17841
22 Commits
| Author | SHA1 | Message | Date | |
|---|---|---|---|---|
 Martin-Molinero
|
6916636e8e |
Remove Future expiry date from data & use Bank Holidays For Expirations (#8580)
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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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Jhonathan Abreu
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e63217a953 |
New options/futures universe files format (#8848)
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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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Jhonathan Abreu
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69d2f5ae82 |
Futures and Future Options file-based universes (#8480)
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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 * Trigger Build * Trigger Build * Trigger Build * 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 * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * 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 |
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Martin-Molinero
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7879795207 |
Enable daily precise end time by default (#8254)
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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 |
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Jhonathan Abreu
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09db45c91d |
Universes immediate selection (#7785)
* Make sure continuous futures universe selection is performed right away on the start of the algorithm. This ensures the Future.Mapped is not null * Minor changes * Minor fixes * Update regression algorithms stats * Add DC futures map file * Update DC futures map file * Update regression algorithms stats * Include ETFs for immediate universe selection * Include Coarse Fundamentals for immediate universe selection * Include Futures Chain Universe for immediate selection * Add Option Chain Universe test * Include custom universes for immediate selection * Minor updates * Include constituents universes for immediate selection * Minor update * Minor changes, docs and stats updates * Minor changes * Minor changes and clean up * Minor regression algorithm stat update |
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Jhonathan Abreu
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0b81cf0218 |
Add dataMappingMode parameter to History methods (#7204)
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* Add dataMappingMode parameter to every history api method overload * Minor unit tests fixes * Update regression algorithm stats * Minor changes * Minor changes |
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Martin-Molinero
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3507c91640 |
Fix future daily price scale factor update (#6963)
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* Fix future daily price scale factor update - Fix future daily price scale factor update which was happening 1 day late due to data and exchange time zone differences. Adding regression algorithm reproducing and asserting it. * Address review |
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Jhonathan Abreu
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539011274c |
Support extended market hours for futures (#6522)
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* Support extended market hours in AddFuture() * Support extended market hours in AddFutureContract() * Add C# regression algorithm * Add Python regression algorithm * Add regression algorithm for future contracts * Add regression algorithm checking market hour ranges * Fixed future regression algorithms to use extended market hours * Fixed future regression algorithms to use extended market hours * Fixed future regression algorithms to use extended market hours * Fixed AddFutureOptionContractFromFutureChainRegressionAlgorithm to use extended market hours * Update future market hours to include extended in market hours database * Fixed AddFutureOptionContractDataStreamingRegressionAlgorithm to use extended market hours * Fixed AddFutureOptionContractFromFutureChainRegressionAlgorithm to use extended market hours * Fixed AddFutureContractWithContinuousRegressionAlgorithm to use extended market hours * Fixed BasicTemplateContinuousFutureAlgorithm to use extended market hours * Fixed BasicTemplateFuturesAlgorithm to use extended market hours * Fix BasicTemplateFuturesDailyAlgorithm to use extended market hours * Fixed BasicTemplateFuturesFrameworkAlgorithm to use extended market hours * Fixed BasicTemplateFuturesHistoryAlgorithm to use extended market hours * Fixed ContinuousBackMonthRawFutureRegressionAlgorithm to use extended market hours * Fixed ContinuousFutureBackMonthRegressionAlgorithm to use extended market hours * Fixed ContinuousFutureHistoryRegressionAlgorithm to use extended market hours * Fixed ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm to use extended market hours * Fixed ContinuousFutureRegressionAlgorithm to use extended market hours * Fixed DelistedFutureLiquidateRegressionAlgorithm to use extended market hours * Fixed AutomaticIndicatorWarmupDataTypeRegressionAlgorithm to use extended market hours * Fixed ConsolidateRegressionAlgorithm to use extended market hours * Fixed DelistingFutureOptionRegressionAlgorithm to use extended market hours * Fixed EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm to use extended market hours * Fixed FutureContractsExtendedMarketHoursRegressionAlgorithm to use extended market hours * Fixed FutureMarketOpenAndCloseRegressionAlgorithm to use extended market hours * Fixed FutureMarketOpenConsolidatorRegressionAlgorithm to use extended market hours * Fixed FutureOptionBuySellCallIntradayRegressionAlgorithm to use extended market hours * Fixed FutureOptionCallITMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionCallITMGreeksExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionCallOTMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionDailyRegressionAlgorithm to use extended market hours * Fixed FutureOptionHourlyRegressionAlgorithm to use extended market hours * Fixed FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm to use extended market hours * Fixed FutureOptionPutITMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionPutOTMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionShortCallITMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionShortCallOTMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionShortPutITMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionShortPutOTMExpiryRegressionAlgorithm to use extended market hours * Fixed FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm to use extended market hours * Fixed FuturesExpiredContractRegression to use extended market hours * Fixed FutureSharingTickerRegressionAlgorithm to use extended market hours * Fixed HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm to use extended market hours * Fixed HistoryWithDifferentDataMappingModeRegressionAlgorithm to use extended market hours * Fixed HistoryWithDifferentDataNormalizationModeRegressionAlgorithm to use extended market hours * Fixed LimitOrdersAreFilledAfterHoursForFuturesRegressionAlgorithm to use extended market hours * Fixed OpenInterestFuturesRegressionAlgorithm to use extended market hours * Fixed RegisterIndicatorRegressionAlgorithm to use extended market hours * Fixed SetHoldingsFutureRegressionAlgorithm to use extended market hours * Fixed WarmupFutureRegressionAlgorithm to use extended market hours * Fixed AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm to use extended market hours * Fixed AlgorithmHistoryTests to use extended market hours for futures * Fixed AlgorithmTradingTests to use extended market hours for futures * Fixed BrokerageSetupHandlerTests to use extended market hours for futures * Fixed TimeRulesTests to use extended market hours for futures * Fixed FutureOptionMarginBuyingPowerModelTests to use extended market hours for futures * Fixed FutureMarginBuyingPowerModelTests to use extended market hours for futures * Fixed FileSystemDataFeedTests to use extended market hours for futures * Fixed QuantBookHistoryTests to use extended market hours for futures * Split BasicTemplateContinuousFutureAlgorithm to have an extended market version * Fixed FutureMarketOpenAndCloseRegressionAlgorithm to use extended market hours * Split BasicTemplateFuturesAlgorithm to have an extended market version * Split BasicTemplateFuturesAlgorithm to have an extended market version * Split BasicTemplateFuturesFrameworkAlgorithm to have an extended market version * Split BasicTemplateFuturesHistoryAlgorithm to have an extended market version * Revert AddFutureContractWithContinuousRegressionAlgorithm * Revert AddFutureOptionContractDataStreamingRegressionAlgorithm and added data * Revert AddFutureOptionContractFromFutureChainRegressionAlgorithm * Revert AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm * Revert ConsolidateRegressionAlgorithm * Revert Algorithm.CSharp/ContinuousBackMonthRawFutureRegressionAlgorithm.cs * Revert ContinuousFutureBackMonthRegressionAlgorithm * Revert ContinuousFutureHistoryRegressionAlgorithm * Revert ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm * Revert ContinuousFutureRegressionAlgorithm * Revert Algorithm.CSharp/DelistedFutureLiquidateRegressionAlgorithm.cs * Revert EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm * Split FutureMarketOpenAndCloseRegressionAlgorithm to have an extended market version * Split FutureMarketOpenConsolidatorRegressionAlgorithm to have an extended market version * Revert FutureOptionBuySellCallIntradayRegressionAlgorithm * Revert FutureOptionCallITMExpiryRegressionAlgorithm * Revert FutureOptionDailyRegressionAlgorithm * Revert FutureOptionPutITMExpiryRegressionAlgorithm * Revert FutureSharingTickerRegressionAlgorithm * Revert FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm * Revert FuturesExpiredContractRegression * Revert HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm * Revert HistoryWithDifferentDataMappingModeRegressionAlgorithm * Revert HistoryWithDifferentDataNormalizationModeRegressionAlgorithm * Revert OpenInterestFuturesRegressionAlgorithm * Revert RegisterIndicatorRegressionAlgorithm * Revert SetHoldingsFutureRegressionAlgorithm * Revert WarmupFutureRegressionAlgorithm * Revert AutomaticIndicatorWarmupDataTypeRegressionAlgorithm * Some cleanup * Address changes request * Address changes request * Add more Class III Milk data to fix DelistingFutureOptionDailyRegressionAlgorithm |
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Jhonathan Abreu
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e9409bf207 |
Add contractDepthOffset parameter to QCAlgorithm.History() (#6438)
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* Add contract depth offset parameter to big History() methods - Added unit tests - Added little more ED daily data * Add C# regression algorithm * Add Python regression algorithm * Update regression algorithms stats * Address changes request |
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Martin-Molinero
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4c3afa6ff1 |
Add OpenInterestAnnual (#6436)
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- 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 |
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Jhonathan Abreu
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505ef17565 |
Add data mapping mode parameter to QCAlgorithm.History() (#6415)
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* Add dataMappingMode parameter to QCAlgorithm.History() * Add C# regression algorithm * Add Python regression algorithm * Cleanup * Add data mapping mode parameter only to big History() methods * Fix regression algorithms and add required data * Fix unit test * Update regression algorithms stats |
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Martin-Molinero
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e316f12394 |
Refactor MarginRequirementEntry. Update margins (#6210)
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* Fix master * Refactor MarginRequirementEntry to it's own file * Update margin files * Remove duplicate dates cases * Update margins after fix |
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Colton Sellers
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1358bd8115 |
Future and FutureOption low res support (#6069)
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* 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 |
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Martin-Molinero
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b8b0d18993 |
Continuous futures (#6034)
* Continuous Future Contracts * Mapping approach * Tweaks WIP * Live mapping * Live mapping - Add support for live mapping, refreshing mapfiles - Fix future expiration functions - Adding unit tests * Update moq test package * Continuous futures price scaling * Refactor price factors scaling * Factor file related renames * Address reviews |
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Martin-Molinero
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592d037085 |
Fix delisted liquidation orders being cancelled (#5169)
* Fix delisted liquidation orders being cancelled - Place delisted liquidation orders 10 min before market closes of 10 min before the end of the delisting warning date. Adding regression test and unit tests. Updating existing tests. * Fix failing python option unit tests * Fix bug where positions would be open delisting liquidation * Fix universe selection and delisting - Delisting will happen ASAP for all types. Giving priority to close positions on derivates first - Fix bug in universe selection where OptionChain would remove underlying even if holding a position in derivate. - Updating regression tests statistics * Add unit test, fix unit test expected stats |
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Gerardo Salazar
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eb1181f5f7 |
Adds Futures Options Asset Class w/ IB Support (#4928)
* 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
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Gerardo Salazar
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8d0d27253a | Address review: Cleans up percentage margins and adds missing margins | ||
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Gerardo Salazar
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81f2c43d0a |
Updates margins using new contract selection strategy
* Fixes previously incorrect margins |
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Gerardo Salazar
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b0f787abd8 | Address review - removes duplicates in margins and skip non-USD margins | ||
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JJD
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a3356904b0 | Update futures margins | ||
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JJD
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2ef5129e9d | Move margins to its respective exchanges folders | ||
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JJD
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4ab5d8fc34 | Update future data sample |