* Fix bug, add unit tests and nit changes
The bug was raised because if two inputs points with repeated close values were inserted,
and the second one had 0 volume, when the first one is removed from
_oldDataPoints, as the reamaining value of it in _volumePerPrice is
zero, that entry is removed from _volumePerPrice. Therefore, when
the second input point is removed from _oldDataPoints, this entry
is not found in _volumePerPrice. Then the changes made were:
- Modify MarketProfile.Add() method to check every removed data point is
still in _volumePerPrice
- Add unit tests to covert this change
- Nit changes in VolumeProfileTests.cs
* Fix bugs and add more unit tests
- The Fill Forward bars shouldn't be considered in the calculations as
it's not real data.
- If bar inserted is not FF but has zero volume, it could remove a price
value from VolumePerPrice and leave this sorted list empty, then each
time we access that list we need to first check it's not empty
* Enhance ComputeNextValue() and add more unit tests
- Adjusting live stack to emit live auxiliary events based on factor files.
Updating existing tests
- Minor improvements for map & factor file provider daily refresh time.
Adding unit tests
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* Add ShortButterflyCall and ShortButterflyPut strategies helper factory methods
* Reduce duplication by adding the base OptionStrategyFactoryMethodsBaseAlgorithm algorithm class
* Housekeeping
* Fix bug in Beta statistics
- Beta in Report was calculated using equity points and not daily
performance points, as it's done in Backtest
- Performance points were not being divided by 100, as it's done in
StatisticsBuilder
- Benchmark points were not being converted into a percentage daily
performance of the benchmark, as it's done in StatisticsBuilder
* Improve implementation and add unit tests
* Enhance implementation and add more unit tests
* Enhance implementation
* Nit change
* Nit changes
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* Make maintenance margin zero for long options
* Use OptionIntialMargin in OptionMarginModel
* Add naked call and put strategies unit tests
* Minor fix
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* Account for premium in option strategies margin
* Minor fixes
* Add OptionInitialMargin class to separate strategies margin and premium
* Minor fix
* Minor fix
* Cleanup, docs and other minor changes
* Minor changes
* Minor changes
* Minor changes
* Address peer review
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* Add SetAccountCurrency overload
- Add SetAccountCurrencyOverload to allow the user to set also account
currency quantity
- Add regression and unit tests to cover the changes
* Add regression algos
* Simplifiy SetAccountCurrency implementation
* Minor changes
* Minor changes
* Add support for Null SecurityPositionGroupModel
- Add support for algorithms to set the null security position group
model which will not group securities together but rather return the
single group buying power model. Adding regression algorithms
* Add Null Margin python regression & cleanup
- Add python regression algorithm & minor regression algorithms clean up
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* Fix position group HasSufficientBuyingPowerForOrder
Comparing computed delta BP -- which already considers every impacted
group -- with the right available buying power (the remaining margin)
* Minor changes
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* Pandas frame include all ticks
- Pandas data framde history response will include all ticks. Updating
existing and adding new tests
* Python pandas converter performance improvement
* Add TriggerPrice field when applying a split
If one stock is split in k parts, the new TriggerPrice in an order for that stock should be also scaled by a factor of k/10. It was made:
- Modify `DefaultBrokerageModel.ApplySplit()` to adjust `TriggerPrice` field
- Regression and unit test was added
* Check Limit Price for LimitIfTouched
* Nit change
* MHDB will merge common entry
- The MHDB will merge the market and security common entry holidays,
early closes and late opens
* Normalize & reuse future US holidays
- Normalize & reuse future US holidays
* Update existing unit tests expected stats
* Fix PositionGroupBuyingPowerModel quantity for delta calculation
The model was calculation the order size that required a margin equal to
the given delta. This fix makes it so that it calculates the position
group order quantity required to get the given buying power delta,
taking into account the holdings for the existing position group in the portfolio.
* Fix PositionGroupBuyingPowerModel quantity for delta calculation
* Add unit tests
* Add unit tests
* Add unit tests
* Housekeeping
* Housekeeping
* Adapt unit tests and move messages to Messages class
* Improve quantity calculation for target BP loop
- PositionGroup.Quantity is now always positive.
- Added PositionGroupExtensions.Closes method and use it to check if reducing a position in PositionGroupBuyingPowerModel.GetPositionGroupBuyingPower. This is necessary since now a PositionGroup side is always "long" (see first bullet point).
* Improvements
* Improvements and new PositionGroup unit tests
* Unit tests improvements
- HasSufficientBuyingPowerForOrder test cases were completely updated to
make it accurate in terms of Lean's margin calculation.
- BuyingPowerForPositionGroupCalculation test was fixed in order to get
the correct expected result.
* Fixes for failing tests
* Added additional check to OptionStrategyMarginCallEventsAlgorithm
* Improve documentation comments
* Fix option strategies BuyingPowerForPositionGroupCalculation unit test
* Fix PositionGroupBuyingPowerModel.GetPositionGroupBuyingPower
Also address peer review
* Minor changes
* Update unit tests for new inverse strategies
Also fixed PositionGroupExtensions.WithQuantity to resolve inverse
strategy
* Minor fix
* Allow target/delta to go to the opposite direction of the position group
* Housekeeping
* Handle quantity for target/delta BP request for different reference position group
* Revert removal of PositionGroupBuyingPowerParameters.Direction
* Minor changes
* Peer review
* Minor tweaks on the position group buying power model
* Minor fix
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* Implement Trailing FreePortfolioValue
- Implement Trailing FreePortfolioValue by default, users will be able
to set it to a fixed number if desired. Adding regression algorithm
- Setting the default 'MinimumOrderMarginPortfolioPercentage' from 0 to
0.1% of the TPV to avoud tiny trades by default
* Update existing regression algorithms
* Address reviews
- Send warning message to the user if a trade does not happen due to the
default setting of the minimum order margin percentage value
* Address reivews
* Rename TotalPortfolioValueLessFreeBuffer
* Update new regression algorithm
* Minor fix CrunchDao Symbology
- Minor fix for CrunchDao Symbology. Updating existing tests
* Add missing symbol mapping
- Add IAlgorithm.Ticker(Symbol) functionality which will return the
latest ticker for the requested symbol at the current algorithm time
- SignalExporters will use Ticker to get the current symbol ticker
* Rename SecId GetTicker to Ticker
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* Solve bug and add regression test
The bug was raised because, when trying to use C#
MeanVarianceOptimizationPortfolioConstructionModel from a Python
algorithm, there wasn't a constructor that accepted a portfolio optimizer
as a PyObject. Additionally, there wasn't also a Python Wrapper to wrapp
that portfolio optimizer.
- Add PortfolioOptimizerPythonWrapper.cs
- Add constructor in
MeanVarianceOptimizationPortfolioConstructionModel.cs that accepts
portfolio optimizer as a PyObject
- Add regression algorithms to cover the changes
* Improve constructor overload implementation
* Change implementation to follow API pattern
* Enhance implementation and add unit tests
* Enhance implementation and add more unit tests
* Enhance implementation
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* Add short call calendar spread strategy and review margin calculation
* Add short Put calendar spread strategy and fixed naked short options margin calculation
* Minor changes
* Minor changes
* Minor changes
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* Solve the bug and add unit test
- The bug was raised because if something went wrong trying to register an indicator with a C# or a custom consolidator the exception raised was lost, because the catch sentence didn't return it with another exception
- A unit test was added asserting a exception with a related message was raised each time something went wrong with the consolidator
* Fix bugs and enhance unit tests
* Fix bug
* Handle unsupported orders and add unit tests
- Capture more Tradier Brokerage order limitations
- Add unit tests to cover this changes
* Enhance implementation and add more unit tests
* Enhance implementation and add unit test
* Remove IsMarketOrderGTC condition
* Remove error message MarketOrderIsGtc
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* Covered and Protective Call and Put
- Improve covered call and put margin requirements based on IB
- Add missing protective call and puts strategies (inversion of a
covered call). Adding unit tests
* Fixes
* Add missing tests
* Handle unsupported orders and add unit tests
- Capture more Tradier Brokerage order limitations
- Add unit tests to cover this changes
* Enhance implementation and add more unit tests
* Enhance implementation and add unit test
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* Fix the bug and add unit tests
- The bug was raised by different conditions.
First, the tick created in tick generator for Open Interest was not of type Open Interest.
Second, TickAggregator.cs was made to use daily resolution for OpenInterest always.
Third, the RandomValueGenerator, generated a random friday as expiration date for the option created but this one needed first two underlying data points, so if the expiration date was before the start date plus 3 days, RandomDataGenerator just generated OpenInterest data for the option.
* Add docs
* Add option strategy position group BPM tests
Tests added for calculating order quantity for a delta buying power
* Add option strategy position group BPM margin calculation tests
* Add option strategy position group BPM margin calculation tests
* Add option strategy position group BPM margin calculation tests
* Add option strategy position group available BPM calculation tests
* Add option strategy position group impact buying power calculation
* Housekeeping
* Unit tests improvements
* Unit tests improvements
* Add more unit tests
* Address peer review
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* Add forward data only fill model example
- Add forward data only custom fill model C# & PY example.
- Minor adjustment for 'MarketOrderFillTimeout' to be zero always in
backtesting
* Address reviews
* Add support for brokerage side new orders
- Add support for brokerage side new order events for liquidation cases
* Minor cash delta fix
* Improve account cash logging
* Fix null reference exception for open orders
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* Implement ShortableProviderPythonWrapper.cs
- Modify AllShortableSymbolsCoarseSelectionRegressionAlgorithm.cs and ShortableProviderOrdersRejectedRegressionAlgorithm.cs to use ShortableProvider from Security and not from the Brokerage model
- Add SetShortableProvider() overload method in Security.cs to set a custom shortable provider from Python
- Remove AllShortableSymbols() method from LocalDiskShortableProvider.cs
- Remove DefaultShortableProvider class
- Add regresion algorithms in C# to cover the changes done
* Revert "Merge process"
This reverts commit 775a4b8ec18e0f1562b72c27203ec0df84c8f675, reversing
changes made to bcc3e790f66fe744ea6f4cb2083c3e9d1881ea2f.
* Revert "Revert "Merge process""
This reverts commit aa18fb40eec2aa551ab7a81310ba4515270d6c1a.
* Solve bugs
- Solve bugs in DefaultMarkets, CanUpdateOrder() and CanSubmitOrder() methods from BrokerageModelPythonWrapper.cs
- Add regression algos in both Python and C# to cover the changes
* Catch potential errors and add unit tests
* Add more unit tests
* Nit change
* Enhance implementation, add more unit tests
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* Add IndexOptionPriceVariationModel
- Add IndexOption price variation model to handle price based minimum
price variation. Adding unit tests
* Minor improvements for VIX & VIXW
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* Refactor settlement mode api
- Add new Scan method on ISettlementModel API. To be used by
futures settlement model mark to market handling
- Use 'Parameters' classes for 'ISettlementModel'
* Address reviews
* Daily future settlement
- Implement daily future settlement. Adding unit & regression tests
* Address reviews
* Assert cash balance every day
* Refactor settlement mode api
- Add new Scan method on ISettlementModel API. To be used by
futures settlement model mark to market handling
- Use 'Parameters' classes for 'ISettlementModel'
* Address reviews
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* Implement ShortableProviderPythonWrapper.cs
- Modify AllShortableSymbolsCoarseSelectionRegressionAlgorithm.cs and ShortableProviderOrdersRejectedRegressionAlgorithm.cs to use ShortableProvider from Security and not from the Brokerage model
- Add SetShortableProvider() overload method in Security.cs to set a custom shortable provider from Python
- Remove AllShortableSymbols() method from LocalDiskShortableProvider.cs
- Remove DefaultShortableProvider class
- Add regresion algorithms in C# to cover the changes done
* Implement ShortableProviderPythonWrapper.cs
- Modify AllShortableSymbolsCoarseSelectionRegressionAlgorithm.cs and ShortableProviderOrdersRejectedRegressionAlgorithm.cs to use ShortableProvider from Security and not from the Brokerage model
- Add SetShortableProvider() overload method in Security.cs to set a custom shortable provider from Python
- Remove AllShortableSymbols() method from LocalDiskShortableProvider.cs
- Remove DefaultShortableProvider class
- Add regresion algorithms in C# to cover the changes done
* Solve bugs and nit change
* Address review
---------
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
Ricardo Andrés Marino Rojas