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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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* 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
* Fix CA1819 and CA1002 warnings
Changed the type of Languages statistic in regression tests from
Language[] to List<Language>. By doing that, the warning CA1819 was
removed but then the warning CA1002 was raised. However, this warning
was expected to be excluded from QuantConnect.Algorithm.CSharp.
* Improve implementation
* Simplify code
* Fix bugs
* Add algorithm unit tests
* Add Brokerage unit tests
* Add Common unit tests
* Fix unit test bugs
* Add remaining unit tests
* Address requested changes
* Address requested changes
* Fix failing unit test
* Address requested changes
* Dynamic spdb
* Minor changes and unit test
* Get MHDB and SPDB refresh period from config
* Add databases refresh period to algorithm settings
* Address peer review and add unit test
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* Fix fill forward resolution adjustment on removal
- Fix fill forward resolution adjustment on subscription removal. Adding
regression algorithm reproducing issue
* Minor fix for undeterminism behavior on security removals and FF res change
* Further improvements and determinism
- Improve regression algorithm add, remove and readd future, asserting
FF resolution changes
- Adjust universe selection to be deterministic and avoid unnecessary
FF resolution changes
* 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
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* Round combo order prices
* Combo limit order round fix: use smallest security min price variation
* Minor unit test change
* Improvements and unit tests
* Minor change
* Cleanup
* 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: init Download proj
* feat: update docker file to copy download proj
* feat: parsing in cmd arguments
* feat: DataDownloadConfig model
feat: add config file
refactor: logic of parsing config
* feat: overrid ToString in DataDownloaderGetParameters
* remove: not used argument command
* feat: calculate downloading % (without ETA time)
* fix: dockfile copy path for DownloaderDataProvider proj
* feat: additional Property in .csproj
* remove: DataProviderFullName prop from DataDownloadConfig
* remove: extra package (ref from Configuration proj)
* feat: ETA calculation of downloading data
* Minor tweak
* rename: namespace of downloaderDataProvider to generic style format
* test: ETA from DownloaderDataProvider
* fix: calculate ETA like real downloading process
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* fix: download year file data only for hour and daily resolutions for options and index options
* minor fix: index options regression tests expected status
* Minor change
* minor: update regression algorithms stats
* Add Scheduled Universe Selection
- Adding `UniverseSettings.Schedule` that will allow users to
specify a custom selection schedule which is independent of the
underlying data frequency
- Adding unit and regression tests
* Add live trading schedule time shift
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* refactor: map files in lean/data folder
* feat: Indexers in MapFile
* feat: extension for mapFile and downloader param
* refactor: getAllTickers from MapFiles
* feat: addition out variable in TryParsePath
fix: tests with new variable
* refactor: DownloadDataProvider with getting all ticker with different DateTime Ranges
feat: test
* revert: "refactor: map files in lean/data folder"
This reverts commit 41fa26eb8627446028d4f2d4c536511ea82a9a48.
* revert: "feat: addition out variable in TryParsePath"
refactor: some actual changing
This reverts commit 9de482bd6490eecd1eeee83e035dfc1ece8d6415.
* revert: "feat: Indexers in MapFile"
fix: actual changes
This reverts commit 393181c6316a354a8cdcbfb093707cb545383a8a.
* remove: high performance Any validation
feat: validation on ticker start with specific sign
fix: option test
* feat: validation on mapping
refactor: when resolution less hour
test: new test cases + validation of SecurityType
* refactor: add additional day when return date range from MapFile
fix: FirstTicker instead of Permtick when generate new Equity
feat: validation of request Date in DownloaderDataProvider
refactor: by style proj DownloaderDataProvider
test:fix: starting Date in TestCases
* remove: duplicate code
* fix: check of income data.Time with requested Start/End-Date
* test:fix: download test cuz we can not get/write future data
* remove: extra Symbol Create mthd
* test:feat: validate of TryParse returns correct symbol
* remove: excess if condition
* test:remove: extra chaning
connected # 3a62adf54c42b01d28ff410e93e1ce277ee6d534
* refactor: split big method to small ones (add readability)
* fix: typo in xml description
* refactor: get the correct symbol value
* refactor: use local time instead of Utc in download Param extension
refactor: use struct instead of class
* test:fix: convert time to Utc from local time
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* Adds Rebate and Fee Rates to Shortable Provider
If the provider does have this information, the rates are zero.
* Adds Helper Methods to QCAlgorithm
- Improve summaries.
- Express values as rates instead of percentages.
- Adds headers to files to emulate real data
* Clarify the Data Format
* Removes Helper Methods from QCAlgorithm
* Removes `Shortable` and `ShortableQuantity` from Example
Algorithms should prefer getting the information from the `Security.ShortableProvider`.
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* Add schedule manager unit tests
* Add schedule manager unit tests
* Fix overriding security exchange hours
* Minor comments changes
* Minor change
* Add SecurityExchangeHours.Update method to set without changing the reference
* Minor change
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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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* feat: helper to return old name of symbols
feat: test
refactor: test a little bit neat
* feat: SplitHistoryRequest() with different mapped symbol
feat: test
refactor: RetrieveSymbolHistoricalDefinitions
* refactor: split historyRequest by historical symbol name
refactor: change location of extension
refactor: change location of test extension
* revert: extra changes
* fix: validation on RequiresMapping in SplitHistoryRequest
feat: add Future Symbol tests
* move: extension method to another file
* fix: wrong extension call param position
* fix: wrong extension call param position in test
* refactor: IEnumerable foreach to more simple form
feat: add TickerDateRange struct instead of Tuple
fix: test
* refactor: map extension alway returns empty result
* refactor: SplitHistory extension returns original HistoryRequest
* feature: new extension for RequiresMapping except Futures
* fix: validation of symbol map file to contains something
* refactor: extension test cases
* feat: assert of right ticker in tests
* fix: split historical request with using Local Time instead of UTC
fix: test description
* feat: test helper IEnumerable of TimeZones
* test: validate right EndDate with different TimeZones
* remove: validation of end of date
test: several new test cases
* feat: additional test with specific dateTime
* remove: extra Extension method validation on future and mapping
* Make sure continuous futures universe selection is performed right away on the start of the algorithm.
This ensures the Future.Mapped is not null
* Minor changes
* Minor fixes
* Update regression algorithms stats
* Add DC futures map file
* Update DC futures map file
* Update regression algorithms stats
* Include ETFs for immediate universe selection
* Include Coarse Fundamentals for immediate universe selection
* Include Futures Chain Universe for immediate selection
* Add Option Chain Universe test
* Include custom universes for immediate selection
* Minor updates
* Include constituents universes for immediate selection
* Minor update
* Minor changes, docs and stats updates
* Minor changes
* Minor changes and clean up
* Minor regression algorithm stat update
- Adjust live equity delisting to be map files based like splits and
dividends. Adding unit test
- Expand existing unit tests asserting delistings in live mode, set
securities to not tradable
* Delay security removal when there are pending settlements
* Add unit test
* Minor fixes
* Minor fix
* Replace HasUnsettledFunds method with UnsettledCash in ISettlementModel
* Minor fix
* Minor fix
* Address peer review
Replace ISettlementModel UnsettledCash property with GetUnsettledCash method that returns a CashAmount instead of a decimal to include the currency
* Minor fix
* Address peer review
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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
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* Implement backtest self-naming and self-tagging
* Minor unit test fix
* Minor api changes
* Minor changes
* Send packet messages when algorithm's name or tags are updated
* Minor fixes
* Address peer review
* Backtest name and tags API calls
Plus, first version of CI for API tests
* Add endpoint to update a backtest set of tags
* Minor GH actions change
* Address peer review
* Add algorithm naming and tagging unit tests
* Minor backtest API changes
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* Replace currency string formatting with Lean currency symbols.
Also clean up orders tags from having redundant information.
* Setting default order tag only after price currency is properly set
* Minor fixes and new unit tests
* Minor fixes
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* Initial draft of the solution
* Add improvments
* nit changes
* Improve implementation
* Enhance unit tests
* Add one more unit test
* Fix failing tests and update MHDB
* Add requested changes
* Nit change
* Add tweaks to MarketHoursDatabase class
* Solve bug and add unit tests
* Update unit tests
* Address requested changes
* Handle potential bug
* Nit change
* Minor review
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* 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
Roman Yavnikov