17514
10 Commits
| Author | SHA1 | Message | Date | |
|---|---|---|---|---|
 Jhonathan Abreu
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69d2f5ae82 |
Futures and Future Options file-based universes (#8480)
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* Make FOPs selection universe file-based for backtesting * Make FOPs option chains universe file based * Make Future universe selection file-based like option universe * Make Future universe selection file-based like option universe * Abstraction cleanup * Add FuturesChains API to QC algorithm Also refactor future chain provider to use the new FutureUniverse instead of zip file names * Update regression algorithms stats * Refactor QuantBook option and future history to use new universes * Fix failing tests * Fix failing tests * Fix failing tests * Minor future chains unit test improvement * Add futures chains DataFrame property Also, remove IDerivativeSecurity interface from Future * Add DataFrame property to FuturesChains class * Add regression algorithms * Add regression algorithms * Replace QCAlgorithm.FutureChainProvider usages with new FuturesChain api * Minor fixes * Reduce number of universe files in repo * Minor data fixes * Regression algorithms updates * Add implicit conversion from FuturesContract to Symbol Modified algorithms to use futures contract objects directly instead of accessing their Symbol property. Removed unnecessary import statements and redundant lines in various files. * Improve resolution handling for history requests * Changed _auxiliaryData field to lazily-initialized AuxiliaryData property * Refactor data handling in BaseChain and TimeSliceFactory - Added `AddData` method to `BaseChain` for adding market data - Refactored `TimeSliceFactory` to use `BaseChain.AddData` method * Remove specific constructors and indexers from Chain classes Removed public indexers in `BaseChains` for getting or setting `BaseChain` instances by `ticker` or `Symbol`, which were used for Pythonnet compatibility. * Remove chain cache logic from FuturesChainUniverse * Refactor class and interface names for clarity Renamed `FileBasedUniverse` to `BaseChainUniverseData` and `IFileBasedUniverse` to `IChainUniverseData`. * Add base class for options and futures contracts - Introduced `BaseContract` as an abstract base class for contracts, consolidating common properties and methods. - Removed ISymbolInterface * Add minor fix for future options tickers parsing Added tests * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Clean chain provider classes up * Remove ZipEntryName other classes and unused code Removed ZipEntryName class and references across various files. Removed DataQueueFuturesChainUniverseDataCollectionEnumerator and DataQueueOptionChainUniverseDataCollectionEnumerator classes. Removed OptionChainUniverseSubscriptionEnumeratorFactory class. Removed unused code for handling OptionChainUniverse and FuturesChainUniverse in FileSystemDataFeed.cs and LiveTradingDataFeed.cs. Removed several test files related to enumerator factories and universe data collection. * Minor changes and cleanup * Trigger Build * Trigger Build * Refactor FuturesContract data handling Forward price data from bars and ticks stored in private fields for improved memory usage * Fix: use universe data for market data in FuturesContract * Update regression algorithms stats after rebase Added HSI futures universe files * Sort configs by internal flag Internals go first * Throw from option universe data filters for future options Future options IV, Open interest and greeks are not supported for future options * Minor changes * Improve some regression algorithms * Minor fix for failing unit tests * Update FOPs universe file header Removed greeks and IV columns. Updated FOPs universe files: removed outdated columns. * Minor unit test fix * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Minor fix * Add history provider as constructor argument for chain providers * Update new regression algorithms data points count * Minor fix for FakeDataQueue * Add initialize method to chain providers classes * Minor changes * Trigger Build * Trigger Build * Trigger Build * Minor fix * Minor fix * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Add logs to ProcessedDataProvider * Removed test logs * Minor fix * Support downloading options and futures universe files from api data provider |
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Martin-Molinero
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a52822853d |
Expand Index option support (#6849)
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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 |
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Martin-Molinero
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a3f4dff299 |
Refactor chain providers (#6394)
* Refactor chain providers - ChainProviders will use quote, open interest and trade information, which ever is first. Updating regression algorithm changing contract being added. - Add base BacktestingChainProvider for shared logic, reducing duplication. - ChainProviders will now use the given IDataCacheProvider and IMapFileProvider - If Providers are called for a date the exchange is closed they will search for the previous available date where the exchange is open. Adding unit tests. * Address reviews. Logging improvements |
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Martin-Molinero
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b8b0d18993 |
Continuous futures (#6034)
* Continuous Future Contracts * Mapping approach * Tweaks WIP * Live mapping * Live mapping - Add support for live mapping, refreshing mapfiles - Fix future expiration functions - Adding unit tests * Update moq test package * Continuous futures price scaling * Refactor price factors scaling * Factor file related renames * Address reviews |
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Colton Sellers
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74f0c89499 |
Option Chain Provider Symbol Map Resolve (#5664)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Use mapFileProvider to resolve symbol mapping * Add reproducing unit test * Only resolve mapping for types that require it * address review |
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Colton Sellers
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ab6027723f |
Refactor Api (#5251)
Build & Test Lean / build (push) Has been cancelled
* Use lean data key as param for request * key -> filePath rename and some cleanup * Refactor * Add Organizations Endpoints * Add some organization api wrapper objects * Address namespace issue * Reorganize Api Test into seperate files using one ApiTestBase * Add Organization tests * Use capitalized "API" test namespace to reduce amount of file changes * Add License to test base * Update /data endpoint functions and response objects * Update ApiDataProvider Logic * Handle deserialization of organization products * Simplify converter * Only throw for equity requests when not subscribed to map/factor files * Add missing header * Make arguement exception * Api adjustments * Add Zip factor and map file providers - Common project will now reference Compression project and not the other way round. - Adding Zip FactorFile and MapFile providers * Refactor FactorFileProvider to use DataProvider to fetch files * Use resulting MinimumDate in construction of FactorFile * Nit FactorFile comments and arrangement * Refactor MapFileProviders to use DataProvider for fetching files * Refactor ZipFileProvider * Clean up * Refactor Backtesting Future/Option chain providers to use dataprovider * Fixes for data/ endpoints and test adjustments * Response objects adjustments/cleanups * ApiDateProvider fixes and testing * Add LocalZipFactorFileTests * Update ApiDataProvider download test to verify stream is not null * Implement posting of agreement summary and signed time * Mark all Api related tests as explicit and document details on running * Clarify default token on ApiTestBase * Adjust summary * Update Api responses for QCC, except org products which are sold in USD * Implement cache expiration for zip MapFile and FactorFiles. Adding unit tests * Fix multiple markets for ZipFactorFile provider * Use Symbol as cache key * Api.cs review * Dispose of factorFileStream after reading * Use zip.EntryFileNames * Address a few reviews * Few more fixes * Address Api Review * Add Job Org id to config * Minor tweaks * Compare with invariant culture * Fixes Option Universe selection * ZipEntryNameSubscriptionDataSourceReader will use IDataProvider * Fix research * Fix null reference exception * Make duplicate log debug Co-authored-by: Martin-Molinero <martin@quantconnect.com> |
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Colton Sellers
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e2a0873b7c |
Fix Lean Warnings V1 (#5408)
Cleanup all non-breaking warnings |
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Gerardo Salazar
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4c085ff853 |
Adds Indexes and Index Options asset types (Backtesting/Live, IB only) (#5379)
* Add support for Index SecurityType 🚀 (#5364) * Add Index SecurityType 🚀 * Extend SecurityIdentifier & Lean Data classes with Index support * Add Index SecurityType 🚀 * Extend SecurityIdentifier & Lean Data classes with Index support * Fixes * Added index cross basic template demonstration * WIP: Prototype index security type for LEAN as non tradable asset * Re-adds Index entries to MHDB after rebase * First steps to getting Index Options running * Looks at any instance where we pattern match for an option type and replaces it with a generic call to `.IsOption()` for easier extensibility in the future for additional option security types * Adds IndexOption security and misc. classes * Misc. changes, mainly related to any sort of special casing of equity options and made index options take the same path * Enables index options data for backtesting * Adds new index options market hours to MHDB * Misc. bug fixes for index options * WIP: add live support for index options and indexes * Use OptionMarginModel for Index Options because they both use the same calculation for margin requirements * Fixes contract not found errors on SPX index options and SPX index in IB * Turns out index options' last trading day is the day before expiry, which IB was expecting the last trading day. * Add index option test cases (temp) * LiveOptionChainProvider fix, use Symbol vs. ticker * Description updates to regression algorithms * Fixes bug in live trading for indexes and index options * Adds overridable minimum price variation symbol property * Adds variable sized minimum price variation for index options * Adjusts symbol properties for index options * Misc. bug fixes * Fixes option assignment simulation for European options * Updates index options regression algorithms (WIP) * Fixes bug where index option exercise would trade index underlying * Fixes bugs where SecurityType.Index was getting flagged as tradable * Regression algorithms updates and addresses review * Misc. style fixes and refactoring + a few bug fixes * Updates regression algorithms to run without runtime errors * Adds data for regression algos * Sets DefaultOptionStyle on Canonical and support index options * Update regression algos statistics * Removes bad line in regression algorithm causing build to fail * Minor tweaks * Address review add comment about quoteBar parse scale Co-authored-by: Balamurali Pandranki <balamurali@live.com> Co-authored-by: Jared Broad <jaredbroad@gmail.com> Co-authored-by: Martin-Molinero <martin@quantconnect.com> |
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Gerardo Salazar
|
eb1181f5f7 |
Adds Futures Options Asset Class w/ IB Support (#4928)
* Adds preliminary universe selection for Future Options
* Fixes scaling issues with Future Options
* Fixes scaling multiplying by 10000x instead of using _scaleFactor
* Fixes scaling for Tick
* Revert changes to Tick since it divides the scaling factor
* Changes stale method name to new method name after rebase
* Fixes selection bugs, adds new methods, and adds unit tests
* Fixes bug where Equity Symbol was created for an underlying
non-equity Symbol, resulting in equity data trying to be loaded
* Adds unit tests covering changes to Tick, QuoteBar, TradeBar and
LeanData
* Adds regression test for AddUniverseOption filter contract selection
for Future Options
* Addresses review - modifies the AddFutureOption signature
* Adds new AddUniverseOptions method overload
* Removes and adds a new unit test
* Misc. modifications to account for new changes
* Fixes bug where futures were loaded using default SID Date
* Refactors and removes unnecessary work
* Fixes regression algorithm, which previously made no trades
* Adds future option data
* Adds the corresponding underlying data, in this case, futures data
to enable usage of future options data
* Replaces data with new data (ES18Z20)
* Improves Future chain filtering and updates regression stats
* Add AddFutureOptionContract API
* Expands regression and unit tests to test in finer detail
* Adds Python regression algorithms for AddFutureOption[Contract] methods
* Adds new unit test for BacktestingOptionChainProvider
* Fixes bug with BacktesingOptionChainProvider where we
attempted to load the Trades option chain first, resulting
in breakage of backwards compatibility and limitation of the
option chain.
* Adds new regression algorithms (Py) to Algorithm.Python project
* Adds FutureOptionMarginBuyingPowerModel
* Modifies code paths used to select margin model
* Adds related unit tests for margin model
* Fixes issue with unit test and MHDB/SPDB lookup for Future Options
* Preliminary regression algorithm testing ITM call/put option buying
* Fixes bug where fee model used did not find non-US market
options fee model. We now use the futures fee model for future
options because IB charges the same commissions per contract
between futures and futures options
* Adds proper regression algorithm for ITM future options expiration
* Pushing broken algorithm for review
* Currently, algorithm does not fill forward, causing
a single future option to not get exercised when it is delisted.
* Adds FutureOptionPutITMExpiryRegressionAlgorithm
* Improves existing regression algorithm for call side
* Fixes bug in existing regression algorithm
* Adds AAPL daily data to advance enumerator for ^^^ fix
* Adds additional future option regression algorithms
* Adds Buy OTM expiration regression algorithms
* Adds Sell ITM/OTM expiration regression algorithms
* Adds missing Python regression algorithms
* Adds remaining Python regression algorithms and fixes issues
* Fixes naming issues and statistics
* Adds short option OTM regression algorithms (Py)
* Add license header and class comments to python algorithms
* Cleans up comments and docstrings
* Create Buy/Sell call intraday regression algo
* Redirects future options symbol properties to futures symbol properties
* Asserts exercise/assignment price and updates stats in regression algos
* Adds new unit test covering changes to SecurityService
* Adds comments and fixes failing test
* Partially fixes future option mis-calculated profit/loss
* Adjusts portfolio model to calculate FOP as a no upfront pay asset class
* Updates regression algorithm statistics
* Begin IB FOP support
* Initial support for FOP IB data streaming, live í¾
* Adds additional functionality to LiveOptionChainProvider
- Allows querying CME API to retrieve option chains for CME products
- Ultimately, it's also the groundwork for the CME
LiveFutureChainProvider
* Edits IDataQueueUniverseProvider interface to provide greater
control to implementors of it
* Misc. bug fixes required to get FOP data streaming through IB
* Adds comments, adds missing rategate call, and cleans up code
* Force exchange for FOP and Futures when no exchange is provided
* Fixes bug with Portfolio modeling across all asset classes
* Adds LiveOptionChainProvider tests for Future Options
* IB brokerage option symbol bug fixes and improvements
* Fixes contract multiplier lookup bug
* Fixes issue where we attempted to subscribe to IB data feed with canonical security
* Adds ES MHDB entry
* Reverts portfolio modeling changes for Futures Options
* Since IB eats into our account's cash balance when
a new FOP contract is purchased, we must model by applying funds
to our cash whenever a new purchase/sell occurs.
If we choose to model FOPs exactly as we do with futures, we
will end up with an invalid TotalPortfolioValue on algorithm
restart. By all means and purposes, FOPs are modeled exactly
the same as equity options with respect to the portfolio.
* Adds comments clarifying portfolio modeling and clarifies
existing portfolio modeling comments with additional context.
* Fixes IB symbol lookup for future options
* Fixes LiveOptionChainProvider looping 5 times per option chain
request, even on success
* Sets OptionChainedUniverseSelectionModel to produce a canonical
future/future option/option Symbol to avoid creating two Symbols
* Adds GLOBEX future option symbol mapping from future -> fop
* Fixes LiveOptionChainProvider loading wrong contract option chains
* Fixes loading of futures options ZIP files when backtesting
* Adds a string -> decimal JSON converter
* Additional fixes/refactoring to the LiveOptionChainProvider
* Adds tests for changes to Symbol and LeanData
* Reverts changes to IB-symbol-map
* Fixes Value for mapped future options tickers
* Fixes Symbol test
* Changes path of future options to future's expiry date
* Extra changes made to remove scaling from writing CSV
* Added method to map from FOP Globex -> FUT Globex
* Fixes MOO and MOC orders for future options
* Note: this order type might not be supported by IB or CME.
* Bug fixes and updates unit tests
* Update regression tests and data format
* Rebase changes
* 1. Multiple bug fixes for LiveOptionChainProvider, reverts IQFeed changes
2. Address review (partial): Code reuse and cleanup
1.
* Modifies check in
`AddFutureOptionShort(Call|Put)ITMExpiryRegressionAlgorithm`
to ensure no buys have negative quantity
* Code reuse changes in IB brokerage
* Bug fix in IB brokerage where we assigned the FOP expiry
as the futures expiry (requires verification)
* Doc changes and adds missing summaries/license banners
* Disposes of HTTP client resources in LiveOptionChainProvider
* Renames classes and adds FutureOption folder in Common/Securities
2.
* We revert back to the quotes API for the option chain,
since the settlement API sometimes had missing strikes.
* Fixes future option expiry being set as future's expiry
in LiveOptionChainProvider
* Fixes bug where wrong option chain was selected because of bad
expiry lookup in the futures expiries returned from CME
* Fixes multiple looping bug in LiveOptionChainProvider
* Adds strike price scaling for LiveOptionChainProvider
* Reverts IQFeed changes and simplifies interface upgrade changes
Some additional challenges we'll have to solve as part of FOPs:
- The `OptionSymbol.IsStandard` method makes the assumption that
weeklies contracts follow the pattern equities follows, which
does not apply to Futures Options
- The Subscription created in:
`OptionChainUniverseSubscriptionEnumeratorFactory`
...adds a Trade config. For illiquid contracts, this
will delay universe selection for the option symbol
until we get a trade. However, if we add a quote config,
the data would instead be loaded based on the first quote
we received from the brokerage.
But since we're currently using a trade config, illiquid
contracts won't start streaming data until it receives a trade.
NOTE: this commit is a WIP to addressing the reviews received in the PR,
but has been committed early for efficiency in the review process
* Fixes regression algorithms and misc. bugs
* Fixes map file lookup for non-equity options
* Adds extra assertion at end of algorithm to ensure no holdings are
left when the algorithm ends.
* Adds FutureOptionSymbol, allowing all contracts through as standard
* Changes SPDB to allow defaulting to underlying future symbol
properties if no entry is found for the given FOP
* Fixes calls to SPDB in SecurityService, IBBrokerage
* Reverts AAPL daily ZIP file to fix majority of regression algorithms
* Adds FOPs symbol properties
* Fixes existing symbol properties for a few futures
* Adds tests for changes to Symbol Properties Database
* Removes string SPDB lookup method
* Updates tests and misc callees of previous method
* Updates all regression tests to use data of already expired contracts
* Adds Futures Options Expiry Functions tests
* Adds required futures data for 2020-01-05
* Address review (partial): Expands test coverage and fixes tests
* Set option chain tests parallelism to fixture only
* Fixes broken test for contract month delta for FuturesOptionsExpiryFunctions
* Changes delisting date logic for Futures Options
* Address review: removes duplicate code, misc code fixes
* Bug fix in MarketHoursDatabase.GetDatabaseSymbolKey() where
we would use the underlying's Symbol for lookup in the MHDB
* Adds missing license banner
* Removes Futures Options entries from MHDB
* Adds new tests
* Adds SecurityType.FutureOption
* Converts any underlying comparisons and uses SecurityType directly
instead for FOP specific behavior
* Extra code modifications to acommodate new SecurityType
* Addresses review: fixes order fee bug on exercise
* Additional bug fixes and adding of SecurityType.FutureOption
* Updates regression algorithms OrderListHash
* Fixes various bugs in IB live implementation
* Fixes bug setting the right contract expiration date for FOP
generated by LiveOptionChainProvider
* Adds new function to FuturesOptionsExpiryFunctions
* Clarifies parameter names better in some functions/methods
* Fixes bugs in IB brokerage for FOPs
* Address review - code cleanup and refactor
* Remove MappingEventProvider, SplitEventProvider, and
DividendEventProvider for Futures Options in
CorporateEventEnumeratorFactory
* Address review: Use MHDB key resolver in SPDB
* Makes regression tests pass and adds comment for expiry issue
* Fixes MHDB lookup on string symbol method
* Adds Futures Options greeks regression algorithm (C# only)
* Adds explanitory comment on MHDB FOP lookup
* Remove python from FutureOptionCallITMGreeksExpiryRegressionAlgorithm
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Stefano Raggi
|
e379457757 |
Refactor option chain providers
- Moved provider implementations out of brokerages into their own classes - Removed DefaultOptionChainProvider - Added BacktestingOptionChainProvider and LiveOptionChainProvider - Moved SetOptionChainProvider call from Engine to setup handlers |