Jhonathan Abreu 09c4a53f95 Fix greeks all being zero on expiration date (#6401) ...

* Fix option price and greeks always beign zero on the expiration date

* Fix option price and greeks always beign zero on the expiration date

* Updated documentation

* Style and performace changes

* Address changes request

* Fix QL.Settings.includeReferenceDateEvents not being set on every thread

* Updated code documentation

2022-06-16 12:29:51 -03:00

..

Algorithm/Framework

Filter out small orders based on Setting (#5776)

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

Api

Persist and order runtime statistics (#6314)

2022-04-29 20:59:40 -03:00

Benchmarks

Refactor Default Benchmark (#5158)

2021-01-19 08:40:41 -03:00

Brokerages

Implement Binance US exchange (#6222)

2022-02-22 13:32:59 -03:00

Data

Live T-1 selection warmup (#6395)

2022-06-10 17:25:20 -03:00

Exceptions

Bump pythonNet version 2.0.12 (#6310)

2022-05-02 14:38:50 -03:00

Indicators

Composite Indicator Fixes (#5929)

2021-09-16 17:58:10 -03:00

Interfaces

Warmup fixes (#6293)

2022-05-31 10:03:56 -03:00

Notifications

Implement Python overload of Notify.Web for PyObject Headers (#5749)

2021-07-08 21:07:19 -03:00

Optimizer

Feature 5090 add api optimization methods (#6108)

2021-12-22 13:14:56 -03:00

Orders

Reconcile the Market Opening for Futures and Scheduled Events (#6397)

2022-06-15 13:47:00 -03:00

Packets

Persist and order runtime statistics (#6314)

2022-04-29 20:59:40 -03:00

Parameters

Fix Warnings V2 (#5436)

2021-04-02 11:20:01 -07:00

Properties

Remove all nuspec files (#5311)

2021-02-18 17:13:11 -03:00

Python

Make PandasConverter.GetIndicatorDataFrame accept Python dictionary (#6365)

2022-06-01 19:57:51 -03:00

Scheduling

Reconcile the Market Opening for Futures and Scheduled Events (#6397)

2022-06-15 13:47:00 -03:00

Securities

Fix greeks all being zero on expiration date (#6401)

2022-06-16 12:29:51 -03:00

Statistics

User Account currency symbol for fees and capacity (#6359)

2022-05-27 16:36:44 -03:00

Storage

Refactor GetFilePath() (#6164)

2022-02-04 16:58:25 -03:00

Util

Fix bug with Coinbase Pro Stable Pairs (#6362)

2022-06-01 17:19:41 -03:00

AlgorithmImports.py

Fix 'OnWarmupFinished' callback (#6377)

2022-06-06 11:56:02 -03:00

AlgorithmSettings.cs

Filter out small orders based on Setting (#5776)

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

AlphaRuntimeStatistics.cs

Common engine initialization (#5809)

2021-07-29 21:14:17 -03:00

BinaryComparison.cs

Add OptionStrategyMatcher (#4924)

2020-12-02 18:42:24 -03:00

BinaryComparisonExtensions.cs

Add OptionStrategyMatcher (#4924)

2020-12-02 18:42:24 -03:00

CapacityEstimate.cs

Round Capacity Estimate for Runtime Statistics (#5688)

2021-06-21 21:06:09 -03:00

Chart.cs

Expand Lean Default Charts and Reduce Clutter (#5680)

2021-06-22 11:19:48 -03:00

ChartPoint.cs

Update Common to respect CA1304 and CA1305

2019-09-12 14:13:24 -04:00

Currencies.cs

Extended currencies dictionary (#6368)

2022-06-02 17:31:38 -03:00

DataDownloaderGetParameters.cs

Add tick type to data downloader get (price data) call in order for a… (#6057)

2021-11-22 12:00:16 -03:00

DataProviderEvents.cs

DividedEventProvider distribution computation (#4828)

2020-11-11 15:47:51 -03:00

DocumentationAttribute.cs

Add file and line number to documentation attribute (#6122)

2021-12-20 17:30:04 -08:00

Exchange.cs

Feature 6208 add nyseliffe exchange to interactive brokers (#6209)

2022-03-04 15:24:17 -03:00

Expiry.cs

Fixes Expiry.EndOfMonth and Expiry.EndOfYear Methods

2020-04-02 02:35:47 +01:00

ExtendedDictionary.cs

GetLastKnownPrices python data (#6191)

2022-02-08 15:37:05 -03:00

Extensions.cs

Avoid sending expired symbols to IDQH (#6378)

2022-06-06 19:30:04 -03:00

Field.cs

Allow field selectors to be used with QuoteBars

2017-04-12 12:46:22 +02:00

Global.cs

Fix remark typos to match docs (#6404)

2022-06-16 12:00:17 -03:00

Globals.cs

Added ability to specify cache data folder

2017-09-14 16:31:43 -04:00

IDataDownloader.cs

Add tick type to data downloader get (price data) call in order for a… (#6057)

2021-11-22 12:00:16 -03:00

IIsolatorLimitResultProvider.cs

Properly handle events raised in ScheduledEvents

2019-10-19 14:52:34 -04:00

Isolator.cs

Performance improvements and fixes (#6330)

2022-05-13 15:04:09 -03:00

IsolatorLimitResult.cs

Refactors scheduled events to execute on main thread

2019-10-19 14:52:34 -04:00

IsolatorLimitResultProvider.cs

Refactor IsolatorLimitResultProvider

2020-03-02 18:23:20 -03:00

ITimeProvider.cs

Move ITimeProvider and RealTimeProvider to Common

2019-10-19 01:52:07 -04:00

LocalTimeKeeper.cs

Remove usage of Lazy<DateTime> in LocalTimeKeeper

2017-12-29 01:12:58 +01:00

Market.cs

Feature 6208 add nyseliffe exchange to interactive brokers (#6209)

2022-03-04 15:24:17 -03:00

OS.cs

Performance improvements and fixes (#6330)

2022-05-13 15:04:09 -03:00

PandasMapper.py

Pandas Mapper Recursion Bug Fix (#5848)

2021-08-10 20:32:09 -03:00

Parse.cs

Option Margin Strategies (#5511)

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

QuantConnect.csproj

Bump to pythonNet 2.0.15 (#6342)

2022-05-18 13:09:45 -03:00

RealTimeProvider.cs

Defines ITokenBucket and a LeakyBucket implementation

2019-10-19 01:52:07 -04:00

RealTimeSynchronizedTimer.cs

Update all LEAN threads to be Background threads

2017-06-28 21:02:59 +02:00

Result.cs

Persist and order runtime statistics (#6314)

2022-04-29 20:59:40 -03:00

SecurityIdentifier.cs

Performance improvements and fixes (#6330)

2022-05-13 15:04:09 -03:00

Series.cs

Alpha charting fixes

2019-04-26 18:11:48 +01:00

SeriesSampler.cs

Improve Optimizer runtime statistics (#5024)

2020-12-11 16:39:13 -08:00

StringExtensions.cs

fix date parsing: TwelveCharacter dateformat can't be parsed properly;

2020-07-31 17:53:55 +03:00

Symbol.cs

Future and FutureOption low res support (#6069)

2021-11-24 09:53:21 -03:00

SymbolCache.cs

Append type to custom data symbol

2019-09-24 10:34:35 -03:00

SymbolCapacity.cs

Make continuous future untradable (#6252)

2022-03-14 14:23:26 -03:00

SymbolJsonConverter.cs

SymbolJsonConverter improvements (#5683)

2021-06-21 21:02:46 -03:00

SymbolRepresentation.cs

Fix Futures SymbolRepresentation disambiguation of ticker with limited year information (#5715)

2021-06-29 17:37:06 -03:00

SymbolValueJsonConverter.cs

Change Holding.Symbol to be of type Symbol

2015-11-18 12:55:40 -05:00

Time.cs

Expand GetSecondUnevenWait usages (#6340)

2022-05-16 20:12:22 -03:00

TimeKeeper.cs

Overall performance improvements

2019-06-03 15:09:02 -03:00

TimeUpdatedEventArgs.cs

Adds TimeUpdated event on LocalTimeKeeper

2015-07-13 15:12:49 -04:00

TimeZoneOffsetProvider.cs

Add note for TimeZoneOffsetProvider StartTime (#5469)

2021-04-08 18:00:17 -03:00

TimeZones.cs

Indian stock markets support & Zerodha brokerage implementation (#4873)

2021-03-08 18:51:54 -03:00

TradingCalendar.cs

Add Useful Error Message on TradingCalendar (#5588)

2021-05-24 11:09:29 -03:00

TradingDay.cs

Update Common to respect CA1304 and CA1305

2019-09-12 14:13:24 -04:00