* 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
* 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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* 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
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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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* Fix NullReferenceException in SecurityService
* Simplify the unit test
* Add unit test for RandomDataGenerator
* Improve unit test name
* Solve review comments
* 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
* Centralize Python/C# model detection logic
* Improve helper method
* Remove unnecessary conditionals
* Fix unit tests
* Refactor QCAlgorithm.python.cs to use the new helper method for models
* Solve review comments
* Clean up Python wrapper exception
* Update XML comments to better describe T and TWrapper in CreateModelOrWrapper
* Join unit tests in TestCases
* Solve review comments
* Replace manual TryConvert checks with CreateInstanceOrWrapper helper
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* Add SeedInitialPrices algorithm setting
This is true by default and indicates that the engine will seed initial prices right after the security is added or selected
* Update regression algorithms
* Update regression algorithms
* Update regression algorithms
* Refactor default securities seeding
* Minor fix
* Minro fixes
* Cleanup
* Updated and add regression algorithms
* Address peer review
* Centralize logic to get last known data for multiple securities
* Some cleanup
* Minor build fix
* Minor fixes
* More logic centralization
* Some more cleanup
* Cleanup
* Update regression algorithms and minor fixes
* Update regression algorithms
* Minor fix
* More minor fixes
* Update regression algorithms
* Cleanup
* Minor test fix
* Address peer review
* Minor fix and performance improvement
* Fix to seed open interest data
* Minor test fixes
* Address peer review
* Minor change
* Minor revert
* Minor fixes and improvements
* Disable initial seeding by default
* Minor fixes
* Cleanup
* Cleanup
* Minor fix
* Refactor user define universe handling
- Normalize user define universe additions and removals to behave like
other subscriptions without requiting special handling
* Minor fixes
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* Use Futures Bank Holidays For Expirations
* Minor improvements
- Futures will be stored by their contract month, not expiry
* Delete dairy future products
* Minor test fixes
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* Fix settting brokerage model after adding security initializer
* Minor fix
* Minor change
* Minor change
* Send warning for calling SetBrokerageModel before setting or adding security initializer
* Send warning for calling SetBrokerageModel before setting or adding security initializer
* Minor change
* Minor change
* Cleanup
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* Add new QCAlgorithm.AddSecurityInitializer method
This allows to add multiple security initializers without manually creating an instance of a CompositeSecurityInitializer
* Add Python support
* Cleanup
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* Implement Session class
* Use MarketHourAwareConsolidator inside Session
* Delete SecurityCacheSessionConfig
* Refactor session class
* Solve review comments
* Fix regression algorithms
* Add null check to AvailableDataTypes
* Update session class
* Solve new review comments
* Add new test for futures and update regression test to PEP8
* Add new regression algorithm for Session with futures
* Resolve review comments
* Add local time keeper to SecurityCache
* Scan on consolidator updates and time updates
* Add new regression algorithms and unit tests
* Add unit tests and improve comments
* Fix syntax test
* Solve review comments
* Add regression algorithms
* Resolve review comments
* Make SessionConsolidator implement IDataConsolidator
* Add caching to avoid recreating SessionBar instances on every access
* Solve review comments
* Make SessionConsolidator inherit from MarketHourAwareConsolidator
* Add unit test to verify Session preserves previous day values
* Update regression algorithms
* Solve review comments
* Resolve review comments
* Solve new review comments
* Add unit test for Session class
* Refactor SessionBar properties and Update method
* Use WorkingDataInstance reference instead of _workingData.Clone()
* Use a delegate to get the workingBar instance
* Fix bug in MarketHourAwareConsolidator
* Solve review comments
* Handle OI values
* Add regression algorithms for future contracts and options
* Solve review comments
* Refactor SessionConsolidator to inherit PeriodCountConsolidatorBase
* Prevent overlapping higher resolution data
* Update tests
* Solve review comments
* Minor tweaks
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* Add support for some CME currencies FOPs
Support ADU (6A), GBU (6B), CAU (6C), EUU (6E), JPU (6J), CHU (6S)
* Cleanup
* Consider holidays in FOPs expiry function
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* Changed default async to true and passed target.Tag
* Make execution models place orders asynchronously if specified
* Add unit tests
* Execution model default to asynchronous orders.
Also, minor fixes for tickets remaining fill quantity potential race conditions
* Add SecurityHolding.UnrealizedQuantity property
It gets the holding quantity the security will have once all open orders are filled.
Added for thread safety reasons when execution models place asynchronous orders and need to calculate the actual quantity needed to reach the target of there are open orders
* Some cleanup
* Adjust projected holdings quantity on splits
* Minor fix
* More changes and cleanup
* Minor fix
* Improvements for thread safety
* Add IOrderProvider.GetProjectedHoldings to get projected holdings atomically
* Minor unit tests fix
* Add ProjectedHoldings DTO class
* Address peer review
---------
Co-authored-by: arthiondaena <arthiondaena@gmail.com>
Alexandre Catarino