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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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* Handle position group margin calls
* Minor changes
* Update regression algorithms
* Minor changes
* Minor changes
* Added regression algorithm
* Peer review
* Peer review
* Peer review
* Peer review
* Minor changes
* Minor changes
* Add unit test
* Allow sufficient buying power when closing position group
* Add unit test
* Improve regression algorithms
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* Invalidate option strategies orders when short selling over margin
When shorting an option strategy with margin requirements that cannot be
met, the order should be invalidated. The buying power model is now able
to detect said situation and result in unssuficient buying power.
The OptionsMarginModel now uses the parameters instance values instead
of the security holdings to compute margin requirements. This fixes the
situation when calculation buying power for a first time position with
no holdings.
* Add and fix unit tests
* Update regression algorithms
* Peer review
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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
* 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>
Martin-Molinero