Added Trade and TradeBuilder classes
Added UtcTime and OrderFee property to OrderEvent class
Added AlgorithmPerformance class with a few metrics + tests
Added portfolio statistics + rolling statistics
Closes#30 via PR #164
Thanks @SteffanoRaggi!
Added new PSAR indicator and associated helper method and test.
The PSAR implementation is based on the TA-Lib project implementation.
Included test use the provided spy_parabolic_SAR.txt data.
PR #165
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
Add dynamic data flag to config
Remove dynamic data flag from Security
Rename dynamically loaded flag to IsCustomData
Remove Security from SubscriptionDataReader ctor
This includes updating all usages of symbol as a security identifier to use the new type.
The type includes a unique field, SID, as well as the current ticker's value. This allows
for consistent addressability while also allowing the ticker to evolve over time with the
mapping changes.
Effort was made to maintain compile and runtime backwards compatibility.
Algorithms can now use syntax like the following to define events:
Schedule.Event(name).{DateRuleMethod}.{TimeRuleMethod}.Run( lambda )
For example: Schedule.Event(tues).Every(DayOfWeek.Tuesday).AfterMarketOpen(SPY, 20).Run(MyTuesdayHandler);
Adds the ScheduleManager which allows an algorithm to add/remove scheduled events
Check out the ScheduledEventsAlgorithm for syntax
ScheduledEvents are at their core an IEnumerator<DateTime> that defines the event times coupled with a callback
IDateRule defines dates for events
ITimeRule defines time(s) on a given date for events
Adds concept of Subscription to contain everything a data feed needs in order to process single data feed item
Moves preparation of all data to data feed thread, algo thread receives data in format it needs
QCAlgorithm.SetUniverse( func ) allows selection based on market/symbol/dollar volume/price
Remove laziness from Slice as optimization, no order by in real time handler
This change adds OnData(Delisting data) event handler to the algorithm and is fired when a security gets delisted.
Likewise, when a security is delisted, data will stop being sent into the algorithm and if the algorithm has any
holdings then a MarketOnClose order is submitted at midnight on the last day of trading. If you require that the
algorithm does not sell its shares, then you must cancel the MarketOnClose order before close of trading.
Send isLiveMode directly into data readers instead of resolving from data feed endpoint
Added some expression extensions, AsEnumerable() :)
Fixed Identity names, added optional name parameter for deconflicting
QCAlgorithm order functions now return an OrderTicket
OrderTicket can be used to directly update or cancel an order
Placing an order now submits an OrderRequest which is processed by the ITransactionHandler
Time sync:
* Data feeds are required to time sync in UTC time
* TimeSlice.Time is now in UTC
IAlgorithm
* Time is now exclusively the algorithm's local time zone
* Added UtcTime
* SetDateTime( DateTime ) accepts a UTC time and is internally converted
SubscriptionDataConfig
* Adds market and time zone as required ctor parameters
SecurityExchange
* Now passes most calls directly through to SecurityExchangeHours class
SecurityExchangeHours
* Holds market hours for each day of week (LocalMarketHours)
* Talks in terms of local times in the SecurityExchangeHours.TimeZone time zone
Data/market-hours/
* New data folder to hold market hour information
* Includes market-hours-database.csv to hold market hours per market/symbol/security (see doc in file)
* Includes holidays-usa.csv to hold holidays for 'usa' market
+ The holiday files follow the pattern 'holidays-*.csv' where * is the market
TimeKeeper
* Receives updates in UTC time
* Passes that to LocalTimeKeeper's who lazily evaluate the time in their respective time zones
* Eventually this can grow to be the sole source of time in the algorithm's scope
MISC:
* Fixes exception thrown when exiting LiveTradingDataFeed
* Fixes exception thrown when exiting FileSystemDataFeed
* Fixes exception thrown when exiting StatusPing
* Simplify FillForwardEnumerator logic with GetNextMarketOpen
* Adds many time zones, see TimeZones.cs
Also cleans up IAlgorithm interface of unused/old methods
Slice is a new type that contains all the data from a time slice to be sent into an algorithm
snugs