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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
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* Some fixes for new C# enums handling in Pythonnet
* Minor changes and cleanup
* Update Pythonnet version to 2.0.45
* Minor changes
* Minor fix
* Minor fix
* Minor change
* Minor change
* Minor unit test fix
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* Make ExtendedDictionary extend IDictionary
* Revert "Make ExtendedDictionary extend IDictionary"
This reverts commit bbbe9c769be682767cb9e487b904480376b53596.
* Make ExtendedDictionary key a type parameter
* Make SecurityPositionGroupModel an ExtendedDictionary
* Add unit tests
* Minor change
* Add more unit tests and other minor changes
* Add Count and ContainsKey to BaseChain
* Update pythonnet version to 2.0.43
* Update some python regression algorithms
* Minor regression algorithms fix
* Make CashBook and ExtendedDictionary
* Minor changes
* Minor changes
* Update pythonnet version to 2.0.44
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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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* refactor: adding OrderId in GroupOrderManger
* feat: new support of OrderTypes in TradeStationBrokerageModel
feat: unSupported OrderTypes in CanUpdateOrder's TradeStationBrokerageModel
* feat: AllOrNone property in TradeStationOrderProperties
* feat: unsupported SubmitCrossZero of Combo Order in TSBrokerageModel
* test:feat: submit / update CrossZero Combo Orders
* feat: new Message Brokerage error message
refactor: use new Message in TradeStationBrokerageModel
* feat: setter of Id in GroupOrderManager
* feat: new constructor of GroupOrderManager
* feat: develop GroupOrderCacheManager service
* fix: groupOrderManger.Id in OrderProvider
* fix: incrementOrderGroupOrderManagerID in BrokerageTransactionHandler
feat: add _groupOrderManagerId in OrderProvider
* remove: extra semicolon
* refactor: prevent increment GroupOrderID
* feat: add new Exchanges
* feat: Try Get Group Combo Orders extension
* refactor: ComboORderType in TSBrokerageModel
* remove: implementing of prop ID in GroupOrderManager
* refactor: UnsupportedCrossZeroByOrderType message
* fix: warning of UnsupportedCrossZeroByOrderType
* fix: several exchanges code based on tradier docs
https://documentation.tradier.com/brokerage-api/reference/exchanges
* feat: add missed Exchange in Global class
* refactor: possible update LimitPrice in TSBrokerageModel
test:feat: validate upddate LimitPrice of ComboLimit Order
* refactor: GroupOrderCacheManager
remove: TryGetGroupCachedOrders from extension
* refactor: exchange SPHR to MIAX_SAPPHIRE
* remove: Exchange BYX cuz It is BATS_Y
* refactor: change position of Exchange C2
* refactor: change constructor's access modifier in class Exchange
* feat: TryCrossPositionOrder
feat: helper methods to CrossPosition
* refactor: get rid CrossOrder +UTests
* feat: test simulator of cross zero orders request
* remove: callback from TryCrossPositionOrder
rename: TryCrossPositionOrder -> TryCrossZeroPositionOrder
feat: handle event of CrossZeroOrder
feat: new prop in CrossZeroOrderRequest
test:feat: write working test imitate of CrossZeroOrdering and assert different params
* feat: temp collection to keep CrossZeroOrder with Lean
* refactor: flag which indicate should we place crossZero order with LeanEvent or not
* refactor: change access modifier
* fix: CrossZero tests
* refactor: property collection instead of variable
* feat: lock context of CrossZeroOrder
feat: helper method for CrossZeroCollection
* refactor: test of cross brokerage ordering
* refactor: CrossZero Brokerage
* fix: lock area
* feat: Update CrossZero Ordering
refactor: CrossZeroOrders tests
* feat: additional test case for CrossZeroOrdering
* feat: Invalid OrderStatus when FirstPart of CrossZero ordering try to place
feat: message property in CrossZeroOrderResponse
refactor: CrossBrokerageTest a little bit
* feat: PossibleUpdateCrossZeroOrder
* refactor: UpdateCrossZeroOrder
* refactor: TimeOut for resetEvent
* refactor: crossZeroOrder change DateTime UtcNow on specific time
refactor: change action scenario for Filled FirstPart of CrossZeroOrder
* refactor: change firstPartQuantityproperty to link of FirstPartOfCrossZero order completely
fix: crossZeroOrder test put orderStatus internally
* feat: additional orderType in CrossZeroOrder tests
* test:remove: not use GetOrderCrossesZero()
* refactor: extra paddings
* rename: TryGetUpdateCrossZeroOrderQuantity instead of IsPossibleUpdateCrossZeroOrder
* refactor: CrossZeroOrder process and models
* remove: interface ICrossZeroOrderRequest
* feat: TradeStation NotSupportUpdate of CrossZeroOrder quantity
* feat: add license
remove: extra validation of variable
* refactor: add validation of quantity update in TradeStationBrokerageModel
* test:feat: canUpdate of TradeStationOrder
* refactor: reuse OrderEvent when we handle FirstPartCrossZeroOrder
* remove: assignment of filled quantity of FirstPartCrossZeroOrder
* 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
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* Replace currency string formatting with Lean currency symbols.
Also clean up orders tags from having redundant information.
* Setting default order tag only after price currency is properly set
* Minor fixes and new unit tests
* Minor fixes
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After running the regression tests in my local pc, I found some of them
were failing in the stats. Then, after debugging them I realized it was
because some of the strings were being casted without using
InvariantCulture parameter.
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* Shortable modeling improvements
- Do not limit live trading because of shortable model, will send
algorithm warning
- Add Interactive brokers shortable provider
- Minor LocalDiskShortableProvider API changes
* Fix shorted order update
- Fix shorted order update. Updating regression algorithm
* Minor improvement
* Address reviews
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* Candlestick charts base implementation
* Series and Candlestick series json serialization
* Some cleanup
* Add AddPlot method for candlestick series to QCAlgorithm
* Remove Values property from ISeriesPoint
* Add candlestick QCAlgorithm.Plot trade bar methods
* Implement candlestick series re-sampling
* Add more SeriesSampler unit tests
* Add examples of candlestick charts usage to exisiting charting algorithm
* Address peer review
* Address peer review
* Derive Candlestick from Bar
* Sampler changes
* Add new series types from the cloud
* Add more candlestick series sampler tests
* Minor cleanup
* Minor changes
* Add trailing stop orders base implementation
* Handle trailing stop order prices rounding
* Implement trailing stop orders fill logic
* Minor fill model changes
* Add ApplySplit to fill model interface for models that might need to be aware of splits.
Filling trailing stop orders require keeping track of min/max prices, which need to be split adjusted.
* Add brokerage order updated event for communicating certain order types prices changes
* Add order update event args class for brokerage side order updates
* Revert IFillModel.ApplySplit
* Add trailing stop orders regression algorithm
* Updated order ticket demo algorithm to include trailing stop orders
* Some cleanup
* Support trailing stop orders in IB brokerage model
* Some cleanup
* Fix failing tests
* Fix failing regression algorithm
* Address peer review
* Add trailing stop price calculation unit tests
* Minor changes
* Minor change
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* Implement indicator history through a rolling window
* Minor changes and extend unit tests
* Add regression algorithms
* Minor changes
* Update regression algorithms examples
* Move resizing logic from IndicatorBase to RollingWindow
* Add unit tests and other minor changes
* Minor fix
* Add unit tests and other minor changes
* Add unit test
* Fix PositionGroupBuyingPowerModel quantity for delta calculation
The model was calculation the order size that required a margin equal to
the given delta. This fix makes it so that it calculates the position
group order quantity required to get the given buying power delta,
taking into account the holdings for the existing position group in the portfolio.
* Fix PositionGroupBuyingPowerModel quantity for delta calculation
* Add unit tests
* Add unit tests
* Add unit tests
* Housekeeping
* Housekeeping
* Adapt unit tests and move messages to Messages class
* Improve quantity calculation for target BP loop
- PositionGroup.Quantity is now always positive.
- Added PositionGroupExtensions.Closes method and use it to check if reducing a position in PositionGroupBuyingPowerModel.GetPositionGroupBuyingPower. This is necessary since now a PositionGroup side is always "long" (see first bullet point).
* Improvements
* Improvements and new PositionGroup unit tests
* Unit tests improvements
- HasSufficientBuyingPowerForOrder test cases were completely updated to
make it accurate in terms of Lean's margin calculation.
- BuyingPowerForPositionGroupCalculation test was fixed in order to get
the correct expected result.
* Fixes for failing tests
* Added additional check to OptionStrategyMarginCallEventsAlgorithm
* Improve documentation comments
* Fix option strategies BuyingPowerForPositionGroupCalculation unit test
* Fix PositionGroupBuyingPowerModel.GetPositionGroupBuyingPower
Also address peer review
* Minor changes
* Update unit tests for new inverse strategies
Also fixed PositionGroupExtensions.WithQuantity to resolve inverse
strategy
* Minor fix
* Allow target/delta to go to the opposite direction of the position group
* Housekeeping
* Handle quantity for target/delta BP request for different reference position group
* Revert removal of PositionGroupBuyingPowerParameters.Direction
* Minor changes
* Peer review
* Minor tweaks on the position group buying power model
* Minor fix
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* Implement Trailing FreePortfolioValue
- Implement Trailing FreePortfolioValue by default, users will be able
to set it to a fixed number if desired. Adding regression algorithm
- Setting the default 'MinimumOrderMarginPortfolioPercentage' from 0 to
0.1% of the TPV to avoud tiny trades by default
* Update existing regression algorithms
* Address reviews
- Send warning message to the user if a trade does not happen due to the
default setting of the minimum order margin percentage value
* Address reivews
* Rename TotalPortfolioValueLessFreeBuffer
* Update new regression algorithm
* Handle unsupported orders and add unit tests
- Capture more Tradier Brokerage order limitations
- Add unit tests to cover this changes
* Enhance implementation and add more unit tests
* Enhance implementation and add unit test
* Remove IsMarketOrderGTC condition
* Remove error message MarketOrderIsGtc
* Handle unsupported orders and add unit tests
- Capture more Tradier Brokerage order limitations
- Add unit tests to cover this changes
* Enhance implementation and add more unit tests
* Enhance implementation and add unit test
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* Adds Unit Test For Limit Price Above/Below Open
See `LimitOrderFillsAtOpenWithFavorableGap`
* Fixes Limit Price Above/Below Open
If we place a buy/sell limit order below/above the current market price in TWS it fills immediately, so we model this behavior by filling with the opening price of the first trade bar.
* Updates Regression Tests
The number of trades did not change as expected. The fills are better because orders are filling with the open price when the new condition is met.
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The `LimitFill`, `LimitIfTouchedFill` and `StopMaketFill` methods require `TradeBar` data to test price levels. We create a method to serve these methods as well other methods that will require this information.
Removes `Price > 0` check for `TradeType.Trade` data. Unecessary check, since a tick price cannot be less or equal to zero.
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* Adds Unit Tests for Stop Market Fill
These unit tests covers new scenarios:
- Cannot trigger on quote data (QuoteBar or TickRype.Quote);
- Adds missing test for tick data (TickType.Trade)
- Unfavorable gap (see QuantConnect#4545)
* Fixes EquityFillModel StopMarketFill
Use the entire tick history to find the trigger price
Fill price is the stop price, unless there is an unfavorable gap (see #4545).
* Update Regression Tests
All regression tests keep the total trades. The difference are due to the time that the stop market orders are triggered and the prices that are filled. The `StopLossOnOrderEventRegressionAlgorithm` and the `UpdateOrderRegressionAlgorithm` observe the unfavorable gap case.
* Addresses Peer-Review
* Updates Regression Test
New `OrderListHash` because of the change in the fill on open case message.
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* Fix Issue #6937
Some brokerage models don't check the order type in `CanSubmitOrder`.
As a result, unimplemented order types don't cause `CanSubmitOrder`
to return false as it should.
This commit fixes these issues for:
* `FTXBrokerageModel.cs`
* `InteractiveBrokersBrokerageModel.cs`
* `SamcoBrokerageModel.cs`
* `TradierBrokerageModel.cs`
* `ZerodhaBrokerageModel.cs`
Brokerage implementations can be found at
https://github.com/orgs/QuantConnect/repositories. For example, the
Zerodha Brokerage implementation is available at
https://github.com/QuantConnect/Lean.Brokerages.Zerodha.
Signed-off-by: Abhishek Kumar <abhi.kr.2100@gmail.com>
* Use HashSet instead of an array
Checking if an object is contained within a HashSet is faster than
checking the same in an array.
Signed-off-by: Abhishek Kumar <abhi.kr.2100@gmail.com>
* Minor adjustments and normalization
* Add missing OptionExercise for IB
---------
Signed-off-by: Abhishek Kumar <abhi.kr.2100@gmail.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
Roman Yavnikov