Tags: mpanoff/Lean
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Small test adjustment for changes in QuantConnect#5510 (QuantConnect#… …5514)
Option Margin Strategies (QuantConnect#5511) * Refactor HasSufficientBuyingPowerForOrder implementations Adds Sufficient and Insufficient helper methods to HashSufficientbuyingPowerForOrderParameters enabling syntax like: return paraeeters.Sufficient() returnparameters.Insufficient(reason) The next change will add the initial margin required which will simply require updating both of these helper methods to accept the value. * IBuyingPowerModel: Add margin functions Maintenance/Initial/ForOrder These were originally hidden in an effort to only expose what's necessary for the engine to perform its work. Additionally, we encapsulated all of the method arguments into parameters classes to prevent having to break anyone in the future. Not including these foundational methods turns out to be an oversight. These methods are not required by the engine, but rather by other models. Another possible solution here is to add an additional abstraction and include these methods on this new abstraction. BuyingPowerModel would then explicitly implement these methods and models that depend on them would require two code paths, one for when the buying power model implements this interface and another for when it doesn't. Tests were additionally updated to remove test model implementations created for the sole purpose of exposing these private methods. * Add ConstantBuyingPowerModel Provides an implementation of IBuyingPowerModel that returns the same constant value * Update BuyingPowerModelPythonWrapper to use reflection for method names Having a bunch of hard-coded strings is a sure fire way for someone to overlook when changing methods. This change ensures that noone needs to remember that this code exists :) Cleans up the syntax around verifying a python object implements a particular C# interface via the ValidateImplementationOf<T> method by having it return a value since the only use cases are in constructors when setting the models. I was initially going to update ALL python wrappers to validate the passed in models, but such a change could break many things that are 'working' right now. Such an effort should be saved for its own dedicated PR. * Add Parameters/Result types for new buying power model methods * Support computing maintenance margin for arbitrary quantities The existing GetMaintenanceMargin function assumes that we're only interested in the maintenance margin for the entirety of the provided security's holdings. This makes it impossible to perform what-if analysis or to even ask how much maintenance margin is devoted to a particular subset of the security's holdings. This change adds the quantity to the MaintenanceMarginParameters class. Futures and Options models also depend on holdings cost and holdings value, so they have also been added to the parameters type. Finally, static factory methods were added to improve discernment of intent: ForCurrentHoldings provides the existing behavior and then ForQuantityAtCurrentPrice to support what-if scenarios where we're looking for the change in maintenance margin if we were to execute an order for the securiy at the current time step. Obviously a constructor is provided to set all of the values explicitly, using any price metric the caller desires. * Address review - Fix BPM xml documentation - Fix python unit tests and PythonWrapper validate method * Add SecurityHolding.QuantityChanged event Adding event handlers will allow us to orchestrate complex events from distant parts of the codebase through wiring them up. If we continue down this path, it will move us away from the current, very 'mechanical' data flows expressed in LEAN and towards a more modern, event processing based system. This is but a baby step in that direction and the initial use case is using this QuantityChanged event to trigger resolution of the algoritm's positions groups. This is part of an effort to improve the fidelity of options margin modeling where we'll model an OptionStrategy as an IPositionGroup. This will allow us to compute the margin requirements of an OptionStrategy as a unit instead of computing margin of each security individually in isolation. See QuantConnect#4065 * PortfolioManager: Group fields and remove unused field This codebase generally places fields as the first members, but this class had some fields at the top, then some properties, and then some more fields. This change brings all the fields together at the top of the file and also removes pointless comments placed directly above some of the fields. Additionally, an unused field was removed. * Remove unused _currencyConverter from Security Looks like at some point the only code using this member variable was removed and the necessary clean up was overlooked. * Add Parse.Enum functions * Support disabling regression algorithms by language via config.json Adds 'regression-test-languages' to config.json and filters regerssion algorithms to run based on this value. When cycling on a particular feature, it's nice to be able to run the entire regression set while ignoring the python algorithms. Once the C# algorithms are all passing, one can then go back and run C# and Python in a final run, since 99% of feature work doesn't impact python specifically. * Implement IComparable in SecurityIdentitfier This can be used to deterministically sort securities and symbols * Add .editorconfig to enforce common formatting for json/sh files * Fix typo in IBuyingPowerModel.GetBuyingPower xml docs * Add ListEquals/GetListHashCode and OrderDirection.Closes(PositionSide) ListEquals and GetListHashCode are designed to be used together as they complement each other according to C#'s requirements for Equals and GetHashCode functions. PositionSide.ToOrderDirection() extension simply converts a PositionSide to its logical equivalent OrderDirection. Long->Buy, Short->Sell, None->Hold OrderDirection.Closes(PositionSide) determines if a particular OrderDirection would have the effect of reducing a position's absolute size. This function greatly improves the readability of buying power functions that must provide adjustments when an order/contemplated trade reduces/closes an existing position. OrderDirection.Buy.Closes(PositionSide.Short) OrderDirection.Sell.Closes(PositionSide.Long) All other combinations return false Adds ToArray/ToImmutableArray convenience functions that combine a call to Select followed by To(Immutable)Array all in one function call. * Add decimal.DiscretelyRoundBy extension method Supports rounding a decimal value by an arbitrarily chosen maximum precision, or 'quanta' * Update FutureMarginBuyingPowerModelTests to respect the security's lot size * Add core position group classes and abstractions * Add initial/maintenance margin support, buying power model consistency tests * Add SufficientBuyingPower and GetReservedBuyingPower to position group model Includes update to BrokerageTransactionHandler to use position group BPM for sufficient buying power checks. * Resolve position groups on each fill We need to update the state of our position groups on each fill so that we can properly handle multiple orders within the same time step. We also limit the number of positions sent into the resolver by removing securities without any holdings. * fixup! Add SufficientBuyingPower and GetReservedBuyingPower to position group model * Add GetMaximumLotsFor{Target|Delta}BuyingPower Instead of computing order quantity, these functions compute the maximum number of position group lots, which is the position group quantity, and is guaranteed to be a whole number, for the provided target/delta buying power parameters. The SecurityPositionGroupBuyingPowerModel delegates to the security's IBuyingPowerModel by applying a scaling factor equal to the security's lot size. This change also updates references to IBuyingPowerModel.GetMaximum... to use the new position group model methods. * Convert remaining IBuyingPowerModel call sites to position groups * Rename PositionManasger.CreateDefaultGroup -> GetOrCreateDefaultGroup Better describes its behavior * Add Position Groups readme.md * Add Option Strategy BuyingPowerModel - Adding CompositePrositionGroupResolver and OptionStrategyPositionGroupResolver - Adding OptionStrategyPositionGroupBuyingPowerModel handling option strategies based on IBs margin table. Adding regression algorithms - Few changes so that option strategies executed by multiple orders are detected - Adjust OptionStrategyDefinitionMatch to include equity legs in the matching result - Minor tweaks fixing previous rebase - Minor fixes for existing option strategies definitions, adding new missing strategies. - Fixing minor bugs in option strategy matcher. Adding more unit tests * Address self reviews - Fixing bug in 'PositionGroupCollection' - Few minor simplificaitons - Adding BasicTemplateOptionEquityStrategyAlgorithm * Address reviews - Improve regression algorithms margin remaining and used assert logic to be exact. Taking into account spread and fees Co-authored-by: Michael Handschuh <[email protected]>
Refactor StartDateLimited Warning Logs (QuantConnect#5510) * Refactor to queue up start date changes to log on dispose * Fix typo in warning collection used Co-authored-by: Martin-Molinero <[email protected]>
Refactor logging for SubscriptionDataReader FactorFile processing (Qu… …antConnect#5508) * Collect and log symbols that had start date adjusted because of factor files * Only post the message if the set has values * Modify message to be [Symbol, Date] combo for more information on log * Set a hard limit on the warning set to keep it from growing unnecessarily large * Enforce a hard limit and improve message if full * Enforce limit in log message because of possible threading adding past max * Cleanup
Address Security Normalization Changed to Raw Logging (QuantConnect#5509 ) * Log security mode change once per universe addition process * Limit max size of the warning queue to 10 * Only allow to emit once per backtest * Set limit as var, if at limit suggest more * Always suggest more warnings may exist because we opted to log only once
Adds StandardDeviationOfReturns configurability and improves greeks w… …armup for Futures/Index Options (QuantConnect#5495) * Improves greeks configurability and defaults for all option asset types * Makes `StandardDeviationOfReturns` configurable by users, so that greeks can be loaded according to user expectations and the series of returns that they'd like to compute for `n` periods and timespan of `T`, as well as resolution of the data in live mode. * Changes resolution to max resolution available for the default volatility model created for the security. Usually this only applies to live mode, but if creating an instance of the `StandardDeviationOfReturns` volatility model and no `updateFrequency` is provided, the resolution's time span will be used as the default value. Backwards compatibility for equities is maintained. * Changes defaults for `StandardDeviationOfReturnsVolatilityModel` to warmup greeks faster for other derivative asset types * Improves comments on `StandardDeviationOfReturns` for clarity on how to use the volatility model for end users * Fixes bug where TradeBar could not have proper Symbol set when getting max resolution * Applies to QCAlgorithm.Universe and StandardDeviationOfReturnsVolatilityModel * Adds tests to check volatility model is updated at specified config intervals * Address review: add shared method for (Relative)StandardDeviation volatility models * Adjusts logic to determine bar type * Address review: order by TickType when getting configs inside volatility models
Address Missing StableCoin Pairs in Crypto Exchanges (QuantConnect#5488) * Allow USDC in cashbook without USDC-USD pair * Cover more stablecoin cases unique to our crypto brokers * Add unit test * Cleanup and expand test cases * Add USDCEUR and USDCGBP to GDAX Symbols * Add missing tickers to SPDB * Cleanup test
Address Missing StableCoin Pairs in Crypto Exchanges (QuantConnect#5488) * Allow USDC in cashbook without USDC-USD pair * Cover more stablecoin cases unique to our crypto brokers * Add unit test * Cleanup and expand test cases * Add USDCEUR and USDCGBP to GDAX Symbols * Add missing tickers to SPDB * Cleanup test
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