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* Replace currency string formatting with Lean currency symbols.
Also clean up orders tags from having redundant information.
* Setting default order tag only after price currency is properly set
* Minor fixes and new unit tests
* Minor fixes
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* Add missing stablecoins
* Fix bugs
* Remove MIMUSD stablecoin pair
That pair is already in the SPDB
* Add more stablecoins pairs
- Add SUSD and IDRT
* Fix bug
* Requested changes
The algorithm posted in the GH was failing because when finding a conversion between currencies BTC to USD, it wasn't taking into account BTCUSDT and that USD = USDT because is a stablecoin
* Solve bugs
* Nit changes and more tests
* Requested changes
* Nit changes
* Requested changes
* Nit change
* Allow USDC in cashbook without USDC-USD pair
* Cover more stablecoin cases unique to our crypto brokers
* Add unit test
* Cleanup and expand test cases
* Add USDCEUR and USDCGBP to GDAX Symbols
* Add missing tickers to SPDB
* Cleanup test
* Add property IBrokerage.AccountBaseCurrency
* Set AccountCurrency to brokerage AccountBaseCurrency
* Remove USD AccountCurrency check
* Fix Oanda account base currency
* Fix currency symbol in CashBook.ToString()
* Fix unit tests
* Address review
* Add DebugMessage when changing account currency
* Add debug message for brokerage account base currency
* Fix currency symbol in equity chart and runtime statistics
* Update unit tests
* Binance Brokerage skeleton
* Market hours
* Implement Symbol Mapper
- known symbols available on /api/v1/exchangeInfo
- fiat currencies are pegged
* Implement GetCashBalance
* Implement GetAccountHoldings
- there are no pre-existing currency swaps
- cash balances are pulled and stored in the cashbook
* Implement GetOpenOrders
* Manage orders: PlaceOrder
* Manage orders: UpdateOrder
Update operation is not supported
* Manage orders: CancelOrder
* Messaging: order book
* Messaging: trades
* Messaging: combine streams
- connect to fake /ws/open channel on init
- case by channel name, but not event type
* Messaging: order depth updates
- ticker symbol is not enough as it pushes updates only once a second, this would be a very incomplete data stream
- fetch ticker snapshot if lastUpdateId == 0
- follow Binance instructions for keeping local orderbook fresh
* Messaging: user data streaming
- Request userDataStream endpoint to get listenKey
- keep listenkey alive
- handle order close event
- handle order fill event
* DataDownloader: get history
- we can aggregate minute candles for higher resolutions
* fix data stream
* Tests: FeeModel tests
* Tests: base brokerage tests
* Tests: download history
* Tests: symbol mapper
* Support StopLimit andd StopMarket orders
* StopMarket orders disabled
Take profit and Stop loss orders are not supported for any symbols (tested with BTCUSDT, ETHUSDT)
* Tests: StopLimit order
* Tests: crypto parsing
* Reissue user data listen key
* comment custom currency limitation
* rework websocket connections
* implement delayed subscription
* adapt ignore message
* add license banner
* use better suited exception type
* avoid message double parsing
* support custom fee values
* extract BinanceApiClient to manage the request/response between lean and binance
* use api events to invoke brokerage events
* do not allow to terminate session if it wasn't allocated.
* update binance exchange info
* tool to add or update binance exchange info
* ExchangeInfo basic test
* Rebase + Resharp
* Binance brokerage updates
- Fix sign bug in sell order fills
- Fix bug in GetHistory
- Remove duplicate symbol from symbol properties db
* Remove unused code
* Revert removal of account currency check
* Update symbols properties database
* Address review
* Address review
- Upgrade API endpoints from v1 to v3
- Updated sub/unsub for new subscription manager
- Subscribe best bid/ask quotes instead of full order book
- Added handling of websocket error messages
- Cleanup + refactor
* Update symbol properties database
* Remove list from symbol mapper
* Fix symbol mapper tests
* Address review
- Fix resubscribe after reconnect
- Fix quote tick edge case
* Fix EnsureCurrencyDataFeed for non-tradeable currencies
* Fix check in EnsureCurrencyDataFeed
* Reuse base class subscribe on reconnect
Co-authored-by: Adalyat Nazirov <aenazirov@gmail.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Remove invalid symbols from symbol properties db
* Add SymbolPropertiesDatabase.GetSymbolPropertiesList
* Remove symbol list in BitfinexSymbolMapper
* In EnsureCurrencyDataFeed fetch symbols from symbol properties database
* Remove symbol list in OandaSymbolMapper
* Remove unused code
* Address review
- Remove StringComparer.OrdinalIgnoreCase usage
- Rename KnownSymbolStrings to KnownTickers
- `CashBook[NullCurrency] { get; }` will throw an exception
- Revert `Currencies.USD` changes in user facing algorithms
- Improve some documentation
- Revert some format changes
- Adding more asserts for regression test
- Adding new regression tests using a custom fee model which returns
`OrderFee.Zero`
- Adding a non-usd account currency test to the cash book tests
- Adding some unit tests for `NullCurrency` and `OrderFee.Zero`
- 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
Swap WebSocket4Net for WebSocketSharpFork
WebSocket4Net was throwing exceptions with newer mono versions.
* Added more logging
* More logging
* Log when web socket connection is opened.
Remove auto-pinging
My hunch is that the server will do it's own which will cause the
reconnection logic to work as expected. Currently it constantly
thinks we're not connected because we're pinging the server, so
therefore it doesn't ping at the heartbeat interval.
* Dont reconnect if we're still connected
* Check if connection is open before starting reconnect logic
* Force ping on each connecton monitor time loop
* Log null response in GetAccountHoldings
Set fill price/quantity for market orders
Refactor to use Messages.Order instead of dynamic objects
Add supported crypto currencies as conversion feeds
This list is used to try and figure out what data subscription is needed
to provide the algorithm with currency feeds to support various currencies
and securities quoted in various currencies.
The previous work around required the user to explicitly add these feeds,
but now the system will resolve them even if the security isn't explicitly
added to the algorithm
* DEBUG: Log response for market orders
* More logging
* DEBUG: Heartbeat logging... does the server do it for you?
* Disable gdax
* Stream locker
Fixed order direction issue
Fix resolution of crypto currency pairs
This change splits out the various currency lists by security type.
This is not ideal, but it does remove the special case checking for
cfds in the cash method and makes it explicit what security type to
use when constructing symbol objects.
* Add EUR crypto pairs
* Fix broken tests, add some crpyto currency symbols
Account holdings loading from GDAX
Don't model holdings, use empty list
* Remove throw as we can add cash another way
* Fix failing unit tests
* Remove subscription requirement from Cash.EnsureCurrencyDataFeed
We're now passing in the default markets per security type so we no longer require
subscriptions to be added before adding currency conversion feeds.
* Log everything coming through web socket
* Fix duplicate messages in BaseWebsocketsBrokerage
This issue was caused by event handlers being attached twice, due to Connect being called twice (by BrokerageHistoryProvider and BrokerageSetupHandler)
* Remove Log.Trace from WebSocketWrapper.OnMessage
* Remove GDAX maintenance error message
* Restore WebSocketWrapper.OnMessage log trace
* Remove change log
* Clean white space, remove unused member
Martin-Molinero