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* Use any resolution for chain provider
- Use any data resolution available to source symbols for the file based
chain provider. Adding unit test
* Fix selection timezone bug
- Fix universe selection timezone bug. Updating regression algorithms
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* Expand Index option support
- Adjust APIs so that the same underlying can be used
for different options, adding support for SPX weekly options. Adding
regression tests
* Fix IndexOption.IsStandard
* Add IndexOption test
* Feature combo orders
- Add support for combo orders
* Make fill model wait for all grouped orders to emit fills
* Add ComboFill to model multiple fills for combo orders
* Fill combo limit orders
Add some regression algorithms
* Add fill implementation for combo leg limit orders
* Add IFill as common interface for Fill and ComboFill
* Refactor combo orders removing IGroupOrder interface
Move the group order manager to the base Order class
* Update algorithms
* Handle combo order events atomically
* Refactor brokerage transaction event handler
* Refactor combo fill models
* Process fills in batch
* Combo orders fill model tests
* Combo leg limit orders algorithm
* Regression algorithms cleanup
* Fill and combo fill classes cleanup
* Housekeeping
* Refactor equity fill model to derive from base fill model
* Address review changes request
* Handling the new types of orders in the OrderJsonConverter
* Add regression algorithm to test combo orders update/cancel
* Add regression algorithm to test combo orders update/cancel
* Housekeeping
* Address review changes request
* Minor changes
* Security transaction handler method for setting order request id
* Extend public interface for placing combo orders
* Combo order tickets demo algorithm python version
* Tweaks and updates
* Minor fixes
* Minor changes
* Minor fixes
* Address reviews minor fixes
* Minor fixes
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* CryptoFutures adjustments
- Address reviews of CryptoFutures:
- Add new Slice MarginInterestRates collection
- Add new regression tests asserting funding rate application behaves
the same no matter the resolution
- Add auxiliary data by type into the security cache
- Revert BuyingPowerModel changes
* Make interest rate application time deterministic
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* Saves Dividend Payments to Security Holdings
Saves information about dividend payments to `SecurityHoldings`. This information will be used to factor in dividend payments to the `Profit` and `NetProfit`.
Adds `SecurityPortfolioManager.TotalNetProfit` to sum all the `SecurityHoldings.NetProfit`.
Adds regression and unit tests.
* Addresses Peer-Review
Improves Regression Test.
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* WIP
* Add base currency cash
* Symbol properties and data processing
* Add basic template algorithm
* Add hourly crypto future algorithm
* Minor fixes after live trading testing
* CoinApiDataQueueHandler CryptoFuture support
* Address reviews
* Fix regression algorithms after update
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* Allows Market-On-Close Orders Outside Buffer Period
Market-On-Close orders can be submitted before and after the buffer period from 15:45 to 16:00 (Tested with TWS) meaning that we can submit MOC when the market is closed and, consequently, use daily resolution data.
* Adds Regression Test with Extended Market Hours
- Removes `nextMarketClose > Time` condition since it's unnecessary. If the algorithm Time is greater than the close of that day, `nextMarektClose` refers to the next day.
* Updates Unit Test
Updates `OrderQuantityConversionTest` because the MOC orders are submitted. They are placed at 7 pm and invalid before this pull request.
* Updates Summary of new Regression Tests
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* Set fill price to zero in OTM exercise orders.
Improved the OTM exercise orders message.
* Update regression algorithms and unit tests
* Add IsInTheMoney property to OrderEvent
* Update SerializedOrderEvent
* Properly setting the option exercise order price to strike price or zero
* Minor changes
* Minor changes
* Fixes Regression Algorithm Testing No Warm Up Requirement
* Removes Volatility Model Warm Up Requirement
If the volatiliy model is not ready, we will use the Brenner and Subrahmanyam (1988) approximation (BS88).
Lean will not set the volatility model if the user doesn't, since the BS88 can handle the null model case.
* Using IV to calculate Greeks, and remove single-step stochastic approximation
* Correct calculation for theta, vega, rho
* Add calculation from Black Calculator and peer review
* Address peer review and added unit test
* Update some tests and correct vega/eho
* Fix Unit Test and Improve Comments
Fixes `IndexOptionCallITMGreeksExpiryRegressionAlgorithm` since `Vega` was really non-zero.
* Fix regression test and add IV calculation
* refactor and bug fixing on peer review
* refactor and bug fixing on peer review
* for rerun test
* add warning on IV estimation not coveraged and edit speed unit test to not exceed 2s per 1000 iteration
* update logging
* update logging and description
* Add default option pricing models and unit tests
* address review
* Added Fed interest rate as risk-free rate with unit tests and set as default for option greeks calculation, added regression algorithms, addressed peer review
* refactor structure of interest rate
* Skip Saturday and Sunday
* regression test fix
* peer review
* Fixes Interest Rate Provider Logic
* Minor tweaks
* Fix start date
* Minor test tweak
* Update interest rates
* Fix unit tests
* Add minor log
Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Limit exercise in IB brokerage for limit and cash-settled options
* Add regression algorithm
* Assert that index option is automatically exercised in regression algorithm
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* Normalize time in universe behavior
- Normalize Option & Future chain universe behavior regarding their
assets time in universe. They will now respect the universe settings
time in universe value. Adding new regression algorithms asserting the
behavior
* Address reviews & cleanup
* docs(VIXDualThrustAlpha): `determine` fixup
Signed-off-by: Ryan Russell <git@ryanrussell.org>
* docs(VixDualThrustAlpha): `unsubscribe` fixup
Signed-off-by: Ryan Russell <git@ryanrussell.org>
Signed-off-by: Ryan Russell <git@ryanrussell.org>
* docs(BasicTemplateIndia): `Prperties` -> `Properties`
Signed-off-by: Ryan Russell <git@ryanrussell.org>
* docs: `Intialization` -> `Initialization`
Signed-off-by: Ryan Russell <git@ryanrussell.org>
Signed-off-by: Ryan Russell <git@ryanrussell.org>
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* Fixes PythonData.EndTime
The `EndTime` property of `PythonData` didn't override the base implementation in `BaseData`. Therefore `EndTime` was always set as `Time`.
Fixes Regression Tests
- The C# version of `Bitcoin` class needs to implement `EndTime`-
- Fixes regression tests
* Minor tweaks and rebase
- Add support for python data types just setting EndTime. Adding unit
tests for PythonData
- Fix for DynamicData EndTime property being fetched. Updating unit
tests
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* docs: `excersizing` -> `exercising`
Signed-off-by: Ryan Russell <git@ryanrussell.org>
* docs: fix `exercising for exercising`
Signed-off-by: Ryan Russell <git@ryanrussell.org>
* docs: `migth` -> `might`
Signed-off-by: Ryan Russell <git@ryanrussell.org>
Signed-off-by: Ryan Russell <git@ryanrussell.org>
Louis Szeto