Stefano Raggi 6c42a266be IB brokerage - Update option positions at contract expiration (#5880) ...

* IB brokerage - Update option positions at contract expiration

* Add handling of live option expiration events

* Address review

- Nits

* Refactor option notification events [WIP]

* Add early exercise+assignment unit tests

* Fix sign bug in IB ExerciseOrder

* Address review

- log unexpected position
- add unit test cases for partial exercise/assignment

2021-09-30 13:48:41 -03:00

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Cfd

Support 2-leg currency conversions (#5552)

2021-05-20 13:19:39 -03:00

Crypto

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CurrencyConversion

Support 2-leg currency conversions (#5552)

2021-05-20 13:19:39 -03:00

Equity

Lean exchange improvements (#5932)

2021-09-20 13:50:15 -03:00

Forex

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Future

Add new Market.CFE (#5391)

2021-08-31 19:34:14 -03:00

FutureOption

Fixes OverflowException in FuturesOptionsMarginModel (#5629)

2021-06-04 21:24:19 -03:00

Index

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IndexOption

Fix FutureOptionMarginModel Margin Requirements (#5570)

2021-05-18 14:04:30 -03:00

Interfaces

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Option

IB brokerage - Update option positions at contract expiration (#5880)

2021-09-30 13:48:41 -03:00

Positions

Alpha holdings state (#5770)

2021-08-19 13:56:18 -03:00

Volatility

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AccountCurrencyImmediateSettlementModel.cs

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AccountEvent.cs

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AdjustedPriceVariationModel.cs

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BrokerageModelSecurityInitializer.cs

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BuyingPower.cs

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BuyingPowerModel.cs

Alpha Streams Improvements. Python Imports (#5874)

2021-08-24 11:15:48 -03:00

BuyingPowerModelExtensions.cs

Alpha Streams Improvements. Python Imports (#5874)

2021-08-24 11:15:48 -03:00

BuyingPowerParameters.cs

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Cash.cs

Alpha holdings state (#5770)

2021-08-19 13:56:18 -03:00

CashAmount.cs

Alpha holdings state (#5770)

2021-08-19 13:56:18 -03:00

CashBook.cs

Support 2-leg currency conversions (#5552)

2021-05-20 13:19:39 -03:00

CashBuyingPowerModel.cs

Filter out small orders based on Setting (#5776)

2021-07-19 13:17:51 -03:00

CompositeSecurityInitializer.cs

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ConstantBuyingPowerModel.cs

Option Margin Strategies (#5511)

2021-04-30 18:45:27 -03:00

ContractSecurityFilterUniverse.cs

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DefaultMarginCallModel.cs

Filter out small orders based on Setting (#5776)

2021-07-19 13:17:51 -03:00

DelayedSettlementModel.cs

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DynamicSecurityData.cs

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EquityPriceVariationModel.cs

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ErrorCurrencyConverter.cs

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FuncSecurityDerivativeFilter.cs

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FuncSecurityInitializer.cs

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FuncSecuritySeeder.cs

Fix FuncSecuritySeeder for python (#5923)

2021-09-10 19:28:49 -03:00

GetMaximumOrderQuantityForDeltaBuyingPowerParameters.cs

Filter out small orders based on Setting (#5776)

2021-07-19 13:17:51 -03:00

GetMaximumOrderQuantityForTargetBuyingPowerParameters.cs

Filter out small orders based on Setting (#5776)

2021-07-19 13:17:51 -03:00

GetMaximumOrderQuantityResult.cs

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GetMinimumPriceVariationParameters.cs

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HasSufficientBuyingPowerForOrderParameters.cs

Option Margin Strategies (#5511)

2021-04-30 18:45:27 -03:00

HasSufficientBuyingPowerForOrderResult.cs

Option Margin Strategies (#5511)

2021-04-30 18:45:27 -03:00

IBaseCurrencySymbol.cs

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IBuyingPowerModel.cs

Option Margin Strategies (#5511)

2021-04-30 18:45:27 -03:00

ICurrencyConverter.cs

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IdentityCurrencyConverter.cs

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IDerivativeSecurity.cs

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IDerivativeSecurityFilter.cs

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IDerivativeSecurityFilterUniverse.cs

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IMarginCallModel.cs

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ImmediateSettlementModel.cs

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InitialMargin.cs

Option Margin Strategies (#5511)

2021-04-30 18:45:27 -03:00

InitialMarginParameters.cs

Option Margin Strategies (#5511)

2021-04-30 18:45:27 -03:00

InitialMarginRequiredForOrderParameters.cs

Option Margin Strategies (#5511)

2021-04-30 18:45:27 -03:00

IOrderEventProvider.cs

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IOrderProcessor.cs

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IOrderProvider.cs

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IPriceVariationModel.cs

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IRegisteredSecurityDataTypesProvider.cs

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ISecurityInitializer.cs

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ISecurityPortfolioModel.cs

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ISecurityProvider.cs

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ISecuritySeeder.cs

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ISettlementModel.cs

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LocalMarketHours.cs

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MaintenanceMargin.cs

Option Margin Strategies (#5511)

2021-04-30 18:45:27 -03:00

MaintenanceMarginParameters.cs

Fix FOPs maintenance margin requirements (#5559)

2021-05-14 14:02:56 -03:00

MarketHoursDatabase.cs

Alpha Streams improvements (#5876)

2021-08-27 13:50:45 -03:00

MarketHoursSegment.cs

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MarketHoursState.cs

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PatternDayTradingMarginModel.cs

Option Margin Strategies (#5511)

2021-04-30 18:45:27 -03:00

RegisteredSecurityDataTypesProvider.cs

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ReservedBuyingPowerForPosition.cs

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ReservedBuyingPowerForPositionParameters.cs

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Security.cs

Option Margin Strategies (#5511)

2021-04-30 18:45:27 -03:00

SecurityCache.cs

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SecurityCacheDataStoredEventArgs.cs

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SecurityCacheProvider.cs

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SecurityDatabaseKey.cs

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SecurityDataFilter.cs

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SecurityDefinition.cs

Adds support for getting a Lean symbol based on FIGI, CUSIP, ISIN, SEDOL (#5922)

2021-09-10 19:16:18 -07:00

SecurityDefinitionSymbolResolver.cs

Adds support for getting a Lean symbol based on FIGI, CUSIP, ISIN, SEDOL (#5922)

2021-09-10 19:16:18 -07:00

SecurityEventArgs.cs

Option Margin Strategies (#5511)

2021-04-30 18:45:27 -03:00

SecurityExchange.cs

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SecurityExchangeHours.cs

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SecurityHolding.cs

Fix for Trailing Stop Risk Management Model (#5791)

2021-08-20 15:14:36 -03:00

SecurityHoldingQuantityChangedEventArgs.cs

Option Margin Strategies (#5511)

2021-04-30 18:45:27 -03:00

SecurityManager.cs

Fix FutureOptionMarginModel Margin Requirements (#5570)

2021-05-18 14:04:30 -03:00

SecurityMarginModel.cs

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SecurityPortfolioManager.cs

Fix price left over split cash adjustment (#5780)

2021-07-19 13:18:10 -03:00

SecurityPortfolioModel.cs

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SecurityPriceVariationModel.cs

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SecurityService.cs

Add basic template Atreyu algorithm (#5872)

2021-08-23 18:24:44 -03:00

SecurityTransactionManager.cs

Filter out small orders based on Setting (#5776)

2021-07-19 13:17:51 -03:00

SymbolProperties.cs

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SymbolPropertiesDatabase.cs

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UniverseManager.cs

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UnsettledCashAmount.cs

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