1642aed05a
Refactor PreOrderChecksImpl() and add lot size check for 0-quantity orders
2016-07-13 16:00:37 -04:00
464e2a1a15
Remove obsolete comment
2016-07-03 18:57:57 +01:00
50fe22163c
Adds AddUniverse(coarse, fine) method to QCAlgorithm
2016-06-29 00:39:37 +02:00
1652bce513
Make DollarVolumeUniverseDefinition symbols unique
2016-06-28 04:03:39 -04:00
db8592058a
Add CoarseFundamentalUniverse type
2016-06-28 04:03:33 -04:00
0e8755dc48
Changes related to #330 order quantity decimalized
2016-06-24 11:53:29 +01:00
7763efdc83
Changes related to #330 order quantity decimalized
2016-06-24 11:28:21 +01:00
5387f9403d
Added logic for Rounding off Order Quantity for SetHolding method
2016-06-15 18:17:44 -04:00
18f3bbe4c2
Add remaining SWISS tests
2016-06-08 10:29:27 +01:00
830692f7ad
Adds SWISS factory method
2016-05-31 15:06:41 +01:00
92728c386d
Adds FRAMA external data testing
2016-05-26 11:27:28 +01:00
4001cf8a8b
Adds FRAMA factory method
2016-05-25 15:38:36 +01:00
114f82f391
Merge from master
2016-05-12 21:29:58 +02:00
34b664460d
Adds VWAP indicator via WeightedBy indicator extension
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Adds WindowIdentity indicator and its test. We need this at WeightedBy to keep values and weights at sync (same sample number).
Adds WeightedBy indicator extension and a simple test in IndicatorExtensionsTests
Adds VolumeWeightedAveragePriceIndicator (VWAP indicator), its test and external data file for testing.
2016-04-21 19:34:52 -03:00
dd8a6442b6
Tidy unneccessary TravisCI build configuration
2016-04-19 19:51:51 -04:00
e93006b6a5
Added Travis CI release configuration and disabled views from building in linux
2016-04-15 12:44:37 -04:00
04db12106a
Merge remote-tracking branch 'origin/multi-subscriptions' into options-new
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Conflicts:
Engine/DataFeeds/UniverseSelection.cs
Tests/QuantConnect.Tests.csproj
2016-04-13 12:45:05 -04:00
a95b4c722a
Remove remaining single sub assumptions from Algorithm projects
2016-04-12 19:06:46 -04:00
a44ce9f2ab
Remove single subscription assumption from history impl
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When this was originally written, we were assuming one subscription per security.
This removes that assumption and tries to find subscriptions matching the request
2016-04-12 19:06:43 -04:00
2ad63429b7
Memoize enumerables returned via the history API
2016-04-12 19:06:39 -04:00
5fe577f331
Adds Option.Underlying, set via PostInitialize
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Individual option securities will have this value set by the Universe on security creation
2016-04-07 14:33:55 -04:00
7b183eded3
Add equity security for options in PostInitialize
2016-04-07 14:18:25 -04:00
e392183bb4
Adds QCAlgorithm.AddOption
2016-04-07 14:12:47 -04:00
e7c37a84ff
Adds support for OnData(QuoteBars/OptionChains)
2016-04-07 13:39:30 -04:00
ae8c68f99c
Adds Security.IsTradable flag
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By default, all internal feeds are considered non-tradable, but this value can be overriden via public get/set
2016-04-06 19:15:50 -04:00
cc25950e10
Adds SubscriptionDataConfig.IsFilteredSubscription
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Subscriptions can now be explicit as to whether or not a SubscriptionFilterEnumerator is to be applied.
Regular security price data subscriptions get filtered (user/market-hours)
Universe subscriptions don't get filtered (even if a subscription of equity price data, such as options underlying feeds)
2016-04-05 15:51:45 -04:00
46a82a8a91
QCAlgorithm.Liquidate now liquidates holdings in symbol order
2016-04-01 01:00:42 +02:00
a221f35743
Revert "Fixes CalculateOrderQuantity regression bug from 5301d81"
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This reverts commit 08181aa8c8
2016-03-29 09:50:59 -04:00
08181aa8c8
Fixes CalculateOrderQuantity regression bug from 5301d81
2016-03-28 23:49:24 -04:00
0d720cedef
Merge pull request #327 from StefanoRaggi/set-holdings-review
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SetHoldings/CalculateOrderQuantity bug fixes + new tests
2016-03-28 13:41:42 -04:00
6b0fa8259a
PercentagePriceOscillator now derives from AbsolutePriceOscillator
2016-03-24 02:18:21 +01:00
ad60c42e75
Adds PercentagePriceOscillator indicator (PPO)
2016-03-23 21:15:39 +01:00
890d668653
Adds AbsolutePriceOscillator indicator (APO)
2016-03-23 20:53:08 +01:00
bf80c482e6
Reduces number of iterations in CalculateOrderQuantity when fees high relative to price
2016-03-23 11:00:22 +01:00
2b6ca278b8
Merge branch 'midprice-indicator' of https://github.com/StefanoRaggi/Lean into StefanoRaggi-trix-indicator
2016-03-22 11:14:54 -04:00
1aee77e317
Merge branch 'trix-indicator' of https://github.com/StefanoRaggi/Lean into StefanoRaggi-trix-indicator
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Conflicts:
Algorithm/QCAlgorithm.Indicators.cs
Tests/QuantConnect.Tests.csproj
2016-03-22 10:56:26 -04:00
e54d0f7d5d
Merge branch 'ultosc-indicator' of https://github.com/StefanoRaggi/Lean into StefanoRaggi-ultosc-indicator
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Conflicts:
Algorithm/QCAlgorithm.Indicators.cs
2016-03-22 10:54:11 -04:00
ab44f5f18e
Fixes typo in xml doc comment
2016-03-21 21:57:29 +01:00
1a797a5c42
Adds MidPoint indicator (MIDPOINT)
2016-03-21 21:20:11 +01:00
4dd9f2cf14
Adds Trix indicator (TRIX)
2016-03-20 11:31:38 +01:00
cd5f032b9d
Adds Ultimate Oscillator indicator (ULTOSC)
2016-03-19 23:09:18 +01:00
12f1a16c2c
Changed time buffer for MarketOnClose order submit from 11 to 16 minutes
2016-03-18 18:49:38 +01:00
82823890c0
Use Universe.SecurityInitializer property
2016-03-16 19:39:42 -04:00
12d8df887a
Remove duplicate universe storage in QCAlgorithm
2016-03-16 19:39:35 -04:00
5301d81149
Fixes bug in QCAlgorithm.CalculateOrderQuantity
2016-03-16 00:36:32 +01:00
2e8cb0c4aa
Fixes CalculateOrderQuantity to use remaining/required margins
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This change should fix insufficient margin errors in many situations, especially when reversing trade direction and/or when using various order fee structures
2016-03-15 00:52:54 +01:00
b688fc3598
Adds Kaufman Adaptive Moving Average indicator (KAMA)
2016-03-07 23:22:37 +01:00
262900a5dd
Fixes bug in forex symbol properties quote currency
2016-03-02 23:27:12 -05:00
ba22908dc5
Adds AddEquity/Forex/Cfd methods
2016-03-01 14:06:36 -05:00
2483ef60df
Adds Average Directional Movement Index Rating indicator (ADXR)
2016-03-01 19:48:31 +01:00
jaredbroad