github-featured/quantconnect--lean
2
0
Fork 0
Code Issues Pull Requests Deployments Models Agent Notes Packages Projects Releases Wiki Activity
Files
15313
quantconnect--lean/Common/Securities
T
History
Jhonathan Abreu 0b661e70c1
Regression Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Fix combo order direction determination (#7066) 
* Fix fill quantity using group order quantity for combo orders

* Add Order's ComboQuantity property

* Add Order's ComboDirection property

* Minor changes and regression algorithms update

* Minor changes

* Update algorithms stats

* Minor changes and regression algorithms update

* Store the full quantity for each combo order leg in Quantity property instead of the ratio

* Minor changes and regression algorithms update

* A few fixes after pair programming

* Handle grouping position reduction

---------

Co-authored-by: Martin-Molinero <martin@quantconnect.com>
2023-03-21 12:26:50 -03:00
..
Cfd
Feature Perpetual Crypto Futures (#6807)
2022-12-30 13:58:11 -03:00
Crypto
Feature Perpetual Crypto Futures (#6807)
2022-12-30 13:58:11 -03:00
CryptoFuture
Binance crypto futures fee models (#6874)
2023-02-09 19:25:27 -03:00
CurrencyConversion
Unsettled cash conversion rate update (#6961)
2023-02-14 18:19:25 -03:00
Equity
Feature Perpetual Crypto Futures (#6807)
2022-12-30 13:58:11 -03:00
Forex
Feature Perpetual Crypto Futures (#6807)
2022-12-30 13:58:11 -03:00
Future
Remove unsupported HKFE from MHDB (#6990)
2023-02-20 20:19:42 -03:00
FutureOption
Update CME options scaling factors (#6774)
2022-12-06 16:41:04 -03:00
Index
Feature Perpetual Crypto Futures (#6807)
2022-12-30 13:58:11 -03:00
IndexOption
Expand Index option support (#6849)
2023-01-12 16:39:02 -03:00
Interfaces
Add missing license banner
2019-08-16 18:07:30 -03:00
Option
Fix combo order direction determination (#7066)
2023-03-21 12:26:50 -03:00
Positions
Fix combo order direction determination (#7066)
2023-03-21 12:26:50 -03:00
Volatility
Handle price discontinuity on volatility models (#7058)
2023-03-13 13:11:30 -03:00
AccountCurrencyImmediateSettlementModel.cs
Fix cashbook settlement for Oanda/FXCM CFD trades
2019-02-26 16:30:20 +01:00
AccountEvent.cs
Move Securities namespace's messages to Messages folder (#6922)
2023-02-10 11:31:11 -03:00
AdjustedPriceVariationModel.cs
Add GetMinimumPriceVariationParameters
2019-08-01 21:52:08 +02:00
BrokerageModelSecurityInitializer.cs
Feature Perpetual Crypto Futures (#6807)
2022-12-30 13:58:11 -03:00
BuyingPower.cs
Revert GetBuyingPower removal
2020-02-24 14:06:16 -03:00
BuyingPowerModel.cs
Adds NullBuyingPowerModel (#6977)
2023-02-20 19:50:24 -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
Unsettled cash conversion rate update (#6961)
2023-02-14 18:19:25 -03:00
CashAmount.cs
Alpha holdings state (#5770)
2021-08-19 13:56:18 -03:00
CashBook.cs
Performance Securities & CashBook Collections (#7050)
2023-03-06 15:39:32 -03:00
CashBookUpdatedEventArgs.cs
Portfolio.UnsettledCashBook update when quote currency is not the account currency (#6871)
2023-02-09 12:53:52 -03:00
CashBuyingPowerModel.cs
Move Securities namespace's messages to Messages folder (#6922)
2023-02-10 11:31:11 -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
Fix ppply options filter on market open only when using OnlyApplyFilterAtMarketOpen (#6731)
2022-11-10 12:46:09 -03:00
ConvertibleCashAmount.cs
Feature Perpetual Crypto Futures (#6807)
2022-12-30 13:58:11 -03:00
DefaultMarginCallModel.cs
Move Securities namespace's messages to Messages folder (#6922)
2023-02-10 11:31:11 -03:00
DelayedSettlementModel.cs
Rename Cash.Quantity to Cash.Amount
2015-11-23 20:35:52 -05:00
DynamicSecurityData.cs
Move Securities namespace's messages to Messages folder (#6922)
2023-02-10 11:31:11 -03:00
EmptyContractFilter.cs
Fix default future chain universe selection (#6958)
2023-02-13 15:56:48 -03:00
EquityPriceVariationModel.cs
Move Securities namespace's messages to Messages folder (#6922)
2023-02-10 11:31:11 -03:00
ErrorCurrencyConverter.cs
Move Securities namespace's messages to Messages folder (#6922)
2023-02-10 11:31:11 -03:00
FuncSecurityDerivativeFilter.cs
Fix default future chain universe selection (#6958)
2023-02-13 15:56:48 -03:00
FuncSecurityInitializer.cs
Disable automatic security seeding
2017-12-22 21:49:14 +01:00
FuncSecuritySeeder.cs
Move Securities namespace's messages to Messages folder (#6922)
2023-02-10 11:31:11 -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
Feature Perpetual Crypto Futures (#6807)
2022-12-30 13:58:11 -03:00
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
Move Securities namespace's messages to Messages folder (#6922)
2023-02-10 11:31:11 -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
IMarginInterestRateModel.cs
Feature Perpetual Crypto Futures (#6807)
2022-12-30 13:58:11 -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
Move Securities namespace's messages to Messages folder (#6922)
2023-02-10 11:31:11 -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
Combo orders (#6813)
2023-01-06 17:58:43 -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
Move Securities namespace's messages to Messages folder (#6922)
2023-02-10 11:31:11 -03:00
MaintenanceMargin.cs
Option Margin Strategies (#5511)
2021-04-30 18:45:27 -03:00
MaintenanceMarginParameters.cs
Move Securities namespace's messages to Messages folder (#6922)
2023-02-10 11:31:11 -03:00
MarginInterestRateParameters.cs
Feature Perpetual Crypto Futures (#6807)
2022-12-30 13:58:11 -03:00
MarketHoursDatabase.cs
IsOption Use Underlying Holidays and Early Closes if Empty (#7007)
2023-02-24 12:49:51 -03:00
MarketHoursSegment.cs
Move Securities namespace's messages to Messages folder (#6922)
2023-02-10 11:31:11 -03:00
MarketHoursState.cs
Update enum values in comments (#6460)
2022-07-05 10:29:28 -03:00
NullBuyingPowerModel.cs
Adds NullBuyingPowerModel (#6977)
2023-02-20 19:50:24 -03:00
PatternDayTradingMarginModel.cs
Option Margin Strategies (#5511)
2021-04-30 18:45:27 -03:00
RegisteredSecurityDataTypesProvider.cs
Move Securities namespace's messages to Messages folder (#6922)
2023-02-10 11:31:11 -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
Handle price discontinuity on volatility models (#7058)
2023-03-13 13:11:30 -03:00
SecurityCache.cs
CryptoFutures adjustments (#6836)
2023-01-05 18:07:01 -03:00
SecurityCacheDataStoredEventArgs.cs
Fix Lean Warnings V1 (#5408)
2021-03-22 11:08:48 -07:00
SecurityCacheProvider.cs
Memory Related Performance improvements (#6700)
2022-10-21 15:11:18 -03:00
SecurityDatabaseKey.cs
Move Securities namespace's messages to Messages folder (#6922)
2023-02-10 11:31:11 -03:00
SecurityDataFilter.cs
Strip out block quote section header comments
2015-06-13 16:04:27 -04:00
SecurityDefinition.cs
Symbol to industry-standard security identifier conversion (#6893)
2023-02-10 13:12:13 -03:00
SecurityDefinitionSymbolResolver.cs
Symbol to industry-standard security identifier conversion (#6893)
2023-02-10 13:12:13 -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
Move Securities namespace's messages to Messages folder (#6922)
2023-02-10 11:31:11 -03:00
SecurityHolding.cs
Performance Improvements (#7064)
2023-03-14 12:00:42 -03:00
SecurityHoldingQuantityChangedEventArgs.cs
Option Margin Strategies (#5511)
2021-04-30 18:45:27 -03:00
SecurityManager.cs
Performance Improvements (#7064)
2023-03-14 12:00:42 -03:00
SecurityMarginModel.cs
Address reviews
2020-02-04 18:41:15 -03:00
SecurityPortfolioManager.cs
Performance Improvements (#7064)
2023-03-14 12:00:42 -03:00
SecurityPortfolioModel.cs
Feature Perpetual Crypto Futures (#6807)
2022-12-30 13:58:11 -03:00
SecurityPriceVariationModel.cs
Add GetMinimumPriceVariationParameters
2019-08-01 21:52:08 +02:00
SecurityService.cs
Move Securities namespace's messages to Messages folder (#6922)
2023-02-10 11:31:11 -03:00
SecurityTransactionManager.cs
Move Securities namespace's messages to Messages folder (#6922)
2023-02-10 11:31:11 -03:00
SymbolProperties.cs
Move Securities namespace's messages to Messages folder (#6922)
2023-02-10 11:31:11 -03:00
SymbolPropertiesDatabase.cs
Move Securities namespace's messages to Messages folder (#6922)
2023-02-10 11:31:11 -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