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* feature: add webull brokerage core integration
- add BrokerageName.Webull enum value
- add WebullBrokerageModel supporting Equity, Option, IndexOption
- add WebullFeeModel with zero commission for equity/option, tiered index option fees (SPX, SPXW, VIX/VIXW, XSP, DJX, NDX/NDXP), 0.6% crypto fee
- register Webull in IBrokerageModel factory switch and GetBrokerageName
- add webull config keys and live-webull environment to Launcher/config.json
- add WebullBrokerageModelTests (CanSubmitOrder, GetFeeModel)
- add WebullFeeModelTests covering all index option tiers and crypto
* refactor: split webull supported order types per security type
- replace flat _supportSecurityTypes/_supportOrderTypes with _supportedOrderTypesBySecurityType dictionary
- options and index options: Limit, StopMarket, StopLimit only
- equity, future, crypto: Market, Limit, StopMarket, StopLimit, TrailingStop
- add WebullOrderProperties with OutsideRegularTradingHours flag
- add messages for unsupported order type validation
* fix: add market order type to option and index option supported orders
* chore: add webull crypto symbols to symbol-properties-database
* test: consolidate webull fee model and brokerage model tests
- merge per-tier and per-symbol [Test] methods into [TestCase]/[TestCaseSource] parameterized tests in WebullFeeModelTests
- replace CreateIndexOptionSecurity/CreateOptionSecurity/CreateCryptoSecurity with single CreateSecurity(SecurityType, decimal, string) helper
- rename test methods to PascalCase (drop underscores) in WebullBrokerageModelTests
- remove section-separator comments from WebullBrokerageModelTests
- update Launcher/config.json for local Webull UAT environment
* remove: restriction GTC for Option and Buy side only
* refactor: limit webull to equity and options
- remove crypto and future support from order types and tests
- remove crypto fee logic and crypto symbol-properties rows
- reject market orders with outsideRth on equity
- log info when market order uses non-day tif
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Add LocateBroker (string) and LocateId (string) so algorithms can attach
Reg SHO locate information to short equity sales routed through Bloomberg
EMSX. These map to the EMSX_LOCATE_BROKER and EMSX_LOCATE_ID fields on the
EMSX order ticket (LocBrkr / LocId). The TerminalLink brokerage emits
EMSX_LOCATE_REQ = "Y" automatically whenever either identifier is set on
a short equity sale, so no separate "required" flag is exposed here.
Without these properties the TerminalLink brokerage has no way to identify
the lender on a short sale, and prime brokers reject the order.
Co-authored-by: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
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* Add VIX Mini Futures (VXM) support
Adds complete LEAN support for VIX Mini Futures (VXM) traded on CBOE:
- Add Futures.Indices.VIXMini = "VXM" constant
- Add expiry function: 30 days before third Friday of following month
- Add symbol properties: multiplier 100, tick 0.01 (USD)
- Add 15 test date pairs for 2023-2025 to FuturesExpiryFunctionsTestData.xml
- Add [TestCase(VIXMini, EightOClockChicagoTime)] to IndicesExpiryDateFunction test
- Add market hours configuration mirroring VX trading hours
ClosesQuantConnect/Lean#6655
Co-Authored-By: Claude Haiku 4.5 <noreply@anthropic.com>
* Fix VXM expiry holiday validation and add margin file
- Replace single `if` holiday check with `while` loop using
`IsCommonBusinessDay()` to ensure the computed expiry date
is always a valid tradable day (not just one step back)
- Fix test data: 2025-03-19 -> 2025-03-18 (April 18 2025 is
Good Friday, a CFE holiday, shifting the expiry back)
- Add Data/future/cfe/margins/VXM.csv margin file
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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Co-authored-by: Claude Haiku 4.5 <noreply@anthropic.com>
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* Default to all market hours when no symbol is provided
Add no-symbol overloads of `AfterMarketOpen`, `BeforeMarketOpen`,
`AfterMarketClose` and `BeforeMarketClose` so scheduled events can be
defined without referencing a specific security. Per-date, the helpers
pick the earliest open / latest close across the algorithm's
non-always-open exchanges, falling back to US equities (SPY) when no
eligible security is subscribed. US equities are skipped during the
walk since SPY's exchange hours already represent them.
Closes#9461.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
* Test that option contracts dedupe to one exchange hours entry
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
---------
Co-authored-by: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
* Allow SetAccountCurrency after SetCash without throwing
Previously, calling SetAccountCurrency after SetCash threw an
InvalidOperationException. The portfolio manager now switches the
base account currency in place: the previous Cash entry (and its
balance) is preserved in the CashBook, and a notice is logged. When
the new account currency matches the existing one, an optional
startingCash overrides the previously set amount and the override
is logged.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
* Simplify SetAccountCurrency remarks and drop unused message
Tightens the XML remarks to two cases (different currency: keep previous
in its own entry; matching currency: override). Also removes the now
unused CannotChangeAccountCurrencyAfterSettingCash string since the
portfolio no longer throws.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
* Simplify in-line comment in SetAccountCurrency
Drops the "Undo that migration" wording (residue from a previous fix
attempt) and just describes what the branch does: keep the previous
balance in its own currency entry while the new account currency starts
at zero.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
* Differentiate implicit vs explicit SetCash on account currency switch
SetCash(decimal) is currency-agnostic: the amount is "this many units of
the (eventual) account currency". Switching the account currency now
re-labels the amount onto the new currency instead of preserving the
previous one. SetCash(symbol, ...) for the current account currency keeps
the old behaviour of preserving the balance in its own CashBook entry.
Splits the existing tests by overload and adds a starting-cash variant
for the explicit case.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
* Mark base cash explicit on any SetCash(symbol, ...) call
Broaden _baseCashSymbolSetExplicitly so any call to the explicit-currency
overload signals the user is committing to named currencies, not just
calls whose symbol matches the current account currency. SetAccountCurrency
then preserves the previous base-currency balance in its own CashBook
entry whenever the user has touched the explicit overload at all.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
---------
Co-authored-by: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
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* fix: add AJY future-option expiry definition
- map AJY (AUD/JPY) FOP to SecondFridayBeforeThirdWednesdayOfContractMonth
- prior fallback to the AJY HMUZ-only future expiry collapsed serial-month FOPs (e.g. AJYN6) into their underlying quarterly Symbol
* fix: add ANE and ECD future-option expiry definitions
- map ANE (AUD/NZD) and ECD (EUR/CAD) FOPs to SecondFridayBeforeThirdWednesdayOfContractMonth
- prior fallback to the HMUZ-only future expiry collapsed serial-month FOPs into their underlying quarterly Symbol
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* 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.
* fix: support BNFCR alternative collateral in CryptoFutureMarginModel for Binance (#9339)
* refactor: use classic switch in BinanceFuturesBrokerageModel.GetBuyingPowerModel
* fix: CryptoFutureMarginModel in BinanceCoinFuturesBrokerageModel
* refactor: simplify BinanceCryptoFutureMarginModel collateral conversion
* fix: restore IsCryptoCoinFuture guard in BinanceCryptoFutureMarginModel
* refactor: simplify BinanceCryptoFutureMarginModel to direct BNFCR lookup
Replace IsStableCoinWithoutPair foreach loop with a single TryGetValue
check for BNFCR. BNFCR is EU/EEA-only (MiCA Credits Trading Mode) so
the lookup is a no-op for all other users. Amount reflects availableBalance
from the Binance API — the total cross-margin pool already aggregated by
Binance — making the > 0 guard correct and avoiding CashBook iteration.
* feat: add regression algorithm for BNFCR as sole collateral on Binance USDⓈ-M futures
Asserts end-to-end that EU/MiCA accounts with zero USDT and BNFCR as
the only collateral can open ADAUSDT positions. Verifies buying power,
holdings AbsoluteHoldingsCost, TotalSaleVolume, TotalMarginUsed,
maintenance margin consistency and TotalUnrealizedProfit accuracy.
* refactor: BNFCR presence gate with CashBook iteration for supplementary collateral
Replace IsStableCoinWithoutPair and hardcoded asset list with CashBook
iteration gated by BNFCR presence. Binance controls which assets are in
the account — all with non-zero walletBalance are valid collateral.
Add tests for BNFCR zero balance and BTC collateral conversion.
* refactor: aggregate all collateral without reference equality check
* fix: shared collateral deduction across quote currencies for EU/MiCA BNFCR mode
- Extract virtual SharesCollateral in CryptoFutureMarginModel
- Override in BinanceCryptoFutureMarginModel: BNFCR present → all USDⓈ-M share pool
- Add BNFCRCurrency const
- Add SharedCollateralDeductsMaintenanceMarginAcrossQuoteCurrencies unit test
- Refactor regression algorithm to assert shared collateral across ADAUSDT/ETHUSDC
* refactor: remove dead IsCryptoCoinFuture guard from BinanceCryptoFutureMarginModel
- Remove IsCryptoCoinFuture() check (coin futures use BinanceCoinFuturesBrokerageModel, not this model)
- Call base.GetTotalCollateralAmount() instead of duplicating primaryCollateral.Amount
- Remove CoinFutureDoesNotIncludeBnfcrAsCollateral test (tested wrong margin model)
* refactor: make GetCollateralCash private in CryptoFutureMarginModel
- No longer accessed by subclasses after removing direct collateral checks from BinanceCryptoFutureMarginModel
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* Improves Null Key Handling in Python
We aim to mimic the following behavior:
```python
>>> d = {1:2}
>>> None in d
False
>>> d.get(None) is None
True
>>> d.pop(None)
Traceback (most recent call last):
File "<stdin>", line 1, in <module>
KeyError: None
>>> d.pop(None, None) is None
True
```
* Reverts dispose change
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* Add ContractMultiplier setter to Cfd via CfdSymbolProperties
* Fix regression tests
* Solve review comments
* Address new review comments
* Fix regression tests
* Use ContractSymbolProperties as base class
* Minor fix
* Address review comment
* Add failing test for BRK.B OSI option ticker parsing
Adds test case to ParseOptionTickerOSI to reproduce issue #9341 where
Symbol.ParseOptionTickerOSI throws on tickers containing a dot (e.g. BRK.B).
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
* Fix OSI option ticker regex to support dots in underlying symbol
Extends _optionTickerRegex from [A-Z0-9]+ to [A-Z0-9\.]+ so that
symbols like BRK.B are accepted by ParseOptionTickerOSI.
Fixes#9341
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
---------
Co-authored-by: Claude Sonnet 4.6 <noreply@anthropic.com>
* Use universe settings when adding derivatives
Use resolution, fill forward and extended market hours settings from universe settings when adding derivative securities (options, index options, futures and future options)
* Minor python syntax check fix
* Minor change
* Default resolution from universe settings for common lean types securities
* Minor test fix
* Cleanup
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* Fix: Reject unsupported 4-leg ComboLegLimit orders in InteractiveBrokersBrokerageModel (#9287)
* Minor tweaks
---------
Co-authored-by: Ahmed Ali <ahmedalli79x@gmail.com>
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* Implement indicator-based option price model
This model uses IV and Greeks indicators to implement Lean's own option pricing model
* Minor fixes
* Address peer review
* Minor tests fixes
* Make the indicator based price model the default for options
* Address peer review
* Cleanup and minor changes
* Support indicators configuration for new pricing model
* Some cleanup
* Add QL option price model example algorithm
* Return lean models from static helpers
* Minor tests fixes
* Minor test fixes
* Address peer review
* Cleanup
* Fix unit tests
* Move QL models to OptionPriceModels.QuantLib.*
* Add forward tree helper method
* Fix trade drawdown calculation
* Cleanup
* Disable MAE. MFE and Drawdown calculation for FlatToFlat and FlatToReduced trade grouping methods
* Minor test fixes
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* Add total performance statistics to live result files
* Truncate closed trades in live results
* Avoid adding totalPerformance to live minute result file
* Deprecated Trade.Symbol in favor of new Trade.Symbols
* Fixes for Trade serialization
* Add trades json serialization tests
* Cleanup
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* Fix NullReferenceException in SecurityService
* Simplify the unit test
* Add unit test for RandomDataGenerator
* Improve unit test name
* Solve review comments
* Return weekly contracts if no standard contracts exist
* Fix unit and regression tests
* Centralize default expiration type flags
* Add ExcludeWeeklys() method
* Mark IncludeWeeklys() as obsolete since weeklies are now default
JosueNina