Commit Graph

5 Commits

Author SHA1 Message Date
Jhonathan Abreu 442dd771a3 Remove dynamic options filter behavior (#7620)
* Make options filter non-dynamic by default and explicitly set

* Deprecate ContractSecurityFilterUniverse.OnlyApplyFilterAtMarketOpen

* Add regression algorithm

* Remove dynamic option chain filter behavior
2023-12-14 10:56:52 -03:00
Derek Melchin eefa74baaa Add Sortino ratio to statistics and report (#6698)
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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

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Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
2023-12-12 21:06:13 -03:00
Jhonathan Abreu 314a334e88 Price adjustment mode Order property (#7582)
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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
2023-11-17 16:09:03 -04:00
Ricardo Andrés Marino Rojas 18e848853d Approximate order price for options when using IB Fee model (#7436)
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* Modify IB Fee model to work without order.Price

* Fix bugs and add unit tests

* Update regression tests

* Solve bug and address changes

* Nit change

* Fix stats
2023-08-23 09:56:23 -03:00
Martin-Molinero e42d84319d Support overriding position group margin requirements (#7286)
* Add support for Null SecurityPositionGroupModel

- Add support for algorithms to set the null security position group
  model which will not group securities together but rather return the
  single group buying power model. Adding regression algorithms

* Add Null Margin python regression & cleanup

- Add python regression algorithm & minor regression algorithms clean up
2023-05-31 19:53:50 -03:00