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* feature: add webull brokerage core integration
- add BrokerageName.Webull enum value
- add WebullBrokerageModel supporting Equity, Option, IndexOption
- add WebullFeeModel with zero commission for equity/option, tiered index option fees (SPX, SPXW, VIX/VIXW, XSP, DJX, NDX/NDXP), 0.6% crypto fee
- register Webull in IBrokerageModel factory switch and GetBrokerageName
- add webull config keys and live-webull environment to Launcher/config.json
- add WebullBrokerageModelTests (CanSubmitOrder, GetFeeModel)
- add WebullFeeModelTests covering all index option tiers and crypto
* refactor: split webull supported order types per security type
- replace flat _supportSecurityTypes/_supportOrderTypes with _supportedOrderTypesBySecurityType dictionary
- options and index options: Limit, StopMarket, StopLimit only
- equity, future, crypto: Market, Limit, StopMarket, StopLimit, TrailingStop
- add WebullOrderProperties with OutsideRegularTradingHours flag
- add messages for unsupported order type validation
* fix: add market order type to option and index option supported orders
* chore: add webull crypto symbols to symbol-properties-database
* test: consolidate webull fee model and brokerage model tests
- merge per-tier and per-symbol [Test] methods into [TestCase]/[TestCaseSource] parameterized tests in WebullFeeModelTests
- replace CreateIndexOptionSecurity/CreateOptionSecurity/CreateCryptoSecurity with single CreateSecurity(SecurityType, decimal, string) helper
- rename test methods to PascalCase (drop underscores) in WebullBrokerageModelTests
- remove section-separator comments from WebullBrokerageModelTests
- update Launcher/config.json for local Webull UAT environment
* remove: restriction GTC for Option and Buy side only
* refactor: limit webull to equity and options
- remove crypto and future support from order types and tests
- remove crypto fee logic and crypto symbol-properties rows
- reject market orders with outsideRth on equity
- log info when market order uses non-day tif
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Added a new configuration entry "binance-orders-websocket-url" with the value "wss://ws-api.binance.com:9443/ws-api/v3" to config.json. This provides a dedicated WebSocket endpoint for handling Binance order-related operations.
* add dYdX market constant
* Add dYdX market constant and update symbol properties database
* get Gaz limit from order properties or default value
* wip
* add symbol properties
* add more dydx order props
* update symbol properties
* Add dYdX brokerage and fee model
* Update dYdX configuration fields
* undone meta files
* minor tweaks
* fix file ending
* Add dYdX brokerage support to BrokerageName and IBrokerageModel
* Refine dYdX fee model integration and update configuration defaults
* Replace custom order size validation in dYdXBrokerageModel with DefaultBrokerageModel implementation
* undone changes
* Add market hours for dYdX CryptoFuture
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* Add SeedInitialPrices algorithm setting
This is true by default and indicates that the engine will seed initial prices right after the security is added or selected
* Update regression algorithms
* Update regression algorithms
* Update regression algorithms
* Refactor default securities seeding
* Minor fix
* Minro fixes
* Cleanup
* Updated and add regression algorithms
* Address peer review
* Centralize logic to get last known data for multiple securities
* Some cleanup
* Minor build fix
* Minor fixes
* More logic centralization
* Some more cleanup
* Cleanup
* Update regression algorithms and minor fixes
* Update regression algorithms
* Minor fix
* More minor fixes
* Update regression algorithms
* Cleanup
* Minor test fix
* Address peer review
* Minor fix and performance improvement
* Fix to seed open interest data
* Minor test fixes
* Address peer review
* Minor change
* Minor revert
* Minor fixes and improvements
* Disable initial seeding by default
* Minor fixes
* Cleanup
* Cleanup
* Minor fix
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* Enable concurrency for paper brokerage.
Implement PaperBrokerageTransactionHandler to handle concurrency for live paper trading transaction handler
* Remove PaperTradingBrokerageTransaction handler
Favor existing BacktestingTransactionHandler
* Minor fixes and cleanup
* Minor unit tests fix
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* Allow multiple concurrent transaction handlers
Also support multiple producers in BrokerageConcurrentMessageHandler
* Minor change
* Minor change
* Add new maximum-transaction-threads config to json file
* Minor naming changes
* Address peer review and add unit tests
* Minor fix
* Minor fix and unit tests
* Address peer review
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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
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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)
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* remove: not used proxy config TradeStation
* feat: missed config of TradeStation in Launcher
* feat: support new OrderTypes in TradeStationBrokerageModel
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* Plotting Limits Handling Improvements
- Improve the handling and enforcement of plotting limits
- Increase local default limits
* Minor plotting test fix
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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
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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
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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
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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>
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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
* 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
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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
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* specify enpoint url of ftx api (can be FTX pr FTX.US)
* more metadata for ftxus
* tidy up code
* tests
* more tests
* fix tests
* fix us fee rates
* add account tier
* update symbol props
* typo
* typo-2
* update symbol properties
* use FTXUS fee model
* minor tweaks
* initial commit
* Follow IDQH implementation
* Expect a list of data handlers from LiveNodePacket
* Return null if can not subscribe
* refctor to add check for subscription
* initialze null
* Add tests
* Check subscribe retuns null/not-null
* cleanup
* Read all required IDQH credentails to job
* Use CDQH to handle all IDQH instances
* constructor abstraction to call from setjob
* use flag
* remove redundant because derived will call initialize on it
* abstract and initialize from setjob
* handle null enumerators
* get creds from data handlers
* handle single data handler value from data-queue-handler
* Fix to support a json array
* Fix missed constructor call
* change access modifier to access from Tests files
* Add test to get brokerageFactory from dataQueueHandler
* Fix init flag to handle all conditions
* Add docs
* initialize from setjob
* Check if websocket open before using
* change defination of initialzie to include tradier
* clean up
* change defination
* fix wrong api key name
* return empty enumerator
* check websocket open before sending request
* check connection before subscribing
* fix to include more cases
* check websocket open before sending request
* Minor refactoring
* reafctor and use IsConnected
* remove unused
* clean up
* Fix test cases
* reverse change
* include config changes
* connect to websocket from setjob
* check websocket connection from setjob
* clean up
* include condition for IDQH that are not brokerage
* Address review
* Add market check condition before subscribe
* Remove deprecated
* Minor fix for deserializing data queue handler
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
Roman Yavnikov