abaa73ebce
Add new IgnoreUnknownAssetHoldings algorithm setting ( #8764 )
...
* Add new IgnoreUnknownAssetTypes algorithm setting
* Wire brokerage message handler before algorithm initialization
* Ignore unknown assets by default
* Trigger Build
* Rename IgnoreUnknownAssetTypes to IgnoreUnknownAssetHoldings
* Minor change
* Minor change
2025-06-04 09:07:57 -04:00
d9bdbab810
Feature: Implementation Tastytrade Brokerage ( #8809 )
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* feat: Tastytrade brokerage helper classes and configs
* refactor: TastytradeFeeModel
test:feat: TastytradeFeeModel
refactor: curl brackets in namespaces to keep project style
2025-06-04 10:03:46 -03:00
13ace56eea
Refactor: Eze brokerage ( #8689 )
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* refactor: model and OrderProperties of Eze
* feat: additional configs for Eze brokerage
2025-04-11 13:35:14 -03:00
867b7e8eb6
Upgrade IB gateway version to 30.10 ( #8586 )
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* Upgrade IB gateway version to 3010
* Update ib gateway version in config file
* Remove ib-version config
Let the brokerage detect or set the correct ib gateway version
2025-03-03 13:17:23 -03:00
5359561b9d
Dotnet 9 ( #8459 )
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* Dotnet 9
* Remove C# kernel
2024-12-19 14:01:26 -03:00
f7b012aa11
Feature: Implementation Charles Schwab Brokerage ( #8406 )
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* feat: ExtendedRegularTradingHours property in CharlesSchwabOrderProperties
* feat: BrokerageModel, FeeModel of Charles Schwab
* refactor: CharlesSchwab Fee model
remove: SecurityType.Index in CanSubmit CharlesSchwab
* refactor: CharlesSchwabFeeModel (a little bit simpler)
* refactor: CharlesSchwabFeeModel (more simpler)
2024-11-15 18:17:20 -03:00
a1bb907e03
Feature:Alpaca: support MarketOnOpen and MarketOnClose ( #8341 )
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* feat: missed Alpaca config in Launcher
* feature: support of new OrderTypes for Equtity in AlpacaBrokerage model
2024-09-25 14:30:27 -03:00
71540f5015
Feature: support MarketOnOpen and MarketOnClose ( #8340 )
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* remove: not used proxy config TradeStation
* feat: missed config of TradeStation in Launcher
* feat: support new OrderTypes in TradeStationBrokerageModel
2024-09-24 15:11:36 -03:00
1bca3f6081
feat: missed reference on DownloaderDataProvider in Lean.Launcher ( #8247 )
2024-08-07 14:51:05 -03:00
ba2d519910
Remove warnings from csproj files ( #8108 )
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* Remove warnings from csproj files
* Leave just 2 warnings
* Nit change
* Leave just 2 warnings
2024-06-26 17:07:51 -03:00
fe2110de96
Feature: Implementation Trade Station Brokerage ( #8031 )
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* refactor: make public futuresMonth Collection
* feat: TradeStation brokerage
* feat: PositionSide for Option in TradeStationOrderProperties
* feat: missed market TradeStation name
* feat: missed config TradeStation
* remove: extra TradeStation code
* remove: pragrma warning
* feat: implement TradeStationFeeModel
2024-05-20 17:58:44 -03:00
934a8e0a61
Handle Windows reserved filenames ( #7784 )
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* Add ToValidPathMethod
* Nit change
* Add more unit tests
* Improve implementation
* Enhance implementation
* Add more unit tests
* Enhance implementation
* Improve unit tests
* Improve implementation
* Nit changes
* Adjust reading/writing methods
* Fix bugs
* Add Windows OS flag
* Fix unit tests
* Fix unit tests
* Fix unit tests
* Change FileStream() to SafeFileStream()
* Fix bugs
* Fix bugs
* Nit changes
* Nit changes
* Add improvements
* Missing file
* Address requested changes
* Address requested changes
* Add missing test
2024-03-13 19:05:57 -03:00
5e2957cbf0
Refactor config file enviroments to match brokerages namespaces ( #7823 )
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* Refactor config file enviroments to match brokerages namespaces
* Use class name only for brokerages and DQH in config file
2024-02-29 14:36:06 -04:00
2a82c6f9bb
Consolidate Configuration.Get usages ( #7796 )
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2024-02-20 13:37:22 -03:00
20a5f690f8
Update IQFeed Configuration and Remove Deprecated Parameter ( #7717 )
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* fix: change wrong IQFeed config to new one
* remove: iqfeed param in leanArgumentParser
2024-01-24 10:24:26 -03:00
50ccec9a01
feat: gdax -> coinbase ( #7633 )
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* feat: gdax -> coinbase
* feat: defaultBrokerageModel gdax -> coinbase
* refactor: coinbaseBrokerageModel
fix: gdax test
* feat: add coinbase market hours
* feat: symbolPropDB gdax -> coinbase
* fix: gdax to coinbase tests
* fix: coinbase Fees data
* remove: gdax market-hours
* revert: stopMarket order Type by date + test
* fix: coinbase test (fee was changed)
revert: old test with stopMarket gdax
fix: pandas padding
* refactor: gdaxLiveTrading -> CoinbaseLiveTrading
remove: gdax configs
* remove: old gdax testdata files
* refactor: gdax route -> coinbase route
feat: add deprecated gdax info
feat: some string "gdax" -> "coinbase"
* fix: style brackets
* fix: config coinbase data-queue-handler
* revert: public StablePairsGDAX collection
* rename: GdaxBrokerageModel to CoinbaseBrokerageModel in tests
rename: gdax -> coinbase in DefaultMarketMap
rename: gdaxBrokerageModelTest to Coinbase...
* revert: coinbase changes in toolbox (deprecated)
* remove: override Clone() in GDAX\Coinbase-OrderProperties
* typo: ops missing brackets
* rename: Market.Gdax -> Coinbase in Test
remove: ref on gdax
* test: compatibility of GDAXOrderProperties
* fix: coinbase brokerageName enum number
* feat: readonly to stablePairs Gdax/Coinbase
remove: GetFeeModel() in GDAXBrokerageModel {}
* test: gdax market name compatible with coinbase
* rename: config to old ones
* feat: coinbase CanUpdateOrder()
* rename: plus to commit 4135c91
* feat: coinbase fee model + test
* fix: stable fees data
* update: coinbase symbol-properties-database.csv
* fix: validation of MinimumOrderSize in SubmitOrder()
* feat: gdax -> coinbase
* feat: defaultBrokerageModel gdax -> coinbase
* refactor: coinbaseBrokerageModel
fix: gdax test
* feat: add coinbase market hours
* feat: symbolPropDB gdax -> coinbase
* fix: gdax to coinbase tests
* fix: coinbase Fees data
* remove: gdax market-hours
* revert: stopMarket order Type by date + test
* fix: coinbase test (fee was changed)
revert: old test with stopMarket gdax
fix: pandas padding
* refactor: gdaxLiveTrading -> CoinbaseLiveTrading
remove: gdax configs
* remove: old gdax testdata files
* refactor: gdax route -> coinbase route
feat: add deprecated gdax info
feat: some string "gdax" -> "coinbase"
* fix: style brackets
* fix: config coinbase data-queue-handler
* revert: public StablePairsGDAX collection
* rename: GdaxBrokerageModel to CoinbaseBrokerageModel in tests
rename: gdax -> coinbase in DefaultMarketMap
rename: gdaxBrokerageModelTest to Coinbase...
* revert: coinbase changes in toolbox (deprecated)
* remove: override Clone() in GDAX\Coinbase-OrderProperties
* typo: ops missing brackets
* rename: Market.Gdax -> Coinbase in Test
remove: ref on gdax
* test: compatibility of GDAXOrderProperties
* fix: coinbase brokerageName enum number
* feat: readonly to stablePairs Gdax/Coinbase
remove: GetFeeModel() in GDAXBrokerageModel {}
* test: gdax market name compatible with coinbase
* rename: config to old ones
* feat: coinbase CanUpdateOrder()
* rename: plus to commit 4135c91
* feat: coinbase fee model + test
* fix: stable fees data
* update: coinbase symbol-properties-database.csv
* fix: validation of MinimumOrderSize in SubmitOrder()
* fix: skipped gdax name to coinbase
* feature: visible Symbol prop in DefaultOrderBook
2024-01-05 16:57:19 -03:00
e0fdbb2618
Plotting Limits Handling Improvements ( #7657 )
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* Plotting Limits Handling Improvements
- Improve the handling and enforcement of plotting limits
- Increase local default limits
* Minor plotting test fix
2024-01-03 14:21:13 -03:00
4c034bd40f
Brokerage.Eze, launcher config ( #7593 )
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* feature: eze config in launcher
* feat: add support IndexOption
2023-11-22 10:23:35 -03:00
5e9901c667
Shortable modeling improvements ( #7579 )
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* Shortable modeling improvements
- Do not limit live trading because of shortable model, will send
algorithm warning
- Add Interactive brokers shortable provider
- Minor LocalDiskShortableProvider API changes
* Fix shorted order update
- Fix shorted order update. Updating regression algorithm
* Minor improvement
* Address reviews
2023-11-16 16:25:56 -03:00
e0251bdb23
Feature/eze support ( #7526 )
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* feat: init eze-brokerage
* remove: eze from market collection
* remove: extra comma
* feat: add missing Security support
* feat: add Eze Order Properties
* feat: description, less code, remove extra configs
* Minor changes
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com >
2023-11-06 12:35:38 -03:00
8a243059b0
Add Bybit integration ( #7442 )
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* Add Bybit integration (#5898 )
* Bybit order property update
XML docs
* Revert changes to Exchange.cs
* Cleanup
* Add bybit to config.json
* Fix default markets
* Update symbol properties
* Add file headers
* Fix possible order status for updating
* Update spdb
* Fix spdb
* Fix spdb
Remove orderbook depth settings
* Throws exception when spot brokerage is created with margin account
Fix tests
* Remove USDC contracts
2023-09-18 11:08:40 -03:00
3122edcaf9
RBI brokerage setup ( #7216 )
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* Added RBIBrokerageModel, RBIFeeModel
* added RBIOrderProperties, added RBI to BrokerageName, config.json
* feature: changed config.json
* fix: changed config.json and UnsupportedOrderType message
---------
Co-authored-by: m00nler <91968598+m00nler@users.noreply.github.com >
Co-authored-by: raideNNdev <raideNNdev@proton.me >
2023-04-27 10:03:04 -03:00
4ad0288110
Add missing optimizer launcher reference ( #7181 )
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2023-04-12 19:35:02 -03:00
bbbab6d9a8
Refactor alpha statistics phase I ( #7055 )
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* Refactor alpha statistics
- Refactor alpha statistics, cleaning up and simplifying no longer required calculations and scoring
- Adding new InsightEvaluator abstraction, adding C# & PY regression
algorithms
* Optimization backtest result json converter update
* Address reviews
- Remove IAlphaHandler, move insight storage responsability to IResultHandler
and centralizing insight collection on the QCAlgorithm.Insights to be
reused by the framework models
- Fix portfolio turnover single day backtests and duplicate time
sampling handling. Updating regression algorithms
* Add InsightCollection tests and minor fixes
* Adding more & improved tests
2023-03-10 13:12:23 -03:00
38f5a9c60c
Bump to pythonNet 2.0.18 ( #7036 )
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2023-03-03 13:11:03 -03:00
ee683933a3
Feature Perpetual Crypto Futures ( #6807 )
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* WIP
* Add base currency cash
* Symbol properties and data processing
* Add basic template algorithm
* Add hourly crypto future algorithm
* Minor fixes after live trading testing
* CoinApiDataQueueHandler CryptoFuture support
* Address reviews
* Fix regression algorithms after update
2022-12-30 13:58:11 -03:00
9618c376bf
Feature tdameritrade brokerage setup ( #6791 )
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* TDAmeritrade LEAN integration
* feature: update order model for TDAmeritrade brokerage
fix: typos
* fix: typo in license
* refactor: remove extra multiple op
* refactor: TDAmeritrade naming api-key
* remove: extra configs
* fix: PR comment
* Rename file
* feature: add to config `SubscriptionDataReaderHistoryProvider`
* remove: extra logic
* Address review
Co-authored-by: Martin-Molinero <martin@quantconnect.com >
2022-12-12 18:14:21 -03:00
86b74e0a09
Add IB weekly restart time entry to config file ( #6773 )
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2022-12-06 14:52:46 -03:00
dacc679d42
Wolverine brokerage setup ( #6733 )
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* Wolverine LEAN integration
* Wolverine Lean integration - adjusting comments and restrict to Equity only
* fix 0.005$ per share fee
* remove PostOnly from Wolverine as its not needed
* AccountType.Margin and also removed check for USD only currency
* fix Market Wolverine -> USA
* change config
* Minor tweaks
Co-authored-by: Mark Virchenko <mark.virchenko@redduck.io >
2022-11-10 17:59:36 -03:00
5539e27905
Fix tradier default config ( #6727 )
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- Tradier brokerage is no longer a history provider, after refactor https://github.com/QuantConnect/Lean.Brokerages.Tradier/pull/7
2022-11-08 15:55:15 -03:00
0fa471f4e5
Resource related improvements ( #6683 )
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- Add resource controls logs
- Make sure the OS CPU performance counter thread is only created when
desired, not in research
2022-10-12 17:25:56 -03:00
a0491a9b74
python-additional-paths config file setting (#6667 )
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* Add python-additional-paths setting in config file
* Configure python additional paths in JobQueue instead of PythonInitializer
2022-09-30 16:52:17 -03:00
7d1cd79618
Fix warmup live time zone ( #6612 )
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- Fix live trading warmup timezone issue. Adding unit test
- Adding useful configuration values to main config.json
2022-09-02 18:30:46 -03:00
250230e79f
Global object store ( #6594 )
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* Refactor object store
* Address reviews
* Simplify implementation
- Remove base64 encoding
- Refactor object store api to allow a single path argument
* Fix bug
* Adjust storage controls
* Fix unit tests
2022-08-30 16:40:01 -03:00
dc7b2faa6b
Fix launcher potential null reference ( #6567 )
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- Fix launcher potential null reference if the job is null
2022-08-22 19:03:32 -03:00
3f42101f6d
Update to python38 and libraries ( #6558 )
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* Update to python38
- Update to python38
- Update libraries
* Create latest virtual environment. Add CI unit tests
* Further update python packages
* Virtual env fixes
- Refactor python virtual env setup
- Adding CI unit tests for python packages and virtual envs
* Adding more python packages
- Adding NBeats, Ax-platform, Riskfolio-Lib
* Rename pomegranate venv
2022-08-22 13:54:02 -03:00
6f3208eded
Python Virtual Environments Support ( #6556 )
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- Add support to use a python virtual environment if defined in the
algorithm job. Adding tests
2022-08-17 16:40:52 -03:00
3064c1ed4b
update config value ( #6537 )
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2022-08-10 18:10:02 -03:00
36ddf1c618
Update config.json
2022-07-13 15:33:48 -03:00
18eec48a3d
Avoid PythonNet runtime stash on shutdown ( #6441 )
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* Can't relesase the GIL after shutdown
* Bump version to pythonnet 2.0.16
2022-06-27 13:04:01 -03:00
59ac2f57ed
Shutdown python manually ( #6439 )
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2022-06-24 18:43:44 -03:00
fd20b5377d
use research-object-store-name key from config while creating object store for research notebooks ( #6355 )
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2022-05-26 18:12:13 -03:00
4b86c78df0
Add unit test showcasing feature ( #6339 )
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2022-05-13 20:21:08 -03:00
b7a21ce4be
Update to net6 ( #6311 )
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* Update to net6
* Bump pythonNet to 2.0.13
2022-05-03 11:45:55 -03:00
b8c8460c7a
Update Tradier sandbox config as string with backwards compatibility for bool ( #6306 )
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* add new config
* make case in-sensitive
* use string.IsnullOrEmpty
2022-04-27 13:58:00 -03:00
18b99338fc
Implement Binance US exchange ( #6222 )
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* Binance.US base changes
* biniance exchange info update
* Binance US uses same fee rates as main Binance
* binance us brokerage model tests
* use base implementation of GetBuyingPowerModel method
2022-02-22 13:32:59 -03:00
e8160f33d5
Binance extraction ( #6193 )
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* extract binance brokerage
* remove binance tools from main toolbox app
* modify OrderTestParameters constructor
* fix BinanceBrokerage ref config.json
* update symbol properties
* move BinanceFeeModel tests to the right place
2022-02-15 12:05:47 -03:00
2d644d7879
Feature handle multiple history providers ( #6187 )
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* initial commit
* get history from data providers
* merge history from history providers
* merge slice
* Add merge function in slice
* Update test
* merge aux data
* add data points in _data
* append new data points in original list
* Add test suite for HistoryProviderManager
* reduce complexity
* setup once
* add fake history provider
* doesn't count aux data
* add tests for options
* style changes
* add custom data
* merge rawDataList
* use array of history providers
* optimize
* fix formatting error
* add comment
* add tests
* simplify
* use list
* use abstraction
* split tests
* add test
* use abstraction to create generic enumertor class
* refactor
* accept list of type T
* sync history slices
* use SubscriptionDataReaderHistoryProvider for live
* rename test file
* return empty
* add tests
* cleanup
* address reviews
* optimize
* Fix method definition
* use initial time for basedata
* refactor
* re-use collection
* inherit HistoryProviderBase
* always return HistoryProviderManager
* add tests
* update rawDataList
* reset composer
* consider null elements
* add tests for binary search method
* Follow lean coding style
* revert
* remove binary search method
* convert to field
2022-02-14 11:58:00 -03:00
b6815d22de
Exante Brokerage initial setup ( #6018 )
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* Exante Brokerage initial setup
* Minor exante adjustment. Address review
* Add comments to Exante config section
* Exante `GetLeverage`: handle `SecurityType.Forex`
* Exante `GetLeverage`: return 1.0 for the default case
* Cover Exante `BrokerageModel` and `FeeModel` with tests
* Add missing configurations at config.json
Fixes https://github.com/QuantConnect/Lean/pull/6018#discussion_r799527521
* Fix spaces typos
https://github.com/QuantConnect/Lean/pull/6018#discussion_r799528112
Co-authored-by: Martin-Molinero <martin@quantconnect.com >
2022-02-07 19:53:22 -03:00
87db3fe379
Performance improvements ( #6182 )
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- User server mode for GC
- Remove SecurityType cache type check
2022-02-02 19:52:45 -03:00
Jhonathan Abreu