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IV Rank - #7

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LouisSzeto wants to merge 11 commits into
QuantConnect:masterfrom
LouisSzeto:master
Open

IV Rank#7
LouisSzeto wants to merge 11 commits into
QuantConnect:masterfrom
LouisSzeto:master

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@LouisSzeto

@LouisSzeto LouisSzeto commented Jul 19, 2024

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Description

  • Add interface to add additional properties that required the whole option chain data to calculate and write the same value to all entries in the same daily file
  • Add IV rank and percentile as option's additional field
  • Fix minor bugs in non-minute resolution file reading and non-existing directory

Related Issue

Motivation and Context

Requires Documentation Change

How Has This Been Tested?

Types of changes

  • Bug fix (non-breaking change which fixes an issue)
  • Refactor (non-breaking change which improves implementation)
  • Performance (non-breaking change which improves performance. Please add associated performance test and results)
  • New feature (non-breaking change which adds functionality)
  • Breaking change (fix or feature that would cause existing functionality to change)
  • Non-functional change (xml comments/documentation/etc)

Checklist:

  • My code follows the code style of this project.
  • I have read the CONTRIBUTING document.
  • I have added tests to cover my changes.
  • All new and existing tests passed.
  • My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>

@LouisSzeto
LouisSzeto force-pushed the master branch 2 times, most recently from 5a38ff8 to e7ae452 Compare July 21, 2024 14:05
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1 participant