* 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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* Enhance command support
- Enhance command support, adding link helper methods. Adding and
expanding new tests
- Minor improvement for command str representation
* Minor test fix
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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>
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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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* 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
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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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* 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
* Made changes in the ParseOptionTickerOSI function. Now it can handle both with and without space
* added new function GenerateOptionTickerOSICompact and added the test cases for it, expanded test cases for ParseOptionTickerOSI
* added assertions for strikePrice and date, corrected the indentation
* Minor indicator test suite improvements
- Simplify and improve indicator test suite assertions
- Reduce indicator suite run time
* Fix DividendYieldProviderTests dependency
* 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
* 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
* First draft of the solution
* Fix bugs
* Fix bugs
* Fix another overloaded method
* Add new unit test
* Address requested changes
* Address requested changes
* Minor tweaks
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* 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
* Add support for FTP notifications
* Add optional parameters for SFTP notifications with private key
* Add optional "secure" parameter for FTP notifications.
Improve FTP notifications constructor and input checks.
* FTP notification improvements.
Add public key property.
Add multiple constructors and methods for FTP and SFTP notifications with either password or SSH keys.
Encode file contents.
* Address peer review
Add support for FTP notification with string contents
* Minor changes
* Minor changes
* Remove public key argument
* Fixes and minor 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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* 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
Jhonathan Abreu