e346eaad76
Add purge method to Series
2015-05-04 21:33:29 -04:00
aa4d08931d
Merge pull request #77 from bizcad/issue-74/second-try
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Closes #74 - Linear Weighted Moving Average
Thanks @bizcad for the awesome contribution!
2015-05-04 19:47:23 -04:00
37dfff6b88
Break from set holdings loop when qty is 0
2015-05-04 19:43:50 -04:00
b9b6c12ae6
Mark symbol name for indicator data points
2015-05-04 19:43:49 -04:00
491c45c3a7
Adds benchmarks from recent commits
2015-05-03 19:28:32 -04:00
3831e9340f
update for LWMA
2015-05-01 17:02:16 -07:00
49b398f8ff
DataStream sync by end of bar
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Adds EndTime to BaseData
Adds Period to TradeBar
Now filling data forward on days missing files/data
Some performance enhancements
Removed sorted dictonary in DataStream/AlgorithmManager
We round down fill forward data in the data stream since if we were to perform this in the data feed we would continually produce data at the same time and it would all go into the algorithm at once.
2015-05-01 19:23:57 -04:00
fde1ce0750
wording change evenly to linearly in QCAlgorithm.Indicators
2015-05-01 14:11:07 -07:00
e27a93ee60
Added WeightedMovingAverage Indicator including, MovingAverageType, tests and registration.
2015-05-01 12:14:25 -07:00
3959bb5218
Adds a period to the TradeBar
2015-04-30 18:46:36 -04:00
b652895ede
Updates to QC Algorithm to allow all messages in live mode
2015-04-30 14:33:25 -04:00
bcbaa6f1da
Prevent algo.Time backtracking
2015-04-29 16:57:56 -04:00
5e419ada8f
Some bug fixes/cleanup for IB live trading
2015-04-29 12:54:13 -04:00
fa3d61f522
Merge pull request #73 from kaffeebrauer/master
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Closes #46 - Added On Balance Volume Indicator
Thanks @kaffeebrauer for an awesome contribution!
2015-04-29 09:29:21 -04:00
a2838bc240
Adds identity indicator helper function
2015-04-28 15:54:32 -04:00
c830420a65
Removed identity indicator on OBV
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Removed identity indicator on OBV
Added missing comments.
2015-04-29 01:41:23 +10:00
bec932719c
Add symbol to error message for user
2015-04-28 10:09:08 -04:00
d3c25e24b2
Merged from master of QC/Lean
2015-04-28 21:33:55 +10:00
67620b4d13
Added On Balance Volume Indicator
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Added On Balance Volume Indicator
Added On Balance Volume Indicator related tests.
2015-04-28 21:13:17 +10:00
6fdca883ed
Adds SharedAssemblyInfo to common
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This allows all projects to use the same version number which is used to see if jobs are the same version as the node to process them
2015-04-27 20:30:37 -04:00
d80b1733a9
Pre ib launch review
2015-04-24 19:12:16 -04:00
8b4fc176cb
Tidy up Algo mgr loop
2015-04-24 13:38:45 -04:00
2a561ee8b4
Div/Split to use method invokers
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Also now firing events using the data dictionaries
2015-04-24 12:29:18 -04:00
6fd357b710
Adds support for dividends and splits
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Updates SubscriptionDataReader to use IStreamReader
Adds FactorFile and MapFile helpers
Adds support for Raw, Adjusted, and TotalReturn data normalization and portfolio application
2015-04-23 20:39:59 -04:00
3af7d5ed43
Adds firing of dividend events
2015-04-23 14:31:15 -04:00
72aba5e5fa
Adds dividend data type
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Also renamed config.Security to something more sane
2015-04-23 10:31:18 -04:00
4c352dd756
Implementation of WILR indicator. Modifies MAX, MIN and AROON indcators to make WILR and AROON work.
2015-04-22 11:53:22 -03:00
3d6640b455
Adds overload for ResolveConsolidator
2015-04-21 10:28:23 -04:00
6bfc70dfe8
Implementation of ROC and ROCP indicators. Modification od MOMP indicator.
2015-04-16 18:27:14 -04:00
cac8b41370
Remove FakeCustomTradeBar
2015-04-14 13:33:36 -04:00
b869ab7f4b
Updates SetHoldings in light of MarginModel changes
2015-04-14 13:11:18 -04:00
de966c65dd
Adds margin call msg to algo
2015-04-14 10:41:39 -04:00
1f15eb2c04
Initial implementation of Margin and Portfolio models
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Changed system to use Margin Models, removing leverage wherever possible allowing for dynamic margin models.
Created first portfolio fill model for FOREX which treats it as a currency swap through the cashbook instead of a tradable asset.
Updated the Securities/SecurityPortfolioManager to use cashbook value + holdings removing FOREX virtual positions.
Created a new benchmark system for comparing quantconnect builds.
2015-04-13 20:51:43 -04:00
9924b0a872
Shares SubscriptionDataConfig in Security
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Updates Securities.Update to take a slice of the 'newData' collection from AlgorithmManager to prevent an n^2 problem
This also has the affect that now all security prices are updated before ANY OnData events are fired (previously imported data could fire before these)
Adds the SubscriptionDataConfig to the Security object and requires it when adding new Securities in SecurityManager
Adds the SubscriptionIndex field to SubscriptionDataConfig, always handled by SubscriptionManager
2015-04-09 10:36:49 -04:00
4512d5805f
Response to some review comments
2015-04-08 18:06:43 -04:00
3930dff56a
Add entries to cash book for each currency on forex
2015-04-08 14:53:29 -04:00
8f39ff0be9
Adds subscriptions for currency conversions after algo.Initialize()
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These subscriptions are needed in order to have accurate conversion rates for computing portfolio value
2015-04-08 14:47:11 -04:00
b9798d7754
Initial impl of CashBook
2015-04-08 14:47:08 -04:00
ad16946615
Bugfix set end date was a day early
2015-04-08 14:14:20 -04:00
ec2671cef8
Merge remote-tracking branch 'origin/master'
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Conflicts:
Engine/Engine.cs
2015-04-06 17:32:24 -04:00
5af5fec380
Bug fix SetEndDate, SetStartDate to behave like Set dates with numbers
2015-04-06 17:11:36 -04:00
8a8f40f5ce
Moved AlgorithmManager.RunTimeError to IAlgorithm
2015-04-06 15:31:12 -04:00
c534682872
Response to code review w/ Jared
2015-04-03 14:36:53 -04:00
6f66e1537d
Merge branch 'master' into feature/brokerage-setup-handler
2015-04-03 11:09:45 -04:00
3beb76db03
Adds optional selectors to indicator helper funcs
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Also adds IndicatorSuiteAlgorithm showcasing usage of selectors vs not using them, as well as custom data indicator support
2015-04-02 11:53:56 -04:00
28696cd8bf
Gets IB running in live mode
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Fixes bug in BrokerageTransactionHandler to update order status based on fill events
2015-04-01 19:43:54 -04:00
c4d4a39416
Removed QCAlgorithm.Console override
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Replaced with setting System.Console.Out and Error to redirect to QCAlgorithm.Debug/Error
2015-03-31 16:29:36 -04:00
2918a4ac77
Adds high/low to renko, added cycle test
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Cleans up some variable naming and doc
2015-03-28 17:34:19 -04:00
8b81f27164
Adds initial impl of RenkoConsolidator
2015-03-28 17:21:30 -04:00
272af78a26
Random clean-up + multiple symbol consolidators example
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Cleaned up ResolveConsolidator try/catch
Cleaned up some names/comments
Modified error message
Updated to allow more derived types pass check
Example algo for consolidators on multiple symbols
2015-03-24 21:02:08 -04:00
snugs