e35ba389d9
Adds support for user-defined universe selection for python
...
Adds UserDefinedUniverseAlgorithm python script to show how to use user-defined universe selection for python.
2017-09-20 22:45:51 +01:00
7fab872927
Integrates with crypto security
2017-09-15 13:42:51 +01:00
72b66501eb
Merge pull request #1131 from QuantConnect/crypto-security
...
Crypto security
2017-09-14 10:48:31 -04:00
d7f2411fcd
Upgrades pythonnet version
...
In this version, we have fixed a bug that led to System.AccessViolationException when we add timezone information in the datetime.datetime object.
2017-09-12 17:33:52 +01:00
c0fa78080a
Fix security type test
2017-09-11 20:48:43 +02:00
f5d4c4a318
Enable security seeding for Options and Futures
2017-09-11 20:37:07 +02:00
563d2df4b5
Merge pull request #1119 from StefanoRaggi/add-option-contract-underlying-fix
...
Fix missing underlying security in AddOptionContract
2017-09-06 16:41:38 -04:00
57fa355fc0
Merge pull request #1109 from Jay-Jay-D/IndicatorMassIndex
...
Indicator mass index
2017-09-06 16:38:38 -04:00
f94cb659cb
Fix missing underlying security in AddOptionContract
2017-09-06 17:48:57 +02:00
89c6a1a566
Remove multiple enumerations of enumerable
...
Depending on the IHistoryProvider implementation, this could result in
multiple history requests being sent GetLastKnownPrice function call.
2017-09-02 13:56:48 -04:00
215224de2f
helper method renamed MI->MASS
2017-09-01 15:23:11 -03:00
d8b2a1a63b
Test passed
2017-09-01 14:40:26 -03:00
0f4e166499
Changes market deriving logic and adds extra test cases
2017-09-01 12:29:25 +01:00
fe6c9fa584
Merge pull request #1102 from AlexCatarino/python-adddata-fix
...
Fixes hard-coded resolution in AddData for Python algorithms
2017-08-30 13:20:42 -04:00
d2c144ff1e
Fixes hard-coded resolution in AddData for Python algorithms
2017-08-30 17:59:55 +01:00
6c06413fe4
Moves existing bitfinex to crypto and updates crypto tests
2017-08-30 13:46:30 +01:00
21a7685e64
helper method added.
2017-08-29 15:48:08 -03:00
578efe843f
Further changes for crypto type
2017-08-29 12:19:15 +01:00
ca4cd13476
Merge branch 'master' of https://github.com/QuantConnect/Lean
2017-08-29 11:11:04 +01:00
71a6e293bd
Merge pull request #1082 from StefanoRaggi/options-futures-tick-fix
...
Fix Options and Futures subscriptions at Tick resolution
2017-08-28 10:49:34 -04:00
8281911bd0
Revert "Upgrades pythonnet version"
...
This reverts commit 310e5c4211
2017-08-22 16:11:54 -04:00
4be1b7b413
Merge branch 'master' of https://github.com/QuantConnect/Lean
2017-08-22 16:56:52 +01:00
0b15bd6979
Merge pull request #1081 from andrewhart098/history-request-timezone
...
Require specification of DataTimeZone on history requests
2017-08-22 11:56:42 -04:00
921ec8f983
merge from upstream
2017-08-22 16:56:35 +01:00
c82f31aa6a
Use GetCommonTickTypeForCommonDataTypes to get default tick types for history requests
2017-08-22 11:17:07 -04:00
4d9d60dfff
Merge pull request #1083 from AlexCatarino/pythonnet-datetime-fix
...
Upgrades pythonnet version
2017-08-22 10:54:27 -04:00
08bb34a1eb
Add TickType field to the HistoryRequest class
2017-08-22 09:42:42 -04:00
492bc70229
Fix Options and Futures subscriptions at Tick resolution
...
Previously Tick resolution subscriptions only received ticks with TickType.Trade, now TickType.Quote and TickType.OpenInterest are received as well.
This PR replaces PR #1065
2017-08-22 02:20:36 +02:00
310e5c4211
Upgrades pythonnet version
...
In this version, we have fixed a bug that led to System.AccessViolationException when we add timezone information in the datetime.datetime object.
2017-08-21 21:59:59 +01:00
6aa87b458c
Added Security.IsCustomData method
...
This method is a convient way to check if the security has a subscription that represents custom data. It returns true if the security contains at least one subscription that represents custom data
2017-08-21 16:27:51 -04:00
40aa9dad65
Seperate time zones for the exchange and the data can be specified in AddData
2017-08-21 14:59:31 -04:00
8a5af16051
Remove parameterless HistoryRequest constructor
...
This contractor was removed so that history requests do not assume any defaults - especially with exchange time zones and data time zones
2017-08-21 14:55:49 -04:00
746a7e1bbc
Merge pull request #1080 from StefanoRaggi/options-futures-warmup-fix
...
Fix Warmup for Options and Futures
2017-08-21 11:07:00 -04:00
001183a917
Fix Warmup for Options and Futures
...
Warmup history requests for options and futures were only creating a single subscription for open interest (no trades or quotes).
Also some History overloads had the same issue.
2017-08-21 15:58:23 +02:00
bcd25b56b4
Refactors PyObject to List of Symbol parsing
2017-08-21 13:52:48 +01:00
b322dec666
Modifies the pandas dataframe created from a history request
...
History requests should not return a dictionary with a dataframe, but a multi-index dataframe.
It is more common to work with multi-index dataframes rather than multi-column.
2017-08-18 18:23:11 +01:00
cd94d4f507
Clear cache when security is removed
2017-08-15 18:03:05 -04:00
49b2240a73
Fix bug in security seeding when using Tick resolution
...
With securities added at Tick resolution the wrong data type was used for the seeding history request.
2017-08-09 17:58:38 +02:00
ba565e2b11
Merge pull request #1047 from QuantConnect/option-chain-provider
...
Option Chain Providers
2017-08-08 11:15:53 -04:00
e116709b24
Specify <LangVersion> of 6 in all csproj files
2017-08-07 15:27:26 -04:00
e379457757
Refactor option chain providers
...
- Moved provider implementations out of brokerages into their own classes
- Removed DefaultOptionChainProvider
- Added BacktestingOptionChainProvider and LiveOptionChainProvider
- Moved SetOptionChainProvider call from Engine to setup handlers
2017-08-02 22:43:15 +02:00
8fdb79e578
Add OptionChainProvider to IAlgorithm/QCAlgorithm
...
- SetOptionChainProvider method
- OptionChainProvider property
2017-08-02 22:43:12 +02:00
46ead54f79
Implements Quandl support for Python
...
Implements Quandl support for Python.
It was not possible to derive from Quandl in order to select the column. If the data did not have "close", it would thrown an exception since it would look for this work in a dictionary.
It is now possible to select the column.
See example QuandFuturesDataAlgorithm.py
2017-07-27 00:18:08 +01:00
9b3909b6e8
Fix a couple of bugs in BasicTemplateOptionsAlgorithm
...
The algorithm had two issues:
1. the LINQ query for contract selection was not including the option right (Put or Call)
2. the algorithm was submitting two extra orders at the end of the day (when market closed)
A helper method was also added in QCAlgorithm to determine if the market is open for a given symbol at the current time.
2017-07-22 21:26:03 +02:00
e7172a6841
Update QCAlgorithm.RuntimeStatistics to be a ConcurrentDictionary
...
This change enables SetRuntimeStatistics to be called from event handlers fired by other threads (for example in the OnOrderEvent with IB)
2017-07-20 20:39:51 +02:00
83fdf9c386
crypto wip
2017-07-14 16:53:42 +01:00
f704747696
Downgrade NodaTime to version 1.3.4 due to breaking changes in 2.x
2017-07-08 03:09:35 +02:00
e4005fa78c
Upgrade NodaTime to version 2.0.3
2017-07-08 01:12:43 +02:00
4f483abcd9
Upgrade libraries Accord.NET, CloneExtensions, MathNet, QLNet
2017-07-08 00:31:40 +02:00
6d160533c3
Upgrade DotNetZip to version 1.10.1
2017-07-07 23:37:09 +02:00
AlexCatarino