Adalyat Nazirov
0c26d42561
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* replace to local functions as they are more performant * fix random generator upper bound Next() includes minValue, but not maxValue, so we increment it +1 * introduce abstract layers * refactoring * fix tets * adapt tests * fixup * implement blackschole price model for options * use risk free rate * use ql price model * wip * change interface * fix * tidy up the code * wip * iterate groupped symbols * wip * wip * fix * allow symbol of different types * improve settings * wip * iterate full range * fix issue with negative option * fix * fixup * use StandardDeviationOfReturnsVolatilityModel * re-use existing tick types per security type * parametrize underlying security type * use default option style * dynamic option price model * fix enumeration * test * fix unit tests * refactor code * remove unused file * minor tweaks and refactoring * rename symbol generator class * fix interface * add comments * more comments and unit tests * more tests * add disclaimer * more tests * more comments and tests * split tests into different files * tidy up the code * tidy up the code; more tests * refactor TickGenerator => use security price directly on each iteration * remove dupe; reuse main constructor * use SecurityManager, refactor code * bugfix: save ticks in history array * check volatility warm up & tests * more unit tests * describe volatility period span in settings * rename command line option * Minor adjusments. Address review - Use Lean log handler instead of writting directly to console - Rename BlackShcolesPriceGenerator to generically OptionPriceModelPriceGenerator - Minor format clean up & standarization - Add support for specifying the option chain size * Rename TickGenerator private fields * Fix unit tests * fix tests class name * Support tickers being specified Co-authored-by: Martin-Molinero <martin@quantconnect.com>
Lean Data ToolBox
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Introduction
Lean Engine is an open-source algorithmic trading engine built for easy strategy research, backtesting and live trading. We integrate with common data providers and brokerages so you can quickly deploy algorithmic trading strategies.
The ToolBox project is a command line program which wraps over 15 tools.
Usage
Each tool requires a different set of parameters, the only required argument is '--app=', which defines the target tool and is case insensitive.
Help information is available using the '--help' parameter.
Example: --app=YahooDownloader --tickers=SPY,AAPL --resolution=Daily --from-date=yyyyMMdd-HH:mm:ss --to-date=yyyyMMdd-HH:mm:ss
Available downloaders
- '--app='
- GDAXDownloader or GDAXDL
- CryptoiqDownloader or CDL
- DukascopyDownloader or DDL
- FxcmDownloader or FDL
- FxcmVolumeDownload or FVDL
- IBDownloader or IBDL
- KrakenDownloader or KDL
- OandaDownloader or ODL
- QuandlBitfinexDownloader or QBDL
- YahooDownloader or YDL
- IEXDownloader or IEXDL
- BitfinexDownloader or BFXDL
- BinanceDownloader or MBXDL
- PolygonDownloader or PDL
- '--from-date=yyyyMMdd-HH:mm:ss' required
- '--tickers=SPY,AAPL,etc' required, except for QuandlBitfinexDownloader (QBDL)
- '--resolution=Tick/Second/Minute/Hour/Daily/All' required, except for QuandlBitfinexDownloader (QBDL), CryptoiqDownloader (CDL). Case sensitive. Not all downloaders support all resolutions, send empty for more information.
- '--to-date=yyyyMMdd-HH:mm:ss' optional. If not provided 'DateTime.UtcNow' will be used
Available Converters
- '--app='
- AlgoSeekFuturesConverter or ASFC
- '--date=yyyyMMdd' reference date.
- AlgoSeekOptionsConverter or ASOC
- '--date=yyyyMMdd' reference date.
- CoinApiDataConverter or CADC
- '--source-dir=' path to the raw CoinAPI data.
- IVolatilityEquityConverter or IVEC
- '--source-dir=' source archived IVolatility data.
- '--source-meta-dir=' source archived IVolatility meta data.
- '--destination-dir=' directory where Lean Data is located "Lean/Data".
- '--resolution=Minute/Hour/Daily' resolution of your IVolatility data. Case insensitive.
- KaikoDataConverter or KDC
- '--market=' the exchange the data represents.
- '--tick-type=Quote/Trade' the tick type being processed. Case insensitive.
- '--source-dir=' path to the raw Kaiko data.
- NseMarketDataConverter or NMDC
- '--source-dir=' source directory of unzipped NSE data.
- '--destination-dir=' directory where Lean Data is located "Lean/Data".
- QuantQuoteConverter or QQC
- '--source-dir=' directory where your QuantQuote order is extracted.
- '--destination-dir=' directory where Lean Data is located "Lean/Data".
- '--resolution=' resolution of the QuantQuote data.
- AlgoSeekFuturesConverter or ASFC
Other tools
- '--app='
- CoarseUniverseGenerator or CUG