9d3c1df5f3
Fix execution models to handle partially filled orders
2019-05-24 11:50:31 +02:00
a0abd00fb2
Update SecurityTransactionManager.cs
2019-03-27 17:06:08 -07:00
d7073f2f88
Adds Parameterless Overload to SecurityTransactionManager.CancelOpenOrders()
2019-03-22 22:35:42 +00:00
866dd4c7db
Making TransactionRecord thread safe
...
- `SecurityTransactionManager.TransactionRecord` will now be thread safe.
`SecurityTransactionManager` will internally wrap usage of `TransactionRecord` with
a lock.
2018-12-10 16:28:46 -03:00
82c2532a31
Improve performance for backtests with a large amount of trades
2018-06-21 16:59:29 -03:00
b275b6d934
Add CashBuyingPowerModel with tests
2018-02-12 17:38:10 +01:00
99327d106c
Merge pull request #1506 from QuantConnect/refactor-margin-models
...
Refactor margin model interface
2018-02-02 11:31:00 -05:00
66b265d890
Move GetSufficientCapitalForOrder to SecurityMarginModel.CanExecuteOrder
2018-01-31 11:47:33 +01:00
0af36e1797
Add tag to SecurityTransactionManager.CancelOpenOrders
...
When bulk canceling orders for a particular symbol it's nice to tag the order so we
know why they were all canceled.
2018-01-23 13:49:12 -05:00
013edbcbcb
Reuse existing OrderResponseErrorCode.AlgorithmWarmingUp
2018-01-15 23:01:17 +01:00
89a59351cd
Add OnWarmupFinished method to QCAlgorithm
...
This method is being added to allow algorithms to complete initialization tasks that cannot be executed during Initialize, such as cancelling existing open orders in live trading.
This method will be called only once, when the warmup task is complete.
Closes #1043
2018-01-15 13:46:30 +01:00
551fab193d
Issue #824 , adding space after comma
2017-04-25 21:41:24 -04:00
e3ae31258b
Now when Liquidating, the tag field on the trade list will show as "Liquidated" to indicate that this was due to a Liquidate() call.
2017-04-24 00:41:39 -04:00
c416df6241
Refactored option assignment/exercise:
...
1. Made sure we treat properly option expiration dates before Feb 2015 and after. Added tests.
2. Refactored expiration delisting, assignments/option exercise to happen in the end of the date, not MOC orders in the beginning of the day. Regression test.
3. Refactored option exercise model to generate proper fills on assignments/option. Those fills are reflected correctly in margins, in stats and correspond to IB model. Still need to run IB real-life live tests.
4. Refactored option symbol related functions into separate module (OptionSymbol.cs)
5. Made sure OnAssignmentEvent arrived to the user algo in regression test. Do we need OnExercise event? Not sure.
6. Tested end-to-end Ray's current code (covered call strat) to see short option legs expire worthless, and stats updated.
2017-02-02 19:35:37 +08:00
fcd603a0e2
Remove buying power check when reducing position size
...
Checks whether a new order reduces a position size, if so do not consider the mechanics to verify sufficient capital for order.
2016-07-12 19:06:00 -03:00
a3930c996d
Fixes blocking bug in WaitForOrder
2016-01-20 19:28:39 -05:00
7171deb99e
Increased market order fill timeout to 5 seconds
...
It is now configurable via SecurityTransactionManager.MarketOrderFillTimeout property
2016-01-06 14:48:09 +01:00
2a752f84df
SecurityTransactionManager.GetOrderTicket - Faster implementation
2016-01-04 21:55:55 -05:00
2a2b710b52
Fixed SecurityTransactionManager.GetOpenOrders
...
Also added GetOpenOrders(Symbol) overload
2015-12-30 18:21:06 +01:00
5c16f7f48f
Prevent div zero exception GetSufficientCapitalForOrder
2015-12-30 00:02:39 -05:00
452e83116d
Fixes bug computing margin required with partial fills
...
Sadly this added OrderTicket dependencies to GetSufficientCapitalForOrder
2015-12-21 22:41:21 -05:00
d5987c05cd
Changes Order.BrokerId to List<string>
2015-12-18 15:51:29 -05:00
e27e6911d1
Use BusyBlockingCollection in BrokerageTransactionHandler
...
This is to remove some possibilities for dead locks
2015-12-09 23:04:14 -05:00
4558d085c6
Changed BrokerageId from int to long
...
IOrderProvider.GetOrderByBrokerageId now accepts a long value (as required by Oanda and Tradier brokerages)
2015-12-07 14:48:47 -05:00
4e5b65ed08
Adds EquitiesLabAlgorithm
2015-12-07 12:02:12 -05:00
1cc7941721
Accepted partial fills for market orders to prevent backtest partial fills blocking transaction manager
2015-11-24 13:04:55 -05:00
e1938baafe
Clean up using directives
2015-09-01 22:17:35 -04:00
ca69869088
Adds GetOrderTickets search function
2015-07-29 13:21:23 -04:00
ce1ad81be7
FillForward bug fix and don't wait for non-market orders
2015-07-15 00:16:02 -04:00
28d8300e46
Fixes failing tests
...
Beefs up the UpdateOrderRegressionAlgorithm/updates statistics
Now using TimeKeeper/LocalTimeKeeper for dissemination of time to algo classes
2015-07-09 17:19:40 -04:00
704bfc2298
Adds new order ticket system
...
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
...
Expose order and order processing ability via IOrderProvider/IOrderProcessor
2015-07-02 15:07:35 -04:00
fde0cbed3a
Strip out block quote section header comments
2015-06-13 16:04:27 -04:00
887faa24e7
Adds support for hourly/daily data to LEAN engine
2015-06-02 21:44:44 -04:00
6165c354e7
Initial implementation of TradierBrokerage
...
Adds new base test class for brokerages: BrokerageTests
2015-05-20 16:37:33 -04:00
89b6e98af8
Fixes warnings mostly relating to xml comments
...
Also cleans up some block comments
Via PR#72 - thanks @ammachado!
2015-05-13 10:56:47 -04:00
449150f71e
Fixes SetHoldings when crossing zero line
...
Improves margin remaining computation as well
2015-05-05 21:07:03 -04:00
1f15eb2c04
Initial implementation of Margin and Portfolio models
...
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
52cf767882
Adds the IOrderIDMapping interface
2015-03-31 21:49:26 -04:00
1d4e81471a
Fix log message
2015-03-31 21:40:51 -04:00
669bda8e80
LastOrderId property, GetOpenOrders() method and bug fix #42 to handle decrease in position size case
2015-03-10 17:01:32 -05:00
ae60582d29
Updated comments
2015-03-08 22:23:06 -03:00
21f45ed578
Fixes bug in SecurityPortfolioManager GetBuyingPower()
2015-03-06 14:01:48 +02:00
8546368b12
GetOrderBuyingPower leverage bug fix, thanks @bdilber
2015-02-28 21:46:05 -03:00
ae63a8bb78
Bug fix #36 order.Value and order fees factored for buying power
2015-02-27 14:18:48 -03:00
8e67ae9677
Modified GetOrderRequiredBuyingPower to use market price for market orders
2015-02-27 17:06:42 +02:00
8b94703977
Added GetOrderById method to Transaction manager
2015-02-27 02:24:52 -03:00
bb15de6bf6
Rework Cancel Order method to use new order types
2015-02-25 15:45:31 -03:00
44706e8d57
Adds SecurityType to Order
2015-01-23 11:46:46 -03:00
b3de520915
Initial commit
2015-01-12 12:03:33 -03:00
Stefano Raggi