Commit Graph

4 Commits

Author SHA1 Message Date
Martin-Molinero 6fd1a002fe Adjust index option data timezone (#6970)
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* Fix index option data timezone

- Fix index option data timezone which was 1 hour late than expected

* Update existing index option tests

- Update existing index option tests.
- Disable index option daily resolution support
2023-02-16 17:35:10 -03:00
Jhonathan Abreu 35dfcd73ab Index options MHDB review (#6890)
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* Index options MHDB review

* Update MHDB

* Update regression algorithms stats

* Update regression algorithms stats

* Add index and index options holidays

* Peer review

* Update algorithms stats
2023-02-10 14:37:44 -03:00
Jhonathan Abreu 41a730bc68 OTM option excerise orders improvements (#6767)
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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
2022-12-06 14:30:40 -03:00
Jhonathan Abreu 682b9aa760 Restrict index and cash-settled options exercise in IB brokerage (#6744)
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* Limit exercise in IB brokerage for limit and cash-settled options

* Add regression algorithm

* Assert that index option is automatically exercised in regression algorithm
2022-11-15 11:03:43 -03:00