* Fix pandas converter to handle list of data with different symbols
* Properly convert list of data into dataframe
Take into consideration data for multiple symbols in the same list
* Cleanup
* Index dataframes by symbol object instead of SID string
* Add symbol equality operator to compare against object
* Exclude "ID" from option chain dataframe
* Minor fix
* Add greeks columns directly in option chain dataframe.
Also add pass-through properties for greek values in OptionUniverse
* Some cleanup
* Minor fix
* Add new QCAlgorithm.OptionChains() method
- Use OptionChains as output
- Add DataFrame to OptionChain and OptionChains
- Rename Greeks classes
- Add ISymbolProvider for classes that have a symbol (IBaseData, OptionContract)
* Unify QCAlgorithmOptionChain API
Also refactor OptionContract to handle: (1) Actual market data and option price model data, and (2) OptionUniverse data
* Pass symbol properties to OptionUniverse option chain from algorithm
* Format OptionContract for dataframe
* Minor fix
* Add multiple option chains api regression algorithms and other minor changes
* Address peer review
Add NullGreeks class: keep ModeledGreeks as internal as possible
* Minor fix and add PandasConverter unit tests
* Peer review: Non-thread-safe Lazy for Python
* Handle Greeks unwrapping by PandasData
* PandasData cleanup
* Add data and other minor changes
* Unit test fix
* Update Pythonnet to 2.0.39
* Cleanup
* PandasData handling children class members
Address peer review
* Fix: indexing symbol conversion in pandas mapper
* Fix pandas mapper to convert string keys to symbol only when necessary
* Cleanup
* Cleanup
* Add PandasColumn python class to handle proper indexing
This allows propery hash and equality between Symbols, C# strings and Python strings
* Minor fixes
* Symbol cache improvements
* Minor fix for cache miss
* Revert PandasMapper reserved names and improvements
* Minor fix
* Revert reserved names
* Minor fix for Symbol equality operators
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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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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* 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>
* Define Iron Butterfly and its buying power model
* Add unit tests
* Add regression test
* Address peer review
* Add short iron butterfly and short iron condor
* Add unit tests on short strategies
* add regression algorithms
* Invert direction of iron butterfly
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* Add Protective Collar Option Strategy
* Add buying power model for Protective Collar
* Add unit test for Protective Collar
* Add regression test for Protective Collar
* Add unit test on position group buying power
* allow same strike for later abstraction
* minor bug fix
* Set up conversion option strategy
* add margin requirement
* add unit tests
* Add regression test
* add reverse conversion definition
* add reverse conversion and refactor conversion/collar margin model
* added/modified unit tests for conversion/reverse conversion
* minor bug fix on unit test, add regression test
* Address peer review
* update new set of IB testing data
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* 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
* Improves Error Handling in OptionPriceModelResult.Evaluate
Use the maturity calculation to calculate dividend and risk free discount to prevent the `negative time` error.
Adds Exception Message and StackTrade to `DebuggingEnabled` messages.
* Set Evaluation Date Before Every Calculation
Adds loggings to record the reference date which is set by the `Settings.setEvaluationDate` method.
* Async universe selection
- Add support for async universe selection, which will happen ahead of
time in the data stack for a performance improvement
* Thrown if using Coarse+Fine Asynchronous Universe selectioon
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* Add unit test and test data
* Add unit test for model greeks accuracy and comparison
* Add regression test
* Correction on previous unit test to use realtime official IB Greeks
* Switch default American option price model to CRR model
* Address peer review
* Changed argument exceptions so that they used the nameof() operator for parameter names
* Update IQSocket.cs
---------
Co-authored-by: John Doe <john@doe>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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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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* 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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* 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
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* Add short call calendar spread strategy and review margin calculation
* Add short Put calendar spread strategy and fixed naked short options margin calculation
* Minor changes
* Minor changes
* Minor changes
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* Covered and Protective Call and Put
- Improve covered call and put margin requirements based on IB
- Add missing protective call and puts strategies (inversion of a
covered call). Adding unit tests
* Fixes
* Add missing tests
* Refactor settlement mode api
- Add new Scan method on ISettlementModel API. To be used by
futures settlement model mark to market handling
- Use 'Parameters' classes for 'ISettlementModel'
* Address reviews
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* Implement `OptionExerciseModelPythonWrapper.cs`
- Modifiy `Option.cs` to set the automatic exercise model, even if it's a python custom option model exercise model
- Add `QuantConnect.Orders.OptionExercise` in `AlgorithmImports.py`
- Add regression algorithms in C# and Python showing how to specify a custom option exercise model
* Address required changes
- Remove unnecessary constructor in
´CustomOptionExerciseModelRegressionAlgorithm.cs´
- Change `.Dispose()` in `OptionExerciseModelPythonWrapper.OptionExercise(9` to ´using´ keyword
- Change `Option.SetOptionExerciseModel()` XML docs
* Minor tweaks
* Update CustomOptionExerciseModelRegressionAlgorithm.cs
---------
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Invalidate option strategies orders when short selling over margin
When shorting an option strategy with margin requirements that cannot be
met, the order should be invalidated. The buying power model is now able
to detect said situation and result in unssuficient buying power.
The OptionsMarginModel now uses the parameters instance values instead
of the security holdings to compute margin requirements. This fixes the
situation when calculation buying power for a first time position with
no holdings.
* Add and fix unit tests
* Update regression algorithms
* Peer review
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* Fix fill quantity using group order quantity for combo orders
* Add Order's ComboQuantity property
* Add Order's ComboDirection property
* Minor changes and regression algorithms update
* Minor changes
* Update algorithms stats
* Minor changes and regression algorithms update
* Store the full quantity for each combo order leg in Quantity property instead of the ratio
* Minor changes and regression algorithms update
* A few fixes after pair programming
* Handle grouping position reduction
---------
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* IsOption uses underlyings holidays
- Option assets will use underlyings holidays, early closes and late
opens if their own are not defined
* Update regression algorithms
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* Expand Index option support
- Adjust APIs so that the same underlying can be used
for different options, adding support for SPX weekly options. Adding
regression tests
* Fix IndexOption.IsStandard
* Add IndexOption test
* 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>
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* WIP
* Add base currency cash
* Symbol properties and data processing
* Add basic template algorithm
* Add hourly crypto future algorithm
* Minor fixes after live trading testing
* CoinApiDataQueueHandler CryptoFuture support
* Address reviews
* Fix regression algorithms after update
* Fixes Regression Algorithm Testing No Warm Up Requirement
* Removes Volatility Model Warm Up Requirement
If the volatiliy model is not ready, we will use the Brenner and Subrahmanyam (1988) approximation (BS88).
Lean will not set the volatility model if the user doesn't, since the BS88 can handle the null model case.
Jhonathan Abreu