github-featured/quantconnect--lean
2
0
Fork 0
Code Issues Pull Requests Deployments Models Agent Notes Packages Projects Releases Wiki Activity
11,089 Commits 16 Branches 4,269 Tags
aaba566954e995053eb97656b05e06a3984fc9fb
Commit Graph

4 Commits

Author SHA1 Message Date
Alexandre Catarino 58793acae8 Removes Assets that Are Not Invested and Not Tradable From Capacity Calculations (#5515)
Build & Test Lean / build (push) Has been cancelled
* 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>
 2021-05-13 20:25:19 -03:00
Alexandre Catarino 2b0fd2e607 Updates SPY Market Data (#5493) 
* Fixes Double to Decimal Cast in GetAnnualPerformance

`GetAnnualPerformance` raises an exception if the `AnnualPerformance` calculation returns a double that cannot be cast to decimal (smaller than `decimal.MinValue` or bigger than `decimal.MaxValue`).
See `ProbabilisticSharpeRatio` where the same solution was applied.

* Updates SPY Market Data

SPY is a key asset since it is the default benchmark, and any change can lead to different `Alpha` and `Beta`

* Updates Unit Tests to Reflect Data Update

* Updates Regression Tests to Reflect Data Update I

Most of the regression tests change because of updated data (market and factors) of SPY (default benchmark) while the total trade remain the same.

* Updates Regression Tests to Reflect Data Update II

The following regression tests were changed to adapt to adjusted prices and keep the total trades:
- `BacktestingBrokerageRegressionAlgorithm`
- `LimitIfTouchedRegressionAlgorithm`
- `PortfolioRebalanceOnCustomFuncRegressionAlgorithm`
- `SetAccountCurrencySecurityMarginModelRegressionAlgorithm`
- `StopLossOnOrderEventRegressionAlgorithm`
- `TimeInForceAlgorithm`

The following regression tests have more trades since adjusted prices allowed more 1-2 shares trades that were rounded down to zero before:
- `FreePortfolioValueRegressionAlgorithm` 2 -> 3
- `PortfolioRebalanceOnDateRulesRegressionAlgorithm` 291 -> 298
- `TrailingStopRiskFrameworkAlgorithm` 5 -> 7

Especial cases:
- `AutoRegressiveIntegratedMovingAverageRegressionAlgorithm` 65 -> 52
 - ARIMA model sensibility
- `BlackLittermanPortfolioOptimizationFrameworkAlgorithm` 18 -> 19
 - BLM model sensibility
- `ExtendedMarketHoursHistoryRegressionAlgorithm` 20 -> 18
 - Less minute bars before market opens

* Addresses Peer-Review

Fix `BacktestingBrokerageRegressionAlgorithm` to use `CalculateOrderQuantity` and round down `quantity` to an even number to pass a value assertion and update the expected value from 50 to 52.
The quantity calculated by `CalculateOrderQuantity` has changed from 50 to 53 because of factor file update.
 2021-04-19 13:31:01 -03:00
Colton Sellers 20910ca2dc Broken Regressions Fixes (#5421) 
* Remove regression references to non-existant Python versions

* Adjust regressions estimated capacity not adjusted by #5389

* Adjusts regression algorithms so that they pass (Index/Index Options)

  * Changes start/end date on BasicTemplateIndexAlgorithm
  * Changes option pricing model to BlackScholes in
    IndexOptionCallITMGreeksExpiryRegressionAlgorithm

    - The root cause of why there are no greeks at times for these
      options was identified. It is most likely due to the underlying's
      VolatilityModel not having had enough data to be "warmed up",
      which means it will return a standard deviation of zero to the
      option pricing model, rendering most metrics as NaN.

* Adds missing index/index options regression algorithms

  - Regression algorithms are now 1-1 between C# and Python for
    Indexes/Index options. All regression tests are now passing

* Fixes broken BasicTemplateIndex regression algorithm

  * Previously traded SPY, but because we have no SPY data in Lean
    master, I instead opted for index options, since data for those
    dates is already included

* Deal with weekend for breaking test case

* Adjust DefaultEndDate test to always pass

* Check todays date for open

Co-authored-by: Gerardo Salazar <gsalaz9800@gmail.com>
 2021-03-29 13:35:03 -07:00
Gerardo Salazar 4c085ff853 Adds Indexes and Index Options asset types (Backtesting/Live, IB only) (#5379) 
* Add support for Index SecurityType  🚀 (#5364)

* Add Index SecurityType  🚀

* Extend SecurityIdentifier & Lean Data classes with Index support

* Add Index SecurityType  🚀

* Extend SecurityIdentifier & Lean Data classes with Index support

* Fixes

* Added index cross basic template demonstration

* WIP: Prototype index security type for LEAN as non tradable asset

* Re-adds Index entries to MHDB after rebase

* First steps to getting Index Options running

  * Looks at any instance where we pattern match for an option type
    and replaces it with a generic call to `.IsOption()` for easier
    extensibility in the future for additional option security types

  * Adds IndexOption security and misc. classes

  * Misc. changes, mainly related to any sort of special casing of
    equity options and made index options take the same path

* Enables index options data for backtesting

  * Adds new index options market hours to MHDB
  * Misc. bug fixes for index options
  * WIP: add live support for index options and indexes
  * Use OptionMarginModel for Index Options because they both use the
    same calculation for margin requirements

* Fixes contract not found errors on SPX index options and SPX index in IB

  * Turns out index options' last trading day is the day before expiry,
    which IB was expecting the last trading day.

* Add index option test cases (temp)

* LiveOptionChainProvider fix, use Symbol vs. ticker

  * Description updates to regression algorithms

* Fixes bug in live trading for indexes and index options

  * Adds overridable minimum price variation symbol property
  * Adds variable sized minimum price variation for index options
  * Adjusts symbol properties for index options
  * Misc. bug fixes

* Fixes option assignment simulation for European options

  * Updates index options regression algorithms (WIP)

* Fixes bug where index option exercise would trade index underlying

  * Fixes bugs where SecurityType.Index was getting flagged as tradable

* Regression algorithms updates and addresses review

  * Misc. style fixes and refactoring + a few bug fixes
  * Updates regression algorithms to run without runtime errors
  * Adds data for regression algos

* Sets DefaultOptionStyle on Canonical and support index options

* Update regression algos statistics

* Removes bad line in regression algorithm causing build to fail

* Minor tweaks

* Address review add comment about quoteBar parse scale

Co-authored-by: Balamurali Pandranki <balamurali@live.com>
Co-authored-by: Jared Broad <jaredbroad@gmail.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
 2021-03-12 20:46:23 -03:00