Jhonathan Abreu 2e20b4803d Accounting for the position quantity in margin requirements (#7161) ...

* Invalidate option strategies orders when short selling over margin

When shorting an option strategy with margin requirements that cannot be
met, the order should be invalidated. The buying power model is now able
to detect said situation and result in unssuficient buying power.

The OptionsMarginModel now uses the parameters instance values instead
of the security holdings to compute margin requirements. This fixes the
situation when calculation buying power for a first time position with
no holdings.

* Add and fix unit tests

* Update regression algorithms

* Peer review

2023-04-03 18:51:05 -03:00

..

Algorithm/Framework

Add Insight expiration helper methods (#7127)

2023-03-22 19:15:47 -03:00

Api

Refactor alpha statistics phase I (#7055)

2023-03-10 13:12:23 -03:00

Benchmarks

Move small namespaces' messages to 'Messages' folder (#6930)

2023-02-09 19:17:40 -03:00

Brokerages

Brokerage Models Order Supported Types Check (#6989)

2023-02-21 13:11:04 -03:00

Commands

Move small namespaces' messages to 'Messages' folder (#6930)

2023-02-09 19:17:40 -03:00

Data

Downloader Data Provider Improvements (#7159)

2023-03-31 18:29:55 -03:00

Exceptions

Move small namespaces' messages to 'Messages' folder (#6930)

2023-02-09 19:17:40 -03:00

Indicators

Move small namespaces' messages to 'Messages' folder (#6930)

2023-02-09 19:17:40 -03:00

Interfaces

Add project id for api notification (#7144)

2023-03-27 15:59:51 -03:00

Messages

Fixes Limit Price Above/Below Open Case (#7060)

2023-03-10 14:23:45 -03:00

Notifications

Move Notifications, Optimizer and Python namespaces' messages to Messages folder (#6931)

2023-02-09 19:23:39 -03:00

Optimizer

Move Notifications, Optimizer and Python namespaces' messages to Messages folder (#6931)

2023-02-09 19:23:39 -03:00

Orders

Fix combo order direction determination (#7066)

2023-03-21 12:26:50 -03:00

Packets

Refactor alpha statistics phase I (#7055)

2023-03-10 13:12:23 -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

Move Notifications, Optimizer and Python namespaces' messages to Messages folder (#6931)

2023-02-09 19:23:39 -03:00

Scheduling

Fix Train method during warmup (#6416)

2022-06-21 10:05:27 -03:00

Securities

Accounting for the position quantity in margin requirements (#7161)

2023-04-03 18:51:05 -03:00

Statistics

Refactor alpha statistics phase I (#7055)

2023-03-10 13:12:23 -03:00

Storage

Object Store Improvements (#6605)

2022-08-31 20:50:00 -03:00

Util

Downloader Data Provider Improvements (#7159)

2023-03-31 18:29:55 -03:00

AlgorithmConfiguration.cs

Add algorithm parameters to result (#6878)

2023-02-09 12:55:30 -03:00

AlgorithmImports.py

Feature Perpetual Crypto Futures (#6807)

2022-12-30 13:58:11 -03:00

AlgorithmSettings.cs

Add WarmUpResolution pass through (#6487)

2022-07-18 13:47:04 -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

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

ChartPoint.cs

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

Currencies.cs

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -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

DataMonitorReport.cs

Data monitor (#6725)

2022-11-09 17:38:34 -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

Add missing exchanges (#7011)

2023-02-24 16:31:51 -03:00

Expiry.cs

Fixes Expiry.EndOfMonth and Expiry.EndOfYear Methods

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

ExtendedDictionary.cs

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

Extensions.cs

Update Extensions.cs

2023-03-24 09:40:50 -03:00

Field.cs

Allow field selectors to be used with QuoteBars

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

Global.cs

Handle price discontinuity on volatility models (#7058)

2023-03-13 13:11:30 -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

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -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

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

OS.cs

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

PandasMapper.py

Pandas Mapper Recursion Bug Fix (#5848)

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

Parse.cs

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

QuantConnect.csproj

Bump to pythonNet 2.0.18 (#7036)

2023-03-03 13:11:03 -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

Refactor alpha statistics phase I (#7055)

2023-03-10 13:12:23 -03:00

SecurityIdentifier.cs

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

Series.cs

Chart Series Settings Lost (#6997)

2023-02-21 13:07:56 -03:00

SeriesSampler.cs

Chart Series Settings Lost (#6997)

2023-02-21 13:07:56 -03:00

StringExtensions.cs

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

Symbol.cs

Minor debugging improvements (#6954)

2023-02-13 10:49:10 -03:00

SymbolCache.cs

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -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

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

SymbolValueJsonConverter.cs

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

Time.cs

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

TimeKeeper.cs

Refactor alpha statistics phase I (#7055)

2023-03-10 13:12:23 -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

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

TradingDay.cs

Update enum values in comments (#6460)

2022-07-05 10:29:28 -03:00