Cloud Optimization and Futures Options Deployment – Release Notes v9766-v9972

Merry Christmas and a special thanks to our community contributors kazazes, jmerle, jKard1210, and IlshatGaripov.  

Months of intensive technology and engineering have gone into LEAN v9766-v9972. We’ve implemented cloud optimization; harness this powerful tool to test thousands of combinations for your strategy in record time! Identify hot spots in your charting to avoid costly overfitting, and save time exploring the parameter space. We’ve also deployed a new asset class, futures options. We’ve integrated 12 futures options contracts in interest rates, metals, energy, agriculture and equity indices, boosting your ability to develop more complex strategies and mitigate risk.

Features

  • New Equity Fill Model (Github | Docker)
  • Expanded DateRules to allow offsets in DateRules 
  • Improved Fundamental Data Speed with Caching (Github)
  • MonthStart/MonthEnd/WeekStart/Weekend (Github | Docker
  • QuiverQuant alternative dataset integration (Github | Docker)
  • Implemented safe exit for LEAN (Github | Docker)
  • New error when SetWarmUp is called after Algorithm Initialization (Github | Docker)
  • Added OptionStrategyMatcher and OptionStrategyDefinition (Github | Docker)
  • Implement optimization tool on QCAlgorithm (Github | Docker)
  • Added futures options asset class with IB support (Github | Docker)

Updates

  • Travis CI configuration to use new Python stubs generator (Github | Docker)
  • Update IBAutomater to v1.0.35 (Github | Docker)
  • IB Brokerage updates (Github | Docker)
  • CoinAPI symbol mapping/symbol properties database updates (Github | Docker)
  • Updated IEX data queue handler to support new IEX cloud SSE-streaming technology (Github | Docker

Bug Fixes 

  • Expanded filtering of contracts by type to futures (Github | Docker
  • Fixed FXCMBrokerage GetOpenOrders returning empty (Github | Docker)
  • Fixed Protobuf to use recyclable memory stream (Github | Docker)
  • Fixed OutOfRangeException in Bitfinex subscriptions (Github | Docker)
  • Fixed Base Account Currency message for PaperBrokerage (Github | Docker
  • Fixed DividedEventProvider distribution computation (Github | Docker
  • Docker run script fixes and improvements (Github | Docker)
  • RoundDown fix for PeriodCountConsolidatorBase (Github | Docker)
  • Fixed weekly parsing in QCAlgorithm (Github | Docker
  • Fixed Alpaca default to PolygonDataQueueHandler (Github | Docker)
  • Fixed to add missing brokerage live settings (Github | Docker)
  • Updated crypto regression tests (Github | Docker)
  • Reenabled extended market hours sampling (Github | Docker)
  • Fixed inability to parse negative strike prices in SecurityIdentifier (Github | Docker)
  • Fixed bug to AlgorithmManager return when a runtime error is detected (Github | Docker
  • Fixed issue parsing SI data with unknown enum value (Github | Docker)
  • LEAN shutdown improvements (Github | Docker)
  • Fixed to synchronize security additions (Github | Docker)
  • Fixed random length lumber contract multiplier/min price variation (Github | Docker)
  • Fixed options order crashing ReportGenerator (Github | Docker
  • Added check in QCAlgorithm  to verify that insights are valid (Github | Docker)
  • Fix to limit futures resolutions to those that are supported in BaseData.SupportedResolutions (Github | Docker)
  • Fixed bug to maintain algorithm status when a runtime error is thrown (Github | Docker)
Lexie Robinson

By: Lexie Robinson

24.12.2020