bad76583aa
Merge branch 'master' of https://github.com/QuantConnect/Lean
2015-06-29 12:52:08 -04:00
dd506279b7
Version bump Newtonsoft and MathNumerics, strip unnessary refs
2015-06-29 12:00:46 -04:00
85c8cfa3a2
Added XML documentation for Ichimoku indicator
2015-06-26 11:22:11 +08:00
f1d566fdd3
Added ichimoku indicator
2015-06-26 10:41:27 +08:00
82b2b7c2d7
Optionally wait for indicator to be ready before plotting
2015-06-22 17:28:18 -04:00
1cc048e481
Make PlotIndicator more generic
2015-06-22 15:02:41 -04:00
3636124c5e
Misc edits from code review
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Removed unused BaseDataFeed and IQFeedDataFeed
Add catch for NullReferenceException in stream store
ConsoleSetupHandler now throws on live jobs, use BrokerageSetupHandler
Renamed/moved FixedSizedQueue to Util\FixedSizeQueue
2015-06-18 17:19:36 -04:00
cd7bc2d8d3
Add Identity helper with resolution, improve indicator name
2015-06-17 22:34:03 -04:00
55a6215da6
Split QCAlgorithm and Algorith,CSharp into separate projects, added FSharp project for algorithms
2015-06-17 17:44:02 -04:00
deb8fc5995
Fix issue with algorithm nuget packages
2015-06-17 09:45:11 -04:00
fde0cbed3a
Strip out block quote section header comments
2015-06-13 16:04:27 -04:00
cf160b49de
Some fixes from SubscriptionDataSource review
2015-06-11 22:27:42 -04:00
96396c676a
OBSOLETES:: BaseData.Reader and BaseData.GetSource
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The existing method signatures have been made obsolete in favor of something slightly simpler and more deterministic.
The new methods accept a bool isLiveMode flag instead of the DataFeedEndpoint.
The GetSource method returns a new type: SubscriptionDataSource, which combines the source string and the SubscriptionTransportMedium.
Existing sub-types of BaseData have been updated with the new signatures. IBaseData has not been touch as it is mostly unused by LEAN infrastructure.
2015-06-11 17:34:53 -04:00
0b1a76a030
Updates hourly/daily data to use scale factors like second/minute
2015-06-09 13:39:06 -04:00
281ada4eef
Adds preorder checks for currency feeds for forex
2015-06-08 21:29:26 -04:00
dc7865c4d5
Amend variable name 'donchianChannel' on QCAlgorithmn.Indicator
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Amend variable name on 'donchianChannel' on QCAlgorithmn.Indicator
2015-06-04 22:51:35 +10:00
efbac9215d
Implemented Donchian Channel indicator with accompanying tests
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Implemented Donchian Channel indicator with accompanying tests
2015-06-04 22:48:29 +10:00
641d643cc3
Throw error from ResolveConsolidator if requested res too high
2015-06-03 11:19:55 -04:00
887faa24e7
Adds support for hourly/daily data to LEAN engine
2015-06-02 21:44:44 -04:00
2ef6333096
Adds reg test that relies heavily on fill forward
2015-06-01 13:56:55 -04:00
099cee9b3f
Implements MarketOnOpen and MarketOnClose order types
2015-05-26 19:20:05 -04:00
4a404b968c
Implements BrokerageModel
2015-05-26 10:40:25 -04:00
225eaf81c9
Initial impl of brokerage model
2015-05-23 15:44:00 -04:00
cf5efba946
Fix superfluous comments.
2015-05-20 00:49:53 +10:00
696eed5b4a
Implemented minor fixes to conform to standards.
2015-05-20 00:47:53 +10:00
526ca0292b
Implemented the Average Directional Index Indicator with accompanying test data and unit tests.
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Implemented the Average Directional Index Indicator with accompanying
test data and unit tests.
2015-05-19 23:07:17 +10:00
df7ae5b63b
Adds volume to Field selector class
2015-05-19 00:24:27 -04:00
0478490e62
Added helper overload for STO, fix comments
2015-05-17 15:27:43 -04:00
a449048de2
Added Stochastic helper method
2015-05-17 15:24:38 -04:00
ac3b51ca83
Rename OnBalanceVolume helper method to OBV
2015-05-17 14:21:43 -04:00
89b6e98af8
Fixes warnings mostly relating to xml comments
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Also cleans up some block comments
Via PR#72 - thanks @ammachado!
2015-05-13 10:56:47 -04:00
a443071fe2
Merge pull request #81 from bizcad/issue-79/Assure-Sell-quantity-is-negative
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Closes #79 - Thanks for another amazing contribution @bizcad!!
2015-05-13 10:05:52 -04:00
e1827fae31
Implements OnMarginCall and OnMarginCallWarning events
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Also fixes bug in ConsoleResultHandler to process log/debug/error messages synchronously
2015-05-12 18:16:25 -04:00
ffd7d99aa3
Adds Field.cs static class for indicator selectors
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Adds PlotIndicator which wires up event to plot on new values
2015-05-11 21:33:30 -04:00
e4f5219a7f
Update origin master from upstream
2015-05-09 20:38:02 -07:00
bed1941b77
issue-79/Assure-Sell-quantity-is-negative
2015-05-09 19:18:30 -07:00
dfdd29195b
Modifies stream symbols algo to randomly select symbols
2015-05-06 10:22:38 -04:00
449150f71e
Fixes SetHoldings when crossing zero line
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Improves margin remaining computation as well
2015-05-05 21:07:03 -04:00
9dd02c0271
SetHoldings bail if margin rem less than per share
2015-05-04 22:29:55 -04:00
e346eaad76
Add purge method to Series
2015-05-04 21:33:29 -04:00
aa4d08931d
Merge pull request #77 from bizcad/issue-74/second-try
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Closes #74 - Linear Weighted Moving Average
Thanks @bizcad for the awesome contribution!
2015-05-04 19:47:23 -04:00
37dfff6b88
Break from set holdings loop when qty is 0
2015-05-04 19:43:50 -04:00
b9b6c12ae6
Mark symbol name for indicator data points
2015-05-04 19:43:49 -04:00
491c45c3a7
Adds benchmarks from recent commits
2015-05-03 19:28:32 -04:00
3831e9340f
update for LWMA
2015-05-01 17:02:16 -07:00
49b398f8ff
DataStream sync by end of bar
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Adds EndTime to BaseData
Adds Period to TradeBar
Now filling data forward on days missing files/data
Some performance enhancements
Removed sorted dictonary in DataStream/AlgorithmManager
We round down fill forward data in the data stream since if we were to perform this in the data feed we would continually produce data at the same time and it would all go into the algorithm at once.
2015-05-01 19:23:57 -04:00
fde1ce0750
wording change evenly to linearly in QCAlgorithm.Indicators
2015-05-01 14:11:07 -07:00
e27a93ee60
Added WeightedMovingAverage Indicator including, MovingAverageType, tests and registration.
2015-05-01 12:14:25 -07:00
3959bb5218
Adds a period to the TradeBar
2015-04-30 18:46:36 -04:00
b652895ede
Updates to QC Algorithm to allow all messages in live mode
2015-04-30 14:33:25 -04:00
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