* 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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* fix: use decimal instead long in Scale's LeanData
test:feat: validate naming with large precision
* feat: use normalization in Scale's LeanData
test:fix: strike precisions
* fix: use str normalization in Scale's LeanData
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* Fix performance degradation on expirying assets
- Options would expire and get removed, when the universe removed the
security it would never be reseted on universe selection, causing
leaks
- Minor improvement for composer assembly loading
- Minor improvement for loading exception interepreters, so it uses
composer
* Minor regression test fix
* Add new benchmark algorithm
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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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* Implement a prototype of the maximum recovery time function.
* Add unit test skeletons.
* Add failing test
* Issue #4581: Implement MaxDrawdownRecoveryTime.
* Issue 4581: Add DTO for Drawdown Percentage, Drawdown Enddate, and High Value
* Issue 4581: Fix bgu for when lDrawdowns list is empty.
* Issue 4581: Change names of tests. Change name of file.
* Issue 4581: Make adjustements to flow of adding drawdowns to lDrawdowns.
* Issue 4581: Add multiple unit tests.
* Issue #4581: Change name of unit test
* Issue #4581: Add to PerformanceMetrics
* Issue #4581: Add Maximum Drawdown Recovery to PortolioStatistics class.
* Issue #4581: Add to portolfio statistics class.
* Issue #4581: Add to statistics builder.
* Issue #4581: Add report key.
* Case #4581: Convert to decimal.
* Issue #4581: Correct comment.
* Issue #4581: Correct performance metrics view model string.
* Case #4581: Correct statistics builder view model string..again.
* Issue #4581: Placed DradownDradownDateHighValueDTO at the end of the file for simpler diff.
* Issue #4581: Add 2 new tests.
* Issue #4581: Change algorithm so that when multiple maximum drawdowns occur, the longest of all recoveries is reported.
* Issue #4581: Add unit test.
* Issue #4581: Remove reportkey. Change dto name.
* Issue #4581: Change summary.
* Issue #4581: Change comment.
* Add max drawdown recovery calculation with unit tests
* Update regression algorithms with the new metric
* Solve review comments
* Update regression algorithms
* Add TryGet to safely get the key: MaximumDrawdownRecovery
* Ignore MaximumDrawdownRecovery metric in OptimizationBacktest Json
* Revert changes in Messaging
* Update regression algorithms
* Add test case: TakesLongestRecoveryAmongMultipleDrawdowns
* Use integer days for MaximumDrawdownRecovery
* Add MaximumDrawdownRecoveryReportElement
* Use more explicit names
* Rename files and variables for consistency
* Update regression algorithms
---------
Co-authored-by: Alain Schaerer <aschaerer@pcatg.com>
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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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* Disable extended market hours for universe history requests
* Exclude extended market hours for all chain universe history requests
* Disable extended market hours for chain universes
* Minor change
* Minor fix
* Minor change
- likely a copy-pasta error from Series, where index=0 is passed to
BaseSeries constructor, only now it was passed as SeriesType, which
is subsequently set in CandlestickSeries constructor
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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
* Trigger Build
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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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* Add bank holidays
* Add missing holidays to MHDB
* Add 2025 new year's eve bank holiday
* Add Columbus day and veterans day to bank holidays
* Add missing bank holidays entry
* Modify FuturesExpiryFunctions
* Add missing change
* Remove empty bankHolidays lists from MHDB
* Address review
* Add tests
* Address review
* Add bank holidays from 2009-2024
* Fix unit and regression tests
* Review bank holidays
* Fix tests
* MHDB tweaks
* Remove Bank holidays from CNH, MNH and MIR
* Add setting for bank holidays disabled by default
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* Update SPDB with Bitfinex, Kraken, Binance, BinaceUS
* Update unit test
* Added TestCase for CNHT and USD
* Fixed bug in pair comparison logic, corrected concatenation approach
* Add unit test for currency pair match
* Added test cases for currency pair comparison
* Addressed review comments
* Fix for daily options open interest data to be added to contracts
* Cleanup
* Update regression algorithms stats
* Minor fix and cleanup
* Minor fix
* Minor fix
* Update regression algorithms data point count
* Address peer review
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* Adjust lower-resolution fill-forwarded daily bars when strict end times is enabled
This allows to get fill-forwarded bars with unchanged time stamps
* Minor fixes
* Minor test data changes
* Fixes and comments
* Address peer review and add some fixes
* Minor fix and add regression algorithm
* Minor fix
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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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* First draft of the solution
* The same check for crytpo is done before
* Fix failing unit tests
* Remove non perpetual crypto futures from SPDB
* Address requests
* Fix failing unit tests
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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
* Set best recommended model based on option style.
The best option model will be used in options indicators based on option style if not specified
* Reduced Greeks/IV numerical models steps to 100
* Minor fixes
* Minor changes and improvements
* Changed default pricing model for IV
* Minor performance improvements
* Minor performance improvements and fixes
* Minor change
* Minor regression algorithm fix
* Update greek indicators internal IV indicator only when not user provided
* Revert unnecessary changes
* Minor changes
* Cleanup
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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>
* Daily data Time & EndTime Improvement
- Adjust daily data Time & EndTime to actually reflect the time of the
data used, for example US Equity from 9.30 to 4PM. Adding new unit and
regression tests
* Refactor solution to use enumerator
- Refactor daily strict end times solution to be through enumerator
usage, so it applies for history providers too
* Minor fixes
* Revert fill forward enumerator change
- Revert FillForward enumerator causing stats changing, enhancing unit
tests
* Some cleanup
* Improve handling of live trading FF enumerator
- Improve handling of live trading FF enumerator, by adding support for
bars to arrive with a delay so we can handle auction close/option
prices or data providers which might have some delay making the data
available. Adding new unit tests asserting the behavior
Martin-Molinero