* Test
* Fix price shift on continuous future rollover
* Keep track of both data and exchange time in subscription data reader
* Fix for daily and hourly resolutions.
Add daily and hour algorithms
* Fixes for emitting new exchange dates at the beginning and end when data is not available
* Cleanup
* Minor fix
* Minor fix: detect mapping in data reader after advancing time keeper
* Minor fix
* More fixes
* More fixes
* Fixes for universe files
* More fixes for daily resolution data
* Separate DateChangeTimeKeeper to its own file
* Add DateChangeTimeKeeper unit tests
* Minor fix
* Add more DateChangeTimeKeeper unit tests
* Address peer review
* Address peer review
* Address peer review
* Detect mappings using the config NewSymbol event
* DateChangeTimeKeeper performance improvement for time zone conversions
* Clean up date change time keeper
* Cleanup
* Minor regression algo update
* Cleanup
* Cleanup
* Fix perform universe selection on sundays for continuous futures with extended market hours
* Cleanup
* Address peer review
* More cleanup
* More cleanup
* 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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* 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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* 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
* 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
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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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* 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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* Support CFDs in IB
* Add new currency pair util method
* Minor changes to IB fee model and tests
* Add CFD USA market hours
* Add new Market interactivebrokers for cfds
* Add sample algorithm illustrating manually adding market hours to MHDB
* Update MHDB and SPDB
* Update symbol-properties-database.csv
Updating Symbol properties database to reflect kraken API information.
#### Description
Updated the market_ticker column of Symbol properties database to reflect information as per Kraken API.
#### Related Issue
Close#7794
#### Motivation and Context
We updated symbol mapping for the Kraken market.
#### Requires Documentation Change
No
#### How Has This Been Tested?
<!--- Please describe in detail how you tested your changes. -->
<!--- Include details of your testing environment, and the tests you ran to -->
<!--- see how your change affects other areas of the code, etc. -->
#### Types of changes
<!--- What types of changes does your code introduce? Put an `x` in all the boxes that apply: -->
- [ ] Bug fix (non-breaking change which fixes an issue)
- [ ] Refactor (non-breaking change which improves implementation)
- [ ] Performance (non-breaking change which improves performance. Please add associated performance test and results)
- [X] New feature (non-breaking change which adds functionality)
- [ ] Breaking change (fix or feature that would cause existing functionality to change)
- [ ] Non-functional change (xml comments/documentation/etc)
#### Checklist:
<!--- The following is a checklist of items that MUST be completed before a PR is accepted -->
<!--- If you're unsure about any of these, don't hesitate to ask. We're here to help! -->
- [X] My code follows the code style of this project.
- [X] I have read the **CONTRIBUTING** [document](https://github.com/QuantConnect/Lean/blob/master/CONTRIBUTING.md).
- [X] I have added tests to cover my changes. <!--- If not applicable, please explain why -->
- [X] All new and existing tests passed.
- [X] My branch follows the naming convention `bug-<issue#>-<description>` or `feature-<issue#>-<description>`
<!--- Template inspired by https://www.talater.com/open-source-templates/#/page/99 -->
* Update symbol-properties-database.csv
- Update as per peer review
* Correction
* 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
* Models OZN: 10-Year US Treasury Future Options
<!--- Provide a general summary of your changes in the Title above -->
#### Description
We added future option for OZN
#### Related Issue
Close#7783
<!--- This project only accepts pull requests related to open issues -->
<!--- If suggesting a new feature or change, please discuss it in an issue first -->
<!--- If fixing a bug, there should be an issue describing it with steps to reproduce -->
<!--- Please link to the issue here: -->
#### Motivation and Context
We added future option supported by CME
https://www.cmegroup.com/markets/interest-rates/us-treasury/10-year-us-treasury-note.contractSpecs.options.html#optionProductId=317
#### Requires Documentation Change
No
#### How Has This Been Tested?
I tested the change using fake files to check if mapping is correct.
#### Types of changes
<!--- What types of changes does your code introduce? Put an `x` in all the boxes that apply: -->
- [ ] Bug fix (non-breaking change which fixes an issue)
- [ ] Refactor (non-breaking change which improves implementation)
- [ ] Performance (non-breaking change which improves performance. Please add associated performance test and results)
- [X] New feature (non-breaking change which adds functionality)
- [ ] Breaking change (fix or feature that would cause existing functionality to change)
- [ ] Non-functional change (xml comments/documentation/etc)
#### Checklist:
<!--- The following is a checklist of items that MUST be completed before a PR is accepted -->
<!--- If you're unsure about any of these, don't hesitate to ask. We're here to help! -->
- [X] My code follows the code style of this project.
- [X] I have read the **CONTRIBUTING** [document](https://github.com/QuantConnect/Lean/blob/master/CONTRIBUTING.md).
- [X] I have added tests to cover my changes. <!--- If not applicable, please explain why -->
- [X] All new and existing tests passed.
- [X] My branch follows the naming convention `bug-<issue#>-<description>` or `feature-<issue#>-<description>`
<!--- Template inspired by https://www.talater.com/open-source-templates/#/page/99 -->
* Add unit tests
---------
Co-authored-by: Ashutosh <ashutoshrana171@gmail.com>
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* Models All Index Futures Listed in CME
We added:
NIY, ENY, FT1, FT5, E3G, FTU, TPD, TPY
* Models All Index Futures Listed in CME
We added international index futures:
NIY, ENY, FT5, FT1, E3G, FTU, TPD and TPY
* Remove unused imports
* Address peer review:
- Corrected serial contract logic
- Corrected minimum price fluctuation
- Corrected “Yen” to “JPY”
Added equity index futures:
RX, ESG, RS1 and SDA
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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>
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* Update Future-cme-[*] and Future-cme-ES
Acoording to `pandas_market_calendars` there were some dates in
Future-cme-[*] who wasn't early_closes, so they needed to be removed
from there. On the other hand, the early closes list of Future-cme-ES were
shifted by 1 hour according to CME webpage. Besides, there were some
missing dates.
* Update CME Future entries in MHDB
* Rebase
* nit change
* Fix unit tests
* Resume after early close/halts
* Add missing dates in MHDB and fix bugs in it
* Fix bug, add more unit tests and add docs
* fix regression algos
* address required changes
* Update failing regression test stats
After debugging the tests it was found they were failing due to the last
change on SecurityExchangeHours.IsOpen(). That method wasn't taking into
account that even if there is a late open after an early close if the
timespan is after the early close but before the late open, the market
is still close.
* enhance solution
* Update and fix bugs in MHDB
* Address required changes and update stats
* Update stats after rebase
* Nit change
* Missing update to regression test
* Use MHDB instead of USHoliday for Expiration Dates
VIX expiry function now relies completely on MHDB. However, it had to be
created an entry in MHDB for VIX since there wasn't one for it. CBOE
webpage only provided 2023 holidays so only those dates were considered
in the Holidays entry in MHDB. Therefore, some unit tests failed so it
was necessary to change also the VIX entry in FuturesExpiryFunctionsTestData.xml.
* Remove Global.cs/USHolidays class
* Use a lazy implementation
* First draft of the solution
* Use MHDB in FuturesExpiryFunctions.cs
* Remove unused class and fix indentation errors
* Fix indentation errors
* Nit changes
* Merge branches 7501 and 7506
* Merge changes in 7501 and 7506
In order to check compatibility between those branches, a new branch
was created out of branch 7501 and then it was merged with branch 7506.
2 regression tests and 8 unit tests failed, the regression tests failed on
the DataPoint stats. On the other hand, the unit tests failed since the
default parameter UseEquityHoliday was removed from
FuturesExpirtyUtilityFunctions.AddBusinessDays() and from other methods in
the same class too.
* Add missing changes
* Remove repeated good fridays
* Address minor review
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* Add Bybit brokerage model regression algorithm
* Add BibytFutures brokerage model name and Bybit backtesting regression algorithms
* Add Bybit margin calculations unit tests
* Minor changes in data
* Unify Bybit Spot and Futures brokerage model into one class
* Add new Bybit configurations
* Revert config change
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* New Fundamental Data
* Minor CIK lookup fix
* Handle live mode & delete unexisting properties
* Minor coarse fundamental adjustment
* Add fundamental history support
* Fix unit tests
* Performance improvements
* Fixes
* Minor regression algorithm fix
* Improvements. Add FundamentalUniverseSelectionModel
* Change default values
* Fix unit test
* Minor tweaks
* Fix unit test
* Minor error handling improvement
* Fix rebase
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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
* Update MHDB CBOT Futures on Good Friday
* Update MHDB CME Futures on Good Friday
* Update MHDB CBOT Futures on Good Friday
* Update MHDB CME Futures on Good Friday
* Update MHDB comex and nymex futures on good friday
* Revert "Update MHDB comex and nymex futures on good friday"
Since all nymex and comex futures had a holiday on Good Friday, it's
better to add the holiday on `Future-nymex-[*]` and `Future-comex-[*]`
This reverts commit e111c8e4615855db1d6395e77ada4dca9295e5f6.
* Remove Good Friday holiday for cme and cbot futures
- Remove Good Friday holiday from `Future-cme-[*]` and `Future-cbot-[*]`
- Add Good Friday holiday for specific cme and cbot futures
* Add unit tests and update MHDB
- Add unit tests asserting LEAN reads correctly Good Friday holidays and
early closes for CME Group Futures
- Update the holidays for other CME group Futures on MHDB
* Fix bugs
* Enhance unit tests
* Update MHDB with NYSE and ICE holiday hours
- Update holidays and early closes for ´Equity-usa-[*]´
- Update holidays for certain products from Ice Futures US
* Add missing holiday hours in MHDB for CME-G Futures
- The missing holiday hours were from 3 July 2023
* Remove duplicates
* MHDB will merge common entry
- The MHDB will merge the market and security common entry holidays,
early closes and late opens
* Normalize & reuse future US holidays
- Normalize & reuse future US holidays
* Update existing unit tests expected stats
Jhonathan Abreu