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feature-python-dataframe-performance-2
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1000 Commits

Author SHA1 Message Date
snugs fd74b6f60f Use symbol from security object in MarketOrder 2015-11-19 20:39:03 -05:00
snugs 7689ae505d Update warnings as error 612 (obsolete w/ no msg) 2015-11-19 20:36:59 -05:00
snugs 43fc0a2d6d Cleans up some methods accepts Symbol, sec type/market 2015-11-19 20:16:03 -05:00
snugs 9e660ffcbe Remove usages of Symbol implicits from non-algorithm projects 2015-11-18 18:15:31 -05:00
snugs f788e9595f Use string in AddData<T> 2015-11-18 17:05:33 -05:00
snugs b6603ffd01 Set Obsolete warnings as errors 2015-11-18 13:42:40 -05:00
snugs 18edd22e68 Rename SymbolCache.Get to SymbolCache.GetSymbol 2015-11-18 12:55:49 -05:00
snugs 989cdb1eaf Merge branch 'master' into sid 
Conflicts:
	ToolBox/DukascopyDownloader/Program.cs
	ToolBox/OandaDownloader/Program.cs
 2015-11-17 12:51:29 -05:00
Stefano Raggi 7687411f0b Fixed History bug with Security.Resolution=Tick 2015-11-17 12:18:41 -05:00
snugs b870c55328 Adds Symbol(string) function shortcut for SymbolCache.Get(string) 2015-11-12 13:55:44 -05:00
snugs 8f9a228e0c Remove usages of Symbol implicits from engine 
Breaks SymbolCache into its own file
 2015-11-12 13:55:43 -05:00
snugs 7b6c82841f Initial implementation of SecurityIdentifier 2015-11-12 13:55:42 -05:00
snugs e29236cc2d Remove reliance on Symbol implcits from core libraries 2015-11-12 13:55:39 -05:00
Stefano Raggi 01afc560f4 Added Settlement models 
- 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
snugs d696f09b28 Adds IAlgorithm.Status 
AlgorithmManager._algorithmState was removed and replaced with
pass through to IAlgorithm.Status
 2015-11-09 11:18:41 -05:00
snugs 5d4aadbb9c Removes QuantConnect.Interfaces 
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
snugs 224366f734 Fixes tz bug in SetWarmup(barCount) 
We were passing UTC to a function expecting algo tz -- long term should stop using DateTime :/
 2015-11-03 14:36:57 -05:00
snugs 15a86a1dcf SetBenchmark use configured security type if exists 2015-11-03 14:31:35 -05:00
snugs 4521a9aea3 Improve disconnect handling logic 
No need to kill the algorithm if there's no open exchanges, wait
at least 15 minutes before killing algo (same as before with IB)

This logic is now centralized via an IBrokerageMessageHandler

Includes two new BrokerageMessageType
    Disconnect
    Reconnect

These messages should be used when a disconnect happens and again when we're reconnected
to tell the message handler the current state
 2015-10-29 20:18:22 -04:00
snugs 93fb8a1f59 Adds IBrokerageMessageHandler and DefaultBrokerageMessageHandler 
Removed ISetupHandler.SetErrorHandler, this is replaced by

brokerage.Message += (sender, message) => algorithm.BrokerageMessageHandler.Handle(message)

allowing algorithm direct access to managing the brokerage messages
 2015-10-29 20:14:31 -04:00
snugs 1c40263d69 Fixes bug in SetHoldings with liquidate=true 2015-10-28 21:10:53 -04:00
Jay-Jay-D a4f44ada54 LSMA indicator and test added. 
Momersion small changes and fixes:
    - Name changed to MomersionIndicator
    - Conditional to avoid division by zero and estimations with few real observations in case of forward filled data added.
MomersionTest update IPython notebook test address.
 2015-10-28 12:18:26 -04:00
Stefano Raggi f506ad5036 Initial implementation of FxcmBrokerage 2015-10-23 17:29:53 -04:00
snugs df14e885ac Move OandaBrokerage model to Common 
Also adds BrokerageName.OandaBrokerage and supports it from QCAlgorithm.SetBrokerageModel(...)
 2015-10-23 16:00:07 -04:00
snugs 8014da3640 Adds Custom universe API methods 2015-10-21 13:05:17 -04:00
snugs f296d666ee Implements user defined universes 
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
snugs 678cd38fc5 Add Time.MaxTimeSpan to mirror Time.EndOfTime for time spans 2015-10-21 13:05:13 -04:00
snugs 6f15f4139b Move all subscriptions into a universe 2015-10-21 13:05:11 -04:00
snugs 68676a3dab Change IUniverse -> abstract Universe class 2015-10-21 13:05:10 -04:00
snugs 0e2f1fc1c0 Fixes bone-head start/end bug :/ 2015-10-15 17:54:05 -04:00
snugs 1e4114dc1e Don't allow algo to set start/end dat in live mode 
Start and end date in live mode should be set using current time values
 2015-10-15 17:21:24 -04:00
snugs 18066b86a6 Various fixes for live coarse 
Set Start/EndDate in live mode properly
Adds helper to create CoarseFundamental symbols
Dispose of removed subscriptions properly
Remove time slice rounding
Subscribe to the coarse symbols to get data into the exchange
 2015-10-15 13:44:49 -04:00
snugs 8f325e9c39 Add qc- prefix to universe subscriptions 2015-10-07 12:54:31 -04:00
snugs 4eb29a23f5 Generalize IUniverse selection method 2015-10-07 12:54:30 -04:00
snugs c31eb7fa65 Adds support for multiple universes 
This is a scaffolding step in that live will only use the first in the list
Also, there's no API helpers for doing this and it's assumed it's only coarse
fundamental data, the next change removes the coarse fundamental assumptions
 2015-10-07 12:54:29 -04:00
snugs dec42959a8 Adds SubscriptionSettings and Configuration to IUniverse 2015-10-07 12:54:28 -04:00
snugs 0d2d6e1e04 Remove coarse->coarse SetUniverse overload 2015-10-07 12:54:27 -04:00
snugs a642e734fd Rename Fundamental namespace to UniverseSelection 2015-10-07 12:54:26 -04:00
snugs 78dc208fc7 Make IBenchmark instead of using Func directly 
This is in an effort to keep IAlgorithm usable across various languages
 2015-10-07 12:46:56 -04:00
snugs 32d81af072 Change coarse selector to return symbol 
This is less restrictive and the engine really doesn't need the
actual coarse data, just needs to know what symbols to request
data for
 2015-10-01 13:44:27 -04:00
snugs d7520d2a6a Remove explicitly implemented IAlgorithm members 
It seems the IronPython engine had a hard time resolving explicit interface
implementations, so we'll just remove the explcitness. It was originally provided
to coax algorithm writers to not directly use the provider due to its API.
 2015-09-28 15:07:16 -04:00
snugs f3f27d8403 Prevent future history requests 2015-09-23 21:21:08 -04:00
snugs 6bf9cc0f2a Fix duplicate tz application in History API impls 2015-09-23 20:26:22 -04:00
snugs 57f223d2b0 Adds missing History API method 2015-09-23 20:12:01 -04:00
snugs fbc6c4e4f2 Moved History and warmup API methods into QCAlgorithm.History.cs 2015-09-23 19:11:49 -04:00
snugs bf4a6e731a Remove duplicate in History API implementations 2015-09-23 19:11:48 -04:00
snugs 950c2968bd Remove commented out old history API 2015-09-23 19:11:48 -04:00
snugs 96f20443f5 Fixes bug not adding benchmark security 2015-09-23 14:06:07 -04:00
snugs d4f8006443 Revert "Enforce a 100k bar limit on warmup requests" 
This reverts commit 5d30dedb46.

*This check was removed from lean as it is a cloud only concern.
 2015-09-22 21:15:08 -04:00
snugs 5d30dedb46 Enforce a 100k bar limit on warmup requests 2015-09-22 20:17:44 -04:00