Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Syntax Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* 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.
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
API Tests / build (push) Has been cancelled
* EUREX data
EUREX data model and sample data
* Add EUREX futures expiry function and sample algorithms
* Add EuroStoxx50 futures map and factor files
* Reduce eurex data for repo
* Map eurex market to primary exchange
* Update Euro Stoxx 50 (FESX) map and factol files
* Update Euro Stoxx 50 (FESX) minute data
* Added EURSD data
* Added 2 basic FESX futures algorithms in CSharp and Python (#2)
* Add regression algorithms
* Update regression algorithms and data
* Minor change
* Cleanup
---------
Co-authored-by: paulius-an <118921953+paulius-an@users.noreply.github.com>
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* refactor: adding OrderId in GroupOrderManger
* feat: new support of OrderTypes in TradeStationBrokerageModel
feat: unSupported OrderTypes in CanUpdateOrder's TradeStationBrokerageModel
* feat: AllOrNone property in TradeStationOrderProperties
* feat: unsupported SubmitCrossZero of Combo Order in TSBrokerageModel
* test:feat: submit / update CrossZero Combo Orders
* feat: new Message Brokerage error message
refactor: use new Message in TradeStationBrokerageModel
* feat: setter of Id in GroupOrderManager
* feat: new constructor of GroupOrderManager
* feat: develop GroupOrderCacheManager service
* fix: groupOrderManger.Id in OrderProvider
* fix: incrementOrderGroupOrderManagerID in BrokerageTransactionHandler
feat: add _groupOrderManagerId in OrderProvider
* remove: extra semicolon
* refactor: prevent increment GroupOrderID
* feat: add new Exchanges
* feat: Try Get Group Combo Orders extension
* refactor: ComboORderType in TSBrokerageModel
* remove: implementing of prop ID in GroupOrderManager
* refactor: UnsupportedCrossZeroByOrderType message
* fix: warning of UnsupportedCrossZeroByOrderType
* fix: several exchanges code based on tradier docs
https://documentation.tradier.com/brokerage-api/reference/exchanges
* feat: add missed Exchange in Global class
* refactor: possible update LimitPrice in TSBrokerageModel
test:feat: validate upddate LimitPrice of ComboLimit Order
* refactor: GroupOrderCacheManager
remove: TryGetGroupCachedOrders from extension
* refactor: exchange SPHR to MIAX_SAPPHIRE
* remove: Exchange BYX cuz It is BATS_Y
* refactor: change position of Exchange C2
* refactor: change constructor's access modifier in class Exchange
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
API Tests / build (push) Has been cancelled
* 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>
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* Update Future-cme-[*] and Future-cme-ES
Acoording to `pandas_market_calendars` there were some dates in
Future-cme-[*] who wasn't early_closes, so they needed to be removed
from there. On the other hand, the early closes list of Future-cme-ES were
shifted by 1 hour according to CME webpage. Besides, there were some
missing dates.
* Update CME Future entries in MHDB
* Rebase
* nit change
* Fix unit tests
* Resume after early close/halts
* Add missing dates in MHDB and fix bugs in it
* Fix bug, add more unit tests and add docs
* fix regression algos
* address required changes
* Update failing regression test stats
After debugging the tests it was found they were failing due to the last
change on SecurityExchangeHours.IsOpen(). That method wasn't taking into
account that even if there is a late open after an early close if the
timespan is after the early close but before the late open, the market
is still close.
* enhance solution
* Update and fix bugs in MHDB
* Address required changes and update stats
* Update stats after rebase
* Nit change
* Missing update to regression test
* Use MHDB instead of USHoliday for Expiration Dates
VIX expiry function now relies completely on MHDB. However, it had to be
created an entry in MHDB for VIX since there wasn't one for it. CBOE
webpage only provided 2023 holidays so only those dates were considered
in the Holidays entry in MHDB. Therefore, some unit tests failed so it
was necessary to change also the VIX entry in FuturesExpiryFunctionsTestData.xml.
* Remove Global.cs/USHolidays class
* Use a lazy implementation
* First draft of the solution
* Use MHDB in FuturesExpiryFunctions.cs
* Remove unused class and fix indentation errors
* Fix indentation errors
* Nit changes
* Merge branches 7501 and 7506
* Merge changes in 7501 and 7506
In order to check compatibility between those branches, a new branch
was created out of branch 7501 and then it was merged with branch 7506.
2 regression tests and 8 unit tests failed, the regression tests failed on
the DataPoint stats. On the other hand, the unit tests failed since the
default parameter UseEquityHoliday was removed from
FuturesExpirtyUtilityFunctions.AddBusinessDays() and from other methods in
the same class too.
* Add missing changes
* Remove repeated good fridays
* Address minor review
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Support sourcing custom data from ObjectStore
* Add Python regression algorithm
* Wire engine to pass ObjectStore down to the stream readers
* Minor changes
* Minor unit tests fixes
* Remove unused SetupHandlerParameters.ObjectStore
* Minor changes
* Minor changes
* Support single-file zipped data to be sourced from object store
* Assert object store custom data history requests in regression algorithms
* Add custom object store data live data feed unit test
* Add multi-file object store custom data regression algorithms
* Minor fix
Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Apply splits and dividends to volatility models
* Apply splits and dividends to volatility models using history requests
* Add new ScaleRaw data normalization mode
Handling the new mode in the price scale enumerator.
* DataNormalizationMode.ScaledRaw history requests
* Minor changes
* Minor changes
* Disable new normalization mode in AddSecurity methods and other minor changes
* Peer review
* Minor changes
* Peer review
* Minor changes
* Peer review
* Peer review
* Peer review
* Add scaled raw history regression algorithm
* Add more regression algorithms
* Add more regression algorithms
* Add Slice.TryGet unit tests
* Peer review
* Peer review
* Peer review
* Peer review
* Peer review
* Update algorithms stats
* Peer review
* Peer review
Python Virtual Environments / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
* 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
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Fix result handler live holdings
- Live result handler live holdings will include future assets
associated with continuous futures. Adding unit tests
* Fixed for live holdings price rounding
- Live holdings will use the SPDB minimum price variation for rounding.
Adding unit tests
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
- Adding OpenInterestAnnual where the contract maps when any of the back month
contracts of the next year have a higher volume that the current front month.
- Add support for backwards compatible data mapping mode additions
- Updating ES map and factor files. Adding a little daily data too
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Allow DataWriter to merge existing ticks if desired
- Optionally allow lean data writer to merge new ticks with existing
- Adjust ZipStreamWriter
- Fix bug in compression lib that was leaving files open. Reproduced by
added tests.
* Address reviews
- Define new WritePolicy to configure the behavior of the LeanDataWriter
regarding how it should handle writing to a file: merge, overwrite,
append
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Remove user plan enum
- Get maximum order and runtime from job controls
- Remove user plan enum definitions
* Add log for BacktestingSetupHandler maximums
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Lean exchanges improvements
- Adding new Exchange class to avoid exchange code clash.
Adding and updating unit test
* Add Market for MapFile API
* Self review
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Add basic template Atreyu algorithm
- Add C# and Python basic template atreyu algorithm. Show casing how to
specify exchange to execute in different ways.
- Adjust trading API to allow specifying order properties to use
* Lean Exchange improvements
- Rename PrimaryExchange to Exchange
- OrderPropeties will use Exchange enum instead of string
- Adding BSE exchange value
* Regression tests fixes
Build & Test Lean / build (push) Has been cancelled
* Minor tweaks
- Add AccountCurrency and symbol for live result packet
- Improve performance of Tick clone and reading
* Reduce unit test from 9s to 500ms
* Add support for Index SecurityType 🚀 (#5364)
* Add Index SecurityType 🚀
* Extend SecurityIdentifier & Lean Data classes with Index support
* Add Index SecurityType 🚀
* Extend SecurityIdentifier & Lean Data classes with Index support
* Fixes
* Added index cross basic template demonstration
* WIP: Prototype index security type for LEAN as non tradable asset
* Re-adds Index entries to MHDB after rebase
* First steps to getting Index Options running
* Looks at any instance where we pattern match for an option type
and replaces it with a generic call to `.IsOption()` for easier
extensibility in the future for additional option security types
* Adds IndexOption security and misc. classes
* Misc. changes, mainly related to any sort of special casing of
equity options and made index options take the same path
* Enables index options data for backtesting
* Adds new index options market hours to MHDB
* Misc. bug fixes for index options
* WIP: add live support for index options and indexes
* Use OptionMarginModel for Index Options because they both use the
same calculation for margin requirements
* Fixes contract not found errors on SPX index options and SPX index in IB
* Turns out index options' last trading day is the day before expiry,
which IB was expecting the last trading day.
* Add index option test cases (temp)
* LiveOptionChainProvider fix, use Symbol vs. ticker
* Description updates to regression algorithms
* Fixes bug in live trading for indexes and index options
* Adds overridable minimum price variation symbol property
* Adds variable sized minimum price variation for index options
* Adjusts symbol properties for index options
* Misc. bug fixes
* Fixes option assignment simulation for European options
* Updates index options regression algorithms (WIP)
* Fixes bug where index option exercise would trade index underlying
* Fixes bugs where SecurityType.Index was getting flagged as tradable
* Regression algorithms updates and addresses review
* Misc. style fixes and refactoring + a few bug fixes
* Updates regression algorithms to run without runtime errors
* Adds data for regression algos
* Sets DefaultOptionStyle on Canonical and support index options
* Update regression algos statistics
* Removes bad line in regression algorithm causing build to fail
* Minor tweaks
* Address review add comment about quoteBar parse scale
Co-authored-by: Balamurali Pandranki <balamurali@live.com>
Co-authored-by: Jared Broad <jaredbroad@gmail.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Refactor IPrimaryExchangeProvider.GetPrimaryExchange
now it returns a PrimaryExchange instead of a string
* Update MapFilePrimaryExchangeProvider.cs
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Implements wrapper to get the exchange as a single letter representation
Also replace lower 'l' with capital 'L' in condition flags enums. it is a new warning on the compiler and it looks cool :)
* There are cases where the exchange is null or empty, in those cases return null
* Add tests for single character exchange representation
* Update GlobalTest.cs
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Add main exchange to map file
minimum minimorum test
* Add MainExchange to MapFilRow IEquatable implementation
Also write CSV line correctly
* Normalize exchanges
Also add small test form MapFileRow
* Exchange name normalization
- Exchange name normalization.
- Tick will protobuf `ExchangeCode` which will set existing `Exchange`
* Include single character exchange code
* Encode exchange as byte, Include exchange name as Enum
* Update MapFileRow.cs to accept a byte instead a string for primary exchange
* Fix issues in encoding exchanges map
* Fix broken MapFile tests
* Rename Main Exchange property in MapFileRow
* Use BATS instead of BATSZ
* Add primary exchange from map file
* Move MapFilePrimaryExchangeProvider to its own file
* Implement Char for primary exchange in map files
* Fix broken tests after implementing char exchange into map file
* Add a new constructor for MapFileRow
it accepts a PrimaryExxchange object as parameter
* Fix broken test
WIP
* Address review
WIP
* Handles unexpected encoded exchanges
* Keep addressing review
* Address review
* Fix broken tests
Make PrimaryExchange as default even if the IPrimaryExchangeProvider is not instantiated
* Revert breaking change.
* Add a check that resolved map file actually have content
The issue that leads to this change was caused by a map file resolved to APC in the CoarseFundamentalTop3Algorithm.
The resolver returns a not-null MapFile, but it is empty.
To my best understand, the MapFile Resolver should return only existing map files in the map_files folder. But the LocalMapFileProvider returned a map file with a permtick that doesn't exist in the file system as CSV.
* Set PrimaryExchange.UNKNOWN as default
* Address review couple minor bugs
- Use SID market instead of USA
- Default ticke exchange is UNKNOWN
* Update map files with latest format and latest info
This include:
- VXX, it was delisted, then VXXB appears and later it chnages from VXXB -> VXX
- AAA delisting and a new listing with ticker AAA
- FOXA ticker changue to TFCFA and later it was delisted
* Update test after updating latest map files
* Fix bug with factor files after updating map files
* Fix bug with factor files after updating map files
and revert statistics in regression tests
* Update OrderHash in regression test
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Adds preliminary universe selection for Future Options
* Fixes scaling issues with Future Options
* Fixes scaling multiplying by 10000x instead of using _scaleFactor
* Fixes scaling for Tick
* Revert changes to Tick since it divides the scaling factor
* Changes stale method name to new method name after rebase
* Fixes selection bugs, adds new methods, and adds unit tests
* Fixes bug where Equity Symbol was created for an underlying
non-equity Symbol, resulting in equity data trying to be loaded
* Adds unit tests covering changes to Tick, QuoteBar, TradeBar and
LeanData
* Adds regression test for AddUniverseOption filter contract selection
for Future Options
* Addresses review - modifies the AddFutureOption signature
* Adds new AddUniverseOptions method overload
* Removes and adds a new unit test
* Misc. modifications to account for new changes
* Fixes bug where futures were loaded using default SID Date
* Refactors and removes unnecessary work
* Fixes regression algorithm, which previously made no trades
* Adds future option data
* Adds the corresponding underlying data, in this case, futures data
to enable usage of future options data
* Replaces data with new data (ES18Z20)
* Improves Future chain filtering and updates regression stats
* Add AddFutureOptionContract API
* Expands regression and unit tests to test in finer detail
* Adds Python regression algorithms for AddFutureOption[Contract] methods
* Adds new unit test for BacktestingOptionChainProvider
* Fixes bug with BacktesingOptionChainProvider where we
attempted to load the Trades option chain first, resulting
in breakage of backwards compatibility and limitation of the
option chain.
* Adds new regression algorithms (Py) to Algorithm.Python project
* Adds FutureOptionMarginBuyingPowerModel
* Modifies code paths used to select margin model
* Adds related unit tests for margin model
* Fixes issue with unit test and MHDB/SPDB lookup for Future Options
* Preliminary regression algorithm testing ITM call/put option buying
* Fixes bug where fee model used did not find non-US market
options fee model. We now use the futures fee model for future
options because IB charges the same commissions per contract
between futures and futures options
* Adds proper regression algorithm for ITM future options expiration
* Pushing broken algorithm for review
* Currently, algorithm does not fill forward, causing
a single future option to not get exercised when it is delisted.
* Adds FutureOptionPutITMExpiryRegressionAlgorithm
* Improves existing regression algorithm for call side
* Fixes bug in existing regression algorithm
* Adds AAPL daily data to advance enumerator for ^^^ fix
* Adds additional future option regression algorithms
* Adds Buy OTM expiration regression algorithms
* Adds Sell ITM/OTM expiration regression algorithms
* Adds missing Python regression algorithms
* Adds remaining Python regression algorithms and fixes issues
* Fixes naming issues and statistics
* Adds short option OTM regression algorithms (Py)
* Add license header and class comments to python algorithms
* Cleans up comments and docstrings
* Create Buy/Sell call intraday regression algo
* Redirects future options symbol properties to futures symbol properties
* Asserts exercise/assignment price and updates stats in regression algos
* Adds new unit test covering changes to SecurityService
* Adds comments and fixes failing test
* Partially fixes future option mis-calculated profit/loss
* Adjusts portfolio model to calculate FOP as a no upfront pay asset class
* Updates regression algorithm statistics
* Begin IB FOP support
* Initial support for FOP IB data streaming, live í¾
* Adds additional functionality to LiveOptionChainProvider
- Allows querying CME API to retrieve option chains for CME products
- Ultimately, it's also the groundwork for the CME
LiveFutureChainProvider
* Edits IDataQueueUniverseProvider interface to provide greater
control to implementors of it
* Misc. bug fixes required to get FOP data streaming through IB
* Adds comments, adds missing rategate call, and cleans up code
* Force exchange for FOP and Futures when no exchange is provided
* Fixes bug with Portfolio modeling across all asset classes
* Adds LiveOptionChainProvider tests for Future Options
* IB brokerage option symbol bug fixes and improvements
* Fixes contract multiplier lookup bug
* Fixes issue where we attempted to subscribe to IB data feed with canonical security
* Adds ES MHDB entry
* Reverts portfolio modeling changes for Futures Options
* Since IB eats into our account's cash balance when
a new FOP contract is purchased, we must model by applying funds
to our cash whenever a new purchase/sell occurs.
If we choose to model FOPs exactly as we do with futures, we
will end up with an invalid TotalPortfolioValue on algorithm
restart. By all means and purposes, FOPs are modeled exactly
the same as equity options with respect to the portfolio.
* Adds comments clarifying portfolio modeling and clarifies
existing portfolio modeling comments with additional context.
* Fixes IB symbol lookup for future options
* Fixes LiveOptionChainProvider looping 5 times per option chain
request, even on success
* Sets OptionChainedUniverseSelectionModel to produce a canonical
future/future option/option Symbol to avoid creating two Symbols
* Adds GLOBEX future option symbol mapping from future -> fop
* Fixes LiveOptionChainProvider loading wrong contract option chains
* Fixes loading of futures options ZIP files when backtesting
* Adds a string -> decimal JSON converter
* Additional fixes/refactoring to the LiveOptionChainProvider
* Adds tests for changes to Symbol and LeanData
* Reverts changes to IB-symbol-map
* Fixes Value for mapped future options tickers
* Fixes Symbol test
* Changes path of future options to future's expiry date
* Extra changes made to remove scaling from writing CSV
* Added method to map from FOP Globex -> FUT Globex
* Fixes MOO and MOC orders for future options
* Note: this order type might not be supported by IB or CME.
* Bug fixes and updates unit tests
* Update regression tests and data format
* Rebase changes
* 1. Multiple bug fixes for LiveOptionChainProvider, reverts IQFeed changes
2. Address review (partial): Code reuse and cleanup
1.
* Modifies check in
`AddFutureOptionShort(Call|Put)ITMExpiryRegressionAlgorithm`
to ensure no buys have negative quantity
* Code reuse changes in IB brokerage
* Bug fix in IB brokerage where we assigned the FOP expiry
as the futures expiry (requires verification)
* Doc changes and adds missing summaries/license banners
* Disposes of HTTP client resources in LiveOptionChainProvider
* Renames classes and adds FutureOption folder in Common/Securities
2.
* We revert back to the quotes API for the option chain,
since the settlement API sometimes had missing strikes.
* Fixes future option expiry being set as future's expiry
in LiveOptionChainProvider
* Fixes bug where wrong option chain was selected because of bad
expiry lookup in the futures expiries returned from CME
* Fixes multiple looping bug in LiveOptionChainProvider
* Adds strike price scaling for LiveOptionChainProvider
* Reverts IQFeed changes and simplifies interface upgrade changes
Some additional challenges we'll have to solve as part of FOPs:
- The `OptionSymbol.IsStandard` method makes the assumption that
weeklies contracts follow the pattern equities follows, which
does not apply to Futures Options
- The Subscription created in:
`OptionChainUniverseSubscriptionEnumeratorFactory`
...adds a Trade config. For illiquid contracts, this
will delay universe selection for the option symbol
until we get a trade. However, if we add a quote config,
the data would instead be loaded based on the first quote
we received from the brokerage.
But since we're currently using a trade config, illiquid
contracts won't start streaming data until it receives a trade.
NOTE: this commit is a WIP to addressing the reviews received in the PR,
but has been committed early for efficiency in the review process
* Fixes regression algorithms and misc. bugs
* Fixes map file lookup for non-equity options
* Adds extra assertion at end of algorithm to ensure no holdings are
left when the algorithm ends.
* Adds FutureOptionSymbol, allowing all contracts through as standard
* Changes SPDB to allow defaulting to underlying future symbol
properties if no entry is found for the given FOP
* Fixes calls to SPDB in SecurityService, IBBrokerage
* Reverts AAPL daily ZIP file to fix majority of regression algorithms
* Adds FOPs symbol properties
* Fixes existing symbol properties for a few futures
* Adds tests for changes to Symbol Properties Database
* Removes string SPDB lookup method
* Updates tests and misc callees of previous method
* Updates all regression tests to use data of already expired contracts
* Adds Futures Options Expiry Functions tests
* Adds required futures data for 2020-01-05
* Address review (partial): Expands test coverage and fixes tests
* Set option chain tests parallelism to fixture only
* Fixes broken test for contract month delta for FuturesOptionsExpiryFunctions
* Changes delisting date logic for Futures Options
* Address review: removes duplicate code, misc code fixes
* Bug fix in MarketHoursDatabase.GetDatabaseSymbolKey() where
we would use the underlying's Symbol for lookup in the MHDB
* Adds missing license banner
* Removes Futures Options entries from MHDB
* Adds new tests
* Adds SecurityType.FutureOption
* Converts any underlying comparisons and uses SecurityType directly
instead for FOP specific behavior
* Extra code modifications to acommodate new SecurityType
* Addresses review: fixes order fee bug on exercise
* Additional bug fixes and adding of SecurityType.FutureOption
* Updates regression algorithms OrderListHash
* Fixes various bugs in IB live implementation
* Fixes bug setting the right contract expiration date for FOP
generated by LiveOptionChainProvider
* Adds new function to FuturesOptionsExpiryFunctions
* Clarifies parameter names better in some functions/methods
* Fixes bugs in IB brokerage for FOPs
* Address review - code cleanup and refactor
* Remove MappingEventProvider, SplitEventProvider, and
DividendEventProvider for Futures Options in
CorporateEventEnumeratorFactory
* Address review: Use MHDB key resolver in SPDB
* Makes regression tests pass and adds comment for expiry issue
* Fixes MHDB lookup on string symbol method
* Adds Futures Options greeks regression algorithm (C# only)
* Adds explanitory comment on MHDB FOP lookup
* Remove python from FutureOptionCallITMGreeksExpiryRegressionAlgorithm
* Reformat/cleanup OptionStrategies
This file was breaking pretty much every style convention in LEAN.
There are other things that should be addressed in here that weren't,
such as passing non-argument names as argument names for ArgumentException,
as well as preferring constructors over property initializer syntax, but
such changes aren't being made to keep this commit strictly reformatting
instead of refactoring.
Added braces and reformatted long lines to make code more legible.
* Add abstract base class for OptionStrategy Option/UnderlyingLegData
This allows us to create either or and later use the Invoke method to push it
into the appropriate list on OptionStrategy.
* Replace O(n) option contract search with 2 O(1) TryGetValue calls
A better improvement would be resolving the correct symbol in the strategy, but
this immediate change is instead just focused on removing the O(n) search inside
a loop.
* Add BinaryComparison and supporting methods in ExpressionBuilder
We're going to use these binary comparisons to make it possible to create
ad-hoc queries against a collection of symbols. Using these expressions,
along with type supporting composition of these expression, we'll be able
to define predicates that can declaratively define how to match an option
strategy with an algorithms current holdings.
* Make GetValueOrDefault defaultValue optional
Was receiving ambiguous invocations leading to neading to invoke this
method explicitly (LinqExtensions.GetValueOrDefault) instead of being
able to use it as an extension method. Making the default value optional
seems to have resolved this ambiguity, leading to cleaner code in the
OptionPositionCollection (forthcoming)
* Add OptionPosition and OptionPositionCollection
OptionPositionCollection aims to provide a single coherent interface
for querying an algorithm's option contract positions and the underlying
equity's position in a performant, immutable way. The immutability of
the type is necessary for how the options matcher will operate. We need
to recursively evaluate potential matches, each step down the stack removing
positions from the collection consumed by each leg matched. This will enable
parallelism of the solution as well as simplifying the mental model for
understanding due to not needing to track mutations to the collection
instance.
* Add Option test class for easily creating option symbol objects
* Add OptionStrategyLegPredicate and OptionStrategyLegDefinition
The definition is a composition of predicates, and each predicate supports
matching against a set of pre-existing legs and a current position being
checked for the next leg (this leg). In addition to the matching functionality,
it also supports filtering the OptionPositionCollection, which is where much
of the work for resolving potential option strategies is done. By successively
filtering the OptionPositionCollection through successive application of predicates,
we wil end up with a small set of remaining positions that can be individually
evaluated for best margin impacts.
All of this effectively unrolls into a giant evaluation tree. Because of this
inherent structure, common in combinatorial optimization, the OptionPositionCollection
is an immutable type to support concurrent evaluations of different branches of
the tree. For large position collections this will dramatically improve strategy
resolution times. Finally, the interface between the predicate and the positions
collection is purposefully thin and provides a target for future optimizations.
* Add OptionStrategyDefinition and OptionStrategyDefinitions pre-defined definitions
The OptionStrategyDefinition is a definitional object provided a template and functions
used to match algorithm holdings (via OptionPositionCollection) to this definition. The
definition defines a particular way in which option positions can be combined in order to
achieve a more favorable margin requirement, thereby allowing the algorithm to hold more
positions than otherwise possible. This ties into the existing OptionStrategy classes and
the end result of the matching process will be OptionStrategy instances definiing all
strategies matched according to the provided definitions.
* Add OptionStrategyMatcher and Options class, w/ supporting types
OptionStrategyMatcherOptions aims to provide some knobs and dials to control how
the matcher behaves, and more importantly, which positions get prioritized when
matching. Prioritization is controlled via two different enumerators, one controller
which definitions are matched first and the other controller which positions are
matched first. Still unimplemented, is computing multiple solutions and running the
provided objective function to determine the best match. When this gets implemented,
we'll also want to implement the timer. For anyone looking to implement these features,
please talk with Michael Handschuh as there's a particular way of representing these
types of combinatorial solutions (a 3D tree) that can be used as a variation of the
linear simplex method for optimizing combinatorial problems.
* OptionStrategyMatcher: Address PR review comments
* Ensure created OptionStrategy legs all have the same multiplier
Each leg definition match gets it's own multiplier which indicates the
maximum number of times we matched that particular leg. When we finish
matching all legs, we pick the smallest multiplier from all the legs in
the definition and use that as the definition's multiplier. When we go
to create the OptionStrategy object we MUST make sure we're using the
multiplier from the definition and not from the individual legs.
This change fixes this issue and also provides a guard clause to ensure
that we're not trying to use a multiplier larger than what was matched.
* Add XML docs for OptionStrategyDefinitions from OptionStrategies
* Fixes 4815 by loading the requested assembly from different folder.
# Conflicts:
# ToolBox/Program.cs
* Upgrades System.Collections.Immutable to Version=1.2.5.0
* Creates a prototype for SSE streaming in IEXDataQueueHandler.
* Revert the changes in Tick.cs
* Implements a logic in IEXDataQueueHandler that updates the data-feed subscription after Subscribe/Unsubscribe
* Implements IEXCouldSubscribeMoreThan100Symbols - which fails and other small fixes.
* Implements DoForEach LinqExtensions
* Implements IEXEventSourceCollection that wraps all logic that is SSE-subscriptions and symbol-limits-per-connection concerned.
* Changes:
1) Fixes to address review.
2) Makes IexMarketPercent in QuoteSSE nullable as null values are assigned to in this field in data object received before the traing session start.
3) Deprecates helper Subscribe/Unsubscribe in IEXDataQueueHandler and IEXCouldSubscribe test.
* Fixes:
1) _refreshEvent.Reset() order was not correct - should be called before UpdateSubscription
2) ProcessJsonObject- leaves only the functionality to emit ticks.
3) IEXEventSourceCollection - replaces int counter with CountdownEvent to improve the logic - in particular, need a mechanism that would not allow the repeated call to continue until the first one is completed
* Refines the logic with parsing a data snapshot.
* Fixes few more bugs:
1) Logic in ProcessJsonObject
2) Logic in UpdateSubscription - need to introduce additional ManualResetEvent to implement the intended logic - otherwise the logic is not suitable for general case
* Introduce rate-gate limit in IEXEventSourceCollection:
because when subscribing to a bunch of shares (more than 200 for example)
the violation of rate gate policy may occur, which described in API docs asRequest Limits
IEX Cloud only applies request limits per IP address to ensure system stability.
We limit requests to 100 per second per IP measured in milliseconds, so no more than 1 request per 10 milliseconds.
SSE endpoints are limited to 50 symbols per connection. You can make multiple connections if you need to consume more than 50 symbols.:
* Few additional fixes done after real time testing
* Adds xml-docs in stream response object + renaming a file.
* Fixes:
1) Additional StreamResponseStocksUS parsing issues, that can happen outside of regular exchange hours.
2) Cancel clientUpdateThread by means of CancellationTokenSource
3) Replace BuildSymbolsQuery by string.Join
* Fixes:
1) Changing Log Trace -> Debug
2) Adds ConfigureAwait(false) to async method call
3) Removes direct reference to System.Net.Http
* Removes a task and manual reset event in IEXEventSourceCollection
* Additions:
1) IEXEventSourceCollectionSubscribes test
2) GetSnpStocksArray() helper method
3) Installs packages in QC.tests : HtmlAgilityPack & LaunchDarkly.EventSource
* IEX history provider fixes :
1) Tiny bug in ProcessJsonObject - use continue instead of return as execution is inside the for-each block)
2) Adds period variable for the historical data retrieved
3) Fixing from if (date.Date < start.Date || date.Date > end.Date) conditional check --> if (date < start || date > end) for more precise sorting.
* Changes:
1) Removes HtmlAgilityPack and SNP scraper
2) Uses hard coded symbols instead
* Bug fix:
- at certain hours (example: before pre-market open or on holidays) IEX may send no data on subscription - when trying to connect during those hours Message handler may not be fired - need to place the counter signal to client.Opened to be informed of successful connect.
* Implements:
1) IEXEventSourceCollectionSubscriptionThoroughTest and MockedIEXEventSourceCollection
2) Makes changes to IEXEventSourceCollection accordingly to allow the thorough testing.
* Fixes formatting issue in StreamResponseStocksUS
* Small fix for a new tests:
- Change RemovedClientSymbols to keep not clients itself, but symbols array, because clients are being disposed right further
* Enables extended logging in Toolbox.
* Fixing IEX historical data fetcher bugs:
1) Bug in IEXDataDownloader.cs - HistoryRequest not precisely correct.
2) Enables day-by-day daily bar downloading in IEXDataQueueHandler.
Motivation: Suppose we need data for some interval in the past - from-date=20170915-00:00:00 --to-date=20171103-00:00:00.
With current behavior IEX would have to download all the historical data from =20170915-00:00:00 up to this day.
3) Extends SynchronizingHistoryProvider
* Enables async fashion historical data download
* More fixes to IEXCouldGetHistory test.
* Reverts day-by-day daily bar downloading and other fixes.
* Removes needless packages & references
* Fix package reference
* To address review
* Sort out zero price ticks:
after testing on real-time algo 30 min before the market open now - IEX may send updates for many securities with zero lastPrice, lastSize - fix to sort such entries out
* Workaround for missing QuoteTicks timestamps:
Since we don't have a stamp for quote tick updates (only for trades) we calculate the average delay between trade tick's time stamp and local time, and
assuming that delay in average is the same for quote updates - just assign the local machine time adjusted for this average
* Simplifies the things.
* Changes:
1) Deprecates quote updates for IEX stocks.
2) Reduce the stream updates to reduce costs to ->
# Stock Quotes every 1 second (per symbol? )
# Can be up to 54,000 messages per symbol per day
https://iexcloud.io/docs/api/#how-messages-work
* Fixes:
1) IEXDataQueueHandler: give an error message on extended market hours or tick resolution subscription request. As they are not really well supported by IEX.
2) Few small fixes in IEXEventSourceCollection, including additional condition for when the subscription remains irrevocable.
- Reduce ResultHandler amount of packets sent and their size.
- Only send order and orderEvents packet if there is actually data in them.
- Don't send Holdings fields if value is 0
- Don't send AlphaRuntimeStatistics fields if default values
Roman Yavnikov