* Feature combo orders
- Add support for combo orders
* Make fill model wait for all grouped orders to emit fills
* Add ComboFill to model multiple fills for combo orders
* Fill combo limit orders
Add some regression algorithms
* Add fill implementation for combo leg limit orders
* Add IFill as common interface for Fill and ComboFill
* Refactor combo orders removing IGroupOrder interface
Move the group order manager to the base Order class
* Update algorithms
* Handle combo order events atomically
* Refactor brokerage transaction event handler
* Refactor combo fill models
* Process fills in batch
* Combo orders fill model tests
* Combo leg limit orders algorithm
* Regression algorithms cleanup
* Fill and combo fill classes cleanup
* Housekeeping
* Refactor equity fill model to derive from base fill model
* Address review changes request
* Handling the new types of orders in the OrderJsonConverter
* Add regression algorithm to test combo orders update/cancel
* Add regression algorithm to test combo orders update/cancel
* Housekeeping
* Address review changes request
* Minor changes
* Security transaction handler method for setting order request id
* Extend public interface for placing combo orders
* Combo order tickets demo algorithm python version
* Tweaks and updates
* Minor fixes
* Minor changes
* Minor fixes
* Address reviews minor fixes
* Minor fixes
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Allows Market-On-Close Orders Outside Buffer Period
Market-On-Close orders can be submitted before and after the buffer period from 15:45 to 16:00 (Tested with TWS) meaning that we can submit MOC when the market is closed and, consequently, use daily resolution data.
* Adds Regression Test with Extended Market Hours
- Removes `nextMarketClose > Time` condition since it's unnecessary. If the algorithm Time is greater than the close of that day, `nextMarektClose` refers to the next day.
* Updates Unit Test
Updates `OrderQuantityConversionTest` because the MOC orders are submitted. They are placed at 7 pm and invalid before this pull request.
* Updates Summary of new Regression Tests
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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
* Using IV to calculate Greeks, and remove single-step stochastic approximation
* Correct calculation for theta, vega, rho
* Add calculation from Black Calculator and peer review
* Address peer review and added unit test
* Update some tests and correct vega/eho
* Fix Unit Test and Improve Comments
Fixes `IndexOptionCallITMGreeksExpiryRegressionAlgorithm` since `Vega` was really non-zero.
* Fix regression test and add IV calculation
* refactor and bug fixing on peer review
* refactor and bug fixing on peer review
* for rerun test
* add warning on IV estimation not coveraged and edit speed unit test to not exceed 2s per 1000 iteration
* update logging
* update logging and description
* Add default option pricing models and unit tests
* address review
* Added Fed interest rate as risk-free rate with unit tests and set as default for option greeks calculation, added regression algorithms, addressed peer review
* refactor structure of interest rate
* Skip Saturday and Sunday
* regression test fix
* peer review
* Fixes Interest Rate Provider Logic
* Minor tweaks
* Fix start date
* Minor test tweak
* Update interest rates
* Fix unit tests
* Add minor log
Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* docs(VIXDualThrustAlpha): `determine` fixup
Signed-off-by: Ryan Russell <git@ryanrussell.org>
* docs(VixDualThrustAlpha): `unsubscribe` fixup
Signed-off-by: Ryan Russell <git@ryanrussell.org>
Signed-off-by: Ryan Russell <git@ryanrussell.org>
* docs(BasicTemplateIndia): `Prperties` -> `Properties`
Signed-off-by: Ryan Russell <git@ryanrussell.org>
* docs: `Intialization` -> `Initialization`
Signed-off-by: Ryan Russell <git@ryanrussell.org>
Signed-off-by: Ryan Russell <git@ryanrussell.org>
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* Handle non-unique multi-index error for Ticks in data frame creation
* Update unit tests
* Update unit tests and add comments
* Add regression algorithm
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* docs: `excersizing` -> `exercising`
Signed-off-by: Ryan Russell <git@ryanrussell.org>
* docs: fix `exercising for exercising`
Signed-off-by: Ryan Russell <git@ryanrussell.org>
* docs: `migth` -> `might`
Signed-off-by: Ryan Russell <git@ryanrussell.org>
Signed-off-by: Ryan Russell <git@ryanrussell.org>
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* Support extended market hours in AddFuture()
* Support extended market hours in AddFutureContract()
* Add C# regression algorithm
* Add Python regression algorithm
* Add regression algorithm for future contracts
* Add regression algorithm checking market hour ranges
* Fixed future regression algorithms to use extended market hours
* Fixed future regression algorithms to use extended market hours
* Fixed future regression algorithms to use extended market hours
* Fixed AddFutureOptionContractFromFutureChainRegressionAlgorithm to use extended market hours
* Update future market hours to include extended in market hours database
* Fixed AddFutureOptionContractDataStreamingRegressionAlgorithm to use extended market hours
* Fixed AddFutureOptionContractFromFutureChainRegressionAlgorithm to use extended market hours
* Fixed AddFutureContractWithContinuousRegressionAlgorithm to use extended market hours
* Fixed BasicTemplateContinuousFutureAlgorithm to use extended market hours
* Fixed BasicTemplateFuturesAlgorithm to use extended market hours
* Fix BasicTemplateFuturesDailyAlgorithm to use extended market hours
* Fixed BasicTemplateFuturesFrameworkAlgorithm to use extended market hours
* Fixed BasicTemplateFuturesHistoryAlgorithm to use extended market hours
* Fixed ContinuousBackMonthRawFutureRegressionAlgorithm to use extended market hours
* Fixed ContinuousFutureBackMonthRegressionAlgorithm to use extended market hours
* Fixed ContinuousFutureHistoryRegressionAlgorithm to use extended market hours
* Fixed ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm to use extended market hours
* Fixed ContinuousFutureRegressionAlgorithm to use extended market hours
* Fixed DelistedFutureLiquidateRegressionAlgorithm to use extended market hours
* Fixed AutomaticIndicatorWarmupDataTypeRegressionAlgorithm to use extended market hours
* Fixed ConsolidateRegressionAlgorithm to use extended market hours
* Fixed DelistingFutureOptionRegressionAlgorithm to use extended market hours
* Fixed EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm to use extended market hours
* Fixed FutureContractsExtendedMarketHoursRegressionAlgorithm to use extended market hours
* Fixed FutureMarketOpenAndCloseRegressionAlgorithm to use extended market hours
* Fixed FutureMarketOpenConsolidatorRegressionAlgorithm to use extended market hours
* Fixed FutureOptionBuySellCallIntradayRegressionAlgorithm to use extended market hours
* Fixed FutureOptionCallITMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionCallITMGreeksExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionCallOTMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionDailyRegressionAlgorithm to use extended market hours
* Fixed FutureOptionHourlyRegressionAlgorithm to use extended market hours
* Fixed FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm to use extended market hours
* Fixed FutureOptionPutITMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionPutOTMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionShortCallITMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionShortCallOTMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionShortPutITMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionShortPutOTMExpiryRegressionAlgorithm to use extended market hours
* Fixed FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm to use extended market hours
* Fixed FuturesExpiredContractRegression to use extended market hours
* Fixed FutureSharingTickerRegressionAlgorithm to use extended market hours
* Fixed HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm to use extended market hours
* Fixed HistoryWithDifferentDataMappingModeRegressionAlgorithm to use extended market hours
* Fixed HistoryWithDifferentDataNormalizationModeRegressionAlgorithm to use extended market hours
* Fixed LimitOrdersAreFilledAfterHoursForFuturesRegressionAlgorithm to use extended market hours
* Fixed OpenInterestFuturesRegressionAlgorithm to use extended market hours
* Fixed RegisterIndicatorRegressionAlgorithm to use extended market hours
* Fixed SetHoldingsFutureRegressionAlgorithm to use extended market hours
* Fixed WarmupFutureRegressionAlgorithm to use extended market hours
* Fixed AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm to use extended market hours
* Fixed AlgorithmHistoryTests to use extended market hours for futures
* Fixed AlgorithmTradingTests to use extended market hours for futures
* Fixed BrokerageSetupHandlerTests to use extended market hours for futures
* Fixed TimeRulesTests to use extended market hours for futures
* Fixed FutureOptionMarginBuyingPowerModelTests to use extended market hours for futures
* Fixed FutureMarginBuyingPowerModelTests to use extended market hours for futures
* Fixed FileSystemDataFeedTests to use extended market hours for futures
* Fixed QuantBookHistoryTests to use extended market hours for futures
* Split BasicTemplateContinuousFutureAlgorithm to have an extended market version
* Fixed FutureMarketOpenAndCloseRegressionAlgorithm to use extended market hours
* Split BasicTemplateFuturesAlgorithm to have an extended market version
* Split BasicTemplateFuturesAlgorithm to have an extended market version
* Split BasicTemplateFuturesFrameworkAlgorithm to have an extended market version
* Split BasicTemplateFuturesHistoryAlgorithm to have an extended market version
* Revert AddFutureContractWithContinuousRegressionAlgorithm
* Revert AddFutureOptionContractDataStreamingRegressionAlgorithm and added data
* Revert AddFutureOptionContractFromFutureChainRegressionAlgorithm
* Revert AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm
* Revert ConsolidateRegressionAlgorithm
* Revert Algorithm.CSharp/ContinuousBackMonthRawFutureRegressionAlgorithm.cs
* Revert ContinuousFutureBackMonthRegressionAlgorithm
* Revert ContinuousFutureHistoryRegressionAlgorithm
* Revert ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm
* Revert ContinuousFutureRegressionAlgorithm
* Revert Algorithm.CSharp/DelistedFutureLiquidateRegressionAlgorithm.cs
* Revert EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm
* Split FutureMarketOpenAndCloseRegressionAlgorithm to have an extended market version
* Split FutureMarketOpenConsolidatorRegressionAlgorithm to have an extended market version
* Revert FutureOptionBuySellCallIntradayRegressionAlgorithm
* Revert FutureOptionCallITMExpiryRegressionAlgorithm
* Revert FutureOptionDailyRegressionAlgorithm
* Revert FutureOptionPutITMExpiryRegressionAlgorithm
* Revert FutureSharingTickerRegressionAlgorithm
* Revert FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm
* Revert FuturesExpiredContractRegression
* Revert HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm
* Revert HistoryWithDifferentDataMappingModeRegressionAlgorithm
* Revert HistoryWithDifferentDataNormalizationModeRegressionAlgorithm
* Revert OpenInterestFuturesRegressionAlgorithm
* Revert RegisterIndicatorRegressionAlgorithm
* Revert SetHoldingsFutureRegressionAlgorithm
* Revert WarmupFutureRegressionAlgorithm
* Revert AutomaticIndicatorWarmupDataTypeRegressionAlgorithm
* Some cleanup
* Address changes request
* Address changes request
* Add more Class III Milk data to fix DelistingFutureOptionDailyRegressionAlgorithm
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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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* MRP
* Fix bug
* Rename
* Provide virtual `GetPriceRelative` function to override for any variants in future
* SymbolData class within model
* Address peer review
* fix bug
* revise unit test and fix bug in python model
* revise unit test and fix bug in model
* Revise regression statistics
* Revise regression statistics
* Revise regression statistics
* Revise regression statistics
* Revise regression statistics
* Address peer review
* Updated unit tests according to peer review
* Address peer review
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* Add performance gh action
- Add new performance github action, running python and csharp benchmark
algorithms
- Adjusting algorithms length so they are not too long or too short
* Checkout master branch benchmark reference
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* Remove suppport for market orders and MOO orders for futures
* Add regression algorithm to assert that limit orders are filled on after hours for futures
* Remove suppport for market orders and MOO orders for futures in DefaultBrokerageModel
* Update regression algorithms stats
* Fixed regression algorithm and clean up
* Add unit tests
* Fix regression algorithms
* Address changes request
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* Respect warmup resolution given
- The data feed will respect the warmup resolution given and override
the resolution used by the algorithm when adding a subscription.
Updating regression algorithm to keep previous statistics. Adding new
regression algorithm asserting the desired behavior
* Testing improvements
- Add more unit tests and regresion test
- Add missing data for crypto
- Fix bug with FFed data crossing after the end time of the warmup
request
* Add more Warmup resolution regression algorithms
- Adding more warmup resolution regression algorithms, using
Settings.WarmupResolution and an option selection case
* Add more warmup regression tests
- Adding more warmup regression tests.
- Will no longer skip universe selection subscriptions from warmup
resolution enforcement. Updating regression algorithms data points
* Fix bug with data rounding
- Fix data rounding bug when warmup resolution is set to a different
value than the original configuration. Updating regression algorithms
to assert the expected behavior
* Address reviews
- Revert regression algorithms changes to use Resolution during warmup.
Updating their stats.
- Adding new regression algorithms asserting the behavior warming up
using a timespan and no warmup resolution
- Fix bug where data used to warmup the 'normal' enumerator will make it
through into the warmup time span. Updating tests
* Address reviews
- Add missing comments, explaning warmup algorithms time span
calculations.
- Revert changes in existing `WarmupOptionTimeSpanRegressionAlgorithm`
to reduce diff to minimum
- Adding new warmup unit tests asseting algorithm warmup start time, for
different combinations of bar count, timespan, resolution
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- Remove thread in charge of sorting and updating the queues weight.
This will be handled by each worker thread instead. Avoid cases where
the work count is so high that the sorting thread in master would not
be able to update all the weights, causing data to be enqueued beyond
the max prefetch limit. Adding benchmark algorithm reproducing issue
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* Add new Python QCAlgorithm.History() method with all parameters and type
* Add regression algorithms
* Using all parameters in History()
* Use private methods to reuse History() code
* Use private methods to reuse History() code
* Add unit tests for QCAlgorithm.Python.History()
* Add unit tests for QCAlgorithm.Python.History()
* Add unit tests for QCAlgorithm.Python.History()
* Add unit tests for QCAlgorithm.Python.History()
* Add unit tests for QCAlgorithm.Python.History()
* Add unit tests for QCAlgorithm.Python.History()
* Asserting history count
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* Period timespan consolidation improvements
- If user is trying to consolidate a period providing data of a bigger
period we will now throw an exception. Adding tests
- If both consolidated and given data share the same period, gently
adjust the consolidator into a data count of 1. Adding tests
- Fixing bug in QuoteBarConsolidator period double accounting. Adding unit tests
* Add Period and Count regression algorithm
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* Add indicator for allowed option styles to QL option price models
* Add and update option price model tests
* Update option price models methods sumary to indicate allowed option styles
* Add regression algorithms for option price models for different option styles
* Update OptionPriceModel regression algorithms to use Lean local data
* Add Python regression algorithms for option price models for different option styles
* Update OptionPriceModel regression algorithms to assert that greeks are valid
* Address changes request
* Address changes request
* Update OptionPriceModel regression algorithms to check both call and put contracts
* Update OptionPriceModel regression algorithms to use correct test data
* Update OptionPriceModel regression algorithms to throw in OnData
* Address changes request
* Update OptionPriceModel regression algorithms to assert greeks are not all zero
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Since there is `UpdateStopPrice`, `UpdateLimitPrice`, `UpdateQuantity` and `UpdateTag` method to make it easier to update the `OrderTicket`, we include `UpdateTriggerPrice` to cover the `LimitIfTouched` case.
Also, updated the docs or the arguments for these methods.
Updates LimitIfTouchedRegressionAlgorithm:
- Adds `UpdateTriggerPrice` call that rounds down the `TriggerPrice`.
Martin-Molinero