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
* 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>
* 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
* 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
* 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
* Implement future type filter
* Filter weeklys test
* Fix for test, contracts were being filtered out by new type filter
* Share core contract filtering logic in new base class
* Catch Future symbols we don't have Expiry functions for
* Expand tests for new filtering
* Address review
* Small doc change
* Compare Date component for expiry
* Clarifying comment
- Replace Enum to string operations on Options enums, since it's
expensive
- Replace Enum IsDefined check since it uses reflection
- Improve OptionFilterUniverse linq operations
- Improve performance of SecurityIdentifier properties to avoid having
to extract them from properties always
- Avoid calling ToList for already list data collections (it creates a
copy)
- Avoid iterating over securities for which we have no holdings when
calculating TPV or MarginUsed
Adds the following method overloads:
`Future.SetFilter(int, int)`
`Option.SetFilter(int, int, int, int)`
`FutureFilterUniverse.Expitarion(int, int)`
`OptionFilterUniverse.Expitarion(int, int)`
to simplify the API since the original methods accept `TimeSpan` that are most used with `AddDays(int)` method.
- `FutureMarginModel` and `PatternDayTradingMarginModel` will adjust
margin requirements before market closes using the new `Exchange.ClosingSoon` property
- Adding unit tests and regression algorithm
- Remove unrequired `GetBuyingPower`
- Making `BuyingPowerModel.GetMaintenanceMarginRequirement` protected
instead of public
- Adding `GetMaximumOrderQuantityForDeltaBuyingPower` to replace
public `GetMaintenanceMarginRequirement` and improve API experience for
consumers like the `DefaultMarginCallModel`
- Adding new unit tests
- Adding `SecurityCacheProvider` this class allows for two different
`Security` to share the same data type cache through different instance
of `SecurityCache`. This is used to directly access custom data types
through their underlying in a peformant maner
- Some small improvements
Adds IRegisteredSecurityDataTypesProvider to track all the data types
registered in the algorithm. Using this data, we can detect if it's
possible that we'll eventually have a property of a certain type name.
For example, consider I wish to use security.Data.TradeBar but we haven't
received any trade bars yet. Before this change a KeyNotFoundException
would be raised, but since we can determine that we expect to have trade
bars, we can detect this and return an empty list when we haven't received
any data yet. This also removes the need to constantly do a HasData<T>()
check before accessing the dynamic members.
Closes#3620
- Adding `LazyToUpper()` implementation, that will avoid the call to
`ToUpper` if the string is already upper.
- Reduce the timezone conversions at `Time.EachTradeableDayInTimeZone`
- `TotalPortfolioValue` will iterate over all securities once
- Adding new `SecurityIdentifier` cache, significant impact for
algorithms using coarse/fine data
Energy futures (CL, HO, RB, NG) expire in the month before the contract month.
To handle these properly, the following changes have been implemented:
- the AlgoSeekFuturesReader has been updated to create the future symbol with the correct expiry date
- the zip entry names in futures data files now contain the full expiry date (in addition to the contract month)
- the sample data files have been updated to use the new zip entry names
- new unit tests have been added and existing ones updated
AJY, AKL, AKZ, ANE, APS, AR0, ARE, AUP, AVZ, AW, AYV, AYX, AZ1, B0, B7H, BCF, BIO, BK, BOO, BR7
Correct wrong entry for symbol ZT in symbol-properties-database
Add missing holidays or early closes for energies and fx in mhdb
Martin-Molinero