e68ee853db
Implement indicator-based option price model ( #9237 )
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* Implement indicator-based option price model
This model uses IV and Greeks indicators to implement Lean's own option pricing model
* Minor fixes
* Address peer review
* Minor tests fixes
* Make the indicator based price model the default for options
* Address peer review
* Cleanup and minor changes
* Support indicators configuration for new pricing model
* Some cleanup
* Add QL option price model example algorithm
* Return lean models from static helpers
* Minor tests fixes
* Minor test fixes
* Address peer review
* Cleanup
* Fix unit tests
* Move QL models to OptionPriceModels.QuantLib.*
* Add forward tree helper method
2026-02-19 15:15:25 -04:00
192a093769
JsonConverter for decimal and decimal? types ( #9291 )
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* Create universal JsonConverter for decimal and decimal? types
* use it only for read
* removed unused import
2026-02-16 11:29:19 -03:00
7fa3916baf
Add generic DownloadData<T> extension methods for deserialization ( #9286 )
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* Add new helper methods to deserialize to T
* Solve review comments
* Minor fix
* Add unit tests
2026-02-13 16:58:49 -03:00
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
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
9cd28a6236
Add WEX optional locate broker order property ( #9264 )
2026-02-03 16:57:14 -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
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
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
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
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
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
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
e3783ed477
Override GetBuyingPowerModel to support USDC collaterla in dYdX brokerage ( #9187 )
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2026-01-05 09:55:46 -03:00
a66f279852
Fix some incorrect future expirations ( #9184 )
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- Some future expiry functions were missing to account for holidays,
adding unit test reproducing issue
2026-01-02 12:58:29 -03:00
6575b57146
Fix future expiration year calculation ( #9182 )
2026-01-02 10:21:02 -03:00
7735917c83
Prioritize CryptoFuture data feeds for dYdX ( #9178 )
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* Prioritize CryptoFuture data feeds for dYdX
* revert changes for existing crypto subscriptions
* use Concat instead of adding into list
2025-12-31 13:19:58 -03:00
67489eef57
Add GetInt64 StreamReader extension method ( #9177 )
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* Add GetInt64 StreamReader extension method
* Minor change
* Cleanup
* Add unit tests
2025-12-31 11:58:51 -04:00
0854ab82da
Default option filter now includes weeklies to prevent empty chains ( #9162 )
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* Return weekly contracts if no standard contracts exist
* Fix unit and regression tests
* Centralize default expiration type flags
* Add ExcludeWeeklys() method
* Mark IncludeWeeklys() as obsolete since weeklies are now default
2025-12-31 10:11:46 -03:00
914d0810af
Make Collaborator.Uid nullable to fix JSON deserialization error ( #9170 )
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2025-12-30 15:40:22 -03:00
10902f95dd
net10 fix: Update clr-loader ( #9166 )
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2025-12-29 19:07:35 -03:00
2e67b9ad4f
Feature net10 update ( #9161 )
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* Feature update to net10
* Update to net10
* Update pythonnet to 2.0.51
* Remove dotnet config
* Remove net9
* Minor cleanup
2025-12-29 09:53:37 -03:00
725737610a
fix: several Futures Currencies: 6B, 6M, 6J, 6E, 6C ( #9155 )
2025-12-24 17:39:50 +02:00
c565f4cfd0
Refactor optimization statistics serialization ( #8984 )
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* Refactor optimization result stats serialization
* Handle custom optimization statistics serialization
* Support custom statistics
* Support newest Lean statistics
Address peer review
* Add more tests
* Make indices reserved statistic names
* Minor fixes and cleanup
2025-12-22 17:08:24 -04:00
ef1cf8e4df
Replace RestShap with HttpClient ( #9143 )
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* Replace RestShap with HttpClient
* Address peer review
* Minor fixes
2025-12-22 09:50:25 -04:00
0f80591f51
Fix null reference un future contract. Adding tests ( #9147 )
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2025-12-19 13:51:45 -03:00
8f0224feb6
Fix StopLimit validation bug ( #9142 )
2025-12-19 12:35:19 -03:00
340b40c6ce
Fix: AUD(6A) FOP expiration ( #9139 )
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* fix: AUD(6A) FOP expiration
* feat: add 6A to FOP expiry delta
refactor: rename variable to project pattern naming
* remove: AUD fop expiry delta
test:fix: use flexible reference data in FutureAndOptionMapping
* test:fix: AUD in GetUnderlyingSymbolFromFutureOption
2025-12-19 15:52:06 +02:00
e568162bff
Minor slice.AllData api change ( #9130 )
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2025-12-15 10:25:00 -03:00
c7e96b837d
Minor fix for json to stream serialization extension ( #9123 )
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2025-12-10 18:29:57 -04:00
Jhonathan Abreu