Build & Test Lean / build (push) Has been cancelled
* Fix FutureOptionMarginModel Margin Requirements
- Fixes FuturesOptionsMarginModel margin requirements being zero due to
underlying being null on model creation. Adding unit test
* Address reviews
- SecurityService will set underlying when creating a new security when
provided
Build & Test Lean / build (push) Has been cancelled
- Fix FOPs maintenance margin requirements since they were relaying on
the underlyings holdings cost to return 0 in some cases. Updating unit
tests
- Fix Option exercise order being rejected because of margin not
available, will now take into account the margin used by the option
itself. Adding unit test
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>
Build & Test Lean / build (push) Has been cancelled
* Reconcile and consolidate SetupHandlers
* Centralize GetConfiguredDataFeeds()
* nit - extra space
* Check for null, also allow null to be passed back if no config value
* Fix breaking test
* Cleanup
* fix return var
* remove unneeded if/else
* Minor changes
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
Build & Test Lean / build (push) Has been cancelled
* Use UniverseSettings.DataNormalizationMode for securities added in Algorithm
* Stop SubscriptionUtils from forcing Adjusted mode
* Return behavior to original and add comments
* nit typo
* Add regression
* Add unit test that verifies DataNormalizationMode can be altered manually by security
* Cleanup and add Py version of regression
* Update projects to use .NET 5.0, the successor to .NET Core
* Fix ambiguous errors. Add IBAutomator net5
* Remove FXCM
* Upgrade IBAutomater to v1.0.51
ignored, and an empty message aborts the commit.
* Fix rebase
- Fix ambiguous Index
- Remove StrategyCapacity.cs
- Update System.Threading.Tasks.Extensionsy
* Remove unrequired references
* Fixes
- Travis will use dotnet, not nunit nor mono
- Remove mono from foundation image
- Fix python setup in research
- Fix unit tests
* Don't call ReadKey when input is redirected
* Fix ConsoleLeanOptimizer
* Research fixes
* Update comment
* Add vsdbg to Dockerfile
* Fixes
- Revert dockerfile FROM custom changes
- Adjust and fix regression algorithms
- Option assignment will be deterministic in the order
- 'Rolling Averaged Population' is calculated using doubles, updating
expected values.
- Update readme, removing references to mono
- Add missing Py.Gil lock
* Replace ICSharp with .NET Interactive
* Fixes after rebase
* CSharp research fixes
- Adding new Initialize.csx that pre loads all assemblies
- Adjusting template research file
- Moving steps in dockerfilejupyter
- Fix unit tests and regression tests after rebase
Co-authored-by: Gerardo Salazar <gsalaz9800@gmail.com>
Co-authored-by: Stefano Raggi <stefano.raggi67@gmail.com>
Co-authored-by: Jasper van Merle <jaspervmerle@gmail.com>
* Refactor HasSufficientBuyingPowerForOrder implementations
Adds Sufficient and Insufficient helper methods to HashSufficientbuyingPowerForOrderParameters
enabling syntax like:
return paraeeters.Sufficient()
returnparameters.Insufficient(reason)
The next change will add the initial margin required which will simply require
updating both of these helper methods to accept the value.
* IBuyingPowerModel: Add margin functions Maintenance/Initial/ForOrder
These were originally hidden in an effort to only expose what's necessary
for the engine to perform its work. Additionally, we encapsulated all of
the method arguments into parameters classes to prevent having to break
anyone in the future. Not including these foundational methods turns out to
be an oversight. These methods are not required by the engine, but rather by
other models. Another possible solution here is to add an additional abstraction
and include these methods on this new abstraction. BuyingPowerModel would then
explicitly implement these methods and models that depend on them would require
two code paths, one for when the buying power model implements this interface
and another for when it doesn't.
Tests were additionally updated to remove test model implementations created for
the sole purpose of exposing these private methods.
* Add ConstantBuyingPowerModel
Provides an implementation of IBuyingPowerModel that returns the same
constant value
* Update BuyingPowerModelPythonWrapper to use reflection for method names
Having a bunch of hard-coded strings is a sure fire way for someone to
overlook when changing methods. This change ensures that noone needs to
remember that this code exists :)
Cleans up the syntax around verifying a python object implements a particular
C# interface via the ValidateImplementationOf<T> method by having it return a
value since the only use cases are in constructors when setting the models.
I was initially going to update ALL python wrappers to validate the passed
in models, but such a change could break many things that are 'working' right
now. Such an effort should be saved for its own dedicated PR.
* Add Parameters/Result types for new buying power model methods
* Support computing maintenance margin for arbitrary quantities
The existing GetMaintenanceMargin function assumes that we're only interested
in the maintenance margin for the entirety of the provided security's holdings.
This makes it impossible to perform what-if analysis or to even ask how much
maintenance margin is devoted to a particular subset of the security's holdings.
This change adds the quantity to the MaintenanceMarginParameters class. Futures
and Options models also depend on holdings cost and holdings value, so they have
also been added to the parameters type. Finally, static factory methods were
added to improve discernment of intent: ForCurrentHoldings provides the existing
behavior and then ForQuantityAtCurrentPrice to support what-if scenarios where
we're looking for the change in maintenance margin if we were to execute an order
for the securiy at the current time step. Obviously a constructor is provided to
set all of the values explicitly, using any price metric the caller desires.
* Address review
- Fix BPM xml documentation
- Fix python unit tests and PythonWrapper validate method
* Add SecurityHolding.QuantityChanged event
Adding event handlers will allow us to orchestrate complex
events from distant parts of the codebase through wiring
them up. If we continue down this path, it will move us away
from the current, very 'mechanical' data flows expressed in
LEAN and towards a more modern, event processing based system.
This is but a baby step in that direction and the initial use
case is using this QuantityChanged event to trigger resolution
of the algoritm's positions groups. This is part of an effort
to improve the fidelity of options margin modeling where we'll
model an OptionStrategy as an IPositionGroup. This will allow
us to compute the margin requirements of an OptionStrategy as
a unit instead of computing margin of each security individually
in isolation.
See #4065
* PortfolioManager: Group fields and remove unused field
This codebase generally places fields as the first members, but
this class had some fields at the top, then some properties, and
then some more fields. This change brings all the fields together
at the top of the file and also removes pointless comments placed
directly above some of the fields. Additionally, an unused field
was removed.
* Remove unused _currencyConverter from Security
Looks like at some point the only code using this member variable was removed
and the necessary clean up was overlooked.
* Add Parse.Enum functions
* Support disabling regression algorithms by language via config.json
Adds 'regression-test-languages' to config.json and filters regerssion algorithms to
run based on this value. When cycling on a particular feature, it's nice to be able
to run the entire regression set while ignoring the python algorithms. Once the C#
algorithms are all passing, one can then go back and run C# and Python in a final run,
since 99% of feature work doesn't impact python specifically.
* Implement IComparable in SecurityIdentitfier
This can be used to deterministically sort securities and symbols
* Add .editorconfig to enforce common formatting for json/sh files
* Fix typo in IBuyingPowerModel.GetBuyingPower xml docs
* Add ListEquals/GetListHashCode and OrderDirection.Closes(PositionSide)
ListEquals and GetListHashCode are designed to be used together as they
complement each other according to C#'s requirements for Equals and
GetHashCode functions.
PositionSide.ToOrderDirection() extension simply converts a PositionSide
to its logical equivalent OrderDirection. Long->Buy, Short->Sell, None->Hold
OrderDirection.Closes(PositionSide) determines if a particular OrderDirection
would have the effect of reducing a position's absolute size. This function
greatly improves the readability of buying power functions that must provide
adjustments when an order/contemplated trade reduces/closes an existing position.
OrderDirection.Buy.Closes(PositionSide.Short)
OrderDirection.Sell.Closes(PositionSide.Long)
All other combinations return false
Adds ToArray/ToImmutableArray convenience functions that combine a call
to Select followed by To(Immutable)Array all in one function call.
* Add decimal.DiscretelyRoundBy extension method
Supports rounding a decimal value by an arbitrarily chosen maximum precision,
or 'quanta'
* Update FutureMarginBuyingPowerModelTests to respect the security's lot size
* Add core position group classes and abstractions
* Add initial/maintenance margin support, buying power model consistency tests
* Add SufficientBuyingPower and GetReservedBuyingPower to position group model
Includes update to BrokerageTransactionHandler to use position group BPM for
sufficient buying power checks.
* Resolve position groups on each fill
We need to update the state of our position groups on each fill so that
we can properly handle multiple orders within the same time step. We
also limit the number of positions sent into the resolver by removing
securities without any holdings.
* fixup! Add SufficientBuyingPower and GetReservedBuyingPower to position group model
* Add GetMaximumLotsFor{Target|Delta}BuyingPower
Instead of computing order quantity, these functions compute the
maximum number of position group lots, which is the position group
quantity, and is guaranteed to be a whole number, for the provided
target/delta buying power parameters.
The SecurityPositionGroupBuyingPowerModel delegates to the security's
IBuyingPowerModel by applying a scaling factor equal to the security's
lot size.
This change also updates references to IBuyingPowerModel.GetMaximum...
to use the new position group model methods.
* Convert remaining IBuyingPowerModel call sites to position groups
* Rename PositionManasger.CreateDefaultGroup -> GetOrCreateDefaultGroup
Better describes its behavior
* Add Position Groups readme.md
* Add Option Strategy BuyingPowerModel
- Adding CompositePrositionGroupResolver and
OptionStrategyPositionGroupResolver
- Adding OptionStrategyPositionGroupBuyingPowerModel handling option
strategies based on IBs margin table. Adding regression algorithms
- Few changes so that option strategies executed by multiple orders are
detected
- Adjust OptionStrategyDefinitionMatch to include equity legs in the
matching result
- Minor tweaks fixing previous rebase
- Minor fixes for existing option strategies definitions, adding new
missing strategies.
- Fixing minor bugs in option strategy matcher. Adding more unit tests
* Address self reviews
- Fixing bug in 'PositionGroupCollection'
- Few minor simplificaitons
- Adding BasicTemplateOptionEquityStrategyAlgorithm
* Address reviews
- Improve regression algorithms margin remaining and used assert logic to be exact. Taking into account spread and fees
Co-authored-by: Michael Handschuh <mhandschuh@gmail.com>
* Refactor to queue up start date changes to log on dispose
* Fix typo in warning collection used
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Collect and log symbols that had start date adjusted because of factor files
* Only post the message if the set has values
* Modify message to be [Symbol, Date] combo for more information on log
* Set a hard limit on the warning set to keep it from growing unnecessarily large
* Enforce a hard limit and improve message if full
* Enforce limit in log message because of possible threading adding past max
* Cleanup
* Add futures regression reproducing the issue
* Cleanup futures regression
* Add Options regression
* Add IRegressionAlgorithmDefinition
* Add IRegressionAlgorithmDefinition
* Adjust regressions to compare to expiration date; delisting time is not always correct
* Refactor subscription enumerator filtering of AuxData to top of the stack
* Update broken tests to reflect the split/dividends/delisting subscriptions
* Update regression statistics because of Delisting EOD instead of at time
* Let custom data configurations bypass filter
* Adjust expected count, now that we are letting aux data through to history requests
* another small adjustment
* Use ExpectedBarCount in error message
* Add filter test for both cases
* Add some clarifying comments
* Verify we did recieve data in the regressions
* Make _shouldEmitAuxiliaryData private readonly
* Filter out aux data for history requests
* Remove option to not include aux data in subscriptions
* Refactor filtering to be more explicit for each piece of data; fixes universe selection aux data
* Cleanup comments after removed var
* Refactor order of filtering for performance reasons.
* Remove and replace OnEndOfDay() ref
* Restore functionality of obsolete EOD, waiting for deprecation in August 2021
* Cleanup
* Adjustments to only post message when using obsolete EOD
* nit, extra space
* Address review
* Adjust test to reflect new behaviour
* Move GetPythonArgCount to an extension method
* Add unit test
* nit accidental import
* Refactor broken test
* Use Py.GIL() state for extension
* 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 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
* Enforce USD account currency if allocation is limited
- Enforce USD account currency if allocation is limited. Adding unit
test
* Adjust currency log message
* Reduce live coarse selection interval check to 10 min
- Reduce live coarse selection interval check to 10 min. Adding unit
tests, reducing code duplication in tests.
* Adjust unit test after self review
* Filter values that are before subscription start time; also adjust starttime for OpenInterest
* Use data EndTime for comparison
* Allow Auxiliary data through
* Fix OpenInterest DataReader Logic
* Add regression
* Address review
* Ignore open interest for time slice
- TimeSliceFactory will directly ignore open interest for determining if
the slice has data or not. Open interest will still be available
through the Tick collection. Reverting some of the previous commits
changes since they are no longer required.
- HistoryRequests and SubscriptionRequest will use AlwaysOpen exchange
for open interest requests. Adding unit test reproducing issue
- Adding `BaseDataRequest` to avoid duplication logic.
* Make OpenInterest an internal feed and ignored by default in history
- Adding unit tests
* Revert SubscriptionFilterEnumerator Start time addition
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Adds Static AlgorithmCreationTimeout Property to BaseSetupHandler
This value will be used to set maximum time that the creation of an algorithm can take.
* Adds Additional Logging to AlgorithmPythonWrapper
It will informing the user how long it takes to import the module.
* Changes How AlgorithmCreationTimeout is Initialized
It will prevent callling Config.GetDouble on every call.
* Add support for live trading delisting events
- Adding `LiveDelistingEventProviderEnumerator` that will emit delisting
events. Adding unit tests
- Remove unused `LiveAuxiliaryDataEnumerator`.
- Refactor the corporate event providers being used per security type
* Self review: compare date component
* Add new LiveDataBaseDelistingEventProvider for equities
- Add support for delisting events for equities. Adding unit tests
* Fix cleanup of delisting equity subscription
* 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>
* Some app.config files were kept to either enable features
that are only enable-able via the config files, or binding redirects
for DLLs that are not packaged with NuGet (i.e. VisualStudio
package, required to run tests successfully @ 15.0.0.0)
* fix
* Minor tweaks adding unit tests
* Address reviews
- BrokerageSetupHandler will use UniverseSettings.Resolution as default
resolution
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
Bitfinex exchange may return us an empty result - if we request data for a small time interval during which no trades occurred - for example 1 minute interval - can happen even with most liquid pairs, like "ETHUSD" - would be good to have some time margin for such scenario. and pump more data to warm up conversion rates
Martin-Molinero