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* feat: add CreateOAuthTokenHandler factory to Brokerage base class
Introduce AuthenticationFailed event on TokenHandler raised when all
retry attempts are exhausted. Add CreateOAuthTokenHandler<TRequest,TResponse>
protected factory method on Brokerage that wires the event to OnMessage
(BrokerageMessageType.Error), triggering graceful Lean shutdown on
OAuth token refresh failure without requiring per-brokerage error logic.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
* refactor: token retry logic: move to OAuthTokenHandler
* refactor: replace generic OAuthTokenHandler with non-generic, require explicit token lifetime
- Remove generic type parameters <TRequest, TResponse> from OAuthTokenHandler and
CreateOAuthTokenHandler; use LeanAccessTokenMetaDataRequest and
AccessTokenMetaDataResponse directly
- Delete abstract AccessTokenMetaDataRequest; logic moved to LeanAccessTokenMetaDataRequest
- Make tokenLifetime a required constructor parameter — each brokerage must explicitly
declare its OAuth token lifetime to prevent silent 1-hour fallback bugs
- Move expiry tracking into the handler via _tokenExpiresAt (written under lock before the
volatile write of _tokenCredentials, ensuring correct visibility on the fast path)
- Simplify AccessTokenMetaDataResponse to a concrete class with { get; set; } properties
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
* test: add unit tests for OAuthTokenHandler and AccessTokenMetaDataResponse
- Make ApiConnection.TryRequest<T>(HttpRequestMessage) virtual to allow
test subclasses to intercept without real HTTP calls
- Add AccessTokenMetaDataResponseTests: two parameterized cases verify that
TokenType defaults to Bearer when absent from JSON (CharlesSchwab pattern)
and deserializes correctly when present (Tastytrade pattern)
- Add OAuthTokenHandlerTests with FakeApiConnection stub:
CharlesSchwab-style response (no tokenType, 30-min lifetime) and
Tastytrade-style response (explicit tokenType + expiresIn/tokenId, 15-min lifetime)
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
* refactor: backward-compatible OAuth auth with new LeanOAuthTokenHandler hierarchy
- Restore master API: OAuthTokenHandler<TReq,TRes>, AccessTokenMetaDataRequest,
AccessTokenMetaDataResponse, and TokenHandler stay source-compatible for old consumers
- Extend TokenHandler with AuthenticationFailed event; simplify Send() (auth header only)
- Add LeanOAuthTokenHandler: non-generic, thread-safe double-checked locking, explicit
tokenLifetime, retry logic in GetAccessToken, fires AuthenticationFailed on exhaustion
- Add OAuthTokenRequest / OAuthTokenResponse: concrete Lean platform request/response
- Brokerage.CreateOAuthTokenHandler wires AuthenticationFailed to graceful shutdown
- Update tests: OAuthTokenResponseTests, LeanOAuthTokenHandlerTests, TokenHandlerTests
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
* Some tweaks
---------
Co-authored-by: Claude Sonnet 4.6 <noreply@anthropic.com>
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Use universe settings when adding derivatives
Use resolution, fill forward and extended market hours settings from universe settings when adding derivative securities (options, index options, futures and future options)
* Minor python syntax check fix
* Minor change
* Default resolution from universe settings for common lean types securities
* Minor test fix
* Cleanup
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Added a new configuration entry "binance-orders-websocket-url" with the value "wss://ws-api.binance.com:9443/ws-api/v3" to config.json. This provides a dedicated WebSocket endpoint for handling Binance order-related operations.
* Use consolidated bar as reference for new working bar initialization
* Update ValidateAndScan method and unit tests
* Fix issues with syntax check
* Solve review comments
* Minor fix
* Minor fix
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* Fix: Reject unsupported 4-leg ComboLegLimit orders in InteractiveBrokersBrokerageModel (#9287)
* Minor tweaks
---------
Co-authored-by: Ahmed Ali <ahmedalli79x@gmail.com>
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* feat: add CanonicalDataDownloaderDecorator for chain support
Introduced CanonicalDataDownloaderDecorator to enable automatic resolution and parallel downloading of all contracts for canonical symbols (options and futures chains). Updated Program.cs and DownloaderDataProvider to use this decorator, ensuring seamless data retrieval for both canonical and non-canonical symbols. Refactored initialization logic to handle chain providers within the decorator and removed redundant code from Program.cs.
* feat: improve canonical symbol error handling in data downloader
* refactor: data downloader selection in DownloaderDataProvider
* refactor: CanonicalDataDownloaderDecorator construction
* feat: limit parallelism and improve contract data error handling
* refactor: canonical data downloader and provider usage
* remove: CanonicalNotSupportedException and refactor handling
* refactor: data downloader selection with selector class
Introduce DataDownloaderSelector to choose the correct IDataDownloader implementation based on data type, using CanonicalDataDownloaderDecorator only when needed. Update Program.cs and DownloaderDataProvider to use the selector, remove redundant initialization logic, and ensure proper resource disposal. This improves flexibility, correctness, and resource management for data downloads, especially for custom and canonical data types.
* fix: wrong selector condition
* refactor: change default log handler; add parallelism config to downloader
- Set ConsoleLogHandler as the default log handler in code and config
- Make contract download parallelism configurable via downloader-thread-count (default 4)
- Track and log number of processed contracts in CanonicalDataDownloaderDecorator
- Add error logging for missing universe data
- Improve logging clarity and code readability
* feat: prevent duplicate contract downloads in canonical chains
Introduce ContractDownloadParameters to uniquely identify contract/tick type/resolution combinations and cache them in CanonicalDataDownloaderDecorator, avoiding redundant downloads when contracts are shared across canonical symbol chains. Add date range optimization for contract downloads and unit tests for the new class.
* Revert "feat: prevent duplicate contract downloads in canonical chains"
This reverts commit 44386c4c788904531c473c60c2a173e2354561ec.
* feat: clamp contract date ranges, deduplicate downloads
Added AdjustDateRangeForContract to CanonicalDataDownloaderDecorator to clamp start/end dates based on contract expiry and security type. Introduced _contractsCache to prevent duplicate downloads across canonical chains and _processedContracts for logging. Updated contract retrieval logic for deduplication. Added NUnit tests to verify date range adjustments for futures and options.
* refactor: canonical contract date range adjustment logic
* test:feat: add test for non-option/future contract date adjustment
* feat: make look-back periods for canonical symbols configurable
* refactor: remove Lazy from CanonicalDataDownloaderDecorator
Revert "refactor: remove Lazy from CanonicalDataDownloaderDecorator"
This reverts commit 909c1299406688a19352273f8d0b5b3ea99c0fb9.
refactor: Inject IMapFileProvider into downloader selectors
Revert "refactor: Inject IMapFileProvider into downloader selectors"
This reverts commit 0add95269809680e425bfa6080e465bf16377e56.
Reapply "refactor: remove Lazy from CanonicalDataDownloaderDecorator"
This reverts commit 9e3c4bed078868a3c8dfedcab0e52d6dced1daad.
* refactor: data downloader dependency injection
* refactor: provider initialization in data downloader classes
* refactor: DataDownloaderSelector dependencies, add tests
- Require explicit IDataProvider in DataDownloaderSelector constructor, removing default and fallback logic
- Change default log handler to ConsoleLogHandler in Program.cs
- Pass DownloaderDataProvider as IDataProvider to DataDownloaderSelector
- Add DataDownloaderSelector unit tests to verify correct downloader selection and decorator usage
* feat: ensure factorFileProvider is initialized when defaulted
* fix: missed dataProvider in DataDownloaderSelector ctor
* refactor: improve IFactorFileProvider resolution in DataDownloaderSelector
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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
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* Enhance order request processing by grouping requests and adding concurrency tests
* Minor adjustment
---------
Co-authored-by: Adrian Tkacz <adrian.tkacz@creatdy.com>
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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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
* 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>
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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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* 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
* 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>
* Fix trade drawdown calculation
* Cleanup
* Disable MAE. MFE and Drawdown calculation for FlatToFlat and FlatToReduced trade grouping methods
* Minor test fixes
Roman Yavnikov