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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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* 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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* Use correct sids when reading options/futures universe files
* Introduce new format for options and futures universe files
* Minor change
* Minor data fix
* Minor change
* Fix failing unit tests
* Add options and futures symbols cache
* [HACK] Force use test universe files
* Minor fix for universe symbols cache
* Performance improvements
* Miror change
* Cleanup
* Sort universe files
* Minor regression algorithm fix
AddAndRemoveOptionContractRegressionAlgorithm to not depend on universe file entries ordering
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* 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
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* 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
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* 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
* feat: parsing of universe file path for different security types
* fix: market position in parsing of universe file
refactor: add example of universes file path in xml description method
* test:feat: parsing of universe path
* rename: return variable in ParseUniversePath
* feat: extension to create history request internally
* feat: entity DataUniverseDownloaderGetParameters
* config: downloaderDataProvider project
* feat: create DataUniverseDownloadConfig in download project
* feat: run universe downloader in DownloaderProvider
* test:fix: missing using
test:remove: parameter ctor of DataDownloadConfig
* refactor: run Universe downloader in Main
* feat: GetUniverseFileName by processingDate
* refactor: CreateDataUniverseDownloaderGetParameters with using Start and EndDate
refactor: exception message in DataUniverseDownloadConfig
* feat: new out argument in TryParsePath's LeanData
* feat: RunUniverseDownloader in DownloadDataProvider
* feat: DerivativeUniverseData to write csv file
feat: extension to download universe data with different parameters
* remove: log warn which path when get universe file path
* refactor: DataUniverseDownloaderGetParameters
feat: run Download Universes file in DownloaderDataProvider internally
* refactor: overload TryParsePath only with 4 parameters
* remove: editconfig file in DownloaderDataProvider
* remove: validation on null parameters
* rename: typo DateType to DataType
* refactor: use endDate in ctor DataUniverseDownloaderGetParameters
refactor: use UnderlyingSymbol from base class Symbol property
remove: CreateDataUniverseDownloaderGetParameters()
refactor: put LoadSymbol in base class
clean/remove: DataUniverseDownloadConfig
* refactor: use Time.EachTradeableDay in CreateDataDownloaderGetParameters
remove: CheckMarketOpenStatus
* fix: RunUniverseDownloader with EndUtc in DownloaderDataProvider
* refactor: GetUniverseFullFilePath
* remove: validate historyData like Any
* fix: use date from parsing path in DownloaderDataProvider
* feat: download QuoteBar for Universe file
feat: handle QuoteBar in DerivativeUniverseData
refactor: filter option in final dictionary
* revert: CreateHistoryRequest() in DownloaderExtensions
* feat: use optional parameter SecurityExchangeHours in DataUniverseDownloaderGetParameters
refactor: DataUniverseDownloaderGetParameters
refactor: use Log.Debug instead Log.Trace to prevent spamming
* fix: ordering of download universe data
revert: parameter ctor in DataDownloadConfig
revert:test: use parameter ctor instead of Config.Set
* clean: extra `usings`
* fix: Get DataType in DataDownloadConfig
feat: new ctor in BaseDataDownloadConfig
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* Normalize universe data frames
Universe and (generically BaseDataCollection) data frames are not normalize and unpacked into a data frame, instead of just creating data frames with the universe lists within it
* Fix unit tests and algorithms to expecte new universe dataframe format
* Fixes
* Add PandasConverter.DataFrameGenerator class
* Pandas data frame generator class fixes
* Add comments
* Housekeeping
* Add attributes to mark classes and properties for pandas processing
* Improve pandas properties expanding
Allow and handle duplicate names
* Use PandasData generalization for Lean common data types
* Add points time as column when converting base data collections to data frames
* Cleanup and minor changes
* Minor change
* Pandas data to get type members on demand
* Move Pandas helper classes to their own files
* Minor changes
* Add flatten argument to python history api
This allows users to decide whether they want fully expanded dataframes for universe and other collection data types. Else, master behavior is kept
* Adding missing changes to last commit
* Update Pythonnet version to 2.0.40
* Add flattent argument to algorithm's OptionChain api
* Minor changes
* Housekeeping
* Minor changes
* Bug fix skipping data collection data points
* Add comment
* Set correct exchange time to OptionUniverse instances
* Address peer review and cleanup
* Cleanup
* Minor changes
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* Fix option universe
Set right time using exchange time zone when reading.
Remove OptionUniverse market hours hack in GetEntry extension method.
* Minor change
* Test
* Fix price shift on continuous future rollover
* Keep track of both data and exchange time in subscription data reader
* Fix for daily and hourly resolutions.
Add daily and hour algorithms
* Fixes for emitting new exchange dates at the beginning and end when data is not available
* Cleanup
* Minor fix
* Minor fix: detect mapping in data reader after advancing time keeper
* Minor fix
* More fixes
* More fixes
* Fixes for universe files
* More fixes for daily resolution data
* Separate DateChangeTimeKeeper to its own file
* Add DateChangeTimeKeeper unit tests
* Minor fix
* Add more DateChangeTimeKeeper unit tests
* Address peer review
* Address peer review
* Address peer review
* Detect mappings using the config NewSymbol event
* DateChangeTimeKeeper performance improvement for time zone conversions
* Clean up date change time keeper
* Cleanup
* Minor regression algo update
* Cleanup
* Cleanup
* Fix perform universe selection on sundays for continuous futures with extended market hours
* Cleanup
* Address peer review
* More cleanup
* More cleanup
* Fix pandas converter to handle list of data with different symbols
* Properly convert list of data into dataframe
Take into consideration data for multiple symbols in the same list
* Cleanup
* Index dataframes by symbol object instead of SID string
* Add symbol equality operator to compare against object
* Exclude "ID" from option chain dataframe
* Minor fix
* Add greeks columns directly in option chain dataframe.
Also add pass-through properties for greek values in OptionUniverse
* Some cleanup
* Minor fix
* Add new QCAlgorithm.OptionChains() method
- Use OptionChains as output
- Add DataFrame to OptionChain and OptionChains
- Rename Greeks classes
- Add ISymbolProvider for classes that have a symbol (IBaseData, OptionContract)
* Unify QCAlgorithmOptionChain API
Also refactor OptionContract to handle: (1) Actual market data and option price model data, and (2) OptionUniverse data
* Pass symbol properties to OptionUniverse option chain from algorithm
* Format OptionContract for dataframe
* Minor fix
* Add multiple option chains api regression algorithms and other minor changes
* Address peer review
Add NullGreeks class: keep ModeledGreeks as internal as possible
* Minor fix and add PandasConverter unit tests
* Peer review: Non-thread-safe Lazy for Python
* Handle Greeks unwrapping by PandasData
* PandasData cleanup
* Add data and other minor changes
* Unit test fix
* Update Pythonnet to 2.0.39
* Cleanup
* PandasData handling children class members
Address peer review
* Fix: indexing symbol conversion in pandas mapper
* Fix pandas mapper to convert string keys to symbol only when necessary
* Cleanup
* Cleanup
* Add PandasColumn python class to handle proper indexing
This allows propery hash and equality between Symbols, C# strings and Python strings
* Minor fixes
* Symbol cache improvements
* Minor fix for cache miss
* Revert PandasMapper reserved names and improvements
* Minor fix
* Revert reserved names
* Minor fix for Symbol equality operators
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* Option universe improvements
- Improvement for resolution handling of option universes, affecting
performance in live mode. Adding regression algorithm
* Minor fix for research test
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* 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>
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* 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
- Remove universe selection on dates with extended market hours only
- Updating regression algorithms
- Expand date & time rules API to support specifying whether extended
market hours only dates are desired or not
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* Fix half of the CA1051 warnings
This warning is about not declaring visible instance fields. There are
something about 500 warnings in the solution, mostly in the QuantConnect and QuantConnect.Algorithm.CSharp projects. I aim to fix one of them in this PR and the other half of them in a second one. To fix it, I'm changing the visible instancce fields for properties.
* fix bugs
* Addressing minor reviews
* More minor fixes
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* feat: support snake-case style Python QCAlgorithm implementations
* feat: add unit tests and minor fixes
* feat: implement new BasePythonWrapper class for python wrappers.
Used to cache methods and contains invoke functionality
* feat: make python wrappers implement the new base class for pep8 style support
* feat: keep overriden methods in Algorithm Python Wrapper
* feat: add unit tests for custom models algorithms with PEP8 style
* Bump pythonnet version to 2.0.30
* fix bugs and address peer review
* Address peer review
* Minor revert
* feat: StubsIgnoreAttribute for ignoring members or classes by the stubs generator
* Minor fixes
* Minor fix
* Minor fix
* Bump pythonnet version to 2.0.31
* Added Greeks.Lambda_ alias of Lambda for python compatibility.
Remove unused method
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- By default Time rules yield times in UTC TZ, already correctly handled
by 'ScheduledUniverseSelectionModel' but this wasn't fixed in ScheduledUniverse
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* Minor api improvements
- Adding Universe.Selected to hold the current set of selected symbols.
Adding regression tests
- Adjusting TimeRules and DateRules to fallback to the MHDB if the
security hasn't been added. Updating existing regression tests
* Expand regression test assertion
* Add Scheduled Universe Selection
- Adding `UniverseSettings.Schedule` that will allow users to
specify a custom selection schedule which is independent of the
underlying data frequency
- Adding unit and regression tests
* Add live trading schedule time shift
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* Refactor universe historical data source
- Add new universe history API methods
- Refactor QuantBook UniverseHistory to use the universe selection
itself instead of a given func
- Refactor and rename fundamental types
- Refactor AddUniverse API to handle universe collection data which
holds another type internally, like fundamental
* Fix minor bug causing ApiDataProvider not to serve Bitfinex universe data
* Further improvements to add universe API
* Handle no selection function
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- Once a security has been delisted or no longer selected by any
universe it will be remove from the main algorithm securities
collection but kept in the new Complete collection, this improves
performance in long running backtests where security collection can
get enumerated in different cases
- Minor refactor for security exchange local time to avoid having to set
it explicitly
* Async universe selection
- Add support for async universe selection, which will happen ahead of
time in the data stack for a performance improvement
* Thrown if using Coarse+Fine Asynchronous Universe selectioon
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* New Fundamental Data
* Minor CIK lookup fix
* Handle live mode & delete unexisting properties
* Minor coarse fundamental adjustment
* Add fundamental history support
* Fix unit tests
* Performance improvements
* Fixes
* Minor regression algorithm fix
* Improvements. Add FundamentalUniverseSelectionModel
* Change default values
* Fix unit test
* Minor tweaks
* Fix unit test
* Minor error handling improvement
* Fix rebase
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- Always respect the minimum time in universe even if we haven't gotten
any data point yet. This is specially useful for live trading options
which are illiquid
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* Contract chain selection improvements
- Adjust contract chain selection behavior for futures and options so we
are sure to use the correct local time when filtering expirations.
Adding unit test reproducing issue
* Update futures regression algorithms
* Address reviews
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* Fix contract security filter universe
- Fix for contract security filter universe which would would use .Time
to filter expirations which could be yesterdays time at midnight
localtime. Adding unit tests reproducing issue
* Update regression algorithms
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* WIP
* Add base currency cash
* Symbol properties and data processing
* Add basic template algorithm
* Add hourly crypto future algorithm
* Minor fixes after live trading testing
* CoinApiDataQueueHandler CryptoFuture support
* Address reviews
* Fix regression algorithms after update
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* Normalize time in universe behavior
- Normalize Option & Future chain universe behavior regarding their
assets time in universe. They will now respect the universe settings
time in universe value. Adding new regression algorithms asserting the
behavior
* Address reviews & cleanup
JosueNina