c67ff638f4
Renames Symbol.SID to Symbol.Permtick
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Coming soon we'll have a full SID system, so renames to make backwards compatibility easier
2015-09-20 23:14:53 -04:00
e1938baafe
Clean up using directives
2015-09-01 22:17:35 -04:00
df79ce30c2
Adds the Symbol type
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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.
2015-09-01 22:17:10 -04:00
ed957a74a7
Produce symbol changed events
2015-08-25 21:22:42 -04:00
770d89e532
Tweak CalculateOrderQuantity to use same price variable for error detection and math
2015-08-05 18:09:43 -04:00
0a74f6fe24
Fixes bug in order time stamps
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This also resolves an issue of filling daily orders on open of same bar
2015-07-27 18:52:32 -04:00
0a43624549
Adds check for data in CalculateOrderQuantity
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Adds check to verify we have data for the security
2015-07-27 13:09:45 -04:00
6064662514
Improves SetHolding implementation and provides tests
2015-07-21 11:14:19 -04:00
9bc0c8e450
Updates order field to properties with internal set
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This is to compile break user algorithms trying to set order properties to perform order updates
2015-07-16 00:53:38 -04:00
fea7d4de25
Rework setholdings to allow multiple calls. Changed behavior to be VALUE not BUYING POWER
2015-07-14 15:58:44 -04:00
4cc5c1daf7
Use fill price for order value when filled
2015-07-09 18:24:03 -04:00
d636b10dca
Remove market price as parameter to SubmitOrderRequest
2015-07-09 11:12:18 -04:00
704bfc2298
Adds new order ticket system
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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
2015-07-08 23:40:28 -04:00
9c1b0f4616
Move order/order queue storage to transaction handler
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Expose order and order processing ability via IOrderProvider/IOrderProcessor
2015-07-02 15:07:35 -04:00
281ada4eef
Adds preorder checks for currency feeds for forex
2015-06-08 21:29:26 -04:00
887faa24e7
Adds support for hourly/daily data to LEAN engine
2015-06-02 21:44:44 -04:00
099cee9b3f
Implements MarketOnOpen and MarketOnClose order types
2015-05-26 19:20:05 -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
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
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
37dfff6b88
Break from set holdings loop when qty is 0
2015-05-04 19:43:50 -04:00
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
bec932719c
Add symbol to error message for user
2015-04-28 10:09:08 -04:00
8b4fc176cb
Tidy up Algo mgr loop
2015-04-24 13:38:45 -04:00
b869ab7f4b
Updates SetHoldings in light of MarginModel changes
2015-04-14 13:11:18 -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
30ce0a8e01
Made no data message an error not debug
2015-03-19 15:04:29 -05:00
53f85f4ebd
Reworked order limits for maximum per backtest-day for free accounts and unlimited for subscribers
2015-03-12 19:31:00 -05:00
9bd4c3017c
Rework SetHoldings calculation to factor in fees
2015-03-10 16:48:54 -05:00
6f3d2ddc52
Updated SetHoldings to factor in fees when setting holdings fractionally, added a 1% safety margin to avoid market price changes rejecting orders
2015-03-08 22:24:02 -03:00
ec7bc3bef4
Added stop limit order type helper method to QC Trading
2015-02-27 18:09:32 -03:00
118f037e43
Set market price for market orders in QCAlgorithm Trading
2015-02-27 14:08:59 -03:00
5a0760cc5e
Added in obsolete helper methods to ensure algorithms don't break with new order changes
2015-02-23 15:36:33 -03:00
30c0efca19
Added helper methods for market, stopmarket and limit order types. Updated comments, separated preOrderChecks into dedicated method
2015-02-23 15:01:34 -03:00
53e73bd2b0
Use stringIsNullOrEmpty method
2015-02-04 19:56:51 -03:00
a2f22bc25e
Added Security.HasData property
2015-01-29 19:43:36 -03:00
44706e8d57
Adds SecurityType to Order
2015-01-23 11:46:46 -03:00
b3de520915
Initial commit
2015-01-12 12:03:33 -03:00
snugs