Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* 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>
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* 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
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
API Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
* 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>
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* 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
* 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
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* 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
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* tests passing except ResetProperly and WarmsUpProperly
* doc
* minor fixes
* doc - return
* fix InitializeIndicator call
* workaround ResetsProperly
* fix WarmsUpProperly test
* remove WriteLine
* remove WriteLine
* cr
* fix data
* open high low defaults to close when these columns don't exist into data
* simplify using ternary operator
* better fix for ResetsProperly
* fix some code conventions issues
* fix some review issues
* Update StochasticRelativeStrengthIndex.cs
* WIP
* All tests are passing except AcceptsRenkoBarsAsInput
* Update QuantConnect.Tests.csproj
* comment formating and use input.EndTime
* fix AcceptsRenkoBarsAsInput test
* fix InitializeIndicator call
* add symbol parameter to InitializeIndicator
* FI above FISH
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* Improve indicator warmup
- Allow indicator warmup to handle multiple symbols, used for option
greeks. Adding regression test
- Improve indicator history to handle specific T types. Adding unit test
- Remove period, and historical underlying volatility, from IV so
simplify warmup behavior
* Address review, fix minor issues
* Implement new indicator IBS
* remove using System
* typo
* doc fix
* Implement new indicator IBS
* remove using System
* typo
* doc fix
* inherit TradeBarIndicator and return 1m when High=Low
* duplicate spy_with_ibs
* returns 0.5 when High=Low
* Minor fixes for IndicatorHistory and IV
- Minor fix for IndicatorHistory, use ScaledRaw data normalization mode
for option indicators. Adding unit test
- Expand the IV expected upper range to 400%, given values can be higher
than previous value of 200%
- Adjust IV to use smoothing function only when both option calculations
succeed
* Updating regression algorithm expected greeks, minor change
* Implement new indicator ZLEMA
* Add script to generate reference data from talipp
* Some review fixes
* description
* use isReady
* use Delay(...)
* simplify ComputeNextValue
* Minor tweaks addressing review
* replace DateTime.UtcNow for specific date time instances
* remove unused imports
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* Handle expired options
* unit test
* Move Zero Checks to Single Location
---------
Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
Report Generator Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
- Make sure calling CSharp methods, fields, properties releases the GIL,
this was not hapenning for fiels & properties, adding unit test
reproducing the issue
* Initial boilerplate code
* Fix build failure
* Initial iteration for the code for Derivative Oscillator code
* Add foundation for unit tests
* Add reset method for test
* Add test case
* fixed test cases, all tests pass
* Put placeholder for IsReady change
Not implemented, as test cases fail when change is uncommented
* Update documentation and change class name
* Change names for Derivative Oscillator to more meaningful
* Add DO extension to create the indicator
* Provide variable definitions with var, replace old test file with new
* Use chaining for indicators creation
* Add test based on external data
* Change test file
* Fix WarmUp test + alphabetical order + rename indicator class
* Make all tests run except for external data tests
* Fixed warmup period and fixed the ResetsProperly test case
* Removed unused directives
* Add output directory for Derivative Oscillator test
* Minor tweaks
---------
Co-authored-by: HaentjeGH <l.m.j.haenen@student.tue.nl>
Co-authored-by: ivkozlov <ivkozlov@ozon.ru>
Co-authored-by: DanielVanRijswijk <d.j.v.Rijswijk@student.tue.nl>
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* Improve python exception message for cases when derived class uses member names already defined in base C# classes
* Update pythonnet version to 2.0.33
* Update error message
* Pythonnet version bump to 2.0.34. Minor unit test fix
* Enhance pythonnet overload tests
---------
Co-authored-by: Jared <jaredbroad@gmail.com>
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* 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
* Allow mirror contract and smoothing IV
* Python wrapper on smoothing IV
* helper method update
* Add forward tree model
* modify and add unit tests and data
* address peer review
* address peer review
Build & Test Lean / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* Implement VaR in PortfolioStatistics
* Added ValueAtRisk indicator
* Refactored ValueAtRiskTests
* Added returns column to test data
* Change indicator helper method name
* Addressed comments
* Chande Variable Index Dynamic Average (VIDYA) Indicator
* Improvements
* Improvements
* Final Changes
* Editted, Retested
* Comments
* Minor Corrections
* Updated Datetime Format of test data to US Standards
---------
Co-authored-by: Pronoy Chowdhury <rokstarr.dbz@outlook.com>
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Add IV indicator
* Fix bug
* Add QCAlgorithm helper method
* Add unit tests
* Add OptionPricingModelType, as option for greeks & IV estimation
* Nit, and fix bug
* Address peer review
* Fix bug
* Fix bug on CRR
* Ensure test indicator initiate correctly
* Address 2nd review
* Check for FOPs and index options as well
* Add comparison with QuantLib
* CRR not follow BSM
* minor bug fix
Jhonathan Abreu