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quantconnect--lean/Common/Securities
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Martin-Molinero d1a35e6281
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Continuous Futures Refactor. Live Mappings (#6076) 
* Continuous Futures Refactor. Live Mappings

- Adding support for live mappings. LiveTradingDataFeed will handle any
  symbol mapping at the configuration layer and resubscribe through the
  IDQH
- Refactoring continuous futures adding ContinuousFutureUniverse that
  will select the currently mapped security

* Minor fixes

- Remove addition of configurations in UniverseSelection step, leave
  resposability for universe.
- LiveTradingDF future unit test will only assert slice data for non
  internal feeds.
- ContinuousContractUniverse will respect internal option interest
  subscription

* Address review
2021-11-30 21:38:50 -03:00
..
Cfd
Support 2-leg currency conversions (#5552)
2021-05-20 13:19:39 -03:00
Crypto
Fix Lean Warnings V1 (#5408)
2021-03-22 11:08:48 -07:00
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
Fix Lean Warnings V1 (#5408)
2021-03-22 11:08:48 -07:00
Future
Continuous Futures Refactor. Live Mappings (#6076)
2021-11-30 21:38:50 -03:00
FutureOption
Fixes OverflowException in FuturesOptionsMarginModel (#5629)
2021-06-04 21:24:19 -03:00
Index
Fix index live target exchange (#6000)
2021-10-20 17:26:25 -03:00
IndexOption
Fix FutureOptionMarginModel Margin Requirements (#5570)
2021-05-18 14:04:30 -03:00
Interfaces
Add missing license banner
2019-08-16 18:07:30 -03:00
Option
Refactor Delistings Processing (#6059)
2021-11-17 17:43:35 -03:00
Positions
Alpha holdings state (#5770)
2021-08-19 13:56:18 -03:00
Volatility
Adds StandardDeviationOfReturns configurability and improves greeks warmup for Futures/Index Options (#5495)
2021-04-28 19:05:00 -03:00
AccountCurrencyImmediateSettlementModel.cs
Fix cashbook settlement for Oanda/FXCM CFD trades
2019-02-26 16:30:20 +01:00
AccountEvent.cs
Update Common to respect CA1304 and CA1305
2019-09-12 14:13:24 -04:00
AdjustedPriceVariationModel.cs
Add GetMinimumPriceVariationParameters
2019-08-01 21:52:08 +02:00
BrokerageModelSecurityInitializer.cs
Implements Easy To Borrow Reality Modeling (WIP) (#5159)
2021-01-14 13:33:44 -08:00
BuyingPower.cs
Revert GetBuyingPower removal
2020-02-24 14:06:16 -03:00
BuyingPowerModel.cs
BuyingPowerModel Fixes (#5996)
2021-10-20 16:37:20 -03:00
BuyingPowerModelExtensions.cs
Alpha Streams Improvements. Python Imports (#5874)
2021-08-24 11:15:48 -03:00
BuyingPowerParameters.cs
Revert GetBuyingPower removal
2020-02-24 14:06:16 -03:00
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
Disable automatic security seeding
2017-12-22 21:49:14 +01:00
ConstantBuyingPowerModel.cs
Option Margin Strategies (#5511)
2021-04-30 18:45:27 -03:00
ContractSecurityFilterUniverse.cs
Expand Filtering of Contracts by type to Futures (#4891)
2020-11-04 20:55:33 -03:00
DefaultMarginCallModel.cs
Filter out small orders based on Setting (#5776)
2021-07-19 13:17:51 -03:00
DelayedSettlementModel.cs
Rename Cash.Quantity to Cash.Amount
2015-11-23 20:35:52 -05:00
DynamicSecurityData.cs
SecurityCache performace improvements
2019-10-22 13:46:56 -03:00
EquityPriceVariationModel.cs
Update Common to respect CA1304 and CA1305
2019-09-12 14:13:24 -04:00
ErrorCurrencyConverter.cs
Refactor previous commits
2018-12-13 11:30:40 -03:00
FuncSecurityDerivativeFilter.cs
Refactored option/future universe filters for performance improvements and versatility
2016-12-29 11:44:15 +01:00
FuncSecurityInitializer.cs
Disable automatic security seeding
2017-12-22 21:49:14 +01:00
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
Refactor GetMaximumOrderQuantityForTargetBuyingPower
2020-02-04 18:41:15 -03:00
GetMinimumPriceVariationParameters.cs
Add GetMinimumPriceVariationParameters
2019-08-01 21:52:08 +02:00
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
Fix Lean Warnings V1 (#5408)
2021-03-22 11:08:48 -07:00
IBuyingPowerModel.cs
Option Margin Strategies (#5511)
2021-04-30 18:45:27 -03:00
IContinuousSecurity.cs
Continuous Futures Refactor. Live Mappings (#6076)
2021-11-30 21:38:50 -03:00
ICurrencyConverter.cs
Refactor previous commits
2018-12-13 11:30:40 -03:00
IdentityCurrencyConverter.cs
Refactor previous commits
2018-12-13 11:30:40 -03:00
IDerivativeSecurity.cs
Add missing license banner
2019-08-16 18:07:30 -03:00
IDerivativeSecurityFilter.cs
Refactored option/future universe filters for performance improvements and versatility
2016-12-29 11:44:15 +01:00
IDerivativeSecurityFilterUniverse.cs
Refactored option/future universe filters for performance improvements and versatility
2016-12-29 11:44:15 +01:00
IMarginCallModel.cs
Refactor BuyingPowerModel
2020-02-04 18:41:15 -03:00
ImmediateSettlementModel.cs
Rename Cash.Quantity to Cash.Amount
2015-11-23 20:35:52 -05:00
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
Add Order and OrderEvents to AlphaPacket
2020-03-31 20:53:19 -03:00
IOrderProcessor.cs
Use BusyBlockingCollection in BrokerageTransactionHandler
2015-12-09 23:04:14 -05:00
IOrderProvider.cs
Address reviews
2020-02-26 10:47:54 -03:00
IPriceVariationModel.cs
Add GetMinimumPriceVariationParameters
2019-08-01 21:52:08 +02:00
IRegisteredSecurityDataTypesProvider.cs
Performance improvements
2019-10-17 10:26:37 -03:00
ISecurityInitializer.cs
Disable automatic security seeding
2017-12-22 21:49:14 +01:00
ISecurityPortfolioModel.cs
Clean up using directives
2015-09-01 22:17:35 -04:00
ISecurityProvider.cs
Convert IHoldingsProvider into ISecurityProvider
2015-12-16 20:47:08 -05:00
ISecuritySeeder.cs
Disable automatic security seeding
2017-12-22 21:49:14 +01:00
ISettlementModel.cs
Added Settlement models
2015-11-11 22:18:34 -05:00
LocalMarketHours.cs
Update Common to respect CA1304 and CA1305
2019-09-12 14:13:24 -04:00
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
Update Common to respect CA1304 and CA1305
2019-09-12 14:13:24 -04:00
MarketHoursState.cs
Adds a MarketHoursDatabaseJsonConverter
2016-01-29 12:29:06 -05:00
PatternDayTradingMarginModel.cs
Option Margin Strategies (#5511)
2021-04-30 18:45:27 -03:00
RegisteredSecurityDataTypesProvider.cs
Add SecurityCacheProvider
2019-10-22 13:46:57 -03:00
ReservedBuyingPowerForPosition.cs
Address reviews
2020-02-04 18:41:15 -03:00
ReservedBuyingPowerForPositionParameters.cs
Renaming Context to Parameters
2018-11-29 15:02:09 -03:00
Security.cs
Option Margin Strategies (#5511)
2021-04-30 18:45:27 -03:00
SecurityCache.cs
Fixes for OpenInterest storing (#4712)
2020-09-11 15:28:27 -07:00
SecurityCacheDataStoredEventArgs.cs
Fix Lean Warnings V1 (#5408)
2021-03-22 11:08:48 -07:00
SecurityCacheProvider.cs
Address reviews
2019-10-22 13:47:45 -03:00
SecurityDatabaseKey.cs
Fix Lean Warnings V1 (#5408)
2021-03-22 11:08:48 -07:00
SecurityDataFilter.cs
Strip out block quote section header comments
2015-06-13 16:04:27 -04:00
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
Continuous futures (#6034)
2021-11-15 14:44:30 -03:00
SecurityEventArgs.cs
Option Margin Strategies (#5511)
2021-04-30 18:45:27 -03:00
SecurityExchange.cs
Fix margin call on closed market
2020-02-05 18:53:51 -03:00
SecurityExchangeHours.cs
Fix delisted liquidation orders being cancelled (#5169)
2021-01-18 22:02:40 -03:00
SecurityHolding.cs
SecurityHolding -> impl. ToString() (#6014)
2021-10-25 11:07:34 -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
Address reviews
2020-02-04 18:41:15 -03:00
SecurityPortfolioManager.cs
Fix price left over split cash adjustment (#5780)
2021-07-19 13:18:10 -03:00
SecurityPortfolioModel.cs
Adds Futures Options Asset Class w/ IB Support (#4928)
2020-12-02 21:49:59 -03:00
SecurityPriceVariationModel.cs
Add GetMinimumPriceVariationParameters
2019-08-01 21:52:08 +02:00
SecurityService.cs
Add basic template Atreyu algorithm (#5872)
2021-08-23 18:24:44 -03:00
SecurityTransactionManager.cs
Add Overload in SecurityTransactionManager Methods to Support Python Functions (#6068)
2021-11-26 16:15:54 -03:00
SymbolProperties.cs
Feature 5930 price magnifier (#5977)
2021-10-14 11:16:23 -03:00
SymbolPropertiesDatabase.cs
Feature 5930 price magnifier (#5977)
2021-10-14 11:16:23 -03:00
UniverseManager.cs
Update Common to respect CA1304 and CA1305
2019-09-12 14:13:24 -04:00
UnsettledCashAmount.cs
Added Settlement models
2015-11-11 22:18:34 -05:00