* Set _lastEmit before emitting, otherwise _workingBar is always null
* Aggregate bars if the data endTime is past lastEmit
* Add unit test
* Address Review
* Clean up unit tests
* Refactor solution to set consistent _lastEmit behaviour
* Add another unit test
* Make fixture non-parallelizable
* Undo last change, and adjust breaking test directly
* Reconcile duplicated code
* Add License header
* CS0219 Fixes: Value assigned, but never used
* CA1507: Use nameof in place of string literals
* CS0108 : Hides Inherited Member; Use new keyword to overwrite formally
* CS0114: Hides inherited member; use override keyword
* CS0168: Variable is declared but never used
* Tests CS1062; using obsolete implicit Symbol -> String; fix via .ToString()
* CS0472: Non Nullable Obj getting Null Checked
* CS0067 Member not used; ignore all cases for future use
* CS00162 : Unreachable code; either removed or ignored for debugging and test cases
* CS0169 Remove non-used fields; ignore those that may be used in future
* CS0414; Field is assigned but never used.
* CS0618; Obsolete properties and members; Only fixes simple ones, rest will have to broken up
* CS0649; Field never assigned too
* CS0659 & CS0661 ; Overwrite operators and equals but not hashcode; I don't really override it but just call base
* Small comment fix
* Cleanup pragma statement
`LiveOptionChainProvider.FindOptionContracts` handles the following data format:
`SPY 2021 03 26 190 000 C P 0 612 360000000`
where both existing `OptionRight.Call` and `OptionRight.Put` are declared in the same line.
* Add support for Index SecurityType 🚀 (#5364)
* Add Index SecurityType 🚀
* Extend SecurityIdentifier & Lean Data classes with Index support
* Add Index SecurityType 🚀
* Extend SecurityIdentifier & Lean Data classes with Index support
* Fixes
* Added index cross basic template demonstration
* WIP: Prototype index security type for LEAN as non tradable asset
* Re-adds Index entries to MHDB after rebase
* First steps to getting Index Options running
* Looks at any instance where we pattern match for an option type
and replaces it with a generic call to `.IsOption()` for easier
extensibility in the future for additional option security types
* Adds IndexOption security and misc. classes
* Misc. changes, mainly related to any sort of special casing of
equity options and made index options take the same path
* Enables index options data for backtesting
* Adds new index options market hours to MHDB
* Misc. bug fixes for index options
* WIP: add live support for index options and indexes
* Use OptionMarginModel for Index Options because they both use the
same calculation for margin requirements
* Fixes contract not found errors on SPX index options and SPX index in IB
* Turns out index options' last trading day is the day before expiry,
which IB was expecting the last trading day.
* Add index option test cases (temp)
* LiveOptionChainProvider fix, use Symbol vs. ticker
* Description updates to regression algorithms
* Fixes bug in live trading for indexes and index options
* Adds overridable minimum price variation symbol property
* Adds variable sized minimum price variation for index options
* Adjusts symbol properties for index options
* Misc. bug fixes
* Fixes option assignment simulation for European options
* Updates index options regression algorithms (WIP)
* Fixes bug where index option exercise would trade index underlying
* Fixes bugs where SecurityType.Index was getting flagged as tradable
* Regression algorithms updates and addresses review
* Misc. style fixes and refactoring + a few bug fixes
* Updates regression algorithms to run without runtime errors
* Adds data for regression algos
* Sets DefaultOptionStyle on Canonical and support index options
* Update regression algos statistics
* Removes bad line in regression algorithm causing build to fail
* Minor tweaks
* Address review add comment about quoteBar parse scale
Co-authored-by: Balamurali Pandranki <balamurali@live.com>
Co-authored-by: Jared Broad <jaredbroad@gmail.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Update to new QC PythonNet
* Update readme
* Remove Python.Runtime config, replaced by env var
* Allow local packages testing in repo
* Address Review
* Add the LocalPackages readme
* Update Jupyter Image
* Update Research ReadMe
* Adds backwards compatibility for MHDB and SPDB for new SecurityTypes
* Skip invalid SecurityTypes in MHDB and SPDB
* One time log invalid SecurityTypes in MHDB/SPDB
* Moves logging of SecurityType into new extension method
* Adds TryParseSecurityType to Extensions
* 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
* Refactor IPrimaryExchangeProvider.GetPrimaryExchange
now it returns a PrimaryExchange instead of a string
* Update MapFilePrimaryExchangeProvider.cs
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Implements wrapper to get the exchange as a single letter representation
Also replace lower 'l' with capital 'L' in condition flags enums. it is a new warning on the compiler and it looks cool :)
* There are cases where the exchange is null or empty, in those cases return null
* Add tests for single character exchange representation
* Update GlobalTest.cs
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Adds LimitIfTouched order.
TODO:
-- Add tests.
-- Add into existing regression algorithms.
-- Refactors (?)
* Fixes
- Remove unrequired space changes
- Fix EquityFillModel min/max limit price fill
- Add TriggerPrice for UpdateOrderRequest.
Quote info used w.r.t. comparing against Limit prices for LIT
FillModel.cs implementation is fixed to use quotes when comparing against set limit prices.
Also changes test implementations to assert which of quotes/trade-bars are being used
Reviewer-suggested fixes
------------
Merge remote-tracking branch 'origin/limiftouched' into limiftouched
Styling
Adds missing null check for quotebar
Styling
Adds missing null check for quotebar
Merge remote-tracking branch 'origin/limiftouched' into limiftouched
High/Low w.r.t. trigger price for determining if TriggerTouched changed to Current price
https://github.com/QuantConnect/Lean/pull/5164/files/0462ad668a5fe65e771122165f36c72d56b92df6#r569832380
fill fixes:
FillModel.cs: Fills exactly at the limit
EquityFillModel.cs: https://www1.interactivebrokers.com/en/index.php?f=608
Equity fill now uses quotebars
Revert - use new constructor which emulates former SubmitOrderRequest
Style changes
Reverts order model to original by means if new constructor
High/Low w.r.t. trigger price for determining if TriggerTouched changed to Current price
https://github.com/QuantConnect/Lean/pull/5164/files/0462ad668a5fe65e771122165f36c72d56b92df6#r569832380
fill fixes:
FillModel.cs: Fills exactly at the limit
EquityFillModel.cs: https://www1.interactivebrokers.com/en/index.php?f=608
Equity fill now uses quotebars
Revert - use new constructor which emulates former SubmitOrderRequest
Style changes
Reverts order model to original by means if new constructor
Merge commit 'bf4c96d2a055ea808fa4293662528c11a89b72c7'
* Suggested style fixes
* Review fixes
-------------------
- Suggested style fixes
- Changes LIT regression to better incorporate order modifications
- TODO: orderlisthash must be fixed
Fixed LIT regression algo
-----------------------
- Includes asserts in OnOrderEvent
* Fix OrderListHash
OrderListHash -> -292689487
* Re-adds quote nullchecks
* EquityFillModelTests fixes asserts
* Reordering FillModel.cs
* Fixes quote logic, adds methods in FillModel.cs
* Refactoring + LIT regression fixes
-- revert unneeded changes
* Fixes list hash
* Rebase -- catch up upstream
* OrderListHash fix
* Various fixes by reviewer
* Final requested changes
* tagged time -> utcinvariant
* Fixes listorderhash
* Time changed to UtcTime.ToString(DateFormat.US, CultureInfo.InvariantCulture)
* Adds Python LimitIfTouchedRegressionAlgorithm
* adds LimitIfTouchedRegressionAlgorithm.py
* adds LimitIfTouchedRegressionAlgorithm.py
* Minor changes to LIT regression algorithms
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* 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
* Add notification targets and events to live packet
- Add notification targets and events to live packet. Adding unit tests
* Add project name to job packet
* Add ShortToString and WebNotification Header
- Adding ShortToString implemnetation of OrderEvent and Insight
- Add Web notification headers
* Add more unit tests
* Revert json lower case fields
* Adjust delisting liquidation time
- Adjust delisting liquidation time to 15 min before market closes.
Adding unit tests. Updating existing.
- Handle `Statistics.CompoundingAnnualPerformance` invalid calculation
to avoid exception.
- AlgorithmManager will not handle delisting events in live trading
- Fix bug where due to a split driven liquidation matching delisting
date a position in the option would remain open. Reproduced by
`BasicTemplateOptionsFrameworkAlgorithm`
* Address review
- Address review add documentation on delisting offset span
* Fix Symbol Alias
- Fix Symbol Alias being wrong in some cases for futures and options
* Add test cases
* Address review
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Add main exchange to map file
minimum minimorum test
* Add MainExchange to MapFilRow IEquatable implementation
Also write CSV line correctly
* Normalize exchanges
Also add small test form MapFileRow
* Exchange name normalization
- Exchange name normalization.
- Tick will protobuf `ExchangeCode` which will set existing `Exchange`
* Include single character exchange code
* Encode exchange as byte, Include exchange name as Enum
* Update MapFileRow.cs to accept a byte instead a string for primary exchange
* Fix issues in encoding exchanges map
* Fix broken MapFile tests
* Rename Main Exchange property in MapFileRow
* Use BATS instead of BATSZ
* Add primary exchange from map file
* Move MapFilePrimaryExchangeProvider to its own file
* Implement Char for primary exchange in map files
* Fix broken tests after implementing char exchange into map file
* Add a new constructor for MapFileRow
it accepts a PrimaryExxchange object as parameter
* Fix broken test
WIP
* Address review
WIP
* Handles unexpected encoded exchanges
* Keep addressing review
* Address review
* Fix broken tests
Make PrimaryExchange as default even if the IPrimaryExchangeProvider is not instantiated
* Revert breaking change.
* Add a check that resolved map file actually have content
The issue that leads to this change was caused by a map file resolved to APC in the CoarseFundamentalTop3Algorithm.
The resolver returns a not-null MapFile, but it is empty.
To my best understand, the MapFile Resolver should return only existing map files in the map_files folder. But the LocalMapFileProvider returned a map file with a permtick that doesn't exist in the file system as CSV.
* Set PrimaryExchange.UNKNOWN as default
* Address review couple minor bugs
- Use SID market instead of USA
- Default ticke exchange is UNKNOWN
* Update map files with latest format and latest info
This include:
- VXX, it was delisted, then VXXB appears and later it chnages from VXXB -> VXX
- AAA delisting and a new listing with ticker AAA
- FOXA ticker changue to TFCFA and later it was delisted
* Update test after updating latest map files
* Fix bug with factor files after updating map files
* Fix bug with factor files after updating map files
and revert statistics in regression tests
* Update OrderHash in regression test
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Added missing early closes for 1999-2008
See GitHub issue for details
* Fix expected Treynor ratio for backtest in test suite
This backtest runs from 2008-10-10 to 2010-10-10 so it is affected by the early close date now recorded on 2008-12-24.
* Creates IShortableProvider interface + interface impls
* This is the foundational work for the addition of the shortable stocks
feature for backtesting and live trading. Note that the QCAlgorithm
API and the backend transaction handling will be implemented
separately.
* temp; work on preorder checks
* improve checks
* tmep
* Enforces ETB checks at BrokerageTransactionHandler
* Adds ETB Shortable Provider to QCAlgorithm and IAlgorithm
* Removes ETB check from PreOrderChecksImpl
* Removes outdated test, new test to come soon for relevant class
* Work in progress commit, pushing for review.
* Adds new regression algorithm (WIP)
* Enhances ShortableProviderOrdersRejectedRegressionAlgorithm
* Adds new methods to QCAlgorithm
* Move IShortableProvider to have BrokerageModel own it
* Comments updates
* Adds new properties to Equity Security for shortable
* Fixes bug where retrieving open order quantities would aggregate the
submitted order quantity rather than the remaining order quantity for
open orders.
* Fixes bug where quantity of zero would result in a
false positive in QCAlgorithm.Shortable(...)
* Code refactoring and comments updates
Co-authored-by: Jared <jaredbroad@gmail.com>
* Migrate to newer CSProj format; build succesful
Rebase onto master
* Maintain binaries directory
* Reinstate FSharp default condition
* Remove reference to packages.config
* Test project fixes
* Remove nuget.config and "Solution Items"
* Remove repetitive assembly info
* Reinstate default compiles and cleanup redundant settings
* Reinstate any specific settings that defaults are unclear for
* Reinstate Framework.nuspec
* Make test internal classes public for composer use; undo assembly change
Rebase onto master part 2
* Address review; restore some settings
* Restore RootNamespace and AssemblyName attributes
* Use NugetPackageRoot instead of NugetPackageFolders
* Reinstate "RestorePackages" setting
* Transfer compilied Python files to launcher and tests bin
* Remove conflicting settings
* Fix WebSocketSharpFork references
* Fix FSharp Core reference
* Upgrade TestPlatform.ObjectModel to 16.8.3, and redirect V11 binding
* Add Mono.Cecil package
* Address review
* Add interface to allow custom security entries for MHDB and SPD
* Simplify adding custom Properties and MarketHours via AddData overload
* Refactor
* Remove AddData and GetDatabaseSymbolKey overloads
* Add unit tests
* Remove AddData overload, for real.
* Nit changes
* Set CustomDataBitcoinAlgorithm back to original
* Add Python and C# Regression
* nit typo
* nit typo actual
* Reset symbol property to default
* Reflect last change to py regression
* Revert "Remove AddData overload, for real."
This reverts commit dc877495c079f17dda1695494ffe36886b1c117e.
* Implement AddData solution fully
* Function nit fix
* Address review
* nit - remove param comment
* Address review
* Adds FuturesOptionsUnderlyingMapper
This adds a mapper for Futures options that have a different
contract month between the FOP and the underlying future, as is
observed in the contracts ZB, ZC, ZS, ZT, ZW, HG, SI, GC.
An example of this is GC (e.g. OGH21 -> GCJ21). Other contracts follow
different rules, which have been included as part of this commit.
* Adds unit tests for FuturesOptionsUnderlyingMapper
* Adds unit and regresssion tests for underlying Futures mapping for FOPs
* Addresses review and adds FuturesListings
* Removes dependency on IFuturesChainProvider in
FuturesOptionsUnderlyingMapper
* Fixes bugs related to FuturesOptionsUnderlyingMapper and incorrect
results
* Modifies misc. code to handle new results correctly from FOPs
underlying mapper
* Makes FOPs underlying mapper static, and makes other methods private
* Adds new tests for FuturesListings
* Addresses review: code cleanup
* Address review: Makes arrays to List in FuturesListing private methods
* Refactors Market Fill Model
Create `GetBidPrice` and `GetAskPrice` methods to request the most suitable price to fill market orders.
Fix unit tests to show that new implementation prevents using non-market data to fill the order.
* Addresses Peer Review …
Modifies EquityTickQuoteAdjustedModeRegressionAlgorithm to reflect changes in the market fill method. The previous implementation only looks for the last tick when it should look for the last tick of quote type, so current implementation is an improvement.
* The test didn't take into account that the contract expiring on
December would mean that there would temporarily be no Dec. FOP
contract. We fix this by looking for the Mar. contract instead
if the december contract has expired.
* added test covering minValue / maxValue issue with JsonRoundingConverter
* change namespaces
* JsonRoundingConverter fix decimal.Min and MaxValues (cannot deserialize)
* remove dependency on 3rd party library
* c# 6 compatible code (remove pattern matching)
* Fixes BacktestResultPacket deserializing
- Serializing decimals as strings to avoid precision loss, since json
convert will use floating point precision. Updating unit tests.
- Fix logging unit test failing to delete file being used.
Co-authored-by: Mark Virchenko <mark.virchenko@calienteam.com>
* Reduce Travis setup verbosity
* Introduce ConsoleErrorLogHandler
* Change Console.WriteLine to Log statements
* Quiet wget
* Route build stubs stdout to null
* Fix Quantbook history test
* Silence stub packages directly
* Use parameterized log-handler for testing
* Rename AssemblyInitialize Setup
* Fix AlgorithmRunner file logging
* Drop all overriden LogHandlers in tests
* Change to OneTimeSetup to maintain LogHandlers
* Permit any ILogHandler to be defined in params
* Fix for AlgorithmRunner Handlers V2
* 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
* initial commit
* run parametrized algorithm with command line parameters
* skeleton: top level structure
* OptimizationNodePacket scheme
* pass parameters as HashSet
* run Lean and read results
* call method on optimization completion
* refactor public interfaces
- close ParameterSet collection; allow only get operations
- explicit method to start LeanOptimizer
* synchronize RunLean method; the result could come in before the backtest id is set in the collections
* another portion of refactoring and interface changes
* comments
* comments & tests for Extremum, Minimization and Maximization classes
* unify optimization paramater values (min, max, step) & mode GridSearch tests
- swap min&max if necessary
- iterate left => right (negate step value if necessary) & provide default step value if step == 0
- no StackOverflow Exception
- parameterSet Id should be global for current generator and retain between steps
- test signle point boundary (min == max)
* BruteForceStrategy tests
* more comments
* Update Optimizer assembly information
- Update Optimizer projects assembly information to match behavior of
the other projects
* Tweaks
- Adding comments
- Replace OnComplete for Ended event
- Replace Abort for Dispose
- ConsoleLeanOptimizer will keep track of running processes
- Each backtest will store results in a separated directory, so they
don't fight for the log.txt file.
- Adding cmdline option for lean to close automatically
- Adding concurrent execution backtest limit
- Console optimizer will start Lean minimized
- Escape spaces in Json path
* remove parameter set generator abstraction layer
we don't need this flexibility now.
* refactor public methods; Step shouldn't be public
* constraints: wip
* define contract
* comparison operators and tests
* specify JsonProperty values
* Move SafeMultiply100 to extensions
* Throw exception on failed Optimizer.Start
* constraints: wip
* change finish & dispose process
* minor fixes
- handle force lean abort
- notify consumer if target has been reached
* target & constraints; adapt unit tests
* Minor Tweaks and fixes
- Some logging improvements
- Remove Public since not required
* Ignore empty ParameterValue
* simplify condition
* avoid reinitialization
* reduce type; force immutable
* unit tests for constraints and target value
* parse & normalize percent values, i.e. 20% => 0.2
* fixup
* Target & Constraint & OptimizationNodePacket unit tests
* Add more json unit tests
- Adding more json conversion unit tests. Fix bug for Extremum which
wasn't using the converter.
* LeanOptimizer tests
* Estimation results
* User thread safe counters
* LeanOptimizer unit tests; push OptimizationResult on Ended event
* more unit tests
* Minor tweaks
-Estimate ToString in a single line.
-Typos and missing header file
* Add base SendUpdate method
- Add base SendUpdate method for LeanOptimizer
* fix LeanOptimizer test; rely on internal Update rather than timer
* Add OptimizationStatus
- Add missing commments and OptimizationStatus
* EulerSearch implementation: wip
* OptimizationParameter custom converter
* change the type
* make step optional
* change folder structure
* enumerate optimization parameter using IEnumerable & IEnumerator
* unit tests: parameters & objectives
* unit tests: strategies
* remove redundant TODO
* change Euler search boundaries
* more Euler tests
* prevent race condition
* Add account/read endpoint
- Adding account/read endpoint. Adding unit test
* Add status check before running lean
* Minor self review
- Adding missing comments, minor changes
* remove array parameters
* minor changes
- tidy up config file, rename variable
- accept min less or equal than max
* move OptimizationParameter methods to strategies
* Minor improvements for BaseResultHandler derivates
* minor changes
- strict requirements for Step and MinStep values
- strategy specific settigs
* Add TotalRuntime to estimate
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Reformat/cleanup OptionStrategies
This file was breaking pretty much every style convention in LEAN.
There are other things that should be addressed in here that weren't,
such as passing non-argument names as argument names for ArgumentException,
as well as preferring constructors over property initializer syntax, but
such changes aren't being made to keep this commit strictly reformatting
instead of refactoring.
Added braces and reformatted long lines to make code more legible.
* Add abstract base class for OptionStrategy Option/UnderlyingLegData
This allows us to create either or and later use the Invoke method to push it
into the appropriate list on OptionStrategy.
* Replace O(n) option contract search with 2 O(1) TryGetValue calls
A better improvement would be resolving the correct symbol in the strategy, but
this immediate change is instead just focused on removing the O(n) search inside
a loop.
* Add BinaryComparison and supporting methods in ExpressionBuilder
We're going to use these binary comparisons to make it possible to create
ad-hoc queries against a collection of symbols. Using these expressions,
along with type supporting composition of these expression, we'll be able
to define predicates that can declaratively define how to match an option
strategy with an algorithms current holdings.
* Make GetValueOrDefault defaultValue optional
Was receiving ambiguous invocations leading to neading to invoke this
method explicitly (LinqExtensions.GetValueOrDefault) instead of being
able to use it as an extension method. Making the default value optional
seems to have resolved this ambiguity, leading to cleaner code in the
OptionPositionCollection (forthcoming)
* Add OptionPosition and OptionPositionCollection
OptionPositionCollection aims to provide a single coherent interface
for querying an algorithm's option contract positions and the underlying
equity's position in a performant, immutable way. The immutability of
the type is necessary for how the options matcher will operate. We need
to recursively evaluate potential matches, each step down the stack removing
positions from the collection consumed by each leg matched. This will enable
parallelism of the solution as well as simplifying the mental model for
understanding due to not needing to track mutations to the collection
instance.
* Add Option test class for easily creating option symbol objects
* Add OptionStrategyLegPredicate and OptionStrategyLegDefinition
The definition is a composition of predicates, and each predicate supports
matching against a set of pre-existing legs and a current position being
checked for the next leg (this leg). In addition to the matching functionality,
it also supports filtering the OptionPositionCollection, which is where much
of the work for resolving potential option strategies is done. By successively
filtering the OptionPositionCollection through successive application of predicates,
we wil end up with a small set of remaining positions that can be individually
evaluated for best margin impacts.
All of this effectively unrolls into a giant evaluation tree. Because of this
inherent structure, common in combinatorial optimization, the OptionPositionCollection
is an immutable type to support concurrent evaluations of different branches of
the tree. For large position collections this will dramatically improve strategy
resolution times. Finally, the interface between the predicate and the positions
collection is purposefully thin and provides a target for future optimizations.
* Add OptionStrategyDefinition and OptionStrategyDefinitions pre-defined definitions
The OptionStrategyDefinition is a definitional object provided a template and functions
used to match algorithm holdings (via OptionPositionCollection) to this definition. The
definition defines a particular way in which option positions can be combined in order to
achieve a more favorable margin requirement, thereby allowing the algorithm to hold more
positions than otherwise possible. This ties into the existing OptionStrategy classes and
the end result of the matching process will be OptionStrategy instances definiing all
strategies matched according to the provided definitions.
* Add OptionStrategyMatcher and Options class, w/ supporting types
OptionStrategyMatcherOptions aims to provide some knobs and dials to control how
the matcher behaves, and more importantly, which positions get prioritized when
matching. Prioritization is controlled via two different enumerators, one controller
which definitions are matched first and the other controller which positions are
matched first. Still unimplemented, is computing multiple solutions and running the
provided objective function to determine the best match. When this gets implemented,
we'll also want to implement the timer. For anyone looking to implement these features,
please talk with Michael Handschuh as there's a particular way of representing these
types of combinatorial solutions (a 3D tree) that can be used as a variation of the
linear simplex method for optimizing combinatorial problems.
* OptionStrategyMatcher: Address PR review comments
* Ensure created OptionStrategy legs all have the same multiplier
Each leg definition match gets it's own multiplier which indicates the
maximum number of times we matched that particular leg. When we finish
matching all legs, we pick the smallest multiplier from all the legs in
the definition and use that as the definition's multiplier. When we go
to create the OptionStrategy object we MUST make sure we're using the
multiplier from the definition and not from the individual legs.
This change fixes this issue and also provides a guard clause to ensure
that we're not trying to use a multiplier larger than what was matched.
* Add XML docs for OptionStrategyDefinitions from OptionStrategies
* Fixes inability to parse negative strike prices in SecurityIdentifier
* Adds new tests ensuring backwards compat and no throwing w/ negative
strike prices
* Changes strategy used to support negative strike prices
* We add support for negative strike prices at the cost of
reducing the maximum allowed precision for the strike price.
We encode a negative sign into the 20th bit of the strike price
and set our bounds for precision to a max (exclusive) of 475712.
This in turn is then used to form a negative strike when rebuilding
the SID.
* Adds tests covering changes
* Address review: adds additional tests and refactors code
* Address self-review: remove unused import in SymbolTests
* Address review: adds additional test cases for OptionStyle and OptionRight
* These tests are to ensure that backwards compatibility is maintained
* Addresses review: Adds option chain <-> master SID hash test
* Refactors previous tests to reduce on code duplication
* Reduce test duplication
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Update crypto entries in SPBD
- Update values for GDAX and Bitfinex, with latest values from exchanges
- Update symbols with >3 letters
- [Fix] Remove same base-quote entries
* Update unit tests
Increment in precision given smaller lot sizes in SPDB crypto entries.
* Add GDAX symbol properties downloader (unit test)
* Update GDAX symbol properties database
* Add BrokerageSymbol to symbol properties database
* Update GDAX symbol properties
* Address review
- Rename BrokerageSymbol to MarketTicker
* Add GDAX symbol mapper
* Update GDAXBrokerage to use symbol mapper
* Fix GDAX brokerage unit tests
* Replace GDAXSymbolMapper with SymbolPropertiesDatabaseSymbolMapper
* Address review
- use Symbol key in dictionaries
* Rename BrokerageSymbol to MarketTicker
* Save GDAX history in the real ticker folder
* rename tickerMapper to symbolMapper
* fix gdaxdownloader help message
* Save GDAX history in the real ticker folder
* rename tickerMapper to symbolMapper
* fix gdaxdownloader help message
* use SymbolPropertiesDatabaseSymbolMapper
* address review
Co-authored-by: JJD <jjdambrosio@gmail.com>
Co-authored-by: Stefano Raggi <stefano.raggi67@gmail.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Update crypto entries in SPBD
- Update values for GDAX and Bitfinex, with latest values from exchanges
- Update symbols with >3 letters
- [Fix] Remove same base-quote entries
* Update unit tests
Increment in precision given smaller lot sizes in SPDB crypto entries.
* Add GDAX symbol properties downloader (unit test)
* Update GDAX symbol properties database
* Add BrokerageSymbol to symbol properties database
* Update GDAX symbol properties
* Address review
- Rename BrokerageSymbol to MarketTicker
* Add GDAX symbol mapper
* Update GDAXBrokerage to use symbol mapper
* Fix GDAX brokerage unit tests
* Replace GDAXSymbolMapper with SymbolPropertiesDatabaseSymbolMapper
* Address review
- use Symbol key in dictionaries
* Rename BrokerageSymbol to MarketTicker
* Update unit test
* Add Bitfinex symbol properties downloader (unit test)
* Add Bitfinex symbol market ticker to downloader
* Update Bitfinex symbol properties database
* Update BitfinexBrokerage to use SymbolPropertiesDatabaseSymbolMapper
* Remove Bitfinex test symbols from db
* Update Binance symbol properties database
* Update BinanceBrokerage to use SymbolPropertiesDatabaseSymbolMapper
* Add missing Binance test case
* Update symbol properties database
- gdax, bitfinex, binance
* Update CoinApi symbol mapper for new SPDB
* Exclude Bitfinex BCH pre-2018-fork in CoinApiSymbolMapper
* Remove unused properties
* Add CoinApi mappings
Co-authored-by: JJD <jjdambrosio@gmail.com>
* Fixes weeklies parsing, causing certain futures to be inaccessible in Algorithm
The FuturesExpiryFunction expects the contract month of the Future,
not the expiration. As a result, the contract gets filtered as a
weekly contract, rather than as a standard due to the discrepancy
between the expiry dates when the contract month differs from the
expiry date's month.
A very important fact to note is that futures can and do expire prior
to the contract month. BZ,(brent crude financial futures) expire two
months prior to the contract month, CL one month prior, etc.
There has been an addition that contains a "reverse" futures expiry function
lookup table. We use this to lookup the contract month to re-calculate
the Future expiry.
This PR also fixes dairy and adds extra expiry dates. Dairy can have
an expiry *after* the contract month, so a new path was added to the
SymbolRepresentation to ensure that these contracts are loaded
correctly.
* Address review: Adds tests and fixes bug in SymbolRepresentation
* Updates SID comment on `Date` property to reflect fact that we use
future expiry for its value
* Fixes bug in SymbolRepresentation where expiration day would always
be 01 when parsing a contract with an expiration after the contract
month
* Fixes bug in SybmolRepresentation where expiration year would be
four digits long when parsing a contract with an expiration after
the contract month
* Fixes some bad dairy expiry dates
* Adds tests for SymbolRepresentation and the futures filtering for
standard contracts
* Renames method used to extract delta between contract month and
expiry date
* Removes GH comment and restores Futures contract month expiry param
* Limit rounding interval to 1 day, add SubtractRoundDown and AddRoundUp functions
* fix error message
* Only subtract round down if period is greater than a day
* Tests
* Comment clarification
* Pivot solution to simple fix
* fix error message
* Remove RoundDown/Up limitations; add remarks
* address review
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* Delete QuiverHouseDataDownloader.cs
* Delete QuiverSenateDataDownloader.cs
* Delete QuiverPoliticalBetaDataDownloader.cs
* Add files via upload
* Delete QuiverHouse.cs
* Delete QuiverSenate.cs
* Delete QuiverPoliticalBeta.cs
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* Addresses self review: Cleans up code and adds new unit tests
* Adds Quiver* C# files to project
* Adds new unit test for QuiverCongress
* Adds Python algorithm example
* Address self reviews
- Adding some missing xml docs
- Removing unrequired imports.
- Minor rename from Date to ReportDate
- Live trading will throw InvalidOperationException
* Fixes for example algorithms
Co-authored-by: Gerardo Salazar <gsalaz9800@gmail.com>
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Add offset capabilities and related tests
* Add tests for Weekend Offsets on Symbol DateRules
* Unify Iterator Behavior
* Refactor and consolidate functions to reduce duplicate code
* Positive offset values only
* Address review
* Expand Month tests to include Forex and Crypto cases
* Ensure order of days in schedule
* Refactor and unify behavior
* More edge cases and tuning
* Address review + more tests
* DividedEventProvider distribution computation
- Update regression algorithm which was using a different reference
price when calculating the dividend
- Adjust divided event provider to compute distribution using factor
file reference price, if not 0. Adding unit tests
- For equities, only emit auxiliary data points for
TradeBar configurations, not for QuoteBars, nor internal.
* Address reviews
- Split and Dividend event provider will throw an exception when there
is no reference price available. Updating `wm` factor file which was
missing references price and regression algorithms using WM.
- Updating unit tests asserting new exception
* Protobuf will use recyclable memory stream
- Serialization will reuse recyclable memory streams
- Remove serialization of exchange and sale condition for ticks.
Updating unit tests.
- There is no need to serialize BaseData.EndTime, covered by unit tests.
* Tick will keep a parsed sale condition property
* Readd tick exchange. Json ignore ParsedSaleCondition
Martin Molinero