It seems the IronPython engine had a hard time resolving explicit interface
implementations, so we'll just remove the explcitness. It was originally provided
to coax algorithm writers to not directly use the provider due to its API.
Added Trade and TradeBuilder classes
Added UtcTime and OrderFee property to OrderEvent class
Added AlgorithmPerformance class with a few metrics + tests
Added portfolio statistics + rolling statistics
Closes#30 via PR #164
Thanks @SteffanoRaggi!
Added new PSAR indicator and associated helper method and test.
The PSAR implementation is based on the TA-Lib project implementation.
Included test use the provided spy_parabolic_SAR.txt data.
PR #165
Fixes bug in backtest history provider
Requests for bar counts were always incorrect because the history provider
was emitting bars whose end time is equal to the start time.
Implemented a FilterEnumerator<T> privately so he can filter those out
when using non-tick data
Add dynamic data flag to config
Remove dynamic data flag from Security
Rename dynamically loaded flag to IsCustomData
Remove Security from SubscriptionDataReader ctor
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.
Algorithms can now use syntax like the following to define events:
Schedule.Event(name).{DateRuleMethod}.{TimeRuleMethod}.Run( lambda )
For example: Schedule.Event(tues).Every(DayOfWeek.Tuesday).AfterMarketOpen(SPY, 20).Run(MyTuesdayHandler);
Adds the ScheduleManager which allows an algorithm to add/remove scheduled events
Check out the ScheduledEventsAlgorithm for syntax
ScheduledEvents are at their core an IEnumerator<DateTime> that defines the event times coupled with a callback
IDateRule defines dates for events
ITimeRule defines time(s) on a given date for events
Adds concept of Subscription to contain everything a data feed needs in order to process single data feed item
Moves preparation of all data to data feed thread, algo thread receives data in format it needs
QCAlgorithm.SetUniverse( func ) allows selection based on market/symbol/dollar volume/price
Remove laziness from Slice as optimization, no order by in real time handler
This change adds OnData(Delisting data) event handler to the algorithm and is fired when a security gets delisted.
Likewise, when a security is delisted, data will stop being sent into the algorithm and if the algorithm has any
holdings then a MarketOnClose order is submitted at midnight on the last day of trading. If you require that the
algorithm does not sell its shares, then you must cancel the MarketOnClose order before close of trading.
snugs