* Add trailing stop orders base implementation
* Handle trailing stop order prices rounding
* Implement trailing stop orders fill logic
* Minor fill model changes
* Add ApplySplit to fill model interface for models that might need to be aware of splits.
Filling trailing stop orders require keeping track of min/max prices, which need to be split adjusted.
* Add brokerage order updated event for communicating certain order types prices changes
* Add order update event args class for brokerage side order updates
* Revert IFillModel.ApplySplit
* Add trailing stop orders regression algorithm
* Updated order ticket demo algorithm to include trailing stop orders
* Some cleanup
* Support trailing stop orders in IB brokerage model
* Some cleanup
* Fix failing tests
* Fix failing regression algorithm
* Address peer review
* Add trailing stop price calculation unit tests
* Minor changes
* Minor change
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* Implement RangeConsolidator
It turned out that the behavior of RangeConsolidator was similar to
ClassicRenkoConsolidator. Then, some of the ClassicRenkoConsolidator
methods, were abstracted to new class called BaseTimelessConsolidator.cs,
from which both RangeConsolidator and ClassicRenkoConsolidator could
inherit, therefore resusing code. The following tasks were done:
- Create RangeConsolidator.cs
- Create RangeBar.cs
- Create BaseTimelessConsolidator.cs
- Create RangeConsolidatorTests.cs
- Modify ClassicRenkoConsolidator.cs
* Allow intermediate/Phantom RangeBar's
- Enhance unit tests
- Nit changes
- Allow intermediate/Phantom RangeBar's on RangeConsolidator
* Nit changes
* Create ClassicRangeConsolidator and more changes
- Add regression tests
- Enhance unit tests
* Address required changes
* Address requested changes
* Address requested changes
* Add regression tests with Tick Resolution
* Address required changes
* Increase Range for RangeConsolidatorWithTickAlgo
* Add more unit tests and solve bugs
* Nit change
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- Always respect the minimum time in universe even if we haven't gotten
any data point yet. This is specially useful for live trading options
which are illiquid
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* Contract chain selection improvements
- Adjust contract chain selection behavior for futures and options so we
are sure to use the correct local time when filtering expirations.
Adding unit test reproducing issue
* Update futures regression algorithms
* Address reviews
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* Fix contract security filter universe
- Fix for contract security filter universe which would would use .Time
to filter expirations which could be yesterdays time at midnight
localtime. Adding unit tests reproducing issue
* Update regression algorithms
* Add security dynamic properties unit and regression tests.
These assert that dynamic properties that are instances of python classes that inherit c# classes keep their python object references.
* Minor change
* Bump pythonnet version to 2.0.21
* Fix security dynamic properties cast from PyObject
* Minor change
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* Address JB comment
* Remove repeated fields in BaseRenkoBar
- Add new unit test to all indicators that inherit from
IndicatorBase<TradeBar>. This test asserts the indicators can receive
RenkoBar's as input
* Add Regression test and improve unit tests
- Change `Volume` property from `RenkoBar.cs` since RenkoBar's don't
have Volume. Now it throws an error when accessed
* Address required changes
* Add Python regression test and enhance unit tests
* Enhance unit and regression tests
* Assert indicator current value at the end
* Allow more indicators to use Renko/VolumeRenkoBar
* Fix Security.IsMarketOpen for cases outside regular MH and last bar
* Minor changes
* Move bar check of IsMarketOpen into FillModel
* Minor changes
* Minor changes
* Minor changes
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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
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* Fix bug
The algorithm `CustomPartialFillModelAlgorithm.cs` was not working as
expected with short orders because in its Fill model, the variable
`absoluteRemaining` instead of decrease was being increased since
the `FillQuantity` in each call to this method was negative. Therefore
when this amount was substracted to `absoluteRemaining`, instead of
substract, it was added. Hence the method created more partial orders
than expected, specifically: 580 short orders for SPY with Quantity -10.
* Fix `CustomPartialFillModelAlgorithm.py`
* Address required changes
* Nit change
* Address required changes
* Make statistics available at runtime to algorithms
* Re-calculate statistics on every call
* Housekeeping
* Add regression algorithms
* Address peer review
* Support for custom summary statistics at runtime
* Minor changes
* Address peer review
* Address peer review
* Minor changes
* Minor changes
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* Implement indicator history through a rolling window
* Minor changes and extend unit tests
* Add regression algorithms
* Minor changes
* Update regression algorithms examples
* Move resizing logic from IndicatorBase to RollingWindow
* Add unit tests and other minor changes
* Minor fix
* Add unit tests and other minor changes
* Add unit test
- Lean engine will automatically add an options underlying if not
present, but in most cases the option chain will select the underlying
too, so let's make sure the configurations match. Previous to this
change 'fill forward' setting could be different causing the
underlying to be duplicated in the data stack
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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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* 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
* 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
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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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* Implement Unregister helper method
- Implement Unregister helper method, each indicator which hold a
reference to the consolidators updating it. Adding regression
algorithms
* Fix for QuantBook indicators
* Address reviews
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- Custom data universe selection market hours. Adding regression test
asserting the behavior. Updating existing tests due to market hours
change, triggering selection always, even the 4th of July 2018
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* Expire Instead of Clear Insights In Base PCM In OnSecuritiesChanged
* Fixes Regression Test
The regression was incorrect because `_removedSymbols` didn't retain the removed symbols from previous `OnSecuritiesChanged` calls, and the algorithm relances once per month. E.g. On day 1, SPY and FB were removed, on day 3 AAPL and IBM were removed and `removedSymbols` would only include AAPL and IBM.
We should hve fixed this problem before with:
```csharp
if (_removedSymbols == null) _removedSymbols = new List<Symbol>();
_removedSymbols.AddRange(changes.RemovedSecurities.Select(x => x.Symbol));
```
However the change to use Expire fixes the issue.
* Removes Unused List of Removed Symbols
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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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* 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
Martin-Molinero