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* Dynamic security properties for quick objects storage
* Documentation and other minor changes
* Add Security indexer to access custom properties
* Address peer review
* Minor changes
* Improve regression algorithms
* Bumped pythonnet to version 2.0.19
* Bumped pythonnet to version 2.0.20
* Address peer review
* Fix position group BP calculation
* Fix position group BP calculation
* Extend option startegy buying power unit tests
* Fix option strategy buying power calculation to account for order direction
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* Add ShortButterflyCall and ShortButterflyPut strategies helper factory methods
* Reduce duplication by adding the base OptionStrategyFactoryMethodsBaseAlgorithm algorithm class
* Housekeeping
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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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* Handle liquidating option position with an option strategy
* Handle liquidating option position with an option strategy
* Minor changes
* Minor fix in default margin model margin call order generation
* 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
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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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* 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
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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
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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
* Fix multiple option strategies liquidation
When holding multiple position groups of the same underlying, reverting
one of the groups was not possible because of the presence of the other
position groups, which caused no matching groups to be formed for the
order.
* Make OptionStrategyPositionGroupResolver not group single position
* Revert make OptionStrategyPositionGroupResolver not group single position
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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>
- Create `SecurityDataFilterPythonWrapper.cs`
- Modifiy `Security.cs` to set a data filter, whether is a C#, Python derivative or custom data filter custom
- Add Python and C# regression algorithms to assert the changes
* Add extendedMarket parameter to every history api method overload
* Rename extendedMarketHours parameter
New name is extendedHours as in the History API to standarize parameters naming
* Update generic history overloads to use every matching subscription
* Update regression algorithms stats
* Centralize period-based history error for tick resolution
* Rename extended market hours parameter to extendedMarketHours
* Minor changes
* Minor changes
* Minor unit tests changes
* Minor unit tests changes
* Minor changes
* Minor unit tests changes
* Minor unit tests changes
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* Implement `OptionExerciseModelPythonWrapper.cs`
- Modifiy `Option.cs` to set the automatic exercise model, even if it's a python custom option model exercise model
- Add `QuantConnect.Orders.OptionExercise` in `AlgorithmImports.py`
- Add regression algorithms in C# and Python showing how to specify a custom option exercise model
* Address required changes
- Remove unnecessary constructor in
´CustomOptionExerciseModelRegressionAlgorithm.cs´
- Change `.Dispose()` in `OptionExerciseModelPythonWrapper.OptionExercise(9` to ´using´ keyword
- Change `Option.SetOptionExerciseModel()` XML docs
* Minor tweaks
* Update CustomOptionExerciseModelRegressionAlgorithm.cs
---------
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Handle position group margin calls
* Minor changes
* Update regression algorithms
* Minor changes
* Minor changes
* Added regression algorithm
* Peer review
* Peer review
* Peer review
* Peer review
* Minor changes
* Minor changes
* Add unit test
* Allow sufficient buying power when closing position group
* Add unit test
* Improve regression algorithms
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* Updated MHDB and CME currencies futures expiry functions
Some expiry functions needed to take into consideration the security
holidays
* Add more holidays to CME securities in MHDB
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* Invalidate option strategies orders when short selling over margin
When shorting an option strategy with margin requirements that cannot be
met, the order should be invalidated. The buying power model is now able
to detect said situation and result in unssuficient buying power.
The OptionsMarginModel now uses the parameters instance values instead
of the security holdings to compute margin requirements. This fixes the
situation when calculation buying power for a first time position with
no holdings.
* Add and fix unit tests
* Update regression algorithms
* Peer review
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* Fix fill quantity using group order quantity for combo orders
* Add Order's ComboQuantity property
* Add Order's ComboDirection property
* Minor changes and regression algorithms update
* Minor changes
* Update algorithms stats
* Minor changes and regression algorithms update
* Store the full quantity for each combo order leg in Quantity property instead of the ratio
* Minor changes and regression algorithms update
* A few fixes after pair programming
* Handle grouping position reduction
---------
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Performance Improvements
- Remove Immutable collection from position groups to improve
performance. Adding more tests
- Remove ConcurrentDictionary from PortfolioTargetCollection &
DataManager. Adding more tests
- Add Securities enumerator keys & values cache
* Add test for PortfolioTargetCollection remove by reference
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* Apply splits and dividends to volatility models
* Apply splits and dividends to volatility models using history requests
* Add new ScaleRaw data normalization mode
Handling the new mode in the price scale enumerator.
* DataNormalizationMode.ScaledRaw history requests
* Minor changes
* Minor changes
* Disable new normalization mode in AddSecurity methods and other minor changes
* Peer review
* Minor changes
* Peer review
* Minor changes
* Peer review
* Peer review
* Peer review
* Add scaled raw history regression algorithm
* Add more regression algorithms
* Add more regression algorithms
* Add Slice.TryGet unit tests
* Peer review
* Peer review
* Peer review
* Peer review
* Peer review
* Update algorithms stats
* Peer review
* Peer review
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* Refactor alpha statistics
- Refactor alpha statistics, cleaning up and simplifying no longer required calculations and scoring
- Adding new InsightEvaluator abstraction, adding C# & PY regression
algorithms
* Optimization backtest result json converter update
* Address reviews
- Remove IAlphaHandler, move insight storage responsability to IResultHandler
and centralizing insight collection on the QCAlgorithm.Insights to be
reused by the framework models
- Fix portfolio turnover single day backtests and duplicate time
sampling handling. Updating regression algorithms
* Add InsightCollection tests and minor fixes
* Adding more & improved tests
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* IsOption uses underlyings holidays
- Option assets will use underlyings holidays, early closes and late
opens if their own are not defined
* Update regression algorithms
* Adds NullBuyingPowerModel
The `NullBuyingPowerModel` considers that we have sufficient buying power for all orders.
Adds example using a bull call spread since a equity buy and hold would not show the impact of this model in the position group buing power model.
* Define NullBuyingPowerModel.GetMaintenanceMargin
The `NullBuyingPowerModel.GetMaintenanceMargin` returns a `MaintenanceMargin` of zero. It means the total margin used is always zero and margin calls will not be triggered.
This feature is inspired on the `ConstantBuyingPowerModel`. We don't inherit from that class, because `ConstantBuyingPowerModel.GetInitialMarginRequirement` gives us very small initial margin that leads to a very large quantity if we use `SetHoldings` or `CalculateOrderQuantity`
Jhonathan Abreu