* Allow SetAccountCurrency after SetCash without throwing
Previously, calling SetAccountCurrency after SetCash threw an
InvalidOperationException. The portfolio manager now switches the
base account currency in place: the previous Cash entry (and its
balance) is preserved in the CashBook, and a notice is logged. When
the new account currency matches the existing one, an optional
startingCash overrides the previously set amount and the override
is logged.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
* Simplify SetAccountCurrency remarks and drop unused message
Tightens the XML remarks to two cases (different currency: keep previous
in its own entry; matching currency: override). Also removes the now
unused CannotChangeAccountCurrencyAfterSettingCash string since the
portfolio no longer throws.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
* Simplify in-line comment in SetAccountCurrency
Drops the "Undo that migration" wording (residue from a previous fix
attempt) and just describes what the branch does: keep the previous
balance in its own currency entry while the new account currency starts
at zero.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
* Differentiate implicit vs explicit SetCash on account currency switch
SetCash(decimal) is currency-agnostic: the amount is "this many units of
the (eventual) account currency". Switching the account currency now
re-labels the amount onto the new currency instead of preserving the
previous one. SetCash(symbol, ...) for the current account currency keeps
the old behaviour of preserving the balance in its own CashBook entry.
Splits the existing tests by overload and adds a starting-cash variant
for the explicit case.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
* Mark base cash explicit on any SetCash(symbol, ...) call
Broaden _baseCashSymbolSetExplicitly so any call to the explicit-currency
overload signals the user is committing to named currencies, not just
calls whose symbol matches the current account currency. SetAccountCurrency
then preserves the previous base-currency balance in its own CashBook
entry whenever the user has touched the explicit overload at all.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
---------
Co-authored-by: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
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* fix: add AJY future-option expiry definition
- map AJY (AUD/JPY) FOP to SecondFridayBeforeThirdWednesdayOfContractMonth
- prior fallback to the AJY HMUZ-only future expiry collapsed serial-month FOPs (e.g. AJYN6) into their underlying quarterly Symbol
* fix: add ANE and ECD future-option expiry definitions
- map ANE (AUD/NZD) and ECD (EUR/CAD) FOPs to SecondFridayBeforeThirdWednesdayOfContractMonth
- prior fallback to the HMUZ-only future expiry collapsed serial-month FOPs into their underlying quarterly Symbol
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- map EAD (EUR/AUD) FOP to SecondFridayBeforeThirdWednesdayOfContractMonth
- prior fallback to the EAD HMUZ-only future expiry collapsed serial-month FOPs (e.g. EADN6) into their underlying quarterly Symbol
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* feature: add NASDAQ_SC and NASDAQ_INT equity exchanges
- map primary exchange codes S and T to new NASDAQ tier exchanges
- T was previously folded into NASDAQ, now returns NASDAQ_INT
- add V as alias for IEX in equity switch
- fix MEMX description (was copy of LTSE)
* feature: map equity exchange codes H and U to MIAX_PEARL and MEMX
* feature: consolidate NASDAQ_INT code T into NASDAQ_SC
Remove the separate NASDAQ_INT mapping in GetPrimaryExchange and map
exchange code "T" to NASDAQ_SC. Update ExchangeTest cases accordingly
and add coverage for IEX ("V") and MEMX ("U").
* feature: remove orphaned NASDAQ_INT exchange entry
Drop the NASDAQ_INT class entry from Exchange.cs. The "T" tape letter
already routes to Exchange.NASDAQ via GetPrimaryExchange, leaving the
class definition unreachable and inconsistent.
* fix: support BNFCR alternative collateral in CryptoFutureMarginModel for Binance (#9339)
* refactor: use classic switch in BinanceFuturesBrokerageModel.GetBuyingPowerModel
* fix: CryptoFutureMarginModel in BinanceCoinFuturesBrokerageModel
* refactor: simplify BinanceCryptoFutureMarginModel collateral conversion
* fix: restore IsCryptoCoinFuture guard in BinanceCryptoFutureMarginModel
* refactor: simplify BinanceCryptoFutureMarginModel to direct BNFCR lookup
Replace IsStableCoinWithoutPair foreach loop with a single TryGetValue
check for BNFCR. BNFCR is EU/EEA-only (MiCA Credits Trading Mode) so
the lookup is a no-op for all other users. Amount reflects availableBalance
from the Binance API — the total cross-margin pool already aggregated by
Binance — making the > 0 guard correct and avoiding CashBook iteration.
* feat: add regression algorithm for BNFCR as sole collateral on Binance USDⓈ-M futures
Asserts end-to-end that EU/MiCA accounts with zero USDT and BNFCR as
the only collateral can open ADAUSDT positions. Verifies buying power,
holdings AbsoluteHoldingsCost, TotalSaleVolume, TotalMarginUsed,
maintenance margin consistency and TotalUnrealizedProfit accuracy.
* refactor: BNFCR presence gate with CashBook iteration for supplementary collateral
Replace IsStableCoinWithoutPair and hardcoded asset list with CashBook
iteration gated by BNFCR presence. Binance controls which assets are in
the account — all with non-zero walletBalance are valid collateral.
Add tests for BNFCR zero balance and BTC collateral conversion.
* refactor: aggregate all collateral without reference equality check
* fix: shared collateral deduction across quote currencies for EU/MiCA BNFCR mode
- Extract virtual SharesCollateral in CryptoFutureMarginModel
- Override in BinanceCryptoFutureMarginModel: BNFCR present → all USDⓈ-M share pool
- Add BNFCRCurrency const
- Add SharedCollateralDeductsMaintenanceMarginAcrossQuoteCurrencies unit test
- Refactor regression algorithm to assert shared collateral across ADAUSDT/ETHUSDC
* refactor: remove dead IsCryptoCoinFuture guard from BinanceCryptoFutureMarginModel
- Remove IsCryptoCoinFuture() check (coin futures use BinanceCoinFuturesBrokerageModel, not this model)
- Call base.GetTotalCollateralAmount() instead of duplicating primaryCollateral.Amount
- Remove CoinFutureDoesNotIncludeBnfcrAsCollateral test (tested wrong margin model)
* refactor: make GetCollateralCash private in CryptoFutureMarginModel
- No longer accessed by subclasses after removing direct collateral checks from BinanceCryptoFutureMarginModel
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* Improves Null Key Handling in Python
We aim to mimic the following behavior:
```python
>>> d = {1:2}
>>> None in d
False
>>> d.get(None) is None
True
>>> d.pop(None)
Traceback (most recent call last):
File "<stdin>", line 1, in <module>
KeyError: None
>>> d.pop(None, None) is None
True
```
* Reverts dispose change
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* Add ContractMultiplier setter to Cfd via CfdSymbolProperties
* Fix regression tests
* Solve review comments
* Address new review comments
* Fix regression tests
* Use ContractSymbolProperties as base class
* Minor fix
* Address review comment
* Initial backtest analyzer commit
* Changes for cleanup
* Minor fix
* Add class for analysis result context
* Fix more models
* More fixes
* More fixes
* More fixes
* More fixes
* Cleanup
* Cleanup
* Add documentation
* Cleanup and remove some classes
* Write backtest analysis to results file
* Cleanup
* Minor fixes
* Minor fix
* Minor cleanup
* Implement json deserialization for backtest analysis result
* Rename analyzer classes to generalize
Remove "backtest" references from names
* Add weight to analyses
* Run analyses in order by weight
* Cleanup
* Cleanup
* Update Issue text
* Set sub-test weights to 0
* Update test weights
* Add xml docs
* Disable result analysis on regression tests
* Refactor analysis naming
* Renaming cleanup
* Simplify analysis results context
* Log when analyzer reaches max tests or time limit
* Sample down equity curve to match daily benchmark
* Minor changes
* Minor fixes
---------
Co-authored-by: Derek Melchin <melchin.derek@gmail.com>
* Add failing test for BRK.B OSI option ticker parsing
Adds test case to ParseOptionTickerOSI to reproduce issue #9341 where
Symbol.ParseOptionTickerOSI throws on tickers containing a dot (e.g. BRK.B).
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
* Fix OSI option ticker regex to support dots in underlying symbol
Extends _optionTickerRegex from [A-Z0-9]+ to [A-Z0-9\.]+ so that
symbols like BRK.B are accepted by ParseOptionTickerOSI.
Fixes#9341
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
---------
Co-authored-by: Claude Sonnet 4.6 <noreply@anthropic.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
* 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>
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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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* 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
* Fix trade drawdown calculation
* Cleanup
* Disable MAE. MFE and Drawdown calculation for FlatToFlat and FlatToReduced trade grouping methods
* Minor test fixes
JosueNina