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Author SHA1 Message Date
Martin-Molinero 95739b8a58 Increase option strike digits precision to 6 (#9086)
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* Increase option strike digits precision to 6

- Increase option strike digits precision to 6. Adding unit test

* test:fix: couple of build tests

* fix:test: Asset CUSIP and OrderListHash in Regression Algorithms

* test:fix: several regression algos

* test:fix: old Symbol CUSIPs to new ones

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Co-authored-by: Romazes <romazes20@gmail.com>
 2025-11-18 16:23:29 -03:00
JosueNina 7008d17714 Add MaxDrawdownRecovery metric (#8865)
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* Implement  a prototype of the maximum recovery time function.

* Add unit test skeletons.

* Add failing test

* Issue #4581: Implement MaxDrawdownRecoveryTime.

* Issue 4581: Add DTO for Drawdown Percentage, Drawdown Enddate, and High Value

* Issue 4581: Fix bgu for when lDrawdowns list is empty.

* Issue 4581: Change names of tests. Change name of file.

* Issue 4581: Make adjustements to flow of adding drawdowns to lDrawdowns.

* Issue 4581: Add multiple unit tests.

* Issue #4581: Change name of unit test

* Issue #4581: Add to PerformanceMetrics

* Issue #4581: Add Maximum Drawdown Recovery to PortolioStatistics class.

* Issue #4581: Add to portolfio statistics class.

* Issue #4581: Add to statistics builder.

* Issue #4581: Add report key.

* Case #4581: Convert to decimal.

* Issue #4581: Correct comment.

* Issue #4581: Correct performance metrics view model string.

* Case #4581: Correct statistics builder view model string..again.

* Issue #4581: Placed DradownDradownDateHighValueDTO at the end of the file for simpler diff.

* Issue #4581: Add 2 new tests.

* Issue #4581: Change algorithm so that when multiple maximum drawdowns occur, the longest of all recoveries is reported.

* Issue #4581: Add unit test.

* Issue #4581: Remove reportkey. Change dto name.

* Issue #4581: Change summary.

* Issue #4581: Change comment.

* Add max drawdown recovery calculation with unit tests

* Update regression algorithms with the new metric

* Solve review comments

* Update regression algorithms

* Add TryGet to safely get the key: MaximumDrawdownRecovery

* Ignore MaximumDrawdownRecovery metric in OptimizationBacktest Json

* Revert changes in Messaging

* Update regression algorithms

* Add test case: TakesLongestRecoveryAmongMultipleDrawdowns

* Use integer days for MaximumDrawdownRecovery

* Add MaximumDrawdownRecoveryReportElement

* Use more explicit names

* Rename files and variables for consistency

* Update regression algorithms

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Co-authored-by: Alain Schaerer <aschaerer@pcatg.com>
 2025-07-17 16:32:23 -03:00
Jhonathan Abreu 16c4259342 Add QCAlgorithm.OptionChain() method to fetch option chains (#8316)
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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
 2024-09-11 15:15:51 -04:00