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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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* 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
* Add indicator helper methods for base Algorithm
- Add indicator helper methods for base algorithm. Adding new unit tests
* Expand indicators helper methods
- Expand indicators helper methods, adding support for C# and custom
indicators too. Adding unit tests
- Expand indicators helper methods to support multiple symbols as input.
Adding unit tests
- Improve conversion of symbol enumerable from python to C# adding unit
tests
* Address reviews
- Keep old QB.Indicator methods for backwards compatibility
- Rename new API to IndicatorHistory, matching
FutureHistory/OptionHistory
- Add new regression algorithms
- Minor improvement to DynamicData so it supports snake name access
* Daily data Time & EndTime Improvement
- Adjust daily data Time & EndTime to actually reflect the time of the
data used, for example US Equity from 9.30 to 4PM. Adding new unit and
regression tests
* Refactor solution to use enumerator
- Refactor daily strict end times solution to be through enumerator
usage, so it applies for history providers too
* Minor fixes
* Revert fill forward enumerator change
- Revert FillForward enumerator causing stats changing, enhancing unit
tests
* Some cleanup
* Improve handling of live trading FF enumerator
- Improve handling of live trading FF enumerator, by adding support for
bars to arrive with a delay so we can handle auction close/option
prices or data providers which might have some delay making the data
available. Adding new unit tests asserting the behavior
* Fix: python consolidator reference lost when wrapped
* Make BasePythonWrapper equatable depending on the PyObject underlying reference
* Fix: TryConvert PyObject instances for generic C# types
* Minor unit tests fixes
* Address peer review and add unit tests
* Fix: source custom data from remote CSV zipped file
* Fix: Custom data sourcing zip entry names from remote locations
* Address peer review
* Add unit tests
* Minor fix
* Address peer review
* Minor fixes
* Return byte array in IApi.DownloadBytes
* Allow sourcing custom data from specific csv entry in a zipped remote file
* Minor change
* feat: support snake-case style Python QCAlgorithm implementations
* feat: add unit tests and minor fixes
* feat: implement new BasePythonWrapper class for python wrappers.
Used to cache methods and contains invoke functionality
* feat: make python wrappers implement the new base class for pep8 style support
* feat: keep overriden methods in Algorithm Python Wrapper
* feat: add unit tests for custom models algorithms with PEP8 style
* Bump pythonnet version to 2.0.30
* fix bugs and address peer review
* Address peer review
* Minor revert
* feat: StubsIgnoreAttribute for ignoring members or classes by the stubs generator
* Minor fixes
* Minor fix
* Minor fix
* Bump pythonnet version to 2.0.31
* Added Greeks.Lambda_ alias of Lambda for python compatibility.
Remove unused method
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* Add support for auxiliary data history request
- Add support for split/dividends/margin interest history requests.
Adding regression algorithms
* Expand auxiliary history regression tests
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* Refactor universe historical data source
- Add new universe history API methods
- Refactor QuantBook UniverseHistory to use the universe selection
itself instead of a given func
- Refactor and rename fundamental types
- Refactor AddUniverse API to handle universe collection data which
holds another type internally, like fundamental
* Fix minor bug causing ApiDataProvider not to serve Bitfinex universe data
* Further improvements to add universe API
* Handle no selection function
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* Minor chart improvements
- Add base series tooltip template. Adding unit tests
- Reduce null chart points to a single addition
* Add null values always
* Fixes & minor tweaks
* Serialize ChartPoint as array
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* Portfolio state chart
- Cleanup and renames
- Add series.IndexName. Uodating unit tests
- Add Chart.LegendDisabled. Adding new unit tests
- Add ChartPoint.Tooltip. Updating unit tests
- Minor compression tweak. Adding unit test
- Add ChartJsonConverter. Adding unit tests
* Minor chart serialization order tweak
* Refactor portfolio state sampling and storing
* Move PortfolioMargin into a lean side chart
* Fix bug in ETFConstituentUniverseSelectionModel()
The bug was raised after calling an overload constructor using just the
ticker as parameter. Since the universeFilterFunc was null, the method
Extensions.TryConvertToDelegate<T> returned true and thus, the filter
func assigned was the one returned by the method
`ConvertToUniverseSelectionSymbolDelegate()` which used the null
filterfunc.
* Handle potential future bugs
* Handle/filter brokerage side orders
* Add unit tests
* Minor fix
* Add unrequested security for new brokerage-side orders
* Add unit test for algorithms overriding the brokerage message handler
* Add unit test for python algorithm overriding the brokerage message handler
* Minor change
* Address peer review
* Add support for null chart points
- Add support for null value chart points, updating existing and adding
new unit tests
* Minor selfreview tweaks
* Address review & fix deserialization bug
* Ignore null values when using NullResultValueTypeJsonConverter
* Narrow NullResultValueTypeJsonConverter conversion support
* Allow inherit of series sampler
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* Candlestick charts base implementation
* Series and Candlestick series json serialization
* Some cleanup
* Add AddPlot method for candlestick series to QCAlgorithm
* Remove Values property from ISeriesPoint
* Add candlestick QCAlgorithm.Plot trade bar methods
* Implement candlestick series re-sampling
* Add more SeriesSampler unit tests
* Add examples of candlestick charts usage to exisiting charting algorithm
* Address peer review
* Address peer review
* Derive Candlestick from Bar
* Sampler changes
* Add new series types from the cloud
* Add more candlestick series sampler tests
* Minor cleanup
* Minor changes
* 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
* 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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* 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
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- Validate cache folder exists before using it
- Avoid duplication fetching factor & map files path
- Adding helper method to check if directory is empty. Adding unit tests
* 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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* 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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* Fix future daily price scale factor update
- Fix future daily price scale factor update which was happening 1 day
late due to data and exchange time zone differences.
Adding regression algorithm reproducing and asserting it.
* Address review
* 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>
Jhonathan Abreu