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* Added NYSELIFFE exchange support to Interactive Brokers brokerage.
* Fixed unit test AddSecurityWithSymbol by adding market hours for Equity-nyseliffe-[*], Index-nyseliffe-[*], Option-nyseliffe-[*].
* Added NYSELIFFE exchange support to Interactive Brokers brokerage.
* Fixed unit test AddSecurityWithSymbol by adding market hours for Equity-nyseliffe-[*], Index-nyseliffe-[*], Option-nyseliffe-[*].
* Added NYSELIFFE exchange support to Interactive Brokers brokerage.
* Fixed unit test AddSecurityWithSymbol by adding market hours for Equity-nyseliffe-[*], Index-nyseliffe-[*], Option-nyseliffe-[*].
* - Added NYSELIFFE futures to Futures.cs
- Added method GetGoodFriday() to calculate Good Friday to FuturesExpiryUtilityFunctions.cs.
- Added unit tests for GetGoodFriday().
- Added NYSELIFFE futures expiries to FuturesExpiryFunctions.cs which uses GetGoodFriday() instead of hardcoding the date of Good Friday in the market-hours-database.json.
- Added unit tests for NYSELIFFE futures expiry.
- Added NYSELIFFE to Exchange.cs
- Removed Equity-nyseliffe-[*] and Index-nyseliffe-[*] from market-hours-database.json
- Updated Option-nyseliffe-[*] to FutureOption-nyseliffe-[*] on market-hours-database.json
- Added the supported NYSELIFFE futureoptions to symbol-properties-database.csv.
* Removed blanks after India tuple
* Added the dates for 2022 and 2023 to the market-hours-database.json.
Removed "FutureOption-nyseliffe-[]" from market-hours-database.json.
Added to FuturesOptionsSymbolMappings.cs:
{ "YG", "OYG" },
{ "ZG", "OZG" },
{ "ZI", "OZI" }
* Minor tweaks for nyseliffe FOPs
Co-authored-by: Chris Coetzee <chris@polidata.ai>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Deprecate breakpoints
Drop Watchlist
Remove breakpoints from lean
Prep install of NetCoreDbg
Cleanup
* Install NetCoreDbg
* Update Research Images with Newer Jupyter
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* Binance.US base changes
* biniance exchange info update
* Binance US uses same fee rates as main Binance
* binance us brokerage model tests
* use base implementation of GetBuyingPowerModel method
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* add gdax exchange info downloader
* add downloader method to program]
* fetch currency description
* change definition to include headers
* use extension method to make request
* remove log from test
* replace WebRequest
* cleanup
* use relevant name
* implement IExchangeInfoDownloader for bitfinex, initial commit
* add default values
* use default market value
* use correct attribute for lotsize
* don't skip missing values
* handle multiple downloaders
* add gdax and bitfinex exchange downloader
* follow LEAN data directory structure
* update SPDB
* order tickers
* order tickers
* add exchange info downloader test template
* delete files
* update SPDB
* use currency mapping
* update bitfinex symbols
* update currency mapping
* sort result after old currency symbols are used
* use market of the respective brokerage
* no more unknown symbol
* change minimum order size value
* direct conversion possible
* update bitfinex symbols
* change user-agent
* add test for indirect conversion
* update stats
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* remove un-used
* use utc time for slice sync
* use utc time
* refactor
* add regression test
* use utc time
* use utc time
* make utctime required parameter
* add utcTime in slice creation
* assert warm up complete
* check if algorithm is still warmingup
* use exchange tz
* extract binance brokerage
* remove binance tools from main toolbox app
* modify OrderTestParameters constructor
* fix BinanceBrokerage ref config.json
* update symbol properties
* move BinanceFeeModel tests to the right place
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* initial commit
* get history from data providers
* merge history from history providers
* merge slice
* Add merge function in slice
* Update test
* merge aux data
* add data points in _data
* append new data points in original list
* Add test suite for HistoryProviderManager
* reduce complexity
* setup once
* add fake history provider
* doesn't count aux data
* add tests for options
* style changes
* add custom data
* merge rawDataList
* use array of history providers
* optimize
* fix formatting error
* add comment
* add tests
* simplify
* use list
* use abstraction
* split tests
* add test
* use abstraction to create generic enumertor class
* refactor
* accept list of type T
* sync history slices
* use SubscriptionDataReaderHistoryProvider for live
* rename test file
* return empty
* add tests
* cleanup
* address reviews
* optimize
* Fix method definition
* use initial time for basedata
* refactor
* re-use collection
* inherit HistoryProviderBase
* always return HistoryProviderManager
* add tests
* update rawDataList
* reset composer
* consider null elements
* add tests for binary search method
* Follow lean coding style
* revert
* remove binary search method
* convert to field
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* Update MHDB and SPDB
Update MHDB and SPDB with micro futures
* Fix bugs
* Add more FutureExpiryFunctions
* Requested changes
* Nit changes
* Nit changes
- Fix some future values in SPDB
- Test LastFriday() method
- Apparently Micro CHF/USD Futures(MSF) refers to the micro of Swiss Franc Futures (6S). The same happens with Micro JPY/USD (MJY) Futures and Japanese Yen Futures (6J)
* Fix bugs
* Micro futures MultipleFactor
* Fix some futures MultipleFactor
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* Adding unit tests reproducing issue.
* Fix a couple of minor bugs
- IsMarketOpen will work correctly when used with daily and hourly
resolution.
- slice.Get will work correctly with python custom data
- ExtendedDictionary will be able to dinamically access methods,
required for python and private C# data types
* Refactor solution. Add more tests
* Remove unrequired import statement
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* WIP
* Fix fees in base currency not being subtracted
- Fix fees in base currency not being subtracted from the quote currency
for crypto cash accounts. Updating regression tests to assert
portfolio, cashbook state and holdings state.
* Fix unit test race condition
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* change BinanceBrokerageModel
* supply spot vs margin endpoint as parameter
* wip
* send margin order for margin account
* "NEW" means that the order has been accepted by the Binance engine.
* fix cash balance
* use JsonConverters for account parsing
* unit tests
* fixup
* lazy connect
* fix connection
* allow api client to be null if DQH only
* make method private
* more unit tests
* fix Dispose
* fix tests
* fix IsConnected condition
* run test as additional
* add some comments
* improve unit tests
* improve null checks
* tidy up the code
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* Refactor `GetFilePath()`
Add also useful methods to use with this one
* Nit changes
* Requested changes
* Requested changes
* Restore SaveString()
* Nit changes
* Address self review
* Test improvements
* Adjust example KerasNeuralNetworkAlgorithm
* Minor tweak for KerasNeuralNetworkAlgorithm.py
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Binance fees deducted from fill quantity accordengly
- For Binance cash accounts while buying, if fees are from the base
currency of leans virtual position, we need to deduct the fee from the
fill quantity, else we can end with a position bigger that it actually
is and not be able to liquidate
* Refactor solution
- Refactor solution into a more generic approach solving fees in base
currency at the BrokerageTransactionHandler level, covering all
brokerages that require it. Adding regression algorithm reproducing
issue.
- Update Bitfinex and Binance fee models to correctly reflact reality
* Log fill quantity adjusment once
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* Always reuse aggregator instance if any
- When fetching a IDataAggregator instance from the composer, do not
enfore type name on existing instances
* Fix unit tests
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* specify enpoint url of ftx api (can be FTX pr FTX.US)
* more metadata for ftxus
* tidy up code
* tests
* more tests
* fix tests
* fix us fee rates
* add account tier
* update symbol props
* typo
* typo-2
* update symbol properties
* use FTXUS fee model
* minor tweaks
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* replace to local functions as they are more performant
* fix random generator upper bound
Next() includes minValue, but not maxValue, so we increment it +1
* introduce abstract layers
* refactoring
* fix tets
* adapt tests
* fixup
* implement blackschole price model for options
* use risk free rate
* use ql price model
* wip
* change interface
* fix
* tidy up the code
* wip
* iterate groupped symbols
* wip
* wip
* fix
* allow symbol of different types
* improve settings
* wip
* iterate full range
* fix issue with negative option
* fix
* fixup
* use StandardDeviationOfReturnsVolatilityModel
* re-use existing tick types per security type
* parametrize underlying security type
* use default option style
* dynamic option price model
* fix enumeration
* test
* fix unit tests
* refactor code
* remove unused file
* minor tweaks and refactoring
* rename symbol generator class
* fix interface
* add comments
* more comments and unit tests
* more tests
* add disclaimer
* more tests
* more comments and tests
* split tests into different files
* tidy up the code
* tidy up the code; more tests
* refactor TickGenerator => use security price directly on each iteration
* remove dupe; reuse main constructor
* use SecurityManager, refactor code
* bugfix: save ticks in history array
* check volatility warm up & tests
* more unit tests
* describe volatility period span in settings
* rename command line option
* Minor adjusments. Address review
- Use Lean log handler instead of writting directly to console
- Rename BlackShcolesPriceGenerator to generically OptionPriceModelPriceGenerator
- Minor format clean up & standarization
- Add support for specifying the option chain size
* Rename TickGenerator private fields
* Fix unit tests
* fix tests class name
* Support tickers being specified
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Do not send internal SecurityChanges to Algorithm
- Will not send internal security changes to the Algorithm by default.
Following custom security changes filter pattern. Updating regression
algorithms to assert behavior.
- The universe member will know wether it was added with internal
configurations or not
* Address reviews use a separate collection for internals
* Refactor solution. Adding security changes constructor class
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* CompositeDataQueueHandler handles duplicate configs
- CompositeDataQueueHandler will handle duplicate subscriptions sharing
the same config. Adding unit tests
* Refactor bug solution after review
- LiveSubscriptionEnumerator will not long perform any symbol mapping
but will just trigger a new subscription call when remapped.
- CompositeDHQ will handling symbol mapping and keep track of these
mapped configs to trigger unsubscribe accordengly. Adding unit tests
* Adjust solution after review
- To avoid breaking uniqueness of SubscriptionDataConfig will be adding
a private `mapped` property that will change equality of mapped
configs to avoid them clashing. Adding unit tests
* Rename IDQH subscription extension methods
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* Give `code()` more time per iteration
* Another proposed solution
* Revert "Another proposed solution"
This reverts commit 29bf5a7554363afb27affb28730c6be1e2a54807.
* Add an AutoResetEvent field in `TimeConsumer()`
* Avoid change TimeMonitor implementation
* Remove changes in `TimeConsumer.cs`
* Requested changes
* Avoid re-implementation
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* Add tick type to data downloader get (price data) call in order for api's with rate limits to handle not making an api call at all.
* Added DTO object to pass into data downloader get
* Added missing header for new file
* Address review. Minor tweaks
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Move processing of delistings to Brokerage
* Deal with case that exchange is not open on OptionSymbol.ID.Date
* Refactor solution to use DelistingNotification event
* Adjust some regression expected liquidation time
* Mark some todos on deprecated functions
* Update expected liqudation time for Py regressions
* Update regressions that have been validated
* Use HandlePositionAssigned for assignment orders
* Update regressions
* Update some missed unit tests; remove one that is already covered by regression
* Cleanup deprecated backend functions
* nit - small cleanup adjustment
* Post rebase fix
* Address review
* Minor tweak to py regression
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* Create generic writing for LeanDataWriter, + notes on todos
* Make Options Daily/Hourly data store by year
* Refactor Generic Write
* Permit hour and daily resolutions for options
* Refactor writer to merge when needed with other files
* Cleanup redundancies, run write tasks in parallel
* Make needed classes/vars available
* Update tests to reflect new naming convention for daily hourly options data
* Add Byte[] overloads for ZipData functions in compression
* Implemented Store() for ZipDataCacheProvider
* Have LeanDataWriter use a DataCacheProvider
* ZipDataCacheProvider cleanup
* ZipDataCacheProvider tweaks, doesn't support storing non-zips
* Test adjustments
* Update LeanDataWriter to use Write instead of SaveDailyHourly/SaveMinuteSecond
* Implement tests to verify DownloadAndSave behavior
* Nit cleanup on DownloadAndSave tests
* Fix for options daily/hourly underlying equity subscription read
* Add daily/hourly options data and regressions
* Add missing open interest for hourly
* Fix writing of OpenInterest Daily/Hourly data
* Update data
* Fix Date typo in regression
* Use daily algorithm to test delisting
* Revisions part 1
* Expand test for DataCacheProviders; refactor DiskDataCacheProvider
* nit - test adjustments
* ZipDataCacheProvider test setup refactor
* Adjust multithreaded read/write test; fixes for ZipDataCacheProvider
* Move DiskDataCacheProvider to its own file and add write test
* Remove _appendToZips; always overwrite entry or create zip
* Add mapping regression for daily options
* nit - add license to regression
* Fix Tick write case where more than one data point for a DateTime
* Fix data issue
* Address review
* Tweaks for tests
* Stop Store() early if no entry name is given
* Refactor error message for reproducability
* WIP Refactor GetMaximumOrderQuantityForTargetBuyingPower
* Additional tweaks and tests
* Address shorted margin case
* Reinstate tests with new modified function
* Update regression
* Some cleanup
* Expand test set
* Refactor solution
* Address review
* Final adjustments and cleanup
* Expand error message for GetAmountToOrder for safety and reproducibility
* Address reviews
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* Update SPDB with price magnifier parameter
- Add a new column for new parameter in symbol-properties-database.csv
- Change InteractiveBrokersBrokerage.cs implementation of GetContractPriceMagnifier() method in order to get the parameter directly from the SPDB
- Add test in SymbolPropertiesDatabaseTests.cs to check if the new parameter is loading properly
* Change GetContractPriceMagnifier() method name and implementation
- Change NormalizePriceToLean() and NormalizePriceToBrokerage() methods
* Nit change in GetSymbolPriceMagnifier() method
* Remove GetSymbolPriceMagnifier() method
- Remove redundant and unnecessary parameters in NormalizePriceToLean() and NormalizePriceToBrokerage()
* Requested changes and SPDB update
- Update SPDB with minimum order size parameter for futures in cents. The minimum order size parameter was extracted from the CME group API
* Address reviews. Adding unit test for failing case
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* fix exchangeinfo downloader
* normalize data, update symbol properties
* min ordersize should be in base currency
* check min order size using quote currency price
* check order size in quote currency
* improve checks
* improve code; more unit tests
* more description
* fix failing test
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* Move Aggregate Quote and Trade Bars to utils
* Add decimal and long overload to UnixTimeStampToDateTime
* Add Kraken OrderType check in CanSubmitOrder
* PR !5969 review fixes
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* Implement scheduled event sampling solution
* Use UTC time, only update daily portfolio value once a day
* For daily resolutions sample chart always
* Cleanup
* Drop resample daily all together
* Force final sample
* Regression updates
* FIx LiveResultHandler to update portfolio and benchmark values outside of sampling event
* Name the daily sampling event
* Address review pt 1
* Drop force and use reference wrapper
* Adjust tests
* Fix warning for Benchmark Timezone Misalignment and also add test
* Fix for daily resolution orders and test adjustments
* Also warn on universe settings with daily resolution
* Update missed regression
* Fix reference wrapper use
* Update regression after rebase
* Add values back in for Daylight Algo
* Have statistics builder skip day 1 performance
* Regression adjustments
* Test adjustments
* Update regression unit test
* Adjust some regressions starts to show performance values
* Add hourly algorithm for beta comparison
* Address missing Python regression changes
* Remove null comment
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* - Update symbol-properties-database.csv, SymbolPropertiesDatabase.cs and SymbolProperties.cs with a new column for MinimumOrderSize parameter for Crypto type
- Change CanSubmitOrder() method implementation in GDAXBrokerageModel.cs to get the MinimumOrderSize from the security SymbolProperties directly
- Add CanSubmitOrder() method in Binance, Bitfinex and Kraken Brokerages models
- Add tests to check if CanSubmitOrder() method is working as expected in Binance, Bitfinex, Kraken and GDAX brokerages models
- Add tests to check if MinimumOrderSize parameter is loading correctly from symbol-properties-database.csv
* Revert "- Update symbol-properties-database.csv, SymbolPropertiesDatabase.cs and SymbolProperties.cs with a new column for MinimumOrderSize parameter for Crypto type"
This reverts commit e0fd66a5fa5215a6fccb98b64d4e3bf709007fdf.
* Revert "Revert "- Update symbol-properties-database.csv, SymbolPropertiesDatabase.cs and SymbolProperties.cs with a new column for MinimumOrderSize parameter for Crypto type""
This reverts commit b0f37935fc334ba8ff3b8ab09b7d979e4e731526.
* Requested changes in Crypto brokerage models
- Remove unnecessary commas in symbols-properties-database.csv
- Add TestHelpers class to reuse GetSecurity() method
- Add IsValidOrderSize() method in DefaultBrokerageModel class
- Remove unnecessary classes for brokerage models test helpers
* Nit change
- Remove unnecessary attribute from DefaultBrokerageModel.cs
* Nit change
* Nit changes and Regression test
- Add Bitfinex BTCUSD hourly data for 2 days
- Add regression test BuyBTCWithLessThanOneDollarAlgorithm.cs to test that the order size is taking into account when placing or updating an order
- Nit changes
* Change CanUpdateOrder() implementation
- CanUpdateOrder() now checks if the requested quantity value is valid
* Requested Changes
- Change regression algorithm BuyBTCWithLessThanOneDollar.cs name and implementation
* Nit changes
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Adds Warnings to MOO and MOO using Tick Data
These warnings are meant to let the user know that it was not possible to find ticks marked with the `OfficialOpen`, `OfficialClose`, `OpeningPrints` or `ClosingPrints` flags.
chriscdev