Futures and options #668
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Futures and options #668
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Conflicts: Common/Data/UniverseSelection/OptionChainUniverse.cs
- Updated IB fee model to support option exercise - Added support for splits for options. Not tested on real data yet. - Added option exercise functionality for long positions. Unit Tests. Not tested on real data yet. - Added option assignment functionality for short positions. Assignment event. Unit Tests. - Added basic option assignment simulator for backtesting brokerage. Simulates assignments for deep ITM short positions close to expiration. Unit Tests.
…ols to LEAN. Sanity check test.
…Feed website. - Added IQFeed options support to toolbox: option chain universe, option symbol list, subscriptions, live prices - Added LiveTradingDataFeed to support options live screaming - Added IB live options trading support: trading orders, holdings, live option exercising - Modified ISymbolMapper interface to support derivatives (options, futures) - Fixed minor bugs with (introduced ealier) symbol changes for options Tested with IQFeed version 5.2.4.2. IB TWS offline version 957.
- Added OptionStrategies class with 10 popular option strats - Defined OptionStrategy class - Added support for trading of option strategies in QCAlgorithm.Trading.cs - Added several estimator interfaces to introduce QL pricing models extention points: IDividendYieldEstimator, IRiskFreeRateEstimator, IUnderlyingVolatilityEstimator provided default implementation (flat term structure) - Added QLOptionPriceModel class that contains meat of the calculations - Added OptionPriceModels class that exposes 12 popular option pricing models to the user: those include Black Scholes, Barone-Adesi Whaley, Bjerksund Stensland, Crank Nicolson FD, Binomial Trees and more. - Modified Greeks class to support lazy evaluation and introduce IV - Partially tested on live data and trading (IQFeed/IB) and backtests. Need more data for tests.
…/Lean into options-and-futures Conflicts: Common/Securities/Option/OptionMarginModel.cs Tests/Common/Securities/OptionMarginModelTests.cs
… Hid QL estimator interfaces from end-user (for now). Added pricing model tests.
… Hid QL estimator interfaces from end-user (for now). Added pricing model tests.
… Hid QL estimator interfaces from end-user (for now). Added pricing model tests.
…ures Universe classes and more
-Loading IQFeed futures universe
…tes for FX, and NY stamped - for all other asset classes
…IB broker class. Fixed typos.
…s, financials, etc) Added symbol properties for that nomenclature Added IQFeed mapping for that nomenclature Added basic futures algo class
…cts). Tests. - Fixed symbol properties file for IR contracts - Added VIX index to futures symbol nomenclature (futures.cs)
This method is used by both Future and OptionsChainUniverse. This method is useful, espeically in the SecurityManager. It will eventually be used there.
This method is helpful in determining if a Type is a common data type, which are TradeBar, QuoteBar and OpenInterest.
Added helpful LeanData methods for getting common types
…for Cacnonical securities QCAlgorithm.History.GetLastKnownPrice sets the securityType on the history request.
…e provider. Refactored IDataFileProvider interface.
…e to work of limiter. Added regression test.
GetLastKnownPrice does not issue history request for Canonical securities
Update Future sample data files
Update Future symbol properties database
This reverts commit 61e92e1.
…data file provider. Refactored IDataFileProvider interface." This reverts commit c59743d.
Conflicts: Common/QuantConnect.csproj
…r all symbols before start. Refactored zip process spawning.
rbohac
approved these changes
Jan 14, 2017
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Support for futures and options live trading, data streaming, backtesting.