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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>
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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
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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
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* Make maintenance margin zero for long options
* Use OptionIntialMargin in OptionMarginModel
* Add naked call and put strategies unit tests
* Minor fix
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* Account for premium in option strategies margin
* Minor fixes
* Add OptionInitialMargin class to separate strategies margin and premium
* Minor fix
* Minor fix
* Cleanup, docs and other minor changes
* Minor changes
* Minor changes
* Minor changes
* Address peer review
* 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
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* Handle liquidating option position with an option strategy
* Handle liquidating option position with an option strategy
* Minor changes
* Minor fix in default margin model margin call order generation
* Fix PositionGroupBuyingPowerModel quantity for delta calculation
The model was calculation the order size that required a margin equal to
the given delta. This fix makes it so that it calculates the position
group order quantity required to get the given buying power delta,
taking into account the holdings for the existing position group in the portfolio.
* Fix PositionGroupBuyingPowerModel quantity for delta calculation
* Add unit tests
* Add unit tests
* Add unit tests
* Housekeeping
* Housekeeping
* Adapt unit tests and move messages to Messages class
* Improve quantity calculation for target BP loop
- PositionGroup.Quantity is now always positive.
- Added PositionGroupExtensions.Closes method and use it to check if reducing a position in PositionGroupBuyingPowerModel.GetPositionGroupBuyingPower. This is necessary since now a PositionGroup side is always "long" (see first bullet point).
* Improvements
* Improvements and new PositionGroup unit tests
* Unit tests improvements
- HasSufficientBuyingPowerForOrder test cases were completely updated to
make it accurate in terms of Lean's margin calculation.
- BuyingPowerForPositionGroupCalculation test was fixed in order to get
the correct expected result.
* Fixes for failing tests
* Added additional check to OptionStrategyMarginCallEventsAlgorithm
* Improve documentation comments
* Fix option strategies BuyingPowerForPositionGroupCalculation unit test
* Fix PositionGroupBuyingPowerModel.GetPositionGroupBuyingPower
Also address peer review
* Minor changes
* Update unit tests for new inverse strategies
Also fixed PositionGroupExtensions.WithQuantity to resolve inverse
strategy
* Minor fix
* Allow target/delta to go to the opposite direction of the position group
* Housekeeping
* Handle quantity for target/delta BP request for different reference position group
* Revert removal of PositionGroupBuyingPowerParameters.Direction
* Minor changes
* Peer review
* Minor tweaks on the position group buying power model
* Minor fix
Jhonathan Abreu