* Adds LimitIfTouched order.
TODO:
-- Add tests.
-- Add into existing regression algorithms.
-- Refactors (?)
* Fixes
- Remove unrequired space changes
- Fix EquityFillModel min/max limit price fill
- Add TriggerPrice for UpdateOrderRequest.
Quote info used w.r.t. comparing against Limit prices for LIT
FillModel.cs implementation is fixed to use quotes when comparing against set limit prices.
Also changes test implementations to assert which of quotes/trade-bars are being used
Reviewer-suggested fixes
------------
Merge remote-tracking branch 'origin/limiftouched' into limiftouched
Styling
Adds missing null check for quotebar
Styling
Adds missing null check for quotebar
Merge remote-tracking branch 'origin/limiftouched' into limiftouched
High/Low w.r.t. trigger price for determining if TriggerTouched changed to Current price
https://github.com/QuantConnect/Lean/pull/5164/files/0462ad668a5fe65e771122165f36c72d56b92df6#r569832380
fill fixes:
FillModel.cs: Fills exactly at the limit
EquityFillModel.cs: https://www1.interactivebrokers.com/en/index.php?f=608
Equity fill now uses quotebars
Revert - use new constructor which emulates former SubmitOrderRequest
Style changes
Reverts order model to original by means if new constructor
High/Low w.r.t. trigger price for determining if TriggerTouched changed to Current price
https://github.com/QuantConnect/Lean/pull/5164/files/0462ad668a5fe65e771122165f36c72d56b92df6#r569832380
fill fixes:
FillModel.cs: Fills exactly at the limit
EquityFillModel.cs: https://www1.interactivebrokers.com/en/index.php?f=608
Equity fill now uses quotebars
Revert - use new constructor which emulates former SubmitOrderRequest
Style changes
Reverts order model to original by means if new constructor
Merge commit 'bf4c96d2a055ea808fa4293662528c11a89b72c7'
* Suggested style fixes
* Review fixes
-------------------
- Suggested style fixes
- Changes LIT regression to better incorporate order modifications
- TODO: orderlisthash must be fixed
Fixed LIT regression algo
-----------------------
- Includes asserts in OnOrderEvent
* Fix OrderListHash
OrderListHash -> -292689487
* Re-adds quote nullchecks
* EquityFillModelTests fixes asserts
* Reordering FillModel.cs
* Fixes quote logic, adds methods in FillModel.cs
* Refactoring + LIT regression fixes
-- revert unneeded changes
* Fixes list hash
* Rebase -- catch up upstream
* OrderListHash fix
* Various fixes by reviewer
* Final requested changes
* tagged time -> utcinvariant
* Fixes listorderhash
* Time changed to UtcTime.ToString(DateFormat.US, CultureInfo.InvariantCulture)
* Adds Python LimitIfTouchedRegressionAlgorithm
* adds LimitIfTouchedRegressionAlgorithm.py
* adds LimitIfTouchedRegressionAlgorithm.py
* Minor changes to LIT regression algorithms
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Fixes ETB/shortable regression algorithms that were previously failing
* Addresses review and fixes bug
* Fixes bug where orders would be denied regardless of direction
whenever they exceeded the absolute value of the shortable quantity
* Updates regression algorithm + statistics + simplifies test
* Fixes python regression algorithm
* Addresses review: removes comments and unneeded imports
* Creates IShortableProvider interface + interface impls
* This is the foundational work for the addition of the shortable stocks
feature for backtesting and live trading. Note that the QCAlgorithm
API and the backend transaction handling will be implemented
separately.
* temp; work on preorder checks
* improve checks
* tmep
* Enforces ETB checks at BrokerageTransactionHandler
* Adds ETB Shortable Provider to QCAlgorithm and IAlgorithm
* Removes ETB check from PreOrderChecksImpl
* Removes outdated test, new test to come soon for relevant class
* Work in progress commit, pushing for review.
* Adds new regression algorithm (WIP)
* Enhances ShortableProviderOrdersRejectedRegressionAlgorithm
* Adds new methods to QCAlgorithm
* Move IShortableProvider to have BrokerageModel own it
* Comments updates
* Adds new properties to Equity Security for shortable
* Fixes bug where retrieving open order quantities would aggregate the
submitted order quantity rather than the remaining order quantity for
open orders.
* Fixes bug where quantity of zero would result in a
false positive in QCAlgorithm.Shortable(...)
* Code refactoring and comments updates
Co-authored-by: Jared <jaredbroad@gmail.com>
A new IBrokerageCashSynchronizer interface has been added to allow brokerage implementations to handle the cash sync process. Most of the cash sync logic has been moved from the BrokerageTransactionHandler to the base Brokerage class.
The IB brokerage will not attempt to perform cash sync during server reset times, respecting the different regional schedules (see also #3413).
- For backtesting the algorithm thread will sequentially process pending
order requests
- Adding new non blocking `BusyCollection`
- Updating `UpdateOrderRegressionAlgorithm` that suffered of a race
condition: it supposed `OnOrderEvent` would be called after the call to
`Transactions.AddOrder()` was finished
- Removing `using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm`
- Removing `QCAlgorithmFrameworkBridge`
- Removing `IsFrameworkAlgorithm`
- Making `EmitInsightBasedOnFill` private. Adding new
`IOrderEventProvider` exposing an `event` to which `QCAlgorithm` will
subscribe.
- `AccountType.Cash` algorithms will be allowed to manually trade and
emight insights manually or with alpha model.
- Classic Algorithms will emight insights based on order fills.
- To be able to update generated insights closed time, we will not
clone emitted insights.
- `InsightAnalysisContext` will update `AnalysisEndTimeUtc` when the
Insight period is closed and the period is `EndOfTimeTimeSpan`
- Adding new regression algorithm asserting on the new emitted insights
- Adding unit tests
- `LiveTradingResultHandler` will store `AlphaRunTimeStatistics`
- Making `DefaultAlphaHandler.ProcessAsynchronousEvents` virtual to
facilitate cloud changes
- `GetCashBalance()` will return a `List<CashAmount>`, will not need to
set conversion rates, which requires knowing what the account currency is.
- Removing `Global.Holding` conversion rate field. It wasn't being used
and required knowing what the account currency is.
- Adding equality operators for `CashAmount`. Adding unit tests.
- Removing `AccountCurrency` from `Cash` and `Brokerage` classes.
`ICurrencyConverter` will now provide the `AccountCurrency`
- Adding new static `OrderFee.Zero` which will return a 0 order fee in
`NullCurrency`
- Adding static `Currencies.USD` value, replacing all "USD".
- Addin new static `Currencies.NullCurrency`
- Updating Bitfinex `FeeModel` so it return fees in quote currency.
Adding unit tests
- Replacing `decimal` for `OrderFee` at the `OrderEvent`.
- Adding `FeeModelNotUsingAccountCurrency` regression test
- Adding unit tests for `CashBuyingPowerModel` and `SecurityMarginModel`
with non account currency fees
- added tracking of failed cash sync attempts and throw if maximum reached
- added extra log traces in IB GetCashBalance and in BrokerageTransactionHandler
- added endless loop unit tests for both BrokerageTransactionHandler and InteractiveBrokersBrokerage
LastFillTime is updated on each partial/fill order event
LastUpdateTime is updated on each submitted order event w/ update count > 0
CancelTime is updated on canceled order events
Also fixes bug in regression algorithm where it used Time instead of UtcTime
for creating the SubmitOrderRequest object.
The HasSufficientBuyingPowerForOrder method has been updated to return a result object including the reason the order cannot be executed.
The SetHoldings method has also been updated to display a message if CalculateOrderQuantity returns zero.
This PR is an attempt to reduce contention in concurrent dictionaries, replacing method calls using full locks with lock-free equivalents:
- dictionary.Count -> dictionary.Skip(0).Count()
- dictionary.Keys -> dictionary.Select(x => x.Key)
- dictionary.Values -> dictionary.Select(x => x.Value)
The most frequent usages of these methods are: CashBook, SecurityManager, UniverseManager and indirectly, SecurityPortfolioManager.
The reasons for this update are explained very clearly in this article:
https://arbel.net/2013/02/03/best-practices-for-using-concurrentdictionary/
Colton Sellers