10 Commits

Author	SHA1	Message	Date
Jhonathan Abreu	fe46e5ec3b	Fill-forward previous universe files for manual chains fetching when current missing (#8691) ... * Fill forward prev date universe file in manual chains fetch If there is no universe file available for the current date, use the previous one and fill forward to avoid having empty chains on a day when we haven't generated the universe files * Try a maximum of 3 days behind for manual chains fetching * Minor change * Minor fix * Add comments * Minor fix * Minor fix for expired contracts	2025-04-11 13:57:29 -03:00
Jhonathan Abreu	69d2f5ae82	Futures and Future Options file-based universes (#8480) ... * 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	2025-03-25 16:22:38 -04:00
Jhonathan Abreu	760071a2f7	Fix 0DTE index options selection (#8418) ... * Revert parts of GH PR 8395 to fix 0DTE index options * Add regression algorithms * Cleanup * Cleanup	2024-11-20 09:18:11 -04:00
Jhonathan Abreu	fa1ef4f763	Index option chain backwards compatibility (#8395) ... * Fix option universe Set right time using exchange time zone when reading. Remove OptionUniverse market hours hack in GetEntry extension method. * Minor change	2024-11-15 17:30:44 -04:00
Jhonathan Abreu	e29bb2c5e0	File-based options universe (#8212) ... * 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>	2024-09-09 12:39:31 -03:00
Martin-Molinero	7879795207	Enable daily precise end time by default (#8254) ... * 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	2024-08-14 12:49:56 -03:00
Martin-Molinero	b5ced1635e	Chain Providers will filter expired (#7267) ... - Future and option chain providers will always filter expired contracts from their result. Update existing tests	2023-05-23 18:33:07 -03:00
Martin-Molinero	6563d6e394	Use any resolution for chain provider (#6860) ... * Use any resolution for chain provider - Use any data resolution available to source symbols for the file based chain provider. Adding unit test * Fix selection timezone bug - Fix universe selection timezone bug. Updating regression algorithms	2023-01-16 16:10:07 -03:00
Martin-Molinero	778d436b94	Removed mapped futures contract is non tradable (#6479) ... * Minor fixes for mapped futures contract - Future security was never able to be non tradable - Skip remove future contracts from live holdings. Adding unit test reproducing issue and regression algorithm * Fix removal of continuous futures - The canonical continuous future would leave behind an OpenInterest subscription when removed because of a different in the way the configurations were built, this will now be centralized in a single method. Adding unit tests reproducing issue - FillForwarding setting of the continuous future was not being respected. Updating algorithm reproducing the issue to assert the behavior failing in master * Address reviews - Minor refactors addressing reviews	2022-07-13 15:36:24 -03:00
Martin-Molinero	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	2022-06-10 11:24:09 -03:00