Since we were not rounding off feeToPriceRatio, we were reducing order quantity more than needed in limit cases.
Fixes RegressionTests that were wrongly modified.
In quantity calculation, we didn't reduce the order quantity by decimal numbers, leading to a big step when dealing with crypto-currencies. For example, from 2.3456 it would drop to 1.3456 where values in between should've been tested.
This change will make it easier to add other planned brokerage features:
for Interactive Brokers, besides Financial Advisor support, we will be adding IB algorithmic orders soon (PR #1203).
The properties in the default instance can be modified by users duing Initialize.
These properties are always copied into all new orders submitted with any method available (Order, SetHoldings, etc.)
The algorithm had two issues:
1. the LINQ query for contract selection was not including the option right (Put or Call)
2. the algorithm was submitting two extra orders at the end of the day (when market closed)
A helper method was also added in QCAlgorithm to determine if the market is open for a given symbol at the current time.
- Added OptionStrategies class with 10 popular option strats
- Defined OptionStrategy class
- Added support for trading of option strategies in QCAlgorithm.Trading.cs
- Added several estimator interfaces to introduce QL pricing models extention points: IDividendYieldEstimator, IRiskFreeRateEstimator, IUnderlyingVolatilityEstimator provided default implementation (flat term structure)
- Added QLOptionPriceModel class that contains meat of the calculations
- Added OptionPriceModels class that exposes 12 popular option pricing models to the user: those include Black Scholes, Barone-Adesi Whaley, Bjerksund Stensland, Crank Nicolson FD, Binomial Trees and more.
- Modified Greeks class to support lazy evaluation and introduce IV
- Partially tested on live data and trading (IQFeed/IB) and backtests. Need more data for tests.
- Updated IB fee model to support option exercise
- Added support for splits for options. Not tested on real data yet.
- Added option exercise functionality for long positions. Unit Tests. Not tested on real data yet.
- Added option assignment functionality for short positions. Assignment event. Unit Tests.
- Added basic option assignment simulator for backtesting brokerage. Simulates assignments for deep ITM short positions close to expiration. Unit Tests.
This change should fix insufficient margin errors in many situations, especially when reversing trade direction and/or when using various order fee structures
This method wasn't taking into account contract multipler or conversion rates, now uses a 'unitPrice' instead of the price of the security for the iteration
AlexCatarino