cce8945fe859d367cc88eefbfcb8961eee438726
18 Commits
| Author | SHA1 | Message | Date | |
|---|---|---|---|---|
 Ricardo Andrés Marino Rojas
|
cce8945fe8 |
Api Clean up, Documentation and Standarization part two (#7964)
API Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* Add improvements * Add improvments and unit tests * Add XML comments * Nit changes * Add unit tests for OrderJsonConverter * Improve unit tests * Address requested changes * Fix bugs * Fix bugs * Fix bugs and self-review * Fix bugs * Address requested changes * Fix unit test bug * Fix bugs * Improve unit tests * Solve bugs |
||
|
Ricardo Andrés Marino Rojas
|
ead2efe6b9 |
Add Starting and Ending KPI's (#7811)
* First draft of the solution * Add missing changes * Remove the new KPI's from report * Fix bugs * nit change * Add improvements * Fix regression tests * Solve bugs in the regression algos * Fix regression tests bugs * Expand unit tests and add minor changes |
||
|
Martin-Molinero
|
feff802479 |
Standardize trade count statistic (#7827)
* Standarize trade count statistic * Rename 'Total Trades' to 'Total Orders' |
||
|
Derek Melchin
|
eefa74baaa |
Add Sortino ratio to statistics and report (#6698)
Regression Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* 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 --------- Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com> |
||
|
Jhonathan Abreu
|
314a334e88 |
Price adjustment mode Order property (#7582)
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* 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 |
||
|
Ricardo Andrés Marino Rojas
|
b4bad69772 |
Dynamically Adjust Risk Free Rate of Return (#7489)
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* First attempt to solve the bug * Enhance implementation * Enhance implementation * Simplify implementation * Rebase regression stats * Solve unit test bugs * Review * Update Rolling.Sharpe() method * Update regression stats * Update unit tests * Update missing regression algos * Update Rolling.cs --------- Co-authored-by: Martin Molinero <martin.molinero1@gmail.com> Co-authored-by: Martin-Molinero <martin@quantconnect.com> |
||
|
Martin-Molinero
|
bbbab6d9a8 |
Refactor alpha statistics phase I (#7055)
Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Refactor alpha statistics - Refactor alpha statistics, cleaning up and simplifying no longer required calculations and scoring - Adding new InsightEvaluator abstraction, adding C# & PY regression algorithms * Optimization backtest result json converter update * Address reviews - Remove IAlphaHandler, move insight storage responsability to IResultHandler and centralizing insight collection on the QCAlgorithm.Insights to be reused by the framework models - Fix portfolio turnover single day backtests and duplicate time sampling handling. Updating regression algorithms * Add InsightCollection tests and minor fixes * Adding more & improved tests |
||
|
Martin-Molinero
|
c4433098c3 |
Refactor Framework Statistics (#7041)
* Refactor framework statistics * Further insight chart cleanup |
||
|
Jhonathan Abreu
|
4415468d96 |
Update CME futures market hours (#6607)
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Update CME futures market hours * Update regression algorithms stats * Update regression algorithms stats * Update expected values in unit tests * Additional mhdb updates * Update mhdb |
||
|
Jhonathan Abreu
|
8e35155c40 |
Fix IB futures commission fees (#6557)
Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Adapted futures commission fees for IB * Unit tests * Some cleanup * Fix exchange fees * Update regression algorithms stats * Update unit tests |
||
|
Jhonathan Abreu
|
539011274c |
Support extended market hours for futures (#6522)
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Support extended market hours in AddFuture() * Support extended market hours in AddFutureContract() * Add C# regression algorithm * Add Python regression algorithm * Add regression algorithm for future contracts * Add regression algorithm checking market hour ranges * Fixed future regression algorithms to use extended market hours * Fixed future regression algorithms to use extended market hours * Fixed future regression algorithms to use extended market hours * Fixed AddFutureOptionContractFromFutureChainRegressionAlgorithm to use extended market hours * Update future market hours to include extended in market hours database * Fixed AddFutureOptionContractDataStreamingRegressionAlgorithm to use extended market hours * Fixed AddFutureOptionContractFromFutureChainRegressionAlgorithm to use extended market hours * Fixed AddFutureContractWithContinuousRegressionAlgorithm to use extended market hours * Fixed BasicTemplateContinuousFutureAlgorithm to use extended market hours * Fixed BasicTemplateFuturesAlgorithm to use extended market hours * Fix BasicTemplateFuturesDailyAlgorithm to use extended market hours * Fixed BasicTemplateFuturesFrameworkAlgorithm to use extended market hours * Fixed BasicTemplateFuturesHistoryAlgorithm to use extended market hours * Fixed ContinuousBackMonthRawFutureRegressionAlgorithm to use extended market hours * Fixed ContinuousFutureBackMonthRegressionAlgorithm to use extended market hours * Fixed ContinuousFutureHistoryRegressionAlgorithm to use extended market hours * Fixed ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm to use extended market hours * Fixed ContinuousFutureRegressionAlgorithm to use extended market hours * Fixed DelistedFutureLiquidateRegressionAlgorithm to use extended market hours * Fixed AutomaticIndicatorWarmupDataTypeRegressionAlgorithm to use extended market hours * Fixed ConsolidateRegressionAlgorithm to use extended market hours * Fixed DelistingFutureOptionRegressionAlgorithm to use extended market hours * Fixed EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm to use extended market hours * Fixed FutureContractsExtendedMarketHoursRegressionAlgorithm to use extended market hours * Fixed FutureMarketOpenAndCloseRegressionAlgorithm to use extended market hours * Fixed FutureMarketOpenConsolidatorRegressionAlgorithm to use extended market hours * Fixed FutureOptionBuySellCallIntradayRegressionAlgorithm to use extended market hours * Fixed FutureOptionCallITMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionCallITMGreeksExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionCallOTMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionDailyRegressionAlgorithm to use extended market hours * Fixed FutureOptionHourlyRegressionAlgorithm to use extended market hours * Fixed FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm to use extended market hours * Fixed FutureOptionPutITMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionPutOTMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionShortCallITMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionShortCallOTMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionShortPutITMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionShortPutOTMExpiryRegressionAlgorithm to use extended market hours * Fixed FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm to use extended market hours * Fixed FuturesExpiredContractRegression to use extended market hours * Fixed FutureSharingTickerRegressionAlgorithm to use extended market hours * Fixed HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm to use extended market hours * Fixed HistoryWithDifferentDataMappingModeRegressionAlgorithm to use extended market hours * Fixed HistoryWithDifferentDataNormalizationModeRegressionAlgorithm to use extended market hours * Fixed LimitOrdersAreFilledAfterHoursForFuturesRegressionAlgorithm to use extended market hours * Fixed OpenInterestFuturesRegressionAlgorithm to use extended market hours * Fixed RegisterIndicatorRegressionAlgorithm to use extended market hours * Fixed SetHoldingsFutureRegressionAlgorithm to use extended market hours * Fixed WarmupFutureRegressionAlgorithm to use extended market hours * Fixed AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm to use extended market hours * Fixed AlgorithmHistoryTests to use extended market hours for futures * Fixed AlgorithmTradingTests to use extended market hours for futures * Fixed BrokerageSetupHandlerTests to use extended market hours for futures * Fixed TimeRulesTests to use extended market hours for futures * Fixed FutureOptionMarginBuyingPowerModelTests to use extended market hours for futures * Fixed FutureMarginBuyingPowerModelTests to use extended market hours for futures * Fixed FileSystemDataFeedTests to use extended market hours for futures * Fixed QuantBookHistoryTests to use extended market hours for futures * Split BasicTemplateContinuousFutureAlgorithm to have an extended market version * Fixed FutureMarketOpenAndCloseRegressionAlgorithm to use extended market hours * Split BasicTemplateFuturesAlgorithm to have an extended market version * Split BasicTemplateFuturesAlgorithm to have an extended market version * Split BasicTemplateFuturesFrameworkAlgorithm to have an extended market version * Split BasicTemplateFuturesHistoryAlgorithm to have an extended market version * Revert AddFutureContractWithContinuousRegressionAlgorithm * Revert AddFutureOptionContractDataStreamingRegressionAlgorithm and added data * Revert AddFutureOptionContractFromFutureChainRegressionAlgorithm * Revert AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm * Revert ConsolidateRegressionAlgorithm * Revert Algorithm.CSharp/ContinuousBackMonthRawFutureRegressionAlgorithm.cs * Revert ContinuousFutureBackMonthRegressionAlgorithm * Revert ContinuousFutureHistoryRegressionAlgorithm * Revert ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm * Revert ContinuousFutureRegressionAlgorithm * Revert Algorithm.CSharp/DelistedFutureLiquidateRegressionAlgorithm.cs * Revert EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm * Split FutureMarketOpenAndCloseRegressionAlgorithm to have an extended market version * Split FutureMarketOpenConsolidatorRegressionAlgorithm to have an extended market version * Revert FutureOptionBuySellCallIntradayRegressionAlgorithm * Revert FutureOptionCallITMExpiryRegressionAlgorithm * Revert FutureOptionDailyRegressionAlgorithm * Revert FutureOptionPutITMExpiryRegressionAlgorithm * Revert FutureSharingTickerRegressionAlgorithm * Revert FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm * Revert FuturesExpiredContractRegression * Revert HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm * Revert HistoryWithDifferentDataMappingModeRegressionAlgorithm * Revert HistoryWithDifferentDataNormalizationModeRegressionAlgorithm * Revert OpenInterestFuturesRegressionAlgorithm * Revert RegisterIndicatorRegressionAlgorithm * Revert SetHoldingsFutureRegressionAlgorithm * Revert WarmupFutureRegressionAlgorithm * Revert AutomaticIndicatorWarmupDataTypeRegressionAlgorithm * Some cleanup * Address changes request * Address changes request * Add more Class III Milk data to fix DelistingFutureOptionDailyRegressionAlgorithm |
||
|
Ronit Jain
|
d1ff914e5a |
fix docs (#6285)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
|
||
|
Ronit Jain
|
15066ae5e1 |
Feature improve regression tests (#6245)
* add data count properties * 'add history count property * assert data counts * update missing override * consider override/virtual cases * implement data count * add message handler for regression tests * use regression test message handler * set algorithm manager for regression test message handler * update data count * check if stats are present, check if algo manager is not null * update * add c# algo * make same as c# algo * use new line * logic shifted to RegressionTestMessageHandler * cleanup * auto cleanup * skip non deterministic data count * change data count * use inheritance * improve stats * update couht * add sma indicator to c# and customSMA to python * call base method before executing further * skip test * revert to original * add duplicate sma * skip regression test |
||
|
Colton Sellers
|
d2d99b1f10 |
Algorithm Sampling and Statistics Fixes (#5936)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Implement scheduled event sampling solution * Use UTC time, only update daily portfolio value once a day * For daily resolutions sample chart always * Cleanup * Drop resample daily all together * Force final sample * Regression updates * FIx LiveResultHandler to update portfolio and benchmark values outside of sampling event * Name the daily sampling event * Address review pt 1 * Drop force and use reference wrapper * Adjust tests * Fix warning for Benchmark Timezone Misalignment and also add test * Fix for daily resolution orders and test adjustments * Also warn on universe settings with daily resolution * Update missed regression * Fix reference wrapper use * Update regression after rebase * Add values back in for Daylight Algo * Have statistics builder skip day 1 performance * Regression adjustments * Test adjustments * Update regression unit test * Adjust some regressions starts to show performance values * Add hourly algorithm for beta comparison * Address missing Python regression changes * Remove null comment |
||
|
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> |
||
|
Gerardo Salazar
|
8c6aa6a3b3 |
Refactors Capacity Estimation and moves estimation to main event loop (#5351)
* Adds CapacityEstimate and SymbolCapacity
The capacity estimation has been moved from
the report generator and wired directly into
Lean via the ResultHandler. In addition,
the capacity estimation strategy has changed
to account for errors in the previous iteration
of the capacity estimation.
Many many thanks to Jared for being much of the
mastermind behind this project. It would have
been harder to complete without him to bounce ideas
off of.
* Moves old tests to regression algorithms
* Adds Estimated Capacity statistic
* Removes old capacity estimation tests
Final report capacity estimation. Pushing to save state
* Fixes bugs, cleans up code and adds comments
* Adds forced sampling to Capacity Estimation
* Misc. bug fixes for daily data
* Updates capacity test cases' Estimated Strategy Capacity statistic
* Adds Capacity Estimate to all regression algorithms
* Removes Report's StrategyCapacity class and fixes bug in tests
* Adds null check in BacktestingResultHandler to fix
BacktestingTransactionHandler failing tests
* Deletes old capacity estimation classes
* Retrieve capacity estimates from backtest statistics results
instead of calculating at runtime
* Make $0.00 capacity return as "-" and Result = 0 in report
* Adds capacity to runtime statistics
* Converts capacity to number denoted by financial figures in RuntimeStats
* Addresses review: code cleanup for Capacity and adds comments to regression tests
|
||
|
Gerardo Salazar
|
e2964dd4b1 |
Make OrderListHash deterministic by using MD5 as its underlying hash function (#5276)
* Update OrderListHash to use MD5 as hash instead of hash code * Update regression algorithm OrderListHash statistic * Use full MD5 hash as OrderListHash, update regression statistic * Fixes failing regression tests |
||
|
Gerardo Salazar
|
eb1181f5f7 |
Adds Futures Options Asset Class w/ IB Support (#4928)
* Adds preliminary universe selection for Future Options
* Fixes scaling issues with Future Options
* Fixes scaling multiplying by 10000x instead of using _scaleFactor
* Fixes scaling for Tick
* Revert changes to Tick since it divides the scaling factor
* Changes stale method name to new method name after rebase
* Fixes selection bugs, adds new methods, and adds unit tests
* Fixes bug where Equity Symbol was created for an underlying
non-equity Symbol, resulting in equity data trying to be loaded
* Adds unit tests covering changes to Tick, QuoteBar, TradeBar and
LeanData
* Adds regression test for AddUniverseOption filter contract selection
for Future Options
* Addresses review - modifies the AddFutureOption signature
* Adds new AddUniverseOptions method overload
* Removes and adds a new unit test
* Misc. modifications to account for new changes
* Fixes bug where futures were loaded using default SID Date
* Refactors and removes unnecessary work
* Fixes regression algorithm, which previously made no trades
* Adds future option data
* Adds the corresponding underlying data, in this case, futures data
to enable usage of future options data
* Replaces data with new data (ES18Z20)
* Improves Future chain filtering and updates regression stats
* Add AddFutureOptionContract API
* Expands regression and unit tests to test in finer detail
* Adds Python regression algorithms for AddFutureOption[Contract] methods
* Adds new unit test for BacktestingOptionChainProvider
* Fixes bug with BacktesingOptionChainProvider where we
attempted to load the Trades option chain first, resulting
in breakage of backwards compatibility and limitation of the
option chain.
* Adds new regression algorithms (Py) to Algorithm.Python project
* Adds FutureOptionMarginBuyingPowerModel
* Modifies code paths used to select margin model
* Adds related unit tests for margin model
* Fixes issue with unit test and MHDB/SPDB lookup for Future Options
* Preliminary regression algorithm testing ITM call/put option buying
* Fixes bug where fee model used did not find non-US market
options fee model. We now use the futures fee model for future
options because IB charges the same commissions per contract
between futures and futures options
* Adds proper regression algorithm for ITM future options expiration
* Pushing broken algorithm for review
* Currently, algorithm does not fill forward, causing
a single future option to not get exercised when it is delisted.
* Adds FutureOptionPutITMExpiryRegressionAlgorithm
* Improves existing regression algorithm for call side
* Fixes bug in existing regression algorithm
* Adds AAPL daily data to advance enumerator for ^^^ fix
* Adds additional future option regression algorithms
* Adds Buy OTM expiration regression algorithms
* Adds Sell ITM/OTM expiration regression algorithms
* Adds missing Python regression algorithms
* Adds remaining Python regression algorithms and fixes issues
* Fixes naming issues and statistics
* Adds short option OTM regression algorithms (Py)
* Add license header and class comments to python algorithms
* Cleans up comments and docstrings
* Create Buy/Sell call intraday regression algo
* Redirects future options symbol properties to futures symbol properties
* Asserts exercise/assignment price and updates stats in regression algos
* Adds new unit test covering changes to SecurityService
* Adds comments and fixes failing test
* Partially fixes future option mis-calculated profit/loss
* Adjusts portfolio model to calculate FOP as a no upfront pay asset class
* Updates regression algorithm statistics
* Begin IB FOP support
* Initial support for FOP IB data streaming, live í¾
* Adds additional functionality to LiveOptionChainProvider
- Allows querying CME API to retrieve option chains for CME products
- Ultimately, it's also the groundwork for the CME
LiveFutureChainProvider
* Edits IDataQueueUniverseProvider interface to provide greater
control to implementors of it
* Misc. bug fixes required to get FOP data streaming through IB
* Adds comments, adds missing rategate call, and cleans up code
* Force exchange for FOP and Futures when no exchange is provided
* Fixes bug with Portfolio modeling across all asset classes
* Adds LiveOptionChainProvider tests for Future Options
* IB brokerage option symbol bug fixes and improvements
* Fixes contract multiplier lookup bug
* Fixes issue where we attempted to subscribe to IB data feed with canonical security
* Adds ES MHDB entry
* Reverts portfolio modeling changes for Futures Options
* Since IB eats into our account's cash balance when
a new FOP contract is purchased, we must model by applying funds
to our cash whenever a new purchase/sell occurs.
If we choose to model FOPs exactly as we do with futures, we
will end up with an invalid TotalPortfolioValue on algorithm
restart. By all means and purposes, FOPs are modeled exactly
the same as equity options with respect to the portfolio.
* Adds comments clarifying portfolio modeling and clarifies
existing portfolio modeling comments with additional context.
* Fixes IB symbol lookup for future options
* Fixes LiveOptionChainProvider looping 5 times per option chain
request, even on success
* Sets OptionChainedUniverseSelectionModel to produce a canonical
future/future option/option Symbol to avoid creating two Symbols
* Adds GLOBEX future option symbol mapping from future -> fop
* Fixes LiveOptionChainProvider loading wrong contract option chains
* Fixes loading of futures options ZIP files when backtesting
* Adds a string -> decimal JSON converter
* Additional fixes/refactoring to the LiveOptionChainProvider
* Adds tests for changes to Symbol and LeanData
* Reverts changes to IB-symbol-map
* Fixes Value for mapped future options tickers
* Fixes Symbol test
* Changes path of future options to future's expiry date
* Extra changes made to remove scaling from writing CSV
* Added method to map from FOP Globex -> FUT Globex
* Fixes MOO and MOC orders for future options
* Note: this order type might not be supported by IB or CME.
* Bug fixes and updates unit tests
* Update regression tests and data format
* Rebase changes
* 1. Multiple bug fixes for LiveOptionChainProvider, reverts IQFeed changes
2. Address review (partial): Code reuse and cleanup
1.
* Modifies check in
`AddFutureOptionShort(Call|Put)ITMExpiryRegressionAlgorithm`
to ensure no buys have negative quantity
* Code reuse changes in IB brokerage
* Bug fix in IB brokerage where we assigned the FOP expiry
as the futures expiry (requires verification)
* Doc changes and adds missing summaries/license banners
* Disposes of HTTP client resources in LiveOptionChainProvider
* Renames classes and adds FutureOption folder in Common/Securities
2.
* We revert back to the quotes API for the option chain,
since the settlement API sometimes had missing strikes.
* Fixes future option expiry being set as future's expiry
in LiveOptionChainProvider
* Fixes bug where wrong option chain was selected because of bad
expiry lookup in the futures expiries returned from CME
* Fixes multiple looping bug in LiveOptionChainProvider
* Adds strike price scaling for LiveOptionChainProvider
* Reverts IQFeed changes and simplifies interface upgrade changes
Some additional challenges we'll have to solve as part of FOPs:
- The `OptionSymbol.IsStandard` method makes the assumption that
weeklies contracts follow the pattern equities follows, which
does not apply to Futures Options
- The Subscription created in:
`OptionChainUniverseSubscriptionEnumeratorFactory`
...adds a Trade config. For illiquid contracts, this
will delay universe selection for the option symbol
until we get a trade. However, if we add a quote config,
the data would instead be loaded based on the first quote
we received from the brokerage.
But since we're currently using a trade config, illiquid
contracts won't start streaming data until it receives a trade.
NOTE: this commit is a WIP to addressing the reviews received in the PR,
but has been committed early for efficiency in the review process
* Fixes regression algorithms and misc. bugs
* Fixes map file lookup for non-equity options
* Adds extra assertion at end of algorithm to ensure no holdings are
left when the algorithm ends.
* Adds FutureOptionSymbol, allowing all contracts through as standard
* Changes SPDB to allow defaulting to underlying future symbol
properties if no entry is found for the given FOP
* Fixes calls to SPDB in SecurityService, IBBrokerage
* Reverts AAPL daily ZIP file to fix majority of regression algorithms
* Adds FOPs symbol properties
* Fixes existing symbol properties for a few futures
* Adds tests for changes to Symbol Properties Database
* Removes string SPDB lookup method
* Updates tests and misc callees of previous method
* Updates all regression tests to use data of already expired contracts
* Adds Futures Options Expiry Functions tests
* Adds required futures data for 2020-01-05
* Address review (partial): Expands test coverage and fixes tests
* Set option chain tests parallelism to fixture only
* Fixes broken test for contract month delta for FuturesOptionsExpiryFunctions
* Changes delisting date logic for Futures Options
* Address review: removes duplicate code, misc code fixes
* Bug fix in MarketHoursDatabase.GetDatabaseSymbolKey() where
we would use the underlying's Symbol for lookup in the MHDB
* Adds missing license banner
* Removes Futures Options entries from MHDB
* Adds new tests
* Adds SecurityType.FutureOption
* Converts any underlying comparisons and uses SecurityType directly
instead for FOP specific behavior
* Extra code modifications to acommodate new SecurityType
* Addresses review: fixes order fee bug on exercise
* Additional bug fixes and adding of SecurityType.FutureOption
* Updates regression algorithms OrderListHash
* Fixes various bugs in IB live implementation
* Fixes bug setting the right contract expiration date for FOP
generated by LiveOptionChainProvider
* Adds new function to FuturesOptionsExpiryFunctions
* Clarifies parameter names better in some functions/methods
* Fixes bugs in IB brokerage for FOPs
* Address review - code cleanup and refactor
* Remove MappingEventProvider, SplitEventProvider, and
DividendEventProvider for Futures Options in
CorporateEventEnumeratorFactory
* Address review: Use MHDB key resolver in SPDB
* Makes regression tests pass and adds comment for expiry issue
* Fixes MHDB lookup on string symbol method
* Adds Futures Options greeks regression algorithm (C# only)
* Adds explanitory comment on MHDB FOP lookup
* Remove python from FutureOptionCallITMGreeksExpiryRegressionAlgorithm
|