Commit Graph

3 Commits

Author SHA1 Message Date
Jhonathan Abreu 0a9dc2c71c QCAlgorithm's OptionChain() api refactor (#8334)
* Fix pandas converter to handle list of data with different symbols

* Properly convert list of data into dataframe

Take into consideration data for multiple symbols in the same list

* Cleanup

* Index dataframes by symbol object instead of SID string

* Add symbol equality operator to compare against object

* Exclude "ID" from option chain dataframe

* Minor fix

* Add greeks columns directly in option chain dataframe.

Also add pass-through properties for greek values in OptionUniverse

* Some cleanup

* Minor fix

* Add new QCAlgorithm.OptionChains() method

- Use OptionChains as output
- Add DataFrame to OptionChain and OptionChains
- Rename Greeks classes
- Add ISymbolProvider for classes that have a symbol (IBaseData, OptionContract)

* Unify QCAlgorithmOptionChain API

Also refactor OptionContract to handle: (1) Actual market data and option price model data, and (2) OptionUniverse data

* Pass symbol properties to OptionUniverse option chain from algorithm

* Format OptionContract for dataframe

* Minor fix

* Add multiple option chains api regression algorithms and other minor changes

* Address peer review

Add NullGreeks class: keep ModeledGreeks as internal as possible

* Minor fix and add PandasConverter unit tests

* Peer review: Non-thread-safe Lazy for Python

* Handle Greeks unwrapping by PandasData

* PandasData cleanup

* Add data and other minor changes

* Unit test fix

* Update Pythonnet to 2.0.39

* Cleanup

* PandasData handling children class members

Address peer review

* Fix: indexing symbol conversion in pandas mapper

* Fix pandas mapper to convert string keys to symbol only when necessary

* Cleanup

* Cleanup

* Add PandasColumn python class to handle proper indexing

This allows propery hash and equality between Symbols, C# strings and Python strings

* Minor fixes

* Symbol cache improvements

* Minor fix for cache miss

* Revert PandasMapper reserved names and improvements

* Minor fix

* Revert reserved names

* Minor fix for Symbol equality operators

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Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
2024-10-04 12:26:15 -04:00
Louis Szeto 979bd9baef pep8 conversion of python algos #11 (#7952)
* pep8 conversion

* Minor tweak

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Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
2024-04-19 12:54:50 -03:00
Ricardo Andrés Marino Rojas 711a7b42d4 Add missing constructor in OptionChainedUniverseSelectionModel (#7741)
API Tests / build (push) Has been cancelled
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* Solve bug and add regression tests

* Add regression stats

* Improve regression algo

* Improve regression algos
2024-02-05 15:56:29 -03:00