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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
---------
Co-authored-by: Romazes <romazes20@gmail.com>
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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
---------
Co-authored-by: Alain Schaerer <aschaerer@pcatg.com>
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* Initial options universe with greeks implementation
* Options universe improvements
* Address peer review
* File based options universe fixes and improvements.
- Adjust OptionUniverse start-end times and period.
- Adapt unit tests and some algorithms to pass with new options universe selection.
* Updated options regression algorithms stats for new universe data
* Updated options regression algorithms stats for new universe data
* Updated options regression algorithms stats for new universe data
* Updated options regression algorithms stats for new universe data
* Updated options regression algorithms stats for new universe data
* Option chain provider with new options universe
* Allow canonical option history requests
* Address peer review
* Address peer review
* Fix symbols parsing in OptionUniverse
* Fix universe selection subscriptions start time to not include extended market hours
* Minor changes
* Minor changes
* Peer recommended changes and fixes
* Update regression algorithm stats
* Update regression algorithms stats and minor fixes
* Fix option chain provider history request
* Round option indicators values
* Added option universe csv header property
* Update regression algorithms stats
* Update regression algorithms stats
* Data fixes and regression algos stats update
* Unit test fixes
* Minor changes
* Option chain handling in live trading data feed
* Minor changes
* Added processed data provider
* Fix thread-safety violation in Slice class
* Minor change
* Update options filter universe API to use OptionUniverse data
Add new filter methods for greeks, IV and open interest
* Option filter universe api updates
* Add OptionUniverse history regression algorithms
* Add regression algorithms for new options filter universe api methods
* Added options greeks data and updated regression algorithms
* Address peer review
* Address peer review
* Add more assertions to new options filter api regression algorithms
* Minor performance improvement.
Reduce greeks binomial model steps to 140
* Minor tests updates
* Greeks numerical models performance improvements
* Greeks numerical models performance improvements
* Revert array pool change for option pricing numerical models
* Update default dividend yield provider depending on option type
* [TEST]
* Add helper method con calculate time till expiration
* Use double in price option numerical models
* Implied volatility calculation improvements
- Adjust root finding method accuracy as a factor of the option price
- Use BSM to get a first guess
* Cleanup
* Some regression algorithms and unit tests cleanup
* Regression tests updates after rebasing from master
* Add universe files
* Self review and cleanup
* Minor regression tests updates after rebase
* Fix: set data time zone to same as exchange tz for options universes
* Minor change
* Minor change
* Fix for live trading options universe selection
* Keep underlying when aggregating collections in BaseDataCollectionAggregatorEnumerator
* Update index options regression algorithms stats
* Minor change
* Address peer review
* Memory usage improvements
* Minor build fix
* Minor changes and test fixes
* Cache symbols in OptionUniverse
* Cleanup
* Fix index option creation in OptionUniverse
* Use cached underlying SID when parsing from string
* Abstract symbols cache to BaseDataCollection
* Return actual underlying symbol when mapping decomposing ICO ticker
* Address peer review
* Minor performance improvements reduce garbage
* Limit Symbols and SIDs cache size to help with memory usage
* Minor fix in symbols and sid cache cleanup
* Build fix
* Lazily parse greeks on individual access
* Cleanup and tests
* Address peer review
* Minor greeks fix
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Fix CA1819 and CA1002 warnings
Changed the type of Languages statistic in regression tests from
Language[] to List<Language>. By doing that, the warning CA1819 was
removed but then the warning CA1002 was raised. However, this warning
was expected to be excluded from QuantConnect.Algorithm.CSharp.
* Improve implementation
* Simplify code
* Fix bugs
* First draft of the solution
* Add missing changes
* Remove the new KPI's from report
* Fix bugs
* nit change
* Add improvements
* Fix regression tests
* Solve bugs in the regression algos
* Fix regression tests bugs
* Expand unit tests and add minor changes
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* Add Sortino ratio to statistics and report
* Adds Sortino Ratio to Report Key Statistics
* Addresses Peer-Review
Reuse `SharpeRatioReportElement` and change the template.
* Reuse Calculations Across Statistics and PortfolioStatistics
* Adds Sortino Ratio to Regression Algorithms
* Removes Sortino Ratio from Optimization Result Table
---------
Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
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* Add new Order.PriceAdjustmentMode property
* Minor fix and unit test
* Minor fix and regression algorithms' stats update
* Unit test fixes
* Minor fix
* Set order price adjustment mode to raw always for live trading
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* Refactor alpha statistics
- Refactor alpha statistics, cleaning up and simplifying no longer required calculations and scoring
- Adding new InsightEvaluator abstraction, adding C# & PY regression
algorithms
* Optimization backtest result json converter update
* Address reviews
- Remove IAlphaHandler, move insight storage responsability to IResultHandler
and centralizing insight collection on the QCAlgorithm.Insights to be
reused by the framework models
- Fix portfolio turnover single day backtests and duplicate time
sampling handling. Updating regression algorithms
* Add InsightCollection tests and minor fixes
* Adding more & improved tests
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* IsOption uses underlyings holidays
- Option assets will use underlyings holidays, early closes and late
opens if their own are not defined
* Update regression algorithms
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* Set fill price to zero in OTM exercise orders.
Improved the OTM exercise orders message.
* Update regression algorithms and unit tests
* Add IsInTheMoney property to OrderEvent
* Update SerializedOrderEvent
* Properly setting the option exercise order price to strike price or zero
* Minor changes
* Minor changes
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* refactor(Algorithm): Correct `Intrinino` -> `Intrinio` references
Signed-off-by: Ryan Russell <git@ryanrussell.org>
* refactor(Algorithm): Update `evemts` -> `events`
Signed-off-by: Ryan Russell <git@ryanrussell.org>
* refactor(BubbleAlgorithm): readability improvements
Signed-off-by: Ryan Russell <git@ryanrussell.org>
* refactor(OrderTicketDemoAlgorithm): readability improvements
Signed-off-by: Ryan Russell <git@ryanrussell.org>
Signed-off-by: Ryan Russell <git@ryanrussell.org>
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* Live T-1 selection warmup
- Only use BaseDataCollection class
- Reuse collection enumerator
- Remove FuturesChainUniverseSubscriptionEnumeratorFactory
- Universe selection will use Cache providers
- Add null reference check
- Add more tests
- Fixes for warmup fill forwarding. Add more tests
* Address reviews. Add missing comments
* add data count properties
* 'add history count property
* assert data counts
* update missing override
* consider override/virtual cases
* implement data count
* add message handler for regression tests
* use regression test message handler
* set algorithm manager for regression test message handler
* update data count
* check if stats are present, check if algo manager is not null
* update
* add c# algo
* make same as c# algo
* use new line
* logic shifted to RegressionTestMessageHandler
* cleanup
* auto cleanup
* skip non deterministic data count
* change data count
* use inheritance
* improve stats
* update couht
* add sma indicator to c# and customSMA to python
* call base method before executing further
* skip test
* revert to original
* add duplicate sma
* skip regression test
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* Move processing of delistings to Brokerage
* Deal with case that exchange is not open on OptionSymbol.ID.Date
* Refactor solution to use DelistingNotification event
* Adjust some regression expected liquidation time
* Mark some todos on deprecated functions
* Update expected liqudation time for Py regressions
* Update regressions that have been validated
* Use HandlePositionAssigned for assignment orders
* Update regressions
* Update some missed unit tests; remove one that is already covered by regression
* Cleanup deprecated backend functions
* nit - small cleanup adjustment
* Post rebase fix
* Address review
* Minor tweak to py regression
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* Add property for capacity. Remove unused variable
* Move SymbolCapacity and CapacityEstimate to common, passed through Symbol to runtime statistics
* Add null checks
* Remove uninvested and untradable assets from capacty calculations
* Add SymbolCapacity influential period
* Updates Regression Tests
- DelistingEventsAlgorithm
- Allows additional contributions from delisted AAA.1
- DelistingFutureOptionRegressionAlgorithm
- Removes DC01H12 contributions one month later
- FutureOptionBuySellCallIntradayRegressionAlgorithm
- Allows additional contributions from future after expiry replacing the contribution of the next contract option
- DelistedFutureLiquidateRegressionAlgorithm
- FutureOptionCallITMExpiryRegressionAlgorithm
- FutureOptionCallITMGreeksExpiryRegressionAlgorithm
- FutureOptionPutITMExpiryRegressionAlgorithm
- FutureOptionShortCallITMExpiryRegressionAlgorithm
- FutureOptionShortPutITMExpiryRegressionAlgorithm
- FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm
- Allows additional contributions from future after expiry
- FutureOptionCallOTMExpiryRegressionAlgorithm
- FutureOptionPutOTMExpiryRegressionAlgorithm
- FutureOptionShortPutOTMExpiryRegressionAlgorithm
- IndexOptionCallITMGreeksExpiryRegressionAlgorithm
- IndexOptionCallOTMExpiryRegressionAlgorithm
- IndexOptionShortCallOTMExpiryRegressionAlgorithm
- Allows additional contributions from option after expiry
- MACDTrendAlgorithm
- Removes contribution when SPY is not invested for over one month
- UniverseSelectionRegressionAlgorithm
- Allows additional contributions from delisted GOOAV replacing GOOG (new symbols)
* Adds Lowest Capacity Asset to Regression Tests
* Normalize expected value -0, because -0 is also written to file if updated
* Write Symbol.Value for lowestCapacitySymbol or empty string for empty Symbol
* Update Regressions
* Update 'Lowest Capacity Asset' to Symbol.ID
Co-authored-by: Jared Broad <jaredbroad@gmail.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
Co-authored-by: Colton Sellers <Colton.R.Sellers@gmail.com>
* Adds CapacityEstimate and SymbolCapacity
The capacity estimation has been moved from
the report generator and wired directly into
Lean via the ResultHandler. In addition,
the capacity estimation strategy has changed
to account for errors in the previous iteration
of the capacity estimation.
Many many thanks to Jared for being much of the
mastermind behind this project. It would have
been harder to complete without him to bounce ideas
off of.
* Moves old tests to regression algorithms
* Adds Estimated Capacity statistic
* Removes old capacity estimation tests
Final report capacity estimation. Pushing to save state
* Fixes bugs, cleans up code and adds comments
* Adds forced sampling to Capacity Estimation
* Misc. bug fixes for daily data
* Updates capacity test cases' Estimated Strategy Capacity statistic
* Adds Capacity Estimate to all regression algorithms
* Removes Report's StrategyCapacity class and fixes bug in tests
* Adds null check in BacktestingResultHandler to fix
BacktestingTransactionHandler failing tests
* Deletes old capacity estimation classes
* Retrieve capacity estimates from backtest statistics results
instead of calculating at runtime
* Make $0.00 capacity return as "-" and Result = 0 in report
* Adds capacity to runtime statistics
* Converts capacity to number denoted by financial figures in RuntimeStats
* Addresses review: code cleanup for Capacity and adds comments to regression tests
* Update OrderListHash to use MD5 as hash instead of hash code
* Update regression algorithm OrderListHash statistic
* Use full MD5 hash as OrderListHash, update regression statistic
* Fixes failing regression tests
* Adjust delisting liquidation time
- Adjust delisting liquidation time to 15 min before market closes.
Adding unit tests. Updating existing.
- Handle `Statistics.CompoundingAnnualPerformance` invalid calculation
to avoid exception.
- AlgorithmManager will not handle delisting events in live trading
- Fix bug where due to a split driven liquidation matching delisting
date a position in the option would remain open. Reproduced by
`BasicTemplateOptionsFrameworkAlgorithm`
* Address review
- Address review add documentation on delisting offset span
* Fix delisted liquidation orders being cancelled
- Place delisted liquidation orders 10 min before market closes of 10
min before the end of the delisting warning date. Adding regression
test and unit tests. Updating existing tests.
* Fix failing python option unit tests
* Fix bug where positions would be open delisting liquidation
* Fix universe selection and delisting
- Delisting will happen ASAP for all types. Giving priority to close
positions on derivates first
- Fix bug in universe selection where OptionChain would remove
underlying even if holding a position in derivate.
- Updating regression tests statistics
* Add unit test, fix unit test expected stats
* Improve information tracked in regression's {algorithm}.{lang}.details.log
The details.log file aims at providing a diff-able document that quickly and
easily provides actionable information. Since many regression algorithms use
the algorithm's debug/error messaging facilities to log various pieces of algo
state. This document also support a configuration option: regression-high-fidelity-logging'
that logs EVERY piece of data, again, with the aim of providing an easily diff-able
documenbt to quickly highlight actionable information. I may have missed omse key
pieces of information here, but now that the entire QC knows about this regression
tool, if additional information is required then hopefully it's easy enough at this
point to extend the RegressionResultHandler to suit our needs.
The RegressionResultHandler was initially implemented to provide a concise log of
all orders. This was achieved by simply using the Order.ToString method. While
testing/investigating OptionExerciseOrder behavior, it became evident that more
information was required to properly identify the source of potential failures or
differences between previous regression test runs. This change adds logging for
almost every IResultHandler method and additionally attempts to capture the
actual portfolio impact of every OrderEvent. This is accomplished by logging
the portfolio's TotalPortfolioValue, Cash properties and the security's
SecurityHolding.Quantity property.
This change also standardizes the timestamps used to folloow the ISO-8601 format.
When using the RegressionResultHandler, it is highly recommeded to also disable
'forward-console-message' configuration option to ensure algorithm Debug/Error
message logging is done synchronously to ensure correct ordering with respect to
log messages via Log.Debug/Trace/Error.
* Fix typo in options OrderTests test case name
* Update SymbolRepresentation.GenerationOptionTickerOSI to extension method
Far more convenient as an extension method
* Improve R# default code formatting rules
Many of these rule changes focus on improving the readability of code,
with a particular emphasis on multi-line constructs, chained method calls
and multi-line method invocations/declarations.
* Add braces, use string interpolation and limit long lines
* Refactor OptionExerciseOrder.Quantity to indicate change in #contracts
For all other order types, the Order.Quantity indicates the change in the algorithm's
holdings upon order execution for the order's symbol. For OptionExerciseOrder, this
convention was broken. It appears as though only exercise was initially implemented,
in which case only long positions were supported and a code comment indicated that
only positive values of quantity were acceptable, indicating the number of contracts
to exercise. At a later date, assignment simulation was added and utilized a negative
order quantity. This caused some major inconsistencies in how models view exercise
orders compared to all other order types. This change brings OptionExerciseOrder.Quantity
into alignment with the other order types by making it represent the change in holdings
quantity upon order execution.
This change was originally going to be much larger, but in order to minimize risks and to
make for an easier review experience, the additional changes will be committed separately
and pushed in their own PR. Some of the issues identified include:
* Manual Exercise (especially for OTM) is not covered
* Margin Calculations (in particular taking into account opposing contracts held)
* IBrokerage.OptionPositionAssigned is raised for exercise (later filtered by tx handler)
Fixes OptionPortfolioModelTests to use exercise model to properly model exercise of
non-account quote currency option contract.
* Add OrderRight.GetExerciseDirection(isShort) extension
Returns the OrderDirection resulting from exercise/assignment of a particular
option right
See: BUG #4731
* Fix option exercise/assignment order tags and order event messages
The algorithm manager was doing work to determine whether or not the option ended
in exercise or assignment at expiration. This decision should be left for the exercise
model to decide -- from the algorithm manager's perspective, all that matters is that
the option was expired. The DefaultExerciseModel was updated to properly track whether
the option expired with automatic assignment or exercise, dependending on whether or
not we wrote or bought the option (held liability or right, respectively). Updated unit
tests to check for order event counts and order event messages for option exercise cases.
Fixes: #4731
* Fix typo in algorithm documentation
* Update regression tests order hash
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
- Remove unused `OptionChainUniverseDataCollectionAggregatorEnumerator`
- Refactor `BaseDataCollectionAggregatorEnumerator` and
`OptionChainUniverseDataCollectionEnumerator` to avoid emitting invalid
data points
- Updating regression tests statistics
- Adding unit test
This flag indicates whether or not the local regression test system,
via RegressionTests.AlgorithmStatisticsRegression should run a given
IRegressionAlgorithmDefinition
A mechanical refactoring was performed to make algorithms currently used in
regression algorithms to implement IRegressionAlgorithmDefinition, which allows
algorithms to define their own expected statistics and what languages should be
run as part of regression. The type name of the C# type is used to determine the
file/model name for python. This was for simplicity, but if needed, could later be
refactored to expose more information, but for now the convention of keeping names
the same makes sense and just works easily.
There's no good reason to use a finalizer here.
Regression algorithms should use the OnEndOfAlgorithm event to handle
checks/assertions following the algorithm's completion.
1. Made sure we treat properly option expiration dates before Feb 2015 and after. Added tests.
2. Refactored expiration delisting, assignments/option exercise to happen in the end of the date, not MOC orders in the beginning of the day. Regression test.
3. Refactored option exercise model to generate proper fills on assignments/option. Those fills are reflected correctly in margins, in stats and correspond to IB model. Still need to run IB real-life live tests.
4. Refactored option symbol related functions into separate module (OptionSymbol.cs)
5. Made sure OnAssignmentEvent arrived to the user algo in regression test. Do we need OnExercise event? Not sure.
6. Tested end-to-end Ray's current code (covered call strat) to see short option legs expire worthless, and stats updated.
Martin-Molinero