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

..

Benchmarks

Enable parallel unit testing

2020-04-27 17:45:53 -03:00

Brokerages

Fix warnings part 5 (#8105)

2024-06-26 10:11:36 -03:00

Commands

Order command improvements (#6584)

2022-08-25 15:53:11 -03:00

Data

Fix warnings part 5 (#8105)

2024-06-26 10:11:36 -03:00

Exceptions

PEP8 algorithms conversion (#7962)

2024-04-22 13:59:50 -03:00

Notifications

Add support for FTP notifications (#8097)

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

Orders

Refactor AutomaticIndicatorWarmUp settings (#8111)

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

Packets

Standardize trade count statistic (#7827)

2024-03-06 14:52:34 -03:00

Parameters

Pass command line parameters values as string (#4819)

2020-10-06 10:19:56 -03:00

Python

Fix adding Python additional paths in research (#6699)

2022-10-21 12:11:10 -03:00

Scheduling

Fix warnings part 5 (#8105)

2024-06-26 10:11:36 -03:00

Securities

Option Strategy: Jelly Roll & Ladder (#8092)

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

Statistics

Implement Risk Metrics: Value At Risk (#7757)

2024-02-26 11:02:20 -03:00

Storage

Fix warnings part 5 (#8105)

2024-06-26 10:11:36 -03:00

Util

Fix warnings part 5 (#8105)

2024-06-26 10:11:36 -03:00

AlgorithmConfigurationTests.cs

Refactor to use camel case (#7981)

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

BinaryComparisonTests.cs

Add OptionStrategyMatcher (#4924)

2020-12-02 18:42:24 -03:00

BrokerageNameTests.cs

feat: gdax -> coinbase (#7633)

2024-01-05 16:57:19 -03:00

CandlestickSeriesTests.cs

Minor chart improvements (#7744)

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

ChartTests.cs

Fix scatter chart point serialization (#7772)

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

CurrenciesTests.cs

Fix currency formatting (#7723)

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

DataMonitorReportTests.cs

Data monitor (#6725)

2022-11-09 17:38:34 -03:00

DocumentationAttributeTest.cs

Add documentation attribute (#6094)

2021-12-03 18:23:06 -03:00

ExchangeTest.cs

Minor Exchanges cleanup (#6100)

2021-12-06 19:27:27 -03:00

ExpiryTests.cs

Fixes Expiry.EndOfMonth and Expiry.EndOfYear Methods

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

ExtendedDictionaryTests.cs

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

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

HoldingTests.cs

Fix result handler live holdings (#6478)

2022-07-12 18:31:35 -03:00

IsolatorLimitResultProviderTests.cs

Fix warnings part 5 (#8105)

2024-06-26 10:11:36 -03:00

IsolatorTests.cs

Making WorkerThread static

2020-01-14 11:31:58 -03:00

MarketTests.cs

Move market maps to the Market class

2015-11-24 15:09:48 -05:00

NullTimeKeeper.cs

Improve consolidator scan (#7789)

2024-02-16 17:22:49 -03:00

OrderTargetsByMarginImpactTests.cs

Alpha Streams improvements (#5887)

2021-09-01 13:12:26 -03:00

OSTests.cs

Enable parallel unit testing

2020-04-27 17:45:53 -03:00

ParseTests.cs

Add StringExtensions and Parse utilizing CultureInfo.InvariantCulture

2019-08-16 18:08:28 -03:00

ProtobufSerializationTests.cs

Portfolio margin chart (#7719)

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

ScatterChartPointTests.cs

Fix warnings part 5 (#8105)

2024-06-26 10:11:36 -03:00

SeriesSamplerTests.cs

Fix disabled subsampling (#7656)

2024-01-02 20:54:19 -03:00

SeriesTests.cs

Minor chart improvements (#7744)

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

StringExtensionsTests.cs

Encode/Decode Extension Addition (#5708)

2021-06-25 17:50:55 -03:00

SymbolCacheTests.cs

Remove Quandl from LEAN (#6110)

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

SymbolJsonConverterTests.cs

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

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

SymbolRepresentationTests.cs

Duplicate Futures.Energies (#8082)

2024-06-06 19:39:05 -03:00

SymbolTests.cs

Expand Index option support (#6849)

2023-01-12 16:39:02 -03:00

TimeKeeperTests.cs

Adds international/timezone support

2015-07-08 18:45:34 -04:00

TimeTests.cs

Merge branches 7501 and 7506 (#7605)

2023-12-04 18:09:57 -03:00

TimeZoneOffsetProviderTests.cs

Fix infinite loop at ExchangeRoundDownInTimeZone

2018-08-09 14:26:04 -03:00

TimeZonesTest.cs

Reduce Travis Log (#5039)

2020-12-17 12:59:13 -03:00