Jhonathan Abreu f8ca85cb5d Risk-Free Interest Rate Model (#7594) ...

* Implement risk free interest rate as an algorithm model

* Use risk free insterest rate model in Sharpe Ratio indicator

* Address peer review

Also added python wrapper

* Take pyobject as interest rate model in Sharpe Ratio indicator

* Minor fix

* Minor fix

* Address peer review

2023-11-22 16:17:34 -04:00

..

Auxiliary

Options algorithm performance enhancement (#7555)

2023-11-02 17:20:54 -04:00

Consolidators

Implement RangeConsolidator (#7385)

2023-07-27 10:02:02 -03:00

Custom

Remove Quandl from LEAN (#6110)

2022-01-12 12:10:20 -03:00

Fundamental

QuantBook Universe Selection (#7587)

2023-11-21 17:05:02 -03:00

Market

QuantBook Universe Selection (#7587)

2023-11-21 17:05:02 -03:00

Shortable

Shortable modeling improvements (#7579)

2023-11-16 16:25:56 -03:00

UniverseSelection

QuantBook Universe Selection (#7587)

2023-11-21 17:05:02 -03:00

BaseData.cs

Options algorithm performance enhancement (#7555)

2023-11-02 17:20:54 -04:00

BaseDataRequest.cs

Rename SubscriptionRequest.TradableDates to TradableDatesInDataTimeZone for clarity (#6892)

2023-02-08 20:28:37 -03:00

Channel.cs

Modernization of syntax used in argument check exceptions (#7380)

2023-07-17 14:53:17 -03:00

ConstantRiskFreeRateInterestRateModel.cs

Risk-Free Interest Rate Model (#7594)

2023-11-22 16:17:34 -04:00

DataMonitor.cs

Revert "Store traded securities' subscriptions in results (#7567)" (#7578)

2023-11-15 21:01:15 -03:00

DataQueueHandlerSubscriptionManager.cs

Websocket improvements (#6585)

2022-08-26 10:53:28 -03:00

DiskDataCacheProvider.cs

Downloader Data Provider Improvements (#7159)

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

DynamicData.cs

Fixes PythonData.EndTime (#6602)

2022-09-07 14:53:05 -03:00

EventBasedDataQueueHandlerSubscriptionManager.cs

Bug 4600 brokerage unsubscribe symbol granular (#4640)

2020-09-14 20:11:44 -03:00

FileFormat.cs

Update enum values in comments (#6460)

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

FuncRiskFreeRateInterestRateModel.cs

Risk-Free Interest Rate Model (#7594)

2023-11-22 16:17:34 -04:00

GetSetPropertyDynamicMetaObject.cs

Fix Lean Warnings V1 (#5408)

2021-03-22 11:08:48 -07:00

HistoryProviderBase.cs

Fix data emitted before first date

2019-10-25 14:09:02 -03:00

HistoryProviderInitializeParameters.cs

Custom data sourced from the object store (#7493)

2023-10-02 15:54:57 -03:00

HistoryRequest.cs

Add contractDepthOffset parameter to History methods (#7213)

2023-04-27 14:31:42 -03:00

HistoryRequestFactory.cs

Add contractDepthOffset parameter to History methods (#7213)

2023-04-27 14:31:42 -03:00

IBaseData.cs

Fix Lean Warnings V1 (#5408)

2021-03-22 11:08:48 -07:00

IDataAggregator.cs

Refactor live data feed (#4636)

2020-08-18 20:21:10 -03:00

IndexedBasedData.cs

Add Tiingo news data

2019-10-01 00:26:36 -03:00

InterestRateProvider.cs

Risk-Free Interest Rate Model (#7594)

2023-11-22 16:17:34 -04:00

IRiskFreeInterestRateModel.cs

Risk-Free Interest Rate Model (#7594)

2023-11-22 16:17:34 -04:00

ISubscriptionEnumeratorFactory.cs

Renamed IDataFileProvider to IDataProvider using resharper

2017-02-15 12:16:50 -05:00

LeanDataWriter.cs

Downloader Data Provider Improvements (#7159)

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

Slice.cs

QuantBook Universe Selection (#7587)

2023-11-21 17:05:02 -03:00

SliceExtensions.cs

Handle price discontinuity on volatility models (#7058)

2023-03-13 13:11:30 -03:00

SubscriptionDataConfig.cs

Memory Related Performance improvements (#6700)

2022-10-21 15:11:18 -03:00

SubscriptionDataConfigExtensions.cs

Add support for live price scaling (#6104)

2022-01-24 18:02:24 -03:00

SubscriptionDataConfigList.cs

Adds Indexes and Index Options asset types (Backtesting/Live, IB only) (#5379)

2021-03-12 20:46:23 -03:00

SubscriptionDataSource.cs

Memory Related Performance improvements (#6700)

2022-10-21 15:11:18 -03:00

SubscriptionManager.cs

Solve bug in Tick Consolidator for Quote and Trade Tick types (#7475)

2023-09-21 11:31:16 -03:00