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  • 8a741d08e5 Disable Symbol cache in live mode 16628 Martin Molinero 2024-09-13 15:44:46 -03:00
  • fa9ff399cc Euro Stoxx 50 Index and Index Futures support (#8278) 16627 16626 16625 Jhonathan Abreu 2024-09-12 10:00:16 -04:00
  • 16c4259342 Add QCAlgorithm.OptionChain() method to fetch option chains (#8316) 16624 Jhonathan Abreu 2024-09-11 15:15:51 -04:00
  • 724d0b06a5 Add extra argument in QuantBook.UniverseHistory() for using an IDateRule (#8301) Ricardo Andrés Marino Rojas 2024-09-11 11:41:57 -05:00
  • ba7fe05574 Add BeforeMarketOpen() and AfterMarketClose() date rules (#8311) Ricardo Andrés Marino Rojas 2024-09-10 13:56:31 -05:00
  • 50437946e2 Add missing end_date in python regression algorithm (#8315) Ricardo Andrés Marino Rojas 2024-09-10 12:33:44 -05:00
  • 418970bb48 Add TravisExclude category to failing CI unit test (#8313) 16623 Ricardo Andrés Marino Rojas 2024-09-10 11:25:41 -05:00
  • bef045a360 Fix: Get GroupOrders ByBrokerageId (#8310) Roman Yavnikov 2024-09-10 19:25:22 +03:00
  • 49bf436aa2 Remove Lean path info from runtime exceptions (#8309) Jhonathan Abreu 2024-09-09 17:54:29 -04:00
  • e29bb2c5e0 File-based options universe (#8212) 16622 Jhonathan Abreu 2024-09-09 11:39:31 -04:00
  • 8fcc9f7d4e fix some comments for option security types (#8304) Dennis Yemelyanov 2024-09-09 07:37:26 -07:00
  • 5209332074 Update readme.md to remove references to Visual Studio for Mac, which has been discontinued (#8298) 16621 16618 Andy Geach 2024-09-06 15:59:28 +01:00
  • adfad475cc Feature:TradeStationBrokerage: support ComboMarket && ComboLimit (#8290) 16617 Roman Yavnikov 2024-09-06 16:31:14 +03:00
  • 21fcadf0f8 Ignore failing live future option unit test (#8300) 16616 Martin-Molinero 2024-09-05 16:42:42 -03:00
  • 693e602f68 Empty-Commit 16614 Jhonathan Abreu 2024-09-05 11:10:15 -04:00
  • bde37855b4 Minor greeks fix Jhonathan Abreu 2024-09-05 10:54:23 -04:00
  • cfd3b2f1d1 Address peer review Jhonathan Abreu 2024-09-05 09:22:38 -04:00
  • 3327576704 Cleanup and tests Jhonathan Abreu 2024-09-04 15:43:34 -04:00
  • 2beb276a35 Lazily parse greeks on individual access Jhonathan Abreu 2024-09-04 11:54:39 -04:00
  • b4d1cbcd5c Build fix Jhonathan Abreu 2024-09-04 10:13:24 -04:00
  • 745d15174e Minor fix in symbols and sid cache cleanup Jhonathan Abreu 2024-09-04 09:59:37 -04:00
  • f6265b6762 Limit Symbols and SIDs cache size to help with memory usage Jhonathan Abreu 2024-09-03 18:49:27 -04:00
  • 14b05a1121 Minor performance improvements reduce garbage Martin Molinero 2024-09-03 17:47:10 -03:00
  • dc0426e6c4 Address peer review Jhonathan Abreu 2024-08-30 17:39:23 -04:00
  • 2a86c3abb1 Return actual underlying symbol when mapping decomposing ICO ticker Jhonathan Abreu 2024-08-30 10:35:25 -04:00
  • 1d78a5fb48 Abstract symbols cache to BaseDataCollection Jhonathan Abreu 2024-08-29 13:12:27 -04:00
  • 72c6593643 Use cached underlying SID when parsing from string Jhonathan Abreu 2024-08-29 12:10:53 -04:00
  • 7350b05ee3 Fix index option creation in OptionUniverse Jhonathan Abreu 2024-08-29 11:20:08 -04:00
  • 424ad70d75 Cleanup Jhonathan Abreu 2024-08-29 10:12:58 -04:00
  • 28fc0b257a Cache symbols in OptionUniverse Jhonathan Abreu 2024-08-28 18:47:40 -04:00
  • 69dde04f76 Minor changes and test fixes Jhonathan Abreu 2024-08-28 12:18:52 -04:00
  • d535eb8431 Minor build fix Jhonathan Abreu 2024-08-28 11:02:07 -04:00
  • a1afe727c1 Memory usage improvements Jhonathan Abreu 2024-08-28 10:28:21 -04:00
  • ee0f6193f9 Address peer review Jhonathan Abreu 2024-08-26 12:46:43 -04:00
  • e8a5ba6303 Minor change Jhonathan Abreu 2024-08-21 17:27:44 -04:00
  • c9701ab6f0 Update index options regression algorithms stats Jhonathan Abreu 2024-08-21 17:19:00 -04:00
  • 5d87988198 Keep underlying when aggregating collections in BaseDataCollectionAggregatorEnumerator Jhonathan Abreu 2024-08-21 17:16:16 -04:00
  • b7a206b3f7 Fix for live trading options universe selection Jhonathan Abreu 2024-08-21 16:43:14 -04:00
  • e4dc1470da Minor change Jhonathan Abreu 2024-08-20 17:46:29 -04:00
  • 8b6fb2f66e Minor change Jhonathan Abreu 2024-08-20 17:33:17 -04:00
  • 6281617427 Fix: set data time zone to same as exchange tz for options universes Jhonathan Abreu 2024-08-19 13:40:15 -04:00
  • 2cbd013ff7 Minor regression tests updates after rebase Jhonathan Abreu 2024-08-19 11:31:55 -04:00
  • 82eb904370 Self review and cleanup Jhonathan Abreu 2024-08-16 17:29:26 -04:00
  • 7df5953ef9 Add universe files Jhonathan Abreu 2024-08-14 15:35:33 -04:00
  • 434b80e104 Regression tests updates after rebasing from master Jhonathan Abreu 2024-08-14 15:33:54 -04:00
  • 51b5c5cf58 Some regression algorithms and unit tests cleanup Jhonathan Abreu 2024-08-12 11:00:52 -04:00
  • 2a05d381c2 Cleanup Jhonathan Abreu 2024-08-09 16:07:02 -04:00
  • ab8b5ec498 Implied volatility calculation improvements Jhonathan Abreu 2024-08-09 15:25:21 -04:00
  • 72b05041da Use double in price option numerical models Jhonathan Abreu 2024-08-09 12:09:01 -04:00
  • 74cdc80d16 Add helper method con calculate time till expiration Jhonathan Abreu 2024-08-08 18:21:42 -04:00
  • 1dc9411ac9 [TEST] Jhonathan Abreu 2024-08-01 19:29:35 -04:00
  • d4da6a1189 Update default dividend yield provider depending on option type Jhonathan Abreu 2024-08-01 12:48:06 -04:00
  • 34ed54be68 Revert array pool change for option pricing numerical models Jhonathan Abreu 2024-08-01 10:28:47 -04:00
  • 51e64f88ae Greeks numerical models performance improvements Jhonathan Abreu 2024-07-31 18:11:35 -04:00
  • 5fb29b170e Greeks numerical models performance improvements Jhonathan Abreu 2024-07-31 16:47:15 -04:00
  • 31830d5df3 Minor tests updates Jhonathan Abreu 2024-07-30 16:14:19 -04:00
  • 491a5153f9 Minor performance improvement. Jhonathan Abreu 2024-07-30 12:18:16 -04:00
  • 2ddd2671fd Add more assertions to new options filter api regression algorithms Jhonathan Abreu 2024-07-24 18:39:58 -04:00
  • 65aa678492 Address peer review Jhonathan Abreu 2024-07-23 17:39:01 -04:00
  • 87cb2d85e1 Address peer review Jhonathan Abreu 2024-07-23 13:51:39 -04:00
  • 05bd18aae1 Added options greeks data and updated regression algorithms Jhonathan Abreu 2024-07-18 14:01:26 -04:00
  • 94be25241c Add regression algorithms for new options filter universe api methods Jhonathan Abreu 2024-07-17 18:20:33 -04:00
  • c482ad63aa Add OptionUniverse history regression algorithms Jhonathan Abreu 2024-07-17 15:28:01 -04:00
  • d3fd0fe73d Option filter universe api updates Jhonathan Abreu 2024-07-17 15:06:01 -04:00
  • aeabec965d Update options filter universe API to use OptionUniverse data Jhonathan Abreu 2024-07-17 10:09:05 -04:00
  • de7f30c02a Minor change Jhonathan Abreu 2024-07-16 13:09:28 -04:00
  • 61c9023f94 Fix thread-safety violation in Slice class Jhonathan Abreu 2024-07-16 10:37:50 -04:00
  • 6da36528ed Added processed data provider Jhonathan Abreu 2024-07-15 10:44:02 -04:00
  • de7967b047 Minor changes Jhonathan Abreu 2024-07-12 18:28:23 -04:00
  • 97674e8037 Option chain handling in live trading data feed Jhonathan Abreu 2024-07-12 18:16:21 -04:00
  • 1118ba279c Minor changes Jhonathan Abreu 2024-07-11 18:37:27 -04:00
  • ee039901bb Unit test fixes Jhonathan Abreu 2024-07-11 18:20:11 -04:00
  • 2e67f3e729 Data fixes and regression algos stats update Jhonathan Abreu 2024-07-11 16:56:22 -04:00
  • 98762ead76 Update regression algorithms stats Jhonathan Abreu 2024-07-09 19:11:45 -04:00
  • 4e6b682e48 Update regression algorithms stats Jhonathan Abreu 2024-07-09 18:25:40 -04:00
  • 6eb4fc35d3 Added option universe csv header property Jhonathan Abreu 2024-07-09 15:30:43 -04:00
  • 05bdfb2e18 Round option indicators values Jhonathan Abreu 2024-07-09 14:06:04 -04:00
  • 78f01039a9 Fix option chain provider history request Jhonathan Abreu 2024-07-09 12:00:21 -04:00
  • 065cdedc98 Update regression algorithms stats and minor fixes Jhonathan Abreu 2024-07-09 10:30:25 -04:00
  • 1c43efadbc Update regression algorithm stats Jhonathan Abreu 2024-07-08 16:29:03 -04:00
  • 6b4811a607 Peer recommended changes and fixes Jhonathan Abreu 2024-07-08 10:31:17 -04:00
  • 81ef05ac22 Minor changes Jhonathan Abreu 2024-06-28 18:38:10 -04:00
  • 553cebaae0 Minor changes Jhonathan Abreu 2024-06-28 13:11:19 -04:00
  • b1c16a1f1f Fix universe selection subscriptions start time to not include extended market hours Jhonathan Abreu 2024-06-28 12:49:52 -04:00
  • dcac0d4272 Fix symbols parsing in OptionUniverse Jhonathan Abreu 2024-06-28 10:58:22 -04:00
  • 108f2cacc5 Address peer review Jhonathan Abreu 2024-06-27 10:57:52 -04:00
  • c2c7072278 Address peer review Jhonathan Abreu 2024-06-27 10:20:02 -04:00
  • 603e14897b Allow canonical option history requests Jhonathan Abreu 2024-06-24 17:24:09 -04:00
  • d9501b5bec Option chain provider with new options universe Jhonathan Abreu 2024-06-19 09:04:34 -04:00
  • 2c6e8d5038 Updated options regression algorithms stats for new universe data Jhonathan Abreu 2024-06-18 09:06:57 -04:00
  • e68e7cdaf8 Updated options regression algorithms stats for new universe data Jhonathan Abreu 2024-06-17 14:03:37 -04:00
  • 3e58dd27b5 Updated options regression algorithms stats for new universe data Jhonathan Abreu 2024-06-17 12:14:26 -04:00
  • e3f7bf674c Updated options regression algorithms stats for new universe data Jhonathan Abreu 2024-06-14 17:54:40 -04:00
  • 1626b3f85a Updated options regression algorithms stats for new universe data Jhonathan Abreu 2024-06-14 09:44:52 -04:00
  • d7b702d58c File based options universe fixes and improvements. Jhonathan Abreu 2024-06-13 18:45:03 -04:00
  • a8528eb208 Address peer review Jhonathan Abreu 2024-06-11 10:56:09 -04:00
  • 3cc6919ce0 Options universe improvements Jhonathan Abreu 2024-06-11 09:38:06 -04:00
  • eacc655274 Initial options universe with greeks implementation Jhonathan Abreu 2024-06-04 17:13:20 -04:00
  • e893e67e9b Throw exception when base currency not found (#8289) 16615 16613 16612 Ricardo Andrés Marino Rojas 2024-09-04 10:14:53 -05:00
  • ab98d9b383 Build fix 16610 Jhonathan Abreu 2024-09-04 10:13:24 -04:00