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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>
---------
Co-authored-by: Claude Haiku 4.5 <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
* 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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* 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
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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
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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
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* Increase option strike digits precision to 6
- Increase option strike digits precision to 6. Adding unit test
* test:fix: couple of build tests
* fix:test: Asset CUSIP and OrderListHash in Regression Algorithms
* test:fix: several regression algos
* test:fix: old Symbol CUSIPs to new ones
---------
Co-authored-by: Romazes <romazes20@gmail.com>
* Refactor user define universe handling
- Normalize user define universe additions and removals to behave like
other subscriptions without requiting special handling
* Minor fixes
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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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* Add 'asynchronous' parameter to trading api
* Add regression algorithms
* More fixes for asynchronous orders
* Fix failing unit tests
* Fix failing unit tests
* Add multiple orders requests in transaction handler
Make each transaction thread handle requests corresponding to the same order
* Refactor order state machine in BrokerageTransactionHandler
Now using a single dictionary to hold orders and their state, either pending for submission, open or closed.
* Revert: remove complete orders from new state machine in BTH
* Add order ticket to new BTH open orders state machine
* Run syn in Backtesting transaction handler for new orders submission
* Remove OpenOrderState.SubmissionPending property
* Add Security to OpenOrderState
* Minor fix
* Cleanup
* Some cleanup in BTH
* Cleanup
* Minor fix
* Minor unit test fix
* Minor fix
* Make Brokerage.ConcurrencyEnable property virtual
* Minor change
* Cleanup
* Add 'asynchronous' parameter to SetHoldings api
* Improve regression algorithms
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* Add support for some CME currencies FOPs
Support ADU (6A), GBU (6B), CAU (6C), EUU (6E), JPU (6J), CHU (6S)
* Cleanup
* Consider holidays in FOPs expiry function
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* Changed default async to true and passed target.Tag
* Make execution models place orders asynchronously if specified
* Add unit tests
* Execution model default to asynchronous orders.
Also, minor fixes for tickets remaining fill quantity potential race conditions
* Add SecurityHolding.UnrealizedQuantity property
It gets the holding quantity the security will have once all open orders are filled.
Added for thread safety reasons when execution models place asynchronous orders and need to calculate the actual quantity needed to reach the target of there are open orders
* Some cleanup
* Adjust projected holdings quantity on splits
* Minor fix
* More changes and cleanup
* Minor fix
* Improvements for thread safety
* Add IOrderProvider.GetProjectedHoldings to get projected holdings atomically
* Minor unit tests fix
* Add ProjectedHoldings DTO class
* Address peer review
---------
Co-authored-by: arthiondaena <arthiondaena@gmail.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
* Initial solution
* Create testCases for earlyClose and lateOpen
* Refactor GetExchangeHours and add unit tests
* Update market-hours-database and create a unit test
* Resolve review comments
* Update market-hours-database
* Parallelize the foreach loop to improve test performance
* Initialize securities on re-addition
* Minor unit tests fixes
* Reset Index.ManualSetIsTradable when security is removed
* More changes to clean up and simplify
* Address security re-utilization only
* Cleanup regression algorithms
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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
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* Add logs to ProcessedDataProvider
* Removed test logs
* Minor fix
* Support downloading options and futures universe files from api data provider
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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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* Add unit test reproducing the bug
* Improve unit test
* Apply market hours database updates to instance
Make sure entries are updated instead of overridden so that consumers holding the mhdb can pick up the changes
* Improved unit tests
* Update data folder MHDB entries instead of overriding instance
* Optionally reset custom mhdb entries on reset
* Simplify mhdb reset in live trading
Cleanup and minor fixes
* Ensure symbol properties database updates are picked up by consumers
Update SPDB entries instead of overriding them, just like for the MHDB so that consumers pick up updates after refresh
* Fix for symbol properties update thread safety
* Minor improvements and cleanup
* Mhdb and spdb update logic simplification
* Move "force exchange always open" logic to mhdb
* Simplify symbol properties holder and updates
* Refactor security databases to use a common base class
Introduce BaseSecurityDatabase<T, TEntry> to encapsulate common functionality for MarketHoursDatabase and SymbolPropertiesDatabase.
* Cleanup
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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
* Add Martin Luther King'day holiday to CME futures entries
Add unit test for MCL futures expiry function, first contract of 2025 expires on Jan17 but was returning the 20th
* Add holiday to equity and index
And by extension to options and index options
* Add holiday to other entries
JosueNina