Regression Tests / build (push) Has been cancelled
API Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Syntax Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* 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
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Fixes for FutureOptions support in LeanData
* Add CreateCanonicalOption() utility function for Symbol.cs
* Add aggregated Futures/FuturesOptions data to Lean
* Add FutureOptions regressions for daily/hourly data
* Allow Futures to be added with low resolution
* Add Future regressions using hour/daily data
* Nit - Python Class names
* Add reviews
* Add alias into CreateCanonicalOption
* Adds FuturesOptionsUnderlyingMapper
This adds a mapper for Futures options that have a different
contract month between the FOP and the underlying future, as is
observed in the contracts ZB, ZC, ZS, ZT, ZW, HG, SI, GC.
An example of this is GC (e.g. OGH21 -> GCJ21). Other contracts follow
different rules, which have been included as part of this commit.
* Adds unit tests for FuturesOptionsUnderlyingMapper
* Adds unit and regresssion tests for underlying Futures mapping for FOPs
* Addresses review and adds FuturesListings
* Removes dependency on IFuturesChainProvider in
FuturesOptionsUnderlyingMapper
* Fixes bugs related to FuturesOptionsUnderlyingMapper and incorrect
results
* Modifies misc. code to handle new results correctly from FOPs
underlying mapper
* Makes FOPs underlying mapper static, and makes other methods private
* Adds new tests for FuturesListings
* Addresses review: code cleanup
* Address review: Makes arrays to List in FuturesListing private methods
Martin-Molinero