The delisting time is handled by the DateChangeTimeKeeper now, so there is no need for the SubscriptionDataReader to do any special logic for it.
This was preventing the new tradable date events to be emitted after the delisting date in some cases, like when the day after delisting is not tradable
Co-authored-by: Jhonathan Abreu <jdabreu25@gmail.com>
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* Update SPDB with Bitfinex, Kraken, Binance, BinaceUS
* Update unit test
* Added TestCase for CNHT and USD
* Fixed bug in pair comparison logic, corrected concatenation approach
* Add unit test for currency pair match
* Added test cases for currency pair comparison
* Addressed review comments
* Add Martin Luther King'day holiday to CME futures entries
Add unit test for MCL futures expiry function, first contract of 2025 expires on Jan17 but was returning the 20th
* Add holiday to equity and index
And by extension to options and index options
* Add holiday to other entries
* Add 1/9/2025 holiday to market-hours
* Patched holidays in MarketHours
* Minor fix
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Fix for daily options open interest data to be added to contracts
* Cleanup
* Update regression algorithms stats
* Minor fix and cleanup
* Minor fix
* Minor fix
* Update regression algorithms data point count
* Address peer review
* 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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