8d0ad017e8
Merge pull request #1582 from StefanoRaggi/add-security-dup-check
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Add duplicate security check in AddSecurity
2018-02-19 15:16:23 -05:00
79d33a5ea2
Add unit test for duplicate security check
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Also updated error message to show user input parameters.
2018-02-17 01:29:31 +01:00
16dce1aaa1
Update failing test with duplicate AddForex call
2018-02-17 00:48:01 +01:00
db7d19987b
Remove empty shorting tests
2018-02-16 22:56:20 +01:00
f1fd14538f
Add CashModelAlgorithmTradingTests
2018-02-16 22:03:19 +01:00
59cb7d58d8
Update test expected value due to cash model
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Shorts are not allowed with cash model.
2018-02-12 17:38:13 +01:00
f08184c0ae
Revert class name changes from #1506
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This caused several user algorithms to break. Also, its still correct to
call these margin models.
2018-02-04 14:20:38 -05:00
5b5a56102b
Remove IBuyingPowerModel.GetMarginRemaining, add GetBuyingPower
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The GetMarginRemaining method in SecurityMarginBuyingPowerModel class is made protected as it can still be overridden in derived classes.
2018-01-31 11:47:35 +01:00
acb5db6cf5
Rename Security.MarginModel to BuyingPowerModel
2018-01-31 11:47:34 +01:00
baced83ac4
Rename interface ISecurityMarginModel to IBuyingPowerModel
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Also renamed all existing margin models to buying power models:
- SecurityMarginModel -> SecurityMarginBuyingPowerModel
- FutureMarginModel -> FutureMarginBuyingPowerModel
- OptionMarginModel -> OptionMarginBuyingPowerModel
2018-01-31 11:47:34 +01:00
2952e30f15
Remove GetInitialMarginRequiredForOrder and GetInitialMarginRequirement from ISecurityMarginModel interface
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GetInitialMarginRequiredForOrder and GetInitialMarginRequirement methods in the SecurityMarginModel class are made protected as they can still be overridden in derived classes.
2018-01-31 11:47:33 +01:00
b5c5329522
Fix failing test
2018-01-15 14:36:51 +01:00
4c1eb022d3
Adds unit tests for decimal cases
2017-12-04 14:04:28 +00:00
dc0f5c649b
Fix failing test
2017-10-26 18:15:08 +02:00
fb7d1994ff
Tidy and add tags
2017-09-20 17:14:44 -04:00
57d364d5c0
Fix crypto subscription tests
2017-09-06 23:33:05 +02:00
6c06413fe4
Moves existing bitfinex to crypto and updates crypto tests
2017-08-30 13:46:30 +01:00
ca4cd13476
Merge branch 'master' of https://github.com/QuantConnect/Lean
2017-08-29 11:11:04 +01:00
4b4f8efb0d
Fix InteractiveBrokersBrokerageModel fee model with Forex
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When calling SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage) fees were reported as zero for Forex orders
2017-08-24 18:48:52 +02:00
83fdf9c386
crypto wip
2017-07-14 16:53:42 +01:00
9139ca7c40
Merge master into issue-330/decimal-quantity
2017-06-19 23:50:26 +02:00
ea26f261e8
Add tests for algorithm initialization
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Different call sequences for AddSecurity, SetBrokerageModel, SetSecurityInitializer
2017-05-31 19:51:06 +02:00
70735cea12
Fixes API indicators with quote subscriptions
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When indicators received data from securities that were subscribed as QuoteBar or TickType.Quote, they were consolidated as TradeBars.
Tick were consolidated into TradeBar even when period were zero. Tick object information was lost in the process. With this fix, Tick keeps being Tick.
Adds tests for ResolveConsolidator to verify the consistency between input and output type
TradeBar -> TradeBar
QuoteBar -> QuoteBar
TickType.Trade -> TickType.Trade or TradeBar
TickType.Quote -> TickType.Quote or TradeBar
2017-03-06 10:22:27 -03:00
533e32b2f4
Fix DefaultDataFeeds failing test
2017-02-06 17:07:42 +01:00
334ea4bdeb
Removed duplicate derivative subscription in SecurityManager. Test.
2016-12-27 16:57:39 +01:00
586c2b4006
Fixing issue with invalid data in portfolio holdings for futures
2016-12-09 14:40:53 +01:00
c71a55f7a9
AvailableDataTypes is now part of SubscriptionManager
2016-11-23 13:42:55 -05:00
f78831d629
Forex now defaults to QuoteBar data feeds and is backwards compatible with TradeBars
2016-11-21 16:41:44 -05:00
ed3603e344
Fixed bug where custom BaseData types were not added to subscriptions
2016-11-21 10:11:42 -05:00
6397ee858a
Added tests to prove data feeds can be configured in config.json
2016-11-18 17:58:21 -05:00
81fe2a94cb
Data formats (Trade/Quote) are configurable for each security
2016-11-18 15:30:54 -05:00
389066fb86
Comment Fixes
2016-09-22 15:03:35 -04:00
a8621ba99c
Default security markets are specified in BrokerageModel.DefaultMarkets
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The default value for the market parameter in AddForex, AddOption, AddEquity and AddCfd is null. This allows unspecified markets to be set from the BrokerageModel.DefaultMarkets in the AddSecurity method for new securities added with these methods. SetBrokerageModel updates BrokerageModel.DefaultMarkets and therefore the market used for all new securities.
2016-09-22 14:50:48 -04:00
3ba97abe8e
Remove compiler warnings from Tests project
2016-08-19 12:02:09 +02:00
0e8755dc48
Changes related to #330 order quantity decimalized
2016-06-24 11:53:29 +01:00
7763efdc83
Changes related to #330 order quantity decimalized
2016-06-24 11:28:21 +01:00
37b175f3c6
Added tests to test the rounding off of order quantities using SetHoldings
2016-06-15 18:30:11 -04:00
c6ab064ef4
Commented out console output in AlgorithmSetHoldingsTests
2016-03-23 10:53:45 +01:00
90aac22788
Adds more tests for CalculateOrderQuantity
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Includes a few tests with different initial and maintenance margins
2016-03-16 00:38:18 +01:00
9bba569bff
Adds new tests for CalculateOrderQuantity
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These tests include 240 combinations generated using different positions, order fees, price movements and leverages
2016-03-15 01:06:59 +01:00
29accc8011
Adds some failing tests for CalculateOrderQuantity
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Tests include three different leverages and small order fees
2016-03-15 00:49:26 +01:00
9e660ffcbe
Remove usages of Symbol implicits from non-algorithm projects
2015-11-18 18:15:31 -05:00
e1938baafe
Clean up using directives
2015-09-01 22:17:35 -04:00
844a040be5
Initial impl of coarse universe selection
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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
2015-08-06 17:52:23 -04:00
c8c32b4838
Remove dependence on SubscriptionIndex
2015-08-06 17:52:22 -04:00
6064662514
Improves SetHolding implementation and provides tests
2015-07-21 11:14:19 -04:00
76e4ed6836
Use CultureInfo.InvariantCulture in parse routines
2015-07-09 18:50:02 -04:00
6165c354e7
Initial implementation of TradierBrokerage
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Adds new base test class for brokerages: BrokerageTests
2015-05-20 16:37:33 -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
c845e21feb
Added culture invariant info to all convert to decimal references, close #25
2015-02-17 22:50:33 -03:00
Jared