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    Broken Regressions Fixes (#5421)

    frostbyte_neo 发布于 2021-03-29 20:35:03 +00:00 | 2463 次提交 在此版本后已推送到 master

    • Remove regression references to non-existant Python versions

    • Adjust regressions estimated capacity not adjusted by #5389

    • Adjusts regression algorithms so that they pass (Index/Index Options)

      • Changes start/end date on BasicTemplateIndexAlgorithm

      • Changes option pricing model to BlackScholes in
        IndexOptionCallITMGreeksExpiryRegressionAlgorithm

        • The root cause of why there are no greeks at times for these
          options was identified. It is most likely due to the underlying's
          VolatilityModel not having had enough data to be "warmed up",
          which means it will return a standard deviation of zero to the
          option pricing model, rendering most metrics as NaN.

    • Adds missing index/index options regression algorithms

      • Regression algorithms are now 1-1 between C# and Python for
        Indexes/Index options. All regression tests are now passing

    • Fixes broken BasicTemplateIndex regression algorithm

      • Previously traded SPY, but because we have no SPY data in Lean
        master, I instead opted for index options, since data for those
        dates is already included

    • Deal with weekend for breaking test case

    • Adjust DefaultEndDate test to always pass

    • Check todays date for open

    Co-authored-by: Gerardo Salazar gsalaz9800@gmail.com

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