ed3b98f4e1
Adds custom fee/fill/slippage model example
2016-01-18 19:22:07 -05:00
0bec26854c
Fixes brokerage message in BrokerageModelAlgorithm
2015-12-18 15:54:30 -05:00
380149fe9a
Change benchmark resolution if universes are present
2015-12-17 17:22:51 -05:00
a77950ce56
Adds UniverseDefinitions, DollarVolumeUniverseDefinitions
2015-12-17 17:17:56 -05:00
dc3fc98b7b
Move CircularQueue to Util
2015-12-16 13:57:53 -05:00
d3bac33257
Adds composite indicator example to IndicatorSuite
2015-12-15 08:26:33 -05:00
a4074d2c85
Adds ParameterizedAlgorithm with regression test
2015-12-10 13:45:41 -05:00
2d9f8cb9e3
Updated charting lib to use series indexes instead of chart types. Obsolete ChartType enum
2015-12-10 13:03:50 -05:00
a899017fe6
Adds documentation to ParallelRunner classes
2015-12-09 16:36:14 -05:00
4e107507e4
Adds EmaCrossUniverseSelectionAlgorithm
2015-12-09 16:36:14 -05:00
86498da772
Adds CoarseUniverseTop5DollarVolumeAlgorithm
2015-12-09 16:36:13 -05:00
0422a762d7
Adds dropbox universe selection example algorithms
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Includes regression tests
2015-12-09 13:32:37 -05:00
826b865d7a
Rename StockPickerAlgorithm to CustomDataUniverseAlgorithm
2015-12-09 13:32:35 -05:00
565c3bc6f7
Adds AddRemoveSecurityRegressionAlgorithm
2015-12-09 13:32:34 -05:00
7e95bf2fa6
Remove keys from EquitiesLabAlgorithm
2015-12-09 13:32:32 -05:00
1350979f2f
Merge remote-tracking branch 'origin/master'
2015-12-07 15:27:33 -05:00
7e37804c7e
Use Symbol.Create instead of SID.Generate* methods
2015-12-07 12:31:46 -05:00
0728f4b677
Remove Subscriptions.Union(Subscriptions) file sys df
2015-12-07 12:02:19 -05:00
42443b303c
Increase length of benchmark algorithm
2015-12-07 12:02:17 -05:00
240c6ff2e2
Recorded performance of commits
2015-12-07 12:02:17 -05:00
50b33b3d0a
EmptyMinute400Equity - 185k
2015-12-07 12:02:15 -05:00
e08ed1c213
Add Benchmark algorithm with baseline time
2015-12-07 12:02:13 -05:00
3692cb53ce
EquitiesLab optimizations
2015-12-07 12:02:13 -05:00
4e5b65ed08
Adds EquitiesLabAlgorithm
2015-12-07 12:02:12 -05:00
dd4125fb42
Adds UsersDefinedUniverseAlgorithm example
2015-12-07 12:02:10 -05:00
242f479fb3
Remove SetUniverse, now only AddUniverse
2015-12-07 12:02:07 -05:00
e447b4453b
Update Bitcoin url to more current quandl file
2015-12-07 11:58:31 -05:00
74fb1805ad
Added brokerage messaging handler example
2015-12-03 14:43:53 -05:00
359bcd2d86
Adds CustomDataRegressionAlgorithm
2015-12-03 13:48:14 -05:00
f9fefd6035
Update StockPicker example to create the full SID
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We can't rely on the implicit lift in the universe selection case
2015-11-25 15:50:04 -05:00
5161dc9dd0
Use Market string constants instead of literals
2015-11-23 13:55:58 -05:00
d9dcd9b9aa
Clean up Obsolete compiler warnings
2015-11-18 13:31:29 -05:00
daa34da072
Remove some implicit Symbol->string cases
2015-11-17 19:17:41 -05:00
01afc560f4
Added Settlement models
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- New ISettlementModel interface with implementations: ImmediateSettlementModel + DelayedSettlementModel
- SecurityPortfolioManager: UnsettledCashBook + ScanForCashSettlement
- Added tests for settlement models
- Added GetSettlementModel to IBrokerageModel
- Added AccountType argument to SetBrokerageModel()
- Added SetBrokerageModel(IBrokerageModel) overload
- Made BrokerageModel setter private
2015-11-11 22:18:34 -05:00
5d4aadbb9c
Removes QuantConnect.Interfaces
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This project was collapsed into QuantConnect.csproj.
This will allow code in the common project to use the interfaces abstractions
2015-11-04 13:18:59 -05:00
9b8110a6e3
Adds StockPicker example algo NYSE TopGainers
2015-10-21 13:05:18 -04:00
f296d666ee
Implements user defined universes
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This places all security subscriptions within a universes
Subscriptions generated via calls to AddSecurity are place in a UserDefinedUniverse
UserDefinedUniverse will serve up a predetermined list of symbols on a requested interval
LiveTradingDataFeed - reworked custom enumerators to use RefreshEnumerator as wrapper for rate limitting
2015-10-21 13:05:17 -04:00
7f425ec515
Modifes CAGR in regression test
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This value was expected to change closer to zero since the backtest takes 'longer'
according to the statistics (first equity vs last equity point)
2015-10-21 13:05:13 -04:00
6992628e7a
Make fill forward res a reference value
2015-10-21 13:05:12 -04:00
6f15f4139b
Move all subscriptions into a universe
2015-10-21 13:05:11 -04:00
c2c36e89d4
Make Universe control its own membership
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This had happy side effect of removing the Subscription.IsUserDefined flag
2015-10-21 13:05:11 -04:00
7126c13012
Merge branch 'master' of https://github.com/QuantConnect/Lean
2015-10-07 15:10:39 -04:00
0d2d6e1e04
Remove coarse->coarse SetUniverse overload
2015-10-07 12:54:27 -04:00
a642e734fd
Rename Fundamental namespace to UniverseSelection
2015-10-07 12:54:26 -04:00
7ef10bc711
Rename some variables to avoid use of namespace referencing
2015-10-07 12:43:02 -04:00
222a44f45b
Adds OpeningBreakoutAlgorithm
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This algorithm uses several new features to provide a strategy that can run live instantly with decent statistics
2015-09-28 13:28:10 -04:00
63ceefc4ed
Initial implementation of algorithm warmup
2015-09-22 15:14:46 -04:00
4ae1f4f5b6
Finalizes History API
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Fixes bug in backtest history provider
Requests for bar counts were always incorrect because the history provider
was emitting bars whose end time is equal to the start time.
Implemented a FilterEnumerator<T> privately so he can filter those out
when using non-tick data
2015-09-15 15:40:54 -04:00
5b29b8f230
Update IHistoryProvider to use request object
2015-09-15 15:40:52 -04:00
7a5be9751a
Finalize universe regression algorithm
2015-09-01 22:17:36 -04:00
Michael Handschuh