56e6bdee04
Reverted market order fill behavior
2016-01-07 22:03:23 +01:00
fb45abd718
Delayed order fills one time step
2016-01-07 21:24:55 +01:00
5e691bb907
Use Transactions.GetOpenOrders(Symbol) in Liquidate
2015-12-30 12:44:09 -05:00
e21e6f55f0
Added Status.IsOpen check
2015-12-30 12:43:11 -05:00
f4c4c2f9ce
Algorithm.Liquidate method now also cancels open orders
2015-12-30 12:43:10 -05:00
589a84224d
Fixes bug market benchmark as internal feed
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Updated the AddToUserDefinedUniverse method to handle adding to the Securities
collection to prevent this from happening again.
2015-12-28 11:05:26 -05:00
fc7d507faa
Fixes benchmark symbol when not manually added
2015-12-21 16:41:32 -05:00
f33cffe77f
Moves asset count limit logic out of Algorithm namespace
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Since we now support universe selection and by convention never remove a security
object, we can't rely on the counts of the security manager to perform limits on
data subscriptions, this logic was moved deeper into the engine, where we perform
UniverseSelection, which is the path taken to add new data subscriptions
2015-12-21 16:13:23 -05:00
ad2a12c339
Adds RegisterIndicator TimeSpan overload
2015-12-21 13:34:15 -05:00
e22fc9e46b
Change QCAlgorithm.ResolveConsolidator to public
2015-12-21 13:34:14 -05:00
aa6c3726aa
Fixes comment on QCAlgorithm.UniverseManager
2015-12-17 18:28:41 -05:00
2b0fd189ed
Renames IAlgorithm.Universes->UniverseManager
2015-12-17 17:32:13 -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
ba710ae7b1
Change default min time in universe to 1 day
2015-12-17 14:56:24 -05:00
0f599f5697
Reverts preventing set cash in live mode
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We were leaning on BrokerageData having project equity in there, but
this breaks home consumers who would expect the SetCash function to
just work
2015-12-15 14:39:38 -05:00
0fbab8a550
Check SymbolCache when adding securities, enables delisted
2015-12-15 08:58:15 -05:00
ada41f7e8f
Adds MinimumTimeInUniverse to UniverseSettings
2015-12-14 19:13:24 -05:00
a29ebf0595
Rename SubscriptionSettings to UniverseSettings
2015-12-14 16:58:18 -05:00
957fba1ea5
Disable SetCash in live mode
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If required, use Portfolio.SetCash, this is what the setup handler now uses
2015-12-11 16:41:30 -05:00
53a64ea3ba
Use default market map in AddSecurity
2015-12-10 15:19:23 -05:00
8dad5f4c0a
Adds IAlgorithm.SetDefaultMarkets
2015-12-10 15:19:21 -05:00
bc6ffbce0c
Set algorithm parameters from job packet
2015-12-10 13:45:40 -05:00
b167b7725d
Adds GetParameter and SetParameters to IAlgorithm
2015-12-10 13:45:39 -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
f3834df1a0
Return Security instance from IAlgorithm.AddSecurity
2015-12-09 13:32:37 -05:00
ae16cc8443
Adds more AddUniverse overloads for IEnumerable<string> results
2015-12-09 13:32:36 -05:00
565c3bc6f7
Adds AddRemoveSecurityRegressionAlgorithm
2015-12-09 13:32:34 -05:00
f1aafd33ec
Change UserDefinedUniverse interval to one day
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This causes more equity points to be taken which is the reason for the change in the regression values.
2015-12-09 13:32:33 -05:00
fa12434f98
Remove locked check from AddSecurity
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This now allows algorithms to add securities during a running algorithm
2015-12-09 13:32:31 -05:00
3a322e0877
Change IAlgorithm.Universes to use UniverseManager type
2015-12-09 13:32:29 -05:00
7e37804c7e
Use Symbol.Create instead of SID.Generate* methods
2015-12-07 12:31:46 -05:00
dd4125fb42
Adds UsersDefinedUniverseAlgorithm example
2015-12-07 12:02:10 -05:00
5cee3261f4
Use string symbol in AddUniverse functions
2015-12-07 12:02:08 -05:00
796b9666db
Adds QCAlgorithm.Universe for universe functions
2015-12-07 12:02:07 -05:00
242f479fb3
Remove SetUniverse, now only AddUniverse
2015-12-07 12:02:07 -05:00
2b3c3973c9
Fixes custom data history bug introduced via e4f9902
2015-12-02 15:37:33 -05:00
be950e756a
Log full errors/stack traces
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Many places in the code used Log.Error(err.Message) or equivalent which
strips out all the really useful information, such as the stack trace
and inner exceptions. Using Log.Error(exception) is the correct way to
log an error as it will correctly write all the message details, also,
by passing the full Exception object we can improve the logging in this
one place and all call sites will automatically benefit from the improvements
2015-12-02 12:35:33 -05:00
c6d0fc673b
Force custom securities through CreateSecurity
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AddData<T> was never properly converted to go through the SecurityManager.CreateSecurity
method which led to custom symbols not being loaded into the symbol cache.
2015-12-02 10:58:26 -05:00
95bfe729a8
Adds ExchangeTimeZone to SubscriptionDataConfig
2015-12-01 12:03:00 -05:00
8621c3ad8e
Review usages of GetExchangeHours, use correct tz property
2015-11-30 18:20:21 -05:00
75a81f581e
Rename SecurityExchangeHoursProvider to MarketHoursDatabase
2015-11-30 16:50:09 -05:00
be65ccda10
Brokerage message events on IAlgorithm
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Added the following virtual methods:
- OnBrokerageMessage(BrokerageMessageEvent)
- OnBrokerageDisconnect()
- OnBrokerageReconnect()
2015-11-26 22:35:25 +01:00
7c2261f172
Removed warnings as errors for obsoletes
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This is causing issues for mono users, seems to be something different
in the compilers (mono vs msft) with method resolution in ambiguos situations.
2015-11-24 18:56:21 -05:00
6c17128eed
Adds QCAlgorithm.SetWarmUp alias
2015-11-23 20:13:42 -05:00
0ae568d980
Remove warnings as errors from Release
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This is a temporary fix until we figure out why travis complains about implicits but visual studio doesn't
2015-11-23 15:45:24 -05:00
5161dc9dd0
Use Market string constants instead of literals
2015-11-23 13:55:58 -05:00
2b4ccbd3d8
Doc fix for KCH helper
2015-11-23 13:43:09 -05:00
6383cc8bcf
Properly pass tag through in SetHoldings overloads
2015-11-23 13:40:02 -05:00
9b898d5eb4
Use Symbol.ToString in CreateIndicatorName
2015-11-23 13:05:42 -05:00
Stefano Raggi