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* Fix: adjust option expiry reference date
* Add universe files
* Update data and other minor changes
* Minor changes
* Add regression algorithm summary
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* EUREX data
EUREX data model and sample data
* Add EUREX futures expiry function and sample algorithms
* Add EuroStoxx50 futures map and factor files
* Reduce eurex data for repo
* Map eurex market to primary exchange
* Update Euro Stoxx 50 (FESX) map and factol files
* Update Euro Stoxx 50 (FESX) minute data
* Added EURSD data
* Added 2 basic FESX futures algorithms in CSharp and Python (#2)
* Add regression algorithms
* Update regression algorithms and data
* Minor change
* Cleanup
---------
Co-authored-by: paulius-an <118921953+paulius-an@users.noreply.github.com>
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* Add new QCAlgorithm.OptionChain method to get full data option chain
* Add extension method to get canonical symbol
* Support future options in new OptionChain method
* Replace option chain provider with OptionChain method in some regression algorithms
* Add new regression algorithms for OptionChain method
* Replace option chain provider with OptionChain method in some regression algorithms
* Minor
* Cleanup
* Minor changes in regression algorithms
* Minor adjustments
* First draft of the solution
* Handle end date better
* Improve unit tests
* Add extra argument in missing method
* Nit change
* Nit change
* Nit change
* Undo changes to C# generic UniverseHistory()
* Address suggestions
* Improve unit test
* Add null checks
* Minor adjustment
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* Initial options universe with greeks implementation
* Options universe improvements
* Address peer review
* File based options universe fixes and improvements.
- Adjust OptionUniverse start-end times and period.
- Adapt unit tests and some algorithms to pass with new options universe selection.
* Updated options regression algorithms stats for new universe data
* Updated options regression algorithms stats for new universe data
* Updated options regression algorithms stats for new universe data
* Updated options regression algorithms stats for new universe data
* Updated options regression algorithms stats for new universe data
* Option chain provider with new options universe
* Allow canonical option history requests
* Address peer review
* Address peer review
* Fix symbols parsing in OptionUniverse
* Fix universe selection subscriptions start time to not include extended market hours
* Minor changes
* Minor changes
* Peer recommended changes and fixes
* Update regression algorithm stats
* Update regression algorithms stats and minor fixes
* Fix option chain provider history request
* Round option indicators values
* Added option universe csv header property
* Update regression algorithms stats
* Update regression algorithms stats
* Data fixes and regression algos stats update
* Unit test fixes
* Minor changes
* Option chain handling in live trading data feed
* Minor changes
* Added processed data provider
* Fix thread-safety violation in Slice class
* Minor change
* Update options filter universe API to use OptionUniverse data
Add new filter methods for greeks, IV and open interest
* Option filter universe api updates
* Add OptionUniverse history regression algorithms
* Add regression algorithms for new options filter universe api methods
* Added options greeks data and updated regression algorithms
* Address peer review
* Address peer review
* Add more assertions to new options filter api regression algorithms
* Minor performance improvement.
Reduce greeks binomial model steps to 140
* Minor tests updates
* Greeks numerical models performance improvements
* Greeks numerical models performance improvements
* Revert array pool change for option pricing numerical models
* Update default dividend yield provider depending on option type
* [TEST]
* Add helper method con calculate time till expiration
* Use double in price option numerical models
* Implied volatility calculation improvements
- Adjust root finding method accuracy as a factor of the option price
- Use BSM to get a first guess
* Cleanup
* Some regression algorithms and unit tests cleanup
* Regression tests updates after rebasing from master
* Add universe files
* Self review and cleanup
* Minor regression tests updates after rebase
* Fix: set data time zone to same as exchange tz for options universes
* Minor change
* Minor change
* Fix for live trading options universe selection
* Keep underlying when aggregating collections in BaseDataCollectionAggregatorEnumerator
* Update index options regression algorithms stats
* Minor change
* Address peer review
* Memory usage improvements
* Minor build fix
* Minor changes and test fixes
* Cache symbols in OptionUniverse
* Cleanup
* Fix index option creation in OptionUniverse
* Use cached underlying SID when parsing from string
* Abstract symbols cache to BaseDataCollection
* Return actual underlying symbol when mapping decomposing ICO ticker
* Address peer review
* Minor performance improvements reduce garbage
* Limit Symbols and SIDs cache size to help with memory usage
* Minor fix in symbols and sid cache cleanup
* Build fix
* Lazily parse greeks on individual access
* Cleanup and tests
* Address peer review
* Minor greeks fix
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* refactor: adding OrderId in GroupOrderManger
* feat: new support of OrderTypes in TradeStationBrokerageModel
feat: unSupported OrderTypes in CanUpdateOrder's TradeStationBrokerageModel
* feat: AllOrNone property in TradeStationOrderProperties
* feat: unsupported SubmitCrossZero of Combo Order in TSBrokerageModel
* test:feat: submit / update CrossZero Combo Orders
* feat: new Message Brokerage error message
refactor: use new Message in TradeStationBrokerageModel
* feat: setter of Id in GroupOrderManager
* feat: new constructor of GroupOrderManager
* feat: develop GroupOrderCacheManager service
* fix: groupOrderManger.Id in OrderProvider
* fix: incrementOrderGroupOrderManagerID in BrokerageTransactionHandler
feat: add _groupOrderManagerId in OrderProvider
* remove: extra semicolon
* refactor: prevent increment GroupOrderID
* feat: add new Exchanges
* feat: Try Get Group Combo Orders extension
* refactor: ComboORderType in TSBrokerageModel
* remove: implementing of prop ID in GroupOrderManager
* refactor: UnsupportedCrossZeroByOrderType message
* fix: warning of UnsupportedCrossZeroByOrderType
* fix: several exchanges code based on tradier docs
https://documentation.tradier.com/brokerage-api/reference/exchanges
* feat: add missed Exchange in Global class
* refactor: possible update LimitPrice in TSBrokerageModel
test:feat: validate upddate LimitPrice of ComboLimit Order
* refactor: GroupOrderCacheManager
remove: TryGetGroupCachedOrders from extension
* refactor: exchange SPHR to MIAX_SAPPHIRE
* remove: Exchange BYX cuz It is BATS_Y
* refactor: change position of Exchange C2
* refactor: change constructor's access modifier in class Exchange
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* First draft of the solution
* The same check for crytpo is done before
* Fix failing unit tests
* Remove non perpetual crypto futures from SPDB
* Address requests
* Fix failing unit tests
* Adds Overload to AddIndexOption
Simplify usage. We don't need to create/add the underlying explicitly, see AddIndexOption(string, Resolution, string, bool) overload.
* Addresses Peer-Review
- Default market is `null` instead of `Market.USA` allowing for `BrokerageModel` setup.
- `AddIndexOption` and `AddIndexOptionContract` methods now return `indexOption` objects.
* Fixes Logic Bug
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* Minor indicator history fix
- Take into account warmup period when used, the last bar of the warmup
period is counted as a data point.
- Fix bug where in some cases the last data point could of been missed
and the indicator not updated with it
* Minor tweak
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* Fix dividend yield calculation
* Get security price as input for dividend yield provider
* Account for splits in dividend yield provider
* Fix split adjustment for dividend yield calculation
* Use right dividend yield in options indicators
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* Implemented the vortex indicator.
* changed the vortex.cs calculations
* chore: Refactor VortexTests.cs and QCAlgorithm.Indicators.cs
* Refactor VortexTests.cs
* made changes according to the comments
* used indicator exxtension methods
* made changes in the naming convention and added condition for division by zero.
* Using composite indicators to clean up
---------
Co-authored-by: Jhonathan Abreu <jdabreu25@gmail.com>
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* Default daily precise end times
- Enable by default daily precise end times. Updating stats
- Minor fix for algorithm manager consolidator updates, adding new regression test
asserting behavior and updating others
- Minor fix for SubscriptionData creator avoid round down on warmup if
not appropiate
- Adjust consolidators to emit on daily strict end times if requested
daily resolution and setting enabled
- Updating regression algorithms
* Skip daily data on extended market hours
* Some cleanup and self review
* Revert unrequired change
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* First draft of the solution
* Reduce duplication and add more properties
* Add regression tests
* Add xml docs
* Add unit tests
* Improve regression and unit tests
* Address requested changes
* Address request and improve unit tests
* Add unit test and fix bug
* Improve unit tests and implementation
* Nit change
* Address reviews
* Improve regression tests
* Address requests
* Fix bug
* Address requests
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* Implements ChandeKrollStop
* readonly
* Move IsReady/WarmUpPeriod above the constructors
* remove private _period
* minor
* rename Stops to Short/Long
* using Maximum/Minimum
* fix tests
* rename some variables and use movingAverageType for ATR
* movingAverageType
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Commit d24f665ee4 removed the
Engine/AlgorithmManager.cs support for OnData(TradeBars), making these
methods dead code. Hence, some of these algorithms no longer placed
orders. Fix by changing OnData(TradeBars) to OnData(Slice). Files that
use the TradeBars argument or use OnData(Dividends) have the same
trouble; leave them for future work.
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* feat: new constructor of AlgorithmNodePacket
* refactor: extract JobQueue configuration
* remove: not used `using` in IDataDownloader
* feat: create BrokerageDataDownloader
* Revert "refactor: extract JobQueue configuration"
This reverts commit 5778936b712befd6e367bee3decc4a3565ca69af.
* Revert "feat: new constructor of AlgorithmNodePacket"
This reverts commit d7a565ff761243ae1391bd45fd10c93221f0329e.
* feat: new config `data-download-brokerage` in DataDownloadProvider
* refactor: initialize in BrokerageDataDownloader
* remove: not used `using` in Program's DataDownloadProvider
* remove: not used ref on QuantConnect.Queue proj
* refactor: use default market based on SecurityType
* refactor: MarketName in DataDownloadConfig struct
test:feat: validate MarketName
* feat: support Canonical Symbols in BrokerageDataDownloader
* remove: not used command arguments
* feat: init CacheProvider of IOptionChainProvider in Downloader
* feat: add brokerage message event in BrokerageDataDownloader
* Set best recommended model based on option style.
The best option model will be used in options indicators based on option style if not specified
* Reduced Greeks/IV numerical models steps to 100
* Minor fixes
* Minor changes and improvements
* Changed default pricing model for IV
* Minor performance improvements
* Minor performance improvements and fixes
* Minor change
* Minor regression algorithm fix
* Update greek indicators internal IV indicator only when not user provided
* Revert unnecessary changes
* Minor changes
* Cleanup
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* implement Rogers-Satchell volatility
* naming RSVolat to avoid confusion between volume and volatility
* fix InitializeIndicator call
* fix AcceptsRenkoBarsAsInput test
* add symbol parameter to InitializeIndicator
* Update RogersSatchellVolatility.cs
* some fixes after review
* Return 0 when Open High Low or Close is 0
* IBaseDataBar
* Made changes in the ParseOptionTickerOSI function. Now it can handle both with and without space
* added new function GenerateOptionTickerOSICompact and added the test cases for it, expanded test cases for ParseOptionTickerOSI
* added assertions for strikePrice and date, corrected the indentation
Jhonathan Abreu