2f319fdbdf
Add MACDSignalModel and CustomFrameworkModelsAlgorithm
2017-12-08 10:07:54 -05:00
e4e82bd2bc
Add BasicTemplateFrameworkAlgorithm
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This example algorithm serves as a template for building framework algorithms
2017-12-08 10:07:53 -05:00
d795b99715
First Algo working
2017-11-30 06:57:49 -03:00
a244e5186a
Add FinancialAdvisor example algorithm
2017-10-26 18:15:08 +02:00
9536123160
Updates pythonnet
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In this update, we have changed our version of pythonnet to give precedence to methods that include a PyObject parameter.
2017-10-12 16:41:50 +01:00
099e871afd
Updates pythonnet nuget version
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In this new nuget package, we have included two versions Python.Runtime.dll for macOS
We also add the instructions to compile pythonnet for different operational systems
2017-09-29 17:59:38 +01:00
992d8b458f
Adds RollingWindowAlgorithm (C#)
2017-09-21 17:32:33 +01:00
fb7d1994ff
Tidy and add tags
2017-09-20 17:14:44 -04:00
61043d9d98
Tagged algorithms for QCU
2017-09-20 15:44:51 -04:00
d7f2411fcd
Upgrades pythonnet version
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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
f2bcad3451
FXCM Forex Real volume and Transactions ToolBox Project ( #1025 )
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Create ForexVolume.cs
ForexVolumeDownloader added
* testing
Retrieving all resolution data.
* Writer WIP
Writing volume data with LeanDataWriter
* hour and minute data correctly saved
* algorithm added
* all working!
Downloader slices big requests working!
Cleaning made, documentation added.
* vwma qcalgorithm
VWMA QCalgorithm done.
* small fix
* Small changes.
Typo fix
* Duplicated dates issue fixed
* QC sid added.
feed changed.
* code cleaning
* data correctness test implemented
* First review changes.
* Review changes
* LeanData.cs reseted
* Forex volume writer hour and daily data tests passed.
* Cleaning tests WIP
* All test pass.
* Tests refactoring done.
All tests pass.
* config.json reverted
* FxcmDD reverted
* program.cs clean
namespace fixed
* Resolution and Symbol argument check added.
* Start date fix.
* end date request fixed
* Update Program.cs
market fixed
Update Program.cs
* New path implemented and working.
Reading tests deleted.
* Update Program.cs
* ForexVolume renamed to FxcmForexVolume
Rename classes and files to FxcmVolume
2017-08-28 16:25:52 -04:00
8281911bd0
Revert "Upgrades pythonnet version"
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This reverts commit 310e5c4211
2017-08-22 16:11:54 -04:00
310e5c4211
Upgrades pythonnet version
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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
e116709b24
Specify <LangVersion> of 6 in all csproj files
2017-08-07 15:27:26 -04:00
b017017ab1
Support R.Net and R-base in C#
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Install R-base.
Write CallingRFromCSharp.cs file telling the usage of some APIs.
2017-07-26 15:08:17 -04:00
f704747696
Downgrade NodaTime to version 1.3.4 due to breaking changes in 2.x
2017-07-08 03:09:35 +02:00
0344387fa9
Fix invalid MathNet.Numerics reference in Algorithm.CSharp
2017-07-08 02:41:25 +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
d88d82af12
Upgrade Json.NET to version 10.0.3
2017-07-07 23:21:47 +02:00
e463ccf088
Upgrade all projects to target .NET Framework 4.5.2
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In the advanced build settings, Language version was also upgraded from C# 5.0 to C# 6.0. The minimum Visual Studio version required will now be VS2015.
2017-07-07 22:49:17 +02:00
678b05bb4f
Merge pull request #980 from smartquant/daily_futures_settings
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Fix for using daily or hourly resolution market data for futures.
2017-06-30 11:09:48 -04:00
112bd3db47
Created regression test for futures strategy using daily data
2017-06-27 12:13:49 +02:00
24fcd239a7
Merge pull request #982 from QuantConnect/issue-330/decimal-quantity
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Order and Holding Decimalization Support
2017-06-26 09:51:51 -04:00
37b22d4693
Updates pythonnet nuget version
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In this version, we have just included a dll for macOS
2017-06-23 13:22:24 +01:00
9139ca7c40
Merge master into issue-330/decimal-quantity
2017-06-19 23:50:26 +02:00
6ca9d7cf14
Updates pythonnet package
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This update implemented implicit conversion.
From now on, python algorithms will be able to use string object instead of Symbol object when a method overload requires Symbol.
2017-06-15 18:32:29 +01:00
eac552169d
Add regression algorithms for splits with hourly data
2017-06-06 18:35:44 +02:00
f6aa31643c
Updates pythonnet package
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This new pythonnet package makes available the latest version from pythonnet master branch and includes modifications to enable charting in Lean for python.
The dockerfile to create images for the cloud is updated to reflect the package update and adds keras and tensorflow
2017-06-02 10:45:45 +01:00
4eb80e78e9
Upgrades pythonnet to version 1.0.2.1
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Previous version was not matching methods with nullables accordingly
2017-05-26 01:16:54 +01:00
18d83fb8ec
Updates python framework to support python datetime
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Updates nuget package to support conversion from C# DateTime to python datetime.
Updates algorithms to reflect this change.
2017-05-23 13:40:26 +01:00
fd64b05db8
Apply sed to use UC4 by default (linux), windows should use UC4
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sed -i -e 's/UCS2/UCS4/' Common/QuantConnect.csproj
sed -i -e 's/UCS2/UCS4/' Algorithm/QuantConnect.Algorithm.csproj
sed -i -e 's/UCS2/UCS4/' Algorithm.CSharp/QuantConnect.Algorithm.CSharp.csproj
sed -i -e 's/UCS2/UCS4/' AlgorithmFactory/QuantConnect.AlgorithmFactory.csproj
2017-04-30 14:19:09 -04:00
40e570b2cb
Updates QuantConnect.Pythonnet package
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New version include instructions to copy nPython.exe to bin directories
2017-04-11 17:05:29 +01:00
479fadea55
Updates QuantConnect.Pythonnet nuget package
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In the new version, it was included nPython.exe that compiles python scripts.
2017-04-11 12:08:38 +01:00
0f40b0df05
Merge remote-tracking branch 'origin/master' into pythonnet
2017-03-26 10:14:03 -04:00
de21307a32
Update Json.Net to 9.0.1
2017-03-14 01:35:59 +03:00
17622db0c5
Adds Futures Momentum Algorithm
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In this example, the algorithm buys a ES futures contract when an up trend is defined by a EMA Cross in SPY. When the contract expires, another one if bought.
2017-03-10 15:19:29 -03:00
0f46f34418
Implements FilteredIdentity indicator
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Represents an indicator that is a ready after ingesting a single sample and always returns the same value as it is given if it passes a filter condition
Adds an example algorithm
2017-03-06 14:40:14 -03:00
04098d18be
Add BasicTemplateDailyAlgorithm regression test
2017-02-28 11:47:39 +01:00
9774af9adc
Custom Data for Python Support
2017-02-09 17:48:50 -02:00
4b12365555
Added BasicTemplateFuturesConsolidationAlgorithm to CSharp project
2017-02-09 00:39:40 +08:00
c416df6241
Refactored option assignment/exercise:
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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
a9668675e9
Add WeeklyUniverseSelectionRegressionAlgorithm
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This algorithm is a regression test for the universe selection bug fix.
2017-01-28 19:53:44 +01:00
7bf0f3f90e
Fixed bug: inconsistent state of SecurityManager and option chains due to work of limiter. Added regression test.
2017-01-09 17:45:35 +08:00
36a83dc44c
Added sample option filter universe algorithm code. Tests.
2016-12-29 13:59:45 +01:00
705024cd89
Merge branch 'futures'
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Conflicts:
Common/QuantConnect.csproj
2016-12-20 15:53:24 +01:00
8688ece2d4
Update Accord.NET library to version 3.3.0
2016-12-15 20:46:25 +01:00
7304bb7e43
Added multi asset class sample trading strategy
2016-12-13 16:07:48 +01:00
b6cd0b0b8c
Added support for derivatives history. Tested: IQFeed, IB. First cut. Added history sample algos. Added config.json.
2016-11-21 15:50:55 +01:00
1305d96edd
Open interest support: backtesting, converters, live data handlers (IQFeed/IB), live trading (IB). First cut. Regression Test.
2016-11-15 21:33:33 +01:00
Michael Handschuh