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File-based options universe (#8212)
frostbyte_neo 发布于
2024-09-09 15:39:31 +00:00 | 736 次提交 在此版本后已推送到 master-
Initial options universe with greeks implementation
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Options universe improvements
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Address peer review
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File based options universe fixes and improvements.
- Adjust OptionUniverse start-end times and period.
- Adapt unit tests and some algorithms to pass with new options universe selection.
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Updated options regression algorithms stats for new universe data
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Updated options regression algorithms stats for new universe data
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Updated options regression algorithms stats for new universe data
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Updated options regression algorithms stats for new universe data
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Updated options regression algorithms stats for new universe data
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Option chain provider with new options universe
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Allow canonical option history requests
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Address peer review
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Address peer review
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Fix symbols parsing in OptionUniverse
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Fix universe selection subscriptions start time to not include extended market hours
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Minor changes
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Minor changes
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Peer recommended changes and fixes
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Update regression algorithm stats
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Update regression algorithms stats and minor fixes
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Fix option chain provider history request
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Round option indicators values
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Added option universe csv header property
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Update regression algorithms stats
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Update regression algorithms stats
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Data fixes and regression algos stats update
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Unit test fixes
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Minor changes
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Option chain handling in live trading data feed
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Minor changes
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Added processed data provider
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Fix thread-safety violation in Slice class
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Minor change
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Update options filter universe API to use OptionUniverse data
Add new filter methods for greeks, IV and open interest
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Option filter universe api updates
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Add OptionUniverse history regression algorithms
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Add regression algorithms for new options filter universe api methods
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Added options greeks data and updated regression algorithms
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Address peer review
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Address peer review
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Add more assertions to new options filter api regression algorithms
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Minor performance improvement.
Reduce greeks binomial model steps to 140
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Minor tests updates
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Greeks numerical models performance improvements
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Greeks numerical models performance improvements
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Revert array pool change for option pricing numerical models
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Update default dividend yield provider depending on option type
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[TEST]
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Add helper method con calculate time till expiration
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Use double in price option numerical models
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Implied volatility calculation improvements
- Adjust root finding method accuracy as a factor of the option price
- Use BSM to get a first guess
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Cleanup
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Some regression algorithms and unit tests cleanup
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Regression tests updates after rebasing from master
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Add universe files
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Self review and cleanup
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Minor regression tests updates after rebase
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Fix: set data time zone to same as exchange tz for options universes
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Minor change
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Minor change
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Fix for live trading options universe selection
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Keep underlying when aggregating collections in BaseDataCollectionAggregatorEnumerator
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Update index options regression algorithms stats
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Minor change
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Address peer review
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Memory usage improvements
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Minor build fix
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Minor changes and test fixes
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Cache symbols in OptionUniverse
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Cleanup
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Fix index option creation in OptionUniverse
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Use cached underlying SID when parsing from string
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Abstract symbols cache to BaseDataCollection
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Return actual underlying symbol when mapping decomposing ICO ticker
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Address peer review
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Minor performance improvements reduce garbage
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Limit Symbols and SIDs cache size to help with memory usage
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Minor fix in symbols and sid cache cleanup
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Build fix
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Lazily parse greeks on individual access
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Cleanup and tests
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Address peer review
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Minor greeks fix
Co-authored-by: Martin Molinero martin.molinero1@gmail.com
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