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3 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)
Regression Tests / build (push) Has been cancelled
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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 d2f8c73d31 Invalidate option orders during a stock split (#7550) 
* Invalidate option orders during a stock split

* Add unit test

* Minor changes

* Minor comments

* Options orders on split one time warning
 2023-11-01 17:07:04 -03:00