d5996fb7c8
MV & BL portfolio optimization implementation
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Closes #1998 . Closes #2219 .
2018-07-24 16:53:11 +01:00
00d473b74b
Add util method for lifting IEnumerator<T> to IEnumerable<T>
2018-07-19 13:49:15 -04:00
43a7d0c3e8
Rename HasDiffs to AreDifferent
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No need to be so terse :)
2018-05-30 15:55:34 -04:00
f7db6d2442
Add LinqExtensions.HasDiffs method
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Implementation is simplified form of that used to detect diffs
in universe selection (selection updated to use simplified form
as well)
2018-05-30 15:54:06 -04:00
533bbaff5f
Add ToList extension that accepts a selector
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Convenience method for performing a select and then to list.
2018-05-07 15:52:29 -04:00
12c0fe5363
Fixes gnarly bug in MemoizingEnumerable
2016-04-12 19:06:38 -04:00
5549bccd34
Fixes typo in DistinctBy ext method name
2016-04-08 10:05:57 -04:00
e27fe9f855
Adds more efficient Except extension for sets
2016-03-16 19:39:30 -04:00
939e0cc161
Adds ToReadOnlyDictionary extension method
2015-12-10 14:56:51 -05:00
000d5cde13
Adds GroupAdjacentBy to LinqExtensions
2015-11-23 13:02:18 -05:00
35ce0342f9
Tidy up some usages of Symbol.Value/ToString
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Includes other small changes from review
2015-11-19 16:23:41 -05:00
7b6c82841f
Initial implementation of SecurityIdentifier
2015-11-12 13:55:42 -05:00
6f15f4139b
Move all subscriptions into a universe
2015-10-21 13:05:11 -04:00
69d975531b
Adds LinqExtensions.Range
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This helper method will produce a range of values between T start and T end using some incrementing function T -> T
2015-09-22 21:30:26 -04:00
d4f8006443
Revert "Enforce a 100k bar limit on warmup requests"
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This reverts commit 5d30dedb46
2015-09-22 21:15:08 -04:00
5d30dedb46
Enforce a 100k bar limit on warmup requests
2015-09-22 20:17:44 -04:00
17f1500b96
Adds a MemoizingEnumerable and Memoize ext method
2015-09-22 15:14:42 -04:00
59fd3f2368
Adds BinarySearch extenson for IList
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NOTE: This assumes the list is already sorted by the same rules as the specified comparer
2015-09-01 22:17:10 -04:00
844a040be5
Initial impl of coarse universe selection
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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
2015-08-06 17:52:23 -04:00
320211555e
Fixes bug in TradierBrokerage handling of unshortable symbols
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The PlaceOrder doesn't return an order ID in this case, but rather just a set of errors
So we need to fetch the order ID so later when we're checking for fills we can resolve it and do the right thing
2015-07-02 13:46:20 -04:00
05d42175a4
Add environments to configuation, to make it easier to switch between live/backtesting modes
2015-06-17 22:34:00 -04:00
9761a91607
Adds Median LINQ extension
2015-06-17 09:44:17 -04:00
6165c354e7
Initial implementation of TradierBrokerage
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Adds new base test class for brokerages: BrokerageTests
2015-05-20 16:37:33 -04:00
1a73d93f4f
Added Subscribe/Unsubscribe
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Also modified ConsoleResultHandler to properly handle live vs backtest packets
2015-01-19 16:28:37 -03:00
Art Wild