1642aed05a
Refactor PreOrderChecksImpl() and add lot size check for 0-quantity orders
2016-07-13 16:00:37 -04:00
5fe577f331
Adds Option.Underlying, set via PostInitialize
...
Individual option securities will have this value set by the Universe on security creation
2016-04-07 14:33:55 -04:00
7b183eded3
Add equity security for options in PostInitialize
2016-04-07 14:18:25 -04:00
e392183bb4
Adds QCAlgorithm.AddOption
2016-04-07 14:12:47 -04:00
e7c37a84ff
Adds support for OnData(QuoteBars/OptionChains)
2016-04-07 13:39:30 -04:00
12d8df887a
Remove duplicate universe storage in QCAlgorithm
2016-03-16 19:39:35 -04:00
262900a5dd
Fixes bug in forex symbol properties quote currency
2016-03-02 23:27:12 -05:00
ba22908dc5
Adds AddEquity/Forex/Cfd methods
2016-03-01 14:06:36 -05:00
4d9ddc7f72
Moved QCAlgorithm pattern helpers to CandlestickPatterns class
2016-02-24 00:56:54 +01:00
1d07e5d31a
Move IBrokerageFactory.DefaultMarkets to IBrokerageModel
2016-02-04 13:27:53 -05:00
f7f4e961e4
Update SecurityManager.CreateSecurity overload to take a SymbolProperties argument
2016-02-01 23:33:55 +01:00
6a381a990e
Adds SymbolPropertiesDatabase argument to SecurityManager.CreateSecurity
2016-01-23 00:03:50 +01:00
f5d2eb0b8a
Adds symbol properties database loading in QCAlgorithm
2016-01-22 23:49:41 +01:00
4783a1ace9
Calls to SetBrokerageModel create new SecurityInitializer
...
... unless SetSecurityInitializer has been called (explcitily set by user),
in which case we'll respect what the user passed in.
2016-01-19 15:33:29 -05:00
473a3a6dc5
Extact IBrokerageModel factory method from enum
2016-01-19 15:24:28 -05:00
d4131317cc
Adds SetSecurityInitializer helpers in QCAlgorithm
2016-01-19 15:18:08 -05:00
fc0bc11909
Move IAlgorithm.AccountType->IBrokerageModel.AccountType
2016-01-19 15:12:15 -05:00
7fb2073fab
Invoke ISecurityInitializer in Security.CreateSecurity
...
This removes the SetupHandler.UpdateModels(...) method which used the brokerage
model to set fill/fee/slippage/settlement models. This will also allow the
removal of flags indicating that the user has set certain Security properties
2016-01-19 13:13:00 -05:00
55586ef819
Adds SecurityInitializer to IAlgorithm
2016-01-19 12:42:36 -05:00
589a84224d
Fixes bug market benchmark as internal feed
...
Updated the AddToUserDefinedUniverse method to handle adding to the Securities
collection to prevent this from happening again.
2015-12-28 11:05:26 -05:00
fc7d507faa
Fixes benchmark symbol when not manually added
2015-12-21 16:41:32 -05:00
f33cffe77f
Moves asset count limit logic out of Algorithm namespace
...
Since we now support universe selection and by convention never remove a security
object, we can't rely on the counts of the security manager to perform limits on
data subscriptions, this logic was moved deeper into the engine, where we perform
UniverseSelection, which is the path taken to add new data subscriptions
2015-12-21 16:13:23 -05:00
2b0fd189ed
Renames IAlgorithm.Universes->UniverseManager
2015-12-17 17:32:13 -05:00
380149fe9a
Change benchmark resolution if universes are present
2015-12-17 17:22:51 -05:00
a77950ce56
Adds UniverseDefinitions, DollarVolumeUniverseDefinitions
2015-12-17 17:17:56 -05:00
ba710ae7b1
Change default min time in universe to 1 day
2015-12-17 14:56:24 -05:00
0f599f5697
Reverts preventing set cash in live mode
...
We were leaning on BrokerageData having project equity in there, but
this breaks home consumers who would expect the SetCash function to
just work
2015-12-15 14:39:38 -05:00
0fbab8a550
Check SymbolCache when adding securities, enables delisted
2015-12-15 08:58:15 -05:00
ada41f7e8f
Adds MinimumTimeInUniverse to UniverseSettings
2015-12-14 19:13:24 -05:00
a29ebf0595
Rename SubscriptionSettings to UniverseSettings
2015-12-14 16:58:18 -05:00
957fba1ea5
Disable SetCash in live mode
...
If required, use Portfolio.SetCash, this is what the setup handler now uses
2015-12-11 16:41:30 -05:00
53a64ea3ba
Use default market map in AddSecurity
2015-12-10 15:19:23 -05:00
8dad5f4c0a
Adds IAlgorithm.SetDefaultMarkets
2015-12-10 15:19:21 -05:00
bc6ffbce0c
Set algorithm parameters from job packet
2015-12-10 13:45:40 -05:00
b167b7725d
Adds GetParameter and SetParameters to IAlgorithm
2015-12-10 13:45:39 -05:00
f3834df1a0
Return Security instance from IAlgorithm.AddSecurity
2015-12-09 13:32:37 -05:00
565c3bc6f7
Adds AddRemoveSecurityRegressionAlgorithm
2015-12-09 13:32:34 -05:00
fa12434f98
Remove locked check from AddSecurity
...
This now allows algorithms to add securities during a running algorithm
2015-12-09 13:32:31 -05:00
3a322e0877
Change IAlgorithm.Universes to use UniverseManager type
2015-12-09 13:32:29 -05:00
7e37804c7e
Use Symbol.Create instead of SID.Generate* methods
2015-12-07 12:31:46 -05:00
796b9666db
Adds QCAlgorithm.Universe for universe functions
2015-12-07 12:02:07 -05:00
242f479fb3
Remove SetUniverse, now only AddUniverse
2015-12-07 12:02:07 -05:00
be950e756a
Log full errors/stack traces
...
Many places in the code used Log.Error(err.Message) or equivalent which
strips out all the really useful information, such as the stack trace
and inner exceptions. Using Log.Error(exception) is the correct way to
log an error as it will correctly write all the message details, also,
by passing the full Exception object we can improve the logging in this
one place and all call sites will automatically benefit from the improvements
2015-12-02 12:35:33 -05:00
c6d0fc673b
Force custom securities through CreateSecurity
...
AddData<T> was never properly converted to go through the SecurityManager.CreateSecurity
method which led to custom symbols not being loaded into the symbol cache.
2015-12-02 10:58:26 -05:00
95bfe729a8
Adds ExchangeTimeZone to SubscriptionDataConfig
2015-12-01 12:03:00 -05:00
8621c3ad8e
Review usages of GetExchangeHours, use correct tz property
2015-11-30 18:20:21 -05:00
75a81f581e
Rename SecurityExchangeHoursProvider to MarketHoursDatabase
2015-11-30 16:50:09 -05:00
be65ccda10
Brokerage message events on IAlgorithm
...
Added the following virtual methods:
- OnBrokerageMessage(BrokerageMessageEvent)
- OnBrokerageDisconnect()
- OnBrokerageReconnect()
2015-11-26 22:35:25 +01:00
5161dc9dd0
Use Market string constants instead of literals
2015-11-23 13:55:58 -05:00
43fc0a2d6d
Cleans up some methods accepts Symbol, sec type/market
2015-11-19 20:16:03 -05:00
jaredbroad