580e908123
Update IB.GetAccountHoldings to include conversions
2015-04-30 13:55:38 -04:00
5e419ada8f
Some bug fixes/cleanup for IB live trading
2015-04-29 12:54:13 -04:00
d80b1733a9
Pre ib launch review
2015-04-24 19:12:16 -04:00
8b4fc176cb
Tidy up Algo mgr loop
2015-04-24 13:38:45 -04:00
2a561ee8b4
Div/Split to use method invokers
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Also now firing events using the data dictionaries
2015-04-24 12:29:18 -04:00
6fd357b710
Adds support for dividends and splits
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Updates SubscriptionDataReader to use IStreamReader
Adds FactorFile and MapFile helpers
Adds support for Raw, Adjusted, and TotalReturn data normalization and portfolio application
2015-04-23 20:39:59 -04:00
3af7d5ed43
Adds firing of dividend events
2015-04-23 14:31:15 -04:00
504fef27c6
Add margin buffer in SecurityMarginModel.
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Log errors to algorithm on executing margin call orders
Fixes bug in ConsoleResultHandler where we weren't respecting HandledErrorPackets
2015-04-14 11:17:33 -04:00
de966c65dd
Adds margin call msg to algo
2015-04-14 10:41:39 -04:00
1f15eb2c04
Initial implementation of Margin and Portfolio models
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Changed system to use Margin Models, removing leverage wherever possible allowing for dynamic margin models.
Created first portfolio fill model for FOREX which treats it as a currency swap through the cashbook instead of a tradable asset.
Updated the Securities/SecurityPortfolioManager to use cashbook value + holdings removing FOREX virtual positions.
Created a new benchmark system for comparing quantconnect builds.
2015-04-13 20:51:43 -04:00
9924b0a872
Shares SubscriptionDataConfig in Security
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Updates Securities.Update to take a slice of the 'newData' collection from AlgorithmManager to prevent an n^2 problem
This also has the affect that now all security prices are updated before ANY OnData events are fired (previously imported data could fire before these)
Adds the SubscriptionDataConfig to the Security object and requires it when adding new Securities in SecurityManager
Adds the SubscriptionIndex field to SubscriptionDataConfig, always handled by SubscriptionManager
2015-04-09 10:36:49 -04:00
11da95fed6
Adds IsCurrencyConversionFeed to subscription config
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This prevents data feeds dynamically added just for currency conversions from being sent into the algo
2015-04-08 15:08:04 -04:00
13f1eae744
Wires up total portfolio value to respect currency holdings
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When adding currencies force user to specify a conversion rate used to compute starting capital.
2015-04-08 14:47:10 -04:00
c41a75ac2c
Update currency conversion to use data dictionary instead of realtime prices
2015-04-08 14:47:09 -04:00
b9798d7754
Initial impl of CashBook
2015-04-08 14:47:08 -04:00
adb5046ccd
Removed stop watch from algorithm manager and moved to engine
2015-04-07 18:12:58 -04:00
a559e91ab3
Computes DataPointsPerSecond in AlgoManager
2015-04-07 15:15:16 -04:00
335e64cdcb
Revert "Fixed a few more warnings"
2015-04-07 13:53:33 -04:00
fb52f24de9
Removed trailing white spaces.
2015-04-07 12:27:12 -03:00
52ca3875b5
Merge remote-tracking branch 'origin/master' into warnings
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Conflicts:
Brokerages/InteractiveBrokers/InteractiveBrokersBrokerage.cs
Brokerages/InteractiveBrokers/InteractiveBrokersException.cs
Common/Extensions.cs
Common/Global.cs
Engine/AlgorithmManager.cs
Engine/Engine.cs
2015-04-07 11:23:08 -03:00
e8ad0d7912
Merge remote-tracking branch 'upstream/master' into warnings
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Conflicts:
Algorithm/Examples/TickDataFilteringAlgorithm.cs
Algorithm/QCAlgorithm.Console.cs
Algorithm/QCAlgorithm.Indicators.cs
Algorithm/QCAlgorithm.Trading.cs
Common/Data/Consolidators/TradeBarConsolidator.cs
Common/Data/Custom/Quandl.cs
Common/Data/DynamicData.cs
Common/Data/SubscriptionDataConfig.cs
Common/Extensions.cs
Engine/DataFeeds/FileSystemDataFeed.cs
Engine/Engine.cs
Engine/Results/LiveTradingResultHandler.cs
Engine/SubscriptionDataReader.cs
Indicators/MeanAbsoluteDeviation.cs
Logging/ConsoleLogHandler.cs
Logging/ILogHandler.cs
Logging/Log.cs
2015-04-07 11:17:53 -03:00
8a8f40f5ce
Moved AlgorithmManager.RunTimeError to IAlgorithm
2015-04-06 15:31:12 -04:00
249b974b0b
More white space cleaning
2015-03-12 17:48:20 -03:00
7ca866c5e3
Removing empty spaces from line ends.
2015-03-12 16:54:02 -03:00
88cd0e2a34
Added try-catch around consolidator updating to pass error back to IDE
2015-03-12 13:18:16 -05:00
defee6a5fe
Move result synchronous events processing into main time loop to prevent short data files not processing
2015-03-08 21:36:26 -03:00
928ac944a9
Shuffle realtime.SetTime into backtest only behaviour. Live Realtime will set its own time based on reality
2015-02-25 15:44:45 -03:00
83fdd6a6f3
Removed unused method
2015-02-12 17:51:07 -03:00
22be8a9871
Whitespace and tidy comments
2015-02-12 16:06:31 -03:00
1e4c2ba606
Updated ProcessSync events to accept force parameter and force sending all remaining messages at end of algorithm.
2015-02-12 13:22:47 -03:00
1357571c99
Moved sync event processing outside of time-data loop to trigger event automatically each second
2015-02-07 18:07:26 -03:00
d4c8c10f02
Rework to move synchronous events into transaction hander and result handler plugins so the events could be controlled on a plugin level. e.g. This allowed removing 1 thread context switch from primary algo loop and enabling live trading result handler to trigger its own updates every second independent of algorithm event timing
2015-02-06 12:50:55 -03:00
5001f4a23c
Hooked up live paper trading on the console
2015-01-19 18:32:40 -03:00
a9951819f5
Initial implementation of live trading
2015-01-17 20:51:44 -03:00
b3de520915
Initial commit
2015-01-12 12:03:33 -03:00
snugs