a221f35743
Revert "Fixes CalculateOrderQuantity regression bug from 5301d81"
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This reverts commit 08181aa8c8
2016-03-29 09:50:59 -04:00
08181aa8c8
Fixes CalculateOrderQuantity regression bug from 5301d81
2016-03-28 23:49:24 -04:00
0d720cedef
Merge pull request #327 from StefanoRaggi/set-holdings-review
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SetHoldings/CalculateOrderQuantity bug fixes + new tests
2016-03-28 13:41:42 -04:00
bf80c482e6
Reduces number of iterations in CalculateOrderQuantity when fees high relative to price
2016-03-23 11:00:22 +01:00
12f1a16c2c
Changed time buffer for MarketOnClose order submit from 11 to 16 minutes
2016-03-18 18:49:38 +01:00
5301d81149
Fixes bug in QCAlgorithm.CalculateOrderQuantity
2016-03-16 00:36:32 +01:00
2e8cb0c4aa
Fixes CalculateOrderQuantity to use remaining/required margins
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This change should fix insufficient margin errors in many situations, especially when reversing trade direction and/or when using various order fee structures
2016-03-15 00:52:54 +01:00
dbcc672540
Simplify PreOrderChecksImpl
2016-02-16 13:26:08 -05:00
a6a6699b3a
Removes Cfd.QuoteCurrencySymbol/Forex.QuoteCurrencySymbol
2016-02-16 13:26:03 -05:00
b4ab2bba80
Fixes bug in CalculateOrderQuantity
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This method wasn't taking into account contract multipler or conversion rates, now uses a 'unitPrice' instead of the price of the security for the iteration
2016-02-04 20:45:55 -05:00
7a7b77cae1
Update Order.GetValue to take a Security
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Previously the get value functions were not respecting various conversion rates and contract multipliers
2016-02-04 19:56:26 -05:00
983e5fd20b
Remove redundant SecurityType Order.ctor argument
2016-02-04 17:59:35 -05:00
49a8dd73ed
Resolved merge conflicts
2016-01-30 00:26:54 +01:00
5e97017fe3
Remove usages of SecurityExchange.MarketOpen/MarketClose properties
2016-01-29 12:29:03 -05:00
932b757a1b
Remove Cfd.GetQuoteCurrency(Symbol)
2016-01-24 16:29:52 +01:00
1374a7985f
Adds CFD support to QCAlgorithm.PreOrderChecksImpl
2016-01-20 22:12:42 +01:00
5200791de0
Remove some usages of Security.TransactionModel
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We should prefer the FillModel/FeeModel/SlippageModel properties instead
2016-01-18 19:22:07 -05:00
56e6bdee04
Reverted market order fill behavior
2016-01-07 22:03:23 +01:00
fb45abd718
Delayed order fills one time step
2016-01-07 21:24:55 +01:00
5e691bb907
Use Transactions.GetOpenOrders(Symbol) in Liquidate
2015-12-30 12:44:09 -05:00
e21e6f55f0
Added Status.IsOpen check
2015-12-30 12:43:11 -05:00
f4c4c2f9ce
Algorithm.Liquidate method now also cancels open orders
2015-12-30 12:43:10 -05:00
6383cc8bcf
Properly pass tag through in SetHoldings overloads
2015-11-23 13:40:02 -05:00
fd74b6f60f
Use symbol from security object in MarketOrder
2015-11-19 20:39:03 -05:00
9e660ffcbe
Remove usages of Symbol implicits from non-algorithm projects
2015-11-18 18:15:31 -05:00
b870c55328
Adds Symbol(string) function shortcut for SymbolCache.Get(string)
2015-11-12 13:55:44 -05:00
7b6c82841f
Initial implementation of SecurityIdentifier
2015-11-12 13:55:42 -05:00
d696f09b28
Adds IAlgorithm.Status
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AlgorithmManager._algorithmState was removed and replaced with
pass through to IAlgorithm.Status
2015-11-09 11:18:41 -05:00
1c40263d69
Fixes bug in SetHoldings with liquidate=true
2015-10-28 21:10:53 -04:00
c67ff638f4
Renames Symbol.SID to Symbol.Permtick
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Coming soon we'll have a full SID system, so renames to make backwards compatibility easier
2015-09-20 23:14:53 -04:00
e1938baafe
Clean up using directives
2015-09-01 22:17:35 -04:00
df79ce30c2
Adds the Symbol type
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This includes updating all usages of symbol as a security identifier to use the new type.
The type includes a unique field, SID, as well as the current ticker's value. This allows
for consistent addressability while also allowing the ticker to evolve over time with the
mapping changes.
Effort was made to maintain compile and runtime backwards compatibility.
2015-09-01 22:17:10 -04:00
ed957a74a7
Produce symbol changed events
2015-08-25 21:22:42 -04:00
770d89e532
Tweak CalculateOrderQuantity to use same price variable for error detection and math
2015-08-05 18:09:43 -04:00
0a74f6fe24
Fixes bug in order time stamps
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This also resolves an issue of filling daily orders on open of same bar
2015-07-27 18:52:32 -04:00
0a43624549
Adds check for data in CalculateOrderQuantity
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Adds check to verify we have data for the security
2015-07-27 13:09:45 -04:00
6064662514
Improves SetHolding implementation and provides tests
2015-07-21 11:14:19 -04:00
9bc0c8e450
Updates order field to properties with internal set
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This is to compile break user algorithms trying to set order properties to perform order updates
2015-07-16 00:53:38 -04:00
fea7d4de25
Rework setholdings to allow multiple calls. Changed behavior to be VALUE not BUYING POWER
2015-07-14 15:58:44 -04:00
4cc5c1daf7
Use fill price for order value when filled
2015-07-09 18:24:03 -04:00
d636b10dca
Remove market price as parameter to SubmitOrderRequest
2015-07-09 11:12:18 -04:00
704bfc2298
Adds new order ticket system
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QCAlgorithm order functions now return an OrderTicket
OrderTicket can be used to directly update or cancel an order
Placing an order now submits an OrderRequest which is processed by the ITransactionHandler
2015-07-08 23:40:28 -04:00
9c1b0f4616
Move order/order queue storage to transaction handler
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Expose order and order processing ability via IOrderProvider/IOrderProcessor
2015-07-02 15:07:35 -04:00
281ada4eef
Adds preorder checks for currency feeds for forex
2015-06-08 21:29:26 -04:00
887faa24e7
Adds support for hourly/daily data to LEAN engine
2015-06-02 21:44:44 -04:00
099cee9b3f
Implements MarketOnOpen and MarketOnClose order types
2015-05-26 19:20:05 -04:00
89b6e98af8
Fixes warnings mostly relating to xml comments
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Also cleans up some block comments
Via PR#72 - thanks @ammachado!
2015-05-13 10:56:47 -04:00
e4f5219a7f
Update origin master from upstream
2015-05-09 20:38:02 -07:00
bed1941b77
issue-79/Assure-Sell-quantity-is-negative
2015-05-09 19:18:30 -07:00
449150f71e
Fixes SetHoldings when crossing zero line
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Improves margin remaining computation as well
2015-05-05 21:07:03 -04:00
Michael Handschuh