Louis Szeto aae6d617fb Option Strategy: Jelly Roll & Ladder (#8092) ...

* Define Jelly Roll

* Margin Model

* Add universe filter

* unit tests

* add regression tests

* add definitions

* universe filter

* margin model

* unit tests

* bug fix

* unit tests

* regression tests

* typo

* peer review

* peer review 2

* bug fix, address peer review

* minor fix

* Fixes `middleStrike` Parameter Description

The "middle strike" instead of "with higher/lower" to match the parameter description with name.

---------

Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>

2024-06-27 15:58:06 -03:00

..

Algorithm/Framework

Fix warnings part 6 (#8107)

2024-06-26 13:21:53 -03:00

Api

Fix warnings part 6 (#8107)

2024-06-26 13:21:53 -03:00

Benchmarks

Skip security initializer for benchmark security (#8012)

2024-05-09 18:09:34 -04:00

Brokerages

Feat: Brokerage Cross Position Order (#8051)

2024-06-26 10:06:25 -03:00

Commands

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

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

Data

Fix warnings part 6 (#8107)

2024-06-26 13:21:53 -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

Refactor AutomaticIndicatorWarmUp settings (#8111)

2024-06-26 17:02:48 -03:00

Messages

Fix warnings part 6 (#8107)

2024-06-26 13:21:53 -03:00

Notifications

Add support for FTP notifications (#8097)

2024-06-26 10:03:35 -03:00

Optimizer

Fix warnings part 6 (#8107)

2024-06-26 13:21:53 -03:00

Orders

Feature: Implementation Trade Station Brokerage (#8031)

2024-05-20 17:58:44 -03:00

Packets

Further camel case cleanup (#8003)

2024-05-08 17:28:47 -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

Bug python type comparison (#8008)

2024-05-09 13:20:44 -04:00

Scheduling

Add Yearly Date Rule (#8075)

2024-06-07 15:48:53 -03:00

Securities

Option Strategy: Jelly Roll & Ladder (#8092)

2024-06-27 15:58:06 -03:00

Statistics

Fix warnings part 6 (#8107)

2024-06-26 13:21:53 -03:00

Storage

Object Store Improvements (#6605)

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

Util

Fix warnings part 6 (#8107)

2024-06-26 13:21:53 -03:00

AlgorithmConfiguration.cs

Refactor to use camel case (#7981)

2024-05-08 12:58:33 -03:00

AlgorithmImports.py

Add missing constructor in OptionChainedUniverseSelectionModel (#7741)

2024-02-05 15:56:29 -03:00

AlgorithmSettings.cs

Refactor AutomaticIndicatorWarmUp settings (#8111)

2024-06-26 17:02:48 -03:00

BaseSeries.cs

Minor chart improvements (#7744)

2024-02-02 17:27:37 -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

Minor chart improvements (#7744)

2024-02-02 17:27:37 -03:00

CapacityEstimate.cs

Round Capacity Estimate for Runtime Statistics (#5688)

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

Chart.cs

Refactor to use camel case (#7981)

2024-05-08 12:58:33 -03:00

ChartPoint.cs

Fix scatter chart point serialization (#7772)

2024-02-08 15:36:38 -03:00

ChartSeriesJsonConverter.cs

Minor chart improvements (#7744)

2024-02-02 17:27:37 -03:00

Currencies.cs

Fix currency formatting (#7723)

2024-01-25 12:20:05 -03:00

DataDownloaderGetParameters.cs

Implement Download Project in Lean (#7975)

2024-04-25 19:53:58 -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

DefaultConverter.cs

Minor chart improvements (#7744)

2024-02-02 17:27:37 -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

Daily data time adjustment (#8001)

2024-05-20 17:28:03 -03:00

Field.cs

Allow field selectors to be used with QuoteBars

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

FileExtension.cs

Handle Windows reserved filenames (#7784)

2024-03-13 19:05:57 -03:00

Global.cs

Api Clean up, Documentation and Standarization part four (#7989)

2024-05-06 20:33:31 -03:00

Globals.cs

Consolidate Configuration.Get usages (#7796)

2024-02-20 13:37:22 -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

Add CFD support for IB brokerage model (#7861)

2024-03-25 16:58:17 -04:00

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

Remove warnings from csproj files (#8108)

2024-06-26 17:07:51 -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

RegressionTestException.cs

1/4 of the changes of RegressionTestException (#8100)

2024-06-24 15:23:33 -03:00

Result.cs

Refactor to use camel case (#7981)

2024-05-08 12:58:33 -03:00

ScatterChartPoint.cs

Fix scatter chart point serialization (#7772)

2024-02-08 15:36:38 -03:00

ScatterChartPointJsonConverter.cs

Fix warnings part 6 (#8107)

2024-06-26 13:21:53 -03:00

SecurityIdentifier.cs

Fix bug for NQX index options (#7824)

2024-03-13 11:42:55 -03:00

Series.cs

Fix scatter chart point serialization (#7772)

2024-02-08 15:36:38 -03:00

SeriesSampler.cs

Portfolio margin chart (#7719)

2024-02-01 12:43:08 -03:00

StringExtensions.cs

PEP8 style algorithm API (#7909)

2024-04-12 17:29:15 -03:00

StubsIgnoreAttribute.cs

PEP8 style algorithm API (#7909)

2024-04-12 17:29:15 -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

Api Clean up, Documentation and Standarization part two (#7964)

2024-04-26 13:17:34 -03:00

SymbolRepresentation.cs

Feature: Implementation Trade Station Brokerage (#8031)

2024-05-20 17:58:44 -03:00

SymbolValueJsonConverter.cs

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

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

Time.cs

Make SPDB dynamic with periodic updates (#8083)

2024-06-07 15:48:27 -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