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  • 11129 4c085ff853
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    Adds Indexes and Index Options asset types (Backtesting/Live, IB only) (#5379)

    frostbyte_neo 发布于 2021-03-12 23:46:23 +00:00 | 2476 次提交 在此版本后已推送到 master

    • Add support for Index SecurityType 🚀 (#5364)

    • Add Index SecurityType 🚀

    • Extend SecurityIdentifier & Lean Data classes with Index support

    • Add Index SecurityType 🚀

    • Extend SecurityIdentifier & Lean Data classes with Index support

    • Fixes

    • Added index cross basic template demonstration

    • WIP: Prototype index security type for LEAN as non tradable asset

    • Re-adds Index entries to MHDB after rebase

    • First steps to getting Index Options running

      • Looks at any instance where we pattern match for an option type
        and replaces it with a generic call to .IsOption() for easier
        extensibility in the future for additional option security types

      • Adds IndexOption security and misc. classes

      • Misc. changes, mainly related to any sort of special casing of
        equity options and made index options take the same path

    • Enables index options data for backtesting

      • Adds new index options market hours to MHDB
      • Misc. bug fixes for index options
      • WIP: add live support for index options and indexes
      • Use OptionMarginModel for Index Options because they both use the
        same calculation for margin requirements

    • Fixes contract not found errors on SPX index options and SPX index in IB

      • Turns out index options' last trading day is the day before expiry,
        which IB was expecting the last trading day.

    • Add index option test cases (temp)

    • LiveOptionChainProvider fix, use Symbol vs. ticker

      • Description updates to regression algorithms

    • Fixes bug in live trading for indexes and index options

      • Adds overridable minimum price variation symbol property
      • Adds variable sized minimum price variation for index options
      • Adjusts symbol properties for index options
      • Misc. bug fixes

    • Fixes option assignment simulation for European options

      • Updates index options regression algorithms (WIP)

    • Fixes bug where index option exercise would trade index underlying

      • Fixes bugs where SecurityType.Index was getting flagged as tradable

    • Regression algorithms updates and addresses review

      • Misc. style fixes and refactoring + a few bug fixes
      • Updates regression algorithms to run without runtime errors
      • Adds data for regression algos

    • Sets DefaultOptionStyle on Canonical and support index options

    • Update regression algos statistics

    • Removes bad line in regression algorithm causing build to fail

    • Minor tweaks

    • Address review add comment about quoteBar parse scale

    Co-authored-by: Balamurali Pandranki balamurali@live.com
    Co-authored-by: Jared Broad jaredbroad@gmail.com
    Co-authored-by: Martin-Molinero martin@quantconnect.com

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