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quantconnect--lean/Common
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Louis Szeto 0b833b065e
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Implied Volatility Indicator for Options (#7680) 
* Add IV indicator

* Fix bug

* Add QCAlgorithm helper method

* Add unit tests

* Add OptionPricingModelType, as option for greeks & IV estimation

* Nit, and fix bug

* Address peer review

* Fix bug

* Fix bug on CRR

* Ensure test indicator initiate correctly

* Address 2nd review

* Check for FOPs and index options as well

* Add comparison with QuantLib

* CRR not follow BSM

* minor bug fix
2024-01-18 13:50:49 -03:00
..
Algorithm/Framework
Fix bugs related with Culture Format (#7626)
2023-12-15 15:58:21 -03:00
Api
Add project owner to API project read (#7674)
2024-01-05 16:58:03 -03:00
Benchmarks
Move small namespaces' messages to 'Messages' folder (#6930)
2023-02-09 19:17:40 -03:00
Brokerages
feat: gdax -> coinbase (#7633)
2024-01-05 16:57:19 -03:00
Commands
Move small namespaces' messages to 'Messages' folder (#6930)
2023-02-09 19:17:40 -03:00
Data
Add PyObject Constructor Overload for FuncRiskFreeRateInterestRateModel (#7625)
2023-12-14 11:04:42 -03:00
Exceptions
Add Pythonnet's ClrBubbledException interpreter (#7523)
2023-10-20 11:26:47 -03:00
Indicators
Indicators history rolling window (#7314)
2023-06-13 15:07:09 -03:00
Interfaces
Flexible trading days per year property (#7690)
2024-01-17 14:45:57 -03:00
Messages
feat: gdax -> coinbase (#7633)
2024-01-05 16:57:19 -03:00
Notifications
Move Notifications, Optimizer and Python namespaces' messages to Messages folder (#6931)
2023-02-09 19:23:39 -03:00
Optimizer
Minor optimizer improvement (#7179)
2023-04-12 15:35:54 -03:00
Orders
Asset plot improvement (#7699)
2024-01-17 14:46:45 -03:00
Packets
Plotting Limits Handling Improvements (#7657)
2024-01-03 14:21:13 -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
Improve brokerage model python wrapper (#7672)
2024-01-08 18:11:18 -03:00
Scheduling
Modernization of syntax used in argument check exceptions (#7380)
2023-07-17 14:53:17 -03:00
Securities
Implied Volatility Indicator for Options (#7680)
2024-01-18 13:50:49 -03:00
Statistics
Flexible trading days per year property (#7690)
2024-01-17 14:45:57 -03:00
Storage
Object Store Improvements (#6605)
2022-08-31 20:50:00 -03:00
Util
Implied Volatility Indicator for Options (#7680)
2024-01-18 13:50:49 -03:00
AlgorithmConfiguration.cs
Flexible trading days per year property (#7690)
2024-01-17 14:45:57 -03:00
AlgorithmImports.py
Support overriding position group margin requirements (#7286)
2023-05-31 19:53:50 -03:00
AlgorithmSettings.cs
Flexible trading days per year property (#7690)
2024-01-17 14:45:57 -03:00
BaseSeries.cs
Asset plot improvement (#7699)
2024-01-17 14:46:45 -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
Candlestick.cs
Add support for null chart points (#7622)
2023-12-12 20:26:58 -03:00
CandlestickSeries.cs
Asset plot improvement (#7699)
2024-01-17 14:46:45 -03:00
CapacityEstimate.cs
Round Capacity Estimate for Runtime Statistics (#5688)
2021-06-21 21:06:09 -03:00
Chart.cs
Asset plot improvement (#7699)
2024-01-17 14:46:45 -03:00
ChartPoint.cs
Add support for null chart points (#7622)
2023-12-12 20:26:58 -03:00
Currencies.cs
feat: gdax -> coinbase (#7633)
2024-01-05 16:57:19 -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
Clean up pythonnet runtime exception build paths (#7687)
2024-01-11 10:56:09 -03:00
Field.cs
Allow field selectors to be used with QuoteBars
2017-04-12 12:46:22 +02:00
Global.cs
Merge branches 7501 and 7506 (#7605)
2023-12-04 18:09:57 -03:00
Globals.cs
Remove 'data-directory' usage (#7241)
2023-05-12 18:24:12 -03:00
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
ISeriesPoint.cs
Candlestick charts (#7425)
2023-08-08 17:52:46 -03:00
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
feat: gdax -> coinbase (#7633)
2024-01-05 16:57:19 -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 pythonnet version to 2.0.26 (#7616)
2023-12-08 13:38:39 -04:00
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
New Fundamental Data (#7490)
2023-10-25 15:47:42 -03:00
Series.cs
Asset plot improvement (#7699)
2024-01-17 14:46:45 -03:00
SeriesSampler.cs
Fix disabled subsampling (#7656)
2024-01-02 20:54:19 -03:00
StringExtensions.cs
Move QuantConnect namespace's messages to Messages folder (#6924)
2023-02-10 10:41:05 -03:00
Symbol.cs
New Fundamental Data (#7490)
2023-10-25 15:47:42 -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
Future SymbolRepresentation Future Parsing (#7695)
2024-01-15 20:54:10 -03:00
SymbolValueJsonConverter.cs
Move QuantConnect namespace's messages to Messages folder (#6924)
2023-02-10 10:41:05 -03:00
Time.cs
New Fundamental Data (#7490)
2023-10-25 15:47:42 -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