0212acf927
Feat: support downloading single contract in DownloaderProvider ( #9285 )
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* feat: improve symbol parsing for futures/options in downloader
* refactor: symbol parsing and unify ticker handling
* refactor: symbol parsing and loading in BaseDataDownloadConfig
2026-02-13 13:45:10 -03:00
a52a580220
Update Packet.cs
2026-02-13 13:39:16 -03:00
5e148a06af
Add orders associated with closed trades on streaming ( #9282 )
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2026-02-12 12:31:56 -03:00
a25e041793
Follow up: Fix weights calculation in VBaseSignalExport ( #9281 )
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* Fix weights calculation in VBaseSignalExport
* fix empty portfolio handling
* Refactored signal export to compute and export weights for all portfolio positions, not just update targets.
* Update BuildCsv XML doc to clarify CSV output details
* Clarify comments on portfolio value and empty weights
* Stamp targets as is; we expect that users send all the weights they want to stamp. Extended the demo algorithm to use two positions to better demonstrate the intended usage of the VBaseSignalExport class.
* Minor changes to address PR review comments.
* Minor fix
---------
Co-authored-by: vb-vlb <volodymyr@vbase.com >
Co-authored-by: Volodymyr <vb-vlb@users.noreply.github.com >
2026-02-12 09:42:45 -03:00
dfa3fd3fab
feat: warn on manual brokerage orders not tracked by Lean ( #9278 )
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* feat: warn on manual brokerage orders not tracked by Lean
Add a warning in DefaultBrokerageMessageHandler to notify users when orders are placed manually through the brokerage and are not observed by Lean. The warning is emitted only once per session and includes a message with documentation guidance.
* refactor: message for unrecognized order warning
* refactor: unrecognized order messaging with brokerage IDs
* refactor: unrecognized order msg
2026-02-11 17:32:45 +02:00
63209a3fd3
Add Python overload for OptionPriceModelResult ( #9277 )
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* Add python overload for OptionPriceModelResult constructor
* Solve review comments
* Update regression algorithms
2026-02-10 16:48:57 -03:00
769843b118
Update Packet.cs
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2026-02-10 12:35:42 -03:00
76e01bbc42
Adds support for custom option pricing models ( #9270 )
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* Initial solution
* Made Greeks a non-abstract class
* Add regression algorithms
* Solve review comments
* Minor fix
* Minor fix
* Remove unnecessary imports
* Fix issues with regression algorithms
* Solve review comments
2026-02-09 12:46:15 -03:00
9e8c2203c1
OrderCommand should use default order properties ( #9274 )
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2026-02-09 09:37:15 -03:00
541513bee4
Add test to verify tick history consistency ( #9263 )
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* Add test for tick history consistency
* Add test cases
* Minor fix
2026-02-05 09:48:18 -03:00
e0db31dc08
Stop forcing full GC collection when reduced memory ( #9267 )
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2026-02-04 13:54:27 -03:00
d329960e5f
Enable trades results streaming ( #9234 )
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* Add a temporary benchmark stats sample in live
Allow trades to be written to result file on first day of the deployment before the first daily sample is done
* Enable trades results streaming
* Minor changes
* Make Trade.Id a Guid
* Cleanup
* Sample temporary charts once per hour
* Minor change
* Minor fix
* Minor fix
* Minor fix
* Add fix for potential race condition
2026-02-03 18:46:06 -03:00
2d64537711
Minor regression algorithm fix ( #9265 )
2026-02-03 17:59:20 -03:00
9cd28a6236
Add WEX optional locate broker order property ( #9264 )
2026-02-03 16:57:14 -03:00
2504ddbb87
Add one time warning for daily consolidation ( #9254 )
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* Add warning for DailyConsolidationUseExtendedMarketHours mismatch
* Solve review comments
2026-02-03 14:56:58 -03:00
20736c1e29
Bybit - Allow placing orders of min size ( #9261 )
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* Allow placing orders of min size
* add unit tests
2026-02-03 14:55:38 -03:00
31e247689f
Allow specifying PositionSize wolverine order properties ( #9257 )
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2026-01-30 16:56:17 -03:00
297207badb
feat: add MappedSynchronizingHistoryProvider base class ( #9256 )
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* feat: add MappedSynchronizingHistoryProvider base class
Introduces an abstract class for history providers that handle symbol mapping and time-aligned data slices. Uses IMapFileProvider to resolve ticker changes, provides an abstract method for mapped history retrieval, and overrides GetHistory to synchronize results. Enables nullable reference types and adds documentation.
* Minor tweaks
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com >
2026-01-30 16:55:10 -03:00
ecb8e8da41
Fix trades drawdown calculation ( #9249 )
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* Fix trade drawdown calculation
* Cleanup
* Disable MAE. MFE and Drawdown calculation for FlatToFlat and FlatToReduced trade grouping methods
* Minor test fixes
2026-01-30 15:46:41 -04:00
c6c4c1edec
Fix fundamental security direct access timestamp ( #9255 )
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- Fix the date used by fundamental data accessed directly through security.
Updating regression algorithm asserting behavior
2026-01-30 11:41:24 -03:00
c02a8faedb
Improve Wolverine brokerage model limitations ( #9252 )
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2026-01-29 14:36:12 -03:00
e620d3fd7b
Replace ':' with '-' in backtest names for API CI ( #9251 )
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2026-01-29 14:03:58 -03:00
4b6643312e
Allow emtpy BNFCR cash through ( #9247 )
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2026-01-28 10:53:19 -03:00
4b2f203322
Fix USDC binance crypto future and stable pairs ( #9246 )
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- Minor fix for stable pairs handling without a pair, adding unit tests
- Fix for USDC it's a USD-M crypto future not coin
2026-01-28 09:49:28 -03:00
7eefdebae5
Update signal when rangeBand is zero ( #9245 )
2026-01-28 09:47:53 -03:00
7f17838ad0
Fix crypto future margin model to reflect margin used ( #9235 )
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* Fix crypto future margin model to reflect margin used
* Minor tests fixes
* Cleanup
* Cleanup
2026-01-27 13:40:36 -04:00
5a1ebcbaad
Fix LeanDataWriter Compression method so it supports unicode filenames ( #9244 )
2026-01-27 14:31:46 -03:00
552511ef58
Fix dydx holdings value ( #9243 )
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- dYdX crypto futures holdings value behaves like normal positions qtty
* price
2026-01-26 16:29:19 -03:00
8f2fd3d64a
Redact local lean error message ( #9232 )
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Redact message in local user's CLI's
2026-01-26 12:56:19 -03:00
609deb2b03
Logging only once price rounding warnings ( #9238 )
2026-01-26 12:54:33 -03:00
7fb246511a
Add total performance statistics to live result files ( #9224 )
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* Add total performance statistics to live result files
* Truncate closed trades in live results
* Avoid adding totalPerformance to live minute result file
* Deprecated Trade.Symbol in favor of new Trade.Symbols
* Fixes for Trade serialization
* Add trades json serialization tests
* Cleanup
2026-01-16 15:41:35 -04:00
745292c15a
Add Async for submit request to string ( #9228 )
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2026-01-16 13:44:16 -03:00
22e0e5ddf5
Prevent SessionBar EndTime overflow when Time is DateTime.MaxValue ( #9215 )
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* Fix SessionBar EndTime overflow
* Fix broken tests
* Update python regression tests
* Solve review comments
* Revert changes
* Prevent overflow from Time + Period
2026-01-16 12:07:41 -03:00
ef94b5affc
Add dYdX IoC Time In Force ( #9226 )
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* Add `IoC` and update `PostOnly` in `dYdXOrderProperties` with validation logic; add corresponding unit tests.
* change case to use IOC
* more IOC
2026-01-15 17:20:11 -03:00
61e8c63acd
Fix dydx camel case ( #9223 )
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2026-01-14 11:55:29 -03:00
1ca7320f2f
Add dYdXFutureMarginInterestRateModel ( #9221 )
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* Add `dYdXFutureMarginInterestRateModel` and update `GetMarginInterestRateModel` to support CryptoFuture funding rates
* missing import
2026-01-13 18:00:26 -03:00
5b8e54f272
Reduce excessive debug logging in live trading ( #9220 )
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* Reduce excessive logs
* Revert unnecesary log changes
2026-01-13 14:19:40 -03:00
26584c2fd0
Stop and delete unused threads in tests ( #9219 )
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2026-01-13 13:13:37 -03:00
48fd4eccff
Feat: override ToString() in several Event Args ( #9217 )
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* feat: override ToString() in several Event Args
* fix: typo
2026-01-13 10:00:48 -03:00
75d5cbcf2a
Fix: RandomDataGenerator crashes when algorithm is null ( #9211 )
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* Fix NullReferenceException in SecurityService
* Simplify the unit test
* Add unit test for RandomDataGenerator
* Improve unit test name
* Solve review comments
2026-01-12 14:50:01 -04:00
d702587ad8
Fix SecurityIdentifier properties lazy initialization ( #9214 )
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2026-01-09 18:07:26 -03:00
c99a9dab32
Update CNH future quote currency ( #9213 )
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2026-01-09 15:44:29 -03:00
8196d0b557
HistoryRequest parameters now defaults to the security configuration ( #9209 )
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* Fix HistoryRequest DataMappingMode default to use security configuration
* Solve review comments
* Make HistoryRequest inherit existing subscription configuration values generically
* Exclude any class that inherits from BaseChainUniverseData
* Reuse existing filter for user configuration
* Solve review comments
* Normalize DataMappingMode
* Minor fix
2026-01-09 15:43:46 -03:00
3ee941f329
Remove wrong holidays in MHDB ( #9205 )
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Remove wrong holidays in CME group Dairy, Livestock and Lumber products.
There was also a wrong holidays in Future-cbot-KE
2026-01-07 16:13:28 -03:00
286353b763
Remove duplicated dates ( #9207 )
2026-01-07 16:13:19 -03:00
d5f298c235
Add missing Oanda, SGX and Cfd-InteractiveBrokers 2026 holidays to MHDB ( #9204 )
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* Add 2026 Oanda holidays
* Add 2026 new year holiday SGX
* Add Cfd-interactivebrokers 2026 holidays
* Remove wrong holidays in Forex-oanda-[*]
* Nit change
2026-01-07 13:08:40 -03:00
f2c5551b1e
Remove dates present in generic entry Index-usa and others ( #9202 )
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2026-01-06 17:19:07 -03:00
f86a51ac3f
Remove dates in generic Interactive Brokers entry part 10 ( #9201 )
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* Remove dates present in IB generic entry part 9
* Remove dates in IB generic entry part 10
2026-01-06 16:14:25 -03:00
1253cc73bd
Remove dates present in IB generic entry part 9 ( #9200 )
2026-01-06 16:12:19 -03:00
6506ff53a3
Remove dates in generic Interactive Brokers entry part 8 ( #9199 )
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* Remove dates present in IB generic entry part 7
* Remove dates present in IB generic entry part 8
2026-01-06 14:32:01 -03:00
Roman Yavnikov