95bfe729a8
Adds ExchangeTimeZone to SubscriptionDataConfig
2015-12-01 12:03:00 -05:00
8621c3ad8e
Review usages of GetExchangeHours, use correct tz property
2015-11-30 18:20:21 -05:00
75a81f581e
Rename SecurityExchangeHoursProvider to MarketHoursDatabase
2015-11-30 16:50:09 -05:00
be65ccda10
Brokerage message events on IAlgorithm
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Added the following virtual methods:
- OnBrokerageMessage(BrokerageMessageEvent)
- OnBrokerageDisconnect()
- OnBrokerageReconnect()
2015-11-26 22:35:25 +01:00
7c2261f172
Removed warnings as errors for obsoletes
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This is causing issues for mono users, seems to be something different
in the compilers (mono vs msft) with method resolution in ambiguos situations.
2015-11-24 18:56:21 -05:00
6c17128eed
Adds QCAlgorithm.SetWarmUp alias
2015-11-23 20:13:42 -05:00
0ae568d980
Remove warnings as errors from Release
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This is a temporary fix until we figure out why travis complains about implicits but visual studio doesn't
2015-11-23 15:45:24 -05:00
5161dc9dd0
Use Market string constants instead of literals
2015-11-23 13:55:58 -05:00
2b4ccbd3d8
Doc fix for KCH helper
2015-11-23 13:43:09 -05:00
6383cc8bcf
Properly pass tag through in SetHoldings overloads
2015-11-23 13:40:02 -05:00
9b898d5eb4
Use Symbol.ToString in CreateIndicatorName
2015-11-23 13:05:42 -05:00
fd74b6f60f
Use symbol from security object in MarketOrder
2015-11-19 20:39:03 -05:00
7689ae505d
Update warnings as error 612 (obsolete w/ no msg)
2015-11-19 20:36:59 -05:00
43fc0a2d6d
Cleans up some methods accepts Symbol, sec type/market
2015-11-19 20:16:03 -05:00
9e660ffcbe
Remove usages of Symbol implicits from non-algorithm projects
2015-11-18 18:15:31 -05:00
f788e9595f
Use string in AddData<T>
2015-11-18 17:05:33 -05:00
b6603ffd01
Set Obsolete warnings as errors
2015-11-18 13:42:40 -05:00
18edd22e68
Rename SymbolCache.Get to SymbolCache.GetSymbol
2015-11-18 12:55:49 -05:00
989cdb1eaf
Merge branch 'master' into sid
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Conflicts:
ToolBox/DukascopyDownloader/Program.cs
ToolBox/OandaDownloader/Program.cs
2015-11-17 12:51:29 -05:00
7687411f0b
Fixed History bug with Security.Resolution=Tick
2015-11-17 12:18:41 -05:00
b870c55328
Adds Symbol(string) function shortcut for SymbolCache.Get(string)
2015-11-12 13:55:44 -05:00
8f9a228e0c
Remove usages of Symbol implicits from engine
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Breaks SymbolCache into its own file
2015-11-12 13:55:43 -05:00
7b6c82841f
Initial implementation of SecurityIdentifier
2015-11-12 13:55:42 -05:00
e29236cc2d
Remove reliance on Symbol implcits from core libraries
2015-11-12 13:55:39 -05:00
01afc560f4
Added Settlement models
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- New ISettlementModel interface with implementations: ImmediateSettlementModel + DelayedSettlementModel
- SecurityPortfolioManager: UnsettledCashBook + ScanForCashSettlement
- Added tests for settlement models
- Added GetSettlementModel to IBrokerageModel
- Added AccountType argument to SetBrokerageModel()
- Added SetBrokerageModel(IBrokerageModel) overload
- Made BrokerageModel setter private
2015-11-11 22:18:34 -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
5d4aadbb9c
Removes QuantConnect.Interfaces
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This project was collapsed into QuantConnect.csproj.
This will allow code in the common project to use the interfaces abstractions
2015-11-04 13:18:59 -05:00
224366f734
Fixes tz bug in SetWarmup(barCount)
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We were passing UTC to a function expecting algo tz -- long term should stop using DateTime :/
2015-11-03 14:36:57 -05:00
15a86a1dcf
SetBenchmark use configured security type if exists
2015-11-03 14:31:35 -05:00
4521a9aea3
Improve disconnect handling logic
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No need to kill the algorithm if there's no open exchanges, wait
at least 15 minutes before killing algo (same as before with IB)
This logic is now centralized via an IBrokerageMessageHandler
Includes two new BrokerageMessageType
Disconnect
Reconnect
These messages should be used when a disconnect happens and again when we're reconnected
to tell the message handler the current state
2015-10-29 20:18:22 -04:00
93fb8a1f59
Adds IBrokerageMessageHandler and DefaultBrokerageMessageHandler
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Removed ISetupHandler.SetErrorHandler, this is replaced by
brokerage.Message += (sender, message) => algorithm.BrokerageMessageHandler.Handle(message)
allowing algorithm direct access to managing the brokerage messages
2015-10-29 20:14:31 -04:00
1c40263d69
Fixes bug in SetHoldings with liquidate=true
2015-10-28 21:10:53 -04:00
a4f44ada54
LSMA indicator and test added.
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Momersion small changes and fixes:
- Name changed to MomersionIndicator
- Conditional to avoid division by zero and estimations with few real observations in case of forward filled data added.
MomersionTest update IPython notebook test address.
2015-10-28 12:18:26 -04:00
f506ad5036
Initial implementation of FxcmBrokerage
2015-10-23 17:29:53 -04:00
df14e885ac
Move OandaBrokerage model to Common
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Also adds BrokerageName.OandaBrokerage and supports it from QCAlgorithm.SetBrokerageModel(...)
2015-10-23 16:00:07 -04:00
8014da3640
Adds Custom universe API methods
2015-10-21 13:05:17 -04:00
f296d666ee
Implements user defined universes
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This places all security subscriptions within a universes
Subscriptions generated via calls to AddSecurity are place in a UserDefinedUniverse
UserDefinedUniverse will serve up a predetermined list of symbols on a requested interval
LiveTradingDataFeed - reworked custom enumerators to use RefreshEnumerator as wrapper for rate limitting
2015-10-21 13:05:17 -04:00
678cd38fc5
Add Time.MaxTimeSpan to mirror Time.EndOfTime for time spans
2015-10-21 13:05:13 -04:00
6f15f4139b
Move all subscriptions into a universe
2015-10-21 13:05:11 -04:00
68676a3dab
Change IUniverse -> abstract Universe class
2015-10-21 13:05:10 -04:00
0e2f1fc1c0
Fixes bone-head start/end bug :/
2015-10-15 17:54:05 -04:00
1e4114dc1e
Don't allow algo to set start/end dat in live mode
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Start and end date in live mode should be set using current time values
2015-10-15 17:21:24 -04:00
18066b86a6
Various fixes for live coarse
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Set Start/EndDate in live mode properly
Adds helper to create CoarseFundamental symbols
Dispose of removed subscriptions properly
Remove time slice rounding
Subscribe to the coarse symbols to get data into the exchange
2015-10-15 13:44:49 -04:00
8f325e9c39
Add qc- prefix to universe subscriptions
2015-10-07 12:54:31 -04:00
4eb29a23f5
Generalize IUniverse selection method
2015-10-07 12:54:30 -04:00
c31eb7fa65
Adds support for multiple universes
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This is a scaffolding step in that live will only use the first in the list
Also, there's no API helpers for doing this and it's assumed it's only coarse
fundamental data, the next change removes the coarse fundamental assumptions
2015-10-07 12:54:29 -04:00
dec42959a8
Adds SubscriptionSettings and Configuration to IUniverse
2015-10-07 12:54:28 -04:00
0d2d6e1e04
Remove coarse->coarse SetUniverse overload
2015-10-07 12:54:27 -04:00
a642e734fd
Rename Fundamental namespace to UniverseSelection
2015-10-07 12:54:26 -04:00
78dc208fc7
Make IBenchmark instead of using Func directly
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This is in an effort to keep IAlgorithm usable across various languages
2015-10-07 12:46:56 -04:00
snugs