Previously Tick resolution subscriptions only received ticks with TickType.Trade, now TickType.Quote and TickType.OpenInterest are received as well.
This PR replaces PR #1065
- Moved provider implementations out of brokerages into their own classes
- Removed DefaultOptionChainProvider
- Added BacktestingOptionChainProvider and LiveOptionChainProvider
- Moved SetOptionChainProvider call from Engine to setup handlers
Previously, removal of option contracts from the option chain universe was allowed only on date change (in both live and backtesting).
Now, in order to reduce market data subscriptions in live mode, removal is allowed intraday if the contract has been in the universe for at least 15 minutes. When backtesting, behavior is unchanged.
Currently, calling SetBrokerageModel after AddSecurity, AddForex, etc. has no effect, the security initializer has already been initialized and its models have been set to their default implementations.
For example, Forex backtests using OandaBrokerageModel will report fees calculated with the default fee model (Oanda fees are spread-based, so they should always be reported as zero).
In this PR, SetBrokerageModel now calls SecurityInitializer.Initialize on all securities added before SetBrokerageModel is called.
Fees will be calculated using the correct fee models and the order of the calls in algorithm Initialize is now irrelevant.
FuncSecuritySeeder implements this new interface and is used in BrokerageModelSecurityInitializer to seed new securities with a price when they are created. FuncSecuritySeeder uses a new method, GetSingleBarHistory, in QCAlgorithm.History to get the last price from the history provider.
Added support for history requirements, exposed by vol models. AM processes requirements.
Added new volatility model - standard deviation of returns - default vol model. Compared its results with publicly available.
Refactored option pricing engine to support optimal approximation calculations.
Added basic greeks approximation in case they are not available in QL. Tests.
Updated BasicTemplateOptionHistoryAlgorithm to print greeks.
Refactors existing consolidators, indicators, and helper methods to depend on
IBaseData instead of BaseData. These updates also defines an IBaseDataBar to
act as an abstraction point between TradeBar and QuoteBar.
IAlgorithm DebugMessage, ErrorMessage and LogMessage are now ConcurrentQueue<string> instead of List<string> because List.Add is not thread safe.
Copying a list (using ToList()) at LiveTradingResultHandler while adding an element to it at QCAlgorithm caused a runtime error.
The default value for the market parameter in AddForex, AddOption, AddEquity and AddCfd is null. This allows unspecified markets to be set from the BrokerageModel.DefaultMarkets in the AddSecurity method for new securities added with these methods. SetBrokerageModel updates BrokerageModel.DefaultMarkets and therefore the market used for all new securities.
Implements IPriceVariationModel interface which takes the security object and returns a decimal variation
Implemets SecurityVariationModel class: default implementation of IPriceVariationModel that returns a fixed value (read from symbol-properties-database) for decimal variation
Implemets EquityVariationModel class: implementaion of IPriceVariationModel that returns a decimal variation as a function of equity price
Implemets AdjustedPriceVariationModel class: implementaion of IPriceVariationModel that returns zero
Adds unit test
- Added IQFeed options support to toolbox: option chain universe, option symbol list, subscriptions, live prices
- Added LiveTradingDataFeed to support options live screaming
- Added IB live options trading support: trading orders, holdings, live option exercising
- Modified ISymbolMapper interface to support derivatives (options, futures)
- Fixed minor bugs with (introduced ealier) symbol changes for options
Tested with IQFeed version 5.2.4.2. IB TWS offline version 957.
- Updated IB fee model to support option exercise
- Added support for splits for options. Not tested on real data yet.
- Added option exercise functionality for long positions. Unit Tests. Not tested on real data yet.
- Added option assignment functionality for short positions. Assignment event. Unit Tests.
- Added basic option assignment simulator for backtesting brokerage. Simulates assignments for deep ITM short positions close to expiration. Unit Tests.
jameschch@outlook.com