Jhonathan Abreu
e29bb2c5e0
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* Initial options universe with greeks implementation * Options universe improvements * Address peer review * 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. * Updated options regression algorithms stats for new universe data * Updated options regression algorithms stats for new universe data * Updated options regression algorithms stats for new universe data * Updated options regression algorithms stats for new universe data * Updated options regression algorithms stats for new universe data * Option chain provider with new options universe * Allow canonical option history requests * Address peer review * Address peer review * Fix symbols parsing in OptionUniverse * Fix universe selection subscriptions start time to not include extended market hours * Minor changes * Minor changes * Peer recommended changes and fixes * Update regression algorithm stats * Update regression algorithms stats and minor fixes * Fix option chain provider history request * Round option indicators values * Added option universe csv header property * Update regression algorithms stats * Update regression algorithms stats * Data fixes and regression algos stats update * Unit test fixes * Minor changes * Option chain handling in live trading data feed * Minor changes * Added processed data provider * Fix thread-safety violation in Slice class * Minor change * Update options filter universe API to use OptionUniverse data Add new filter methods for greeks, IV and open interest * Option filter universe api updates * Add OptionUniverse history regression algorithms * Add regression algorithms for new options filter universe api methods * Added options greeks data and updated regression algorithms * Address peer review * Address peer review * Add more assertions to new options filter api regression algorithms * Minor performance improvement. Reduce greeks binomial model steps to 140 * Minor tests updates * Greeks numerical models performance improvements * Greeks numerical models performance improvements * Revert array pool change for option pricing numerical models * Update default dividend yield provider depending on option type * [TEST] * Add helper method con calculate time till expiration * Use double in price option numerical models * Implied volatility calculation improvements - Adjust root finding method accuracy as a factor of the option price - Use BSM to get a first guess * Cleanup * Some regression algorithms and unit tests cleanup * Regression tests updates after rebasing from master * Add universe files * Self review and cleanup * Minor regression tests updates after rebase * Fix: set data time zone to same as exchange tz for options universes * Minor change * Minor change * Fix for live trading options universe selection * Keep underlying when aggregating collections in BaseDataCollectionAggregatorEnumerator * Update index options regression algorithms stats * Minor change * Address peer review * Memory usage improvements * Minor build fix * Minor changes and test fixes * Cache symbols in OptionUniverse * Cleanup * Fix index option creation in OptionUniverse * Use cached underlying SID when parsing from string * Abstract symbols cache to BaseDataCollection * Return actual underlying symbol when mapping decomposing ICO ticker * Address peer review * Minor performance improvements reduce garbage * Limit Symbols and SIDs cache size to help with memory usage * Minor fix in symbols and sid cache cleanup * Build fix * Lazily parse greeks on individual access * Cleanup and tests * Address peer review * Minor greeks fix --------- Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>