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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 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