, so that
greeks can be loaded according to user expectations and the series
of returns that they'd like to compute for `n` periods and timespan
of `T`, as well as resolution of the data in live mode.
* Changes resolution to max resolution available for the default
volatility model created for the security. Usually this only applies
to live mode, but if creating an instance of the
`StandardDeviationOfReturns` volatility model and no `updateFrequency`
is provided, the resolution's time span will be used as the default
value. Backwards compatibility for equities is maintained.
* Changes defaults for `StandardDeviationOfReturnsVolatilityModel`
to warmup greeks faster for other derivative asset types
* Improves comments on `StandardDeviationOfReturns` for clarity on how
to use the volatility model for end users
* Fixes bug where TradeBar could not have proper Symbol set when getting
max resolution
* Applies to QCAlgorithm.Universe and StandardDeviationOfReturnsVolatilityModel
* Adds tests to check volatility model is updated at specified config intervals
* Address review: add shared method for (Relative)StandardDeviation
volatility models
* Adjusts logic to determine bar type
* Address review: order by TickType when getting configs inside volatility models
* Remove regression references to non-existant Python versions
* Adjust regressions estimated capacity not adjusted by #5389
* Adjusts regression algorithms so that they pass (Index/Index Options)
* Changes start/end date on BasicTemplateIndexAlgorithm
* Changes option pricing model to BlackScholes in
IndexOptionCallITMGreeksExpiryRegressionAlgorithm
- The root cause of why there are no greeks at times for these
options was identified. It is most likely due to the underlying's
VolatilityModel not having had enough data to be "warmed up",
which means it will return a standard deviation of zero to the
option pricing model, rendering most metrics as NaN.
* Adds missing index/index options regression algorithms
- Regression algorithms are now 1-1 between C# and Python for
Indexes/Index options. All regression tests are now passing
* Fixes broken BasicTemplateIndex regression algorithm
* Previously traded SPY, but because we have no SPY data in Lean
master, I instead opted for index options, since data for those
dates is already included
* Deal with weekend for breaking test case
* Adjust DefaultEndDate test to always pass
* Check todays date for open
Co-authored-by: Gerardo Salazar <gsalaz9800@gmail.com>
Jhonathan Abreu