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  • d48ea8914e Override base reset method for the Donchian Channel indicator David Hsieh 2015-06-05 01:41:14 +10:00
  • 567200d9b3 Change the primary output of the Donchian Channel to be the range between the higher band and lower band David Hsieh 2015-06-05 01:35:03 +10:00
  • c8752ccb83 Merge https://github.com/QuantConnect/Lean David Hsieh 2015-06-05 01:15:00 +10:00
  • 85c6182cc8 Merge pull request #92 from StefanoRaggi/master Michael 2015-06-04 10:58:53 -04:00
  • dc7865c4d5 Amend variable name 'donchianChannel' on QCAlgorithmn.Indicator David Hsieh 2015-06-04 22:51:35 +10:00
  • efbac9215d Implemented Donchian Channel indicator with accompanying tests David Hsieh 2015-06-04 22:48:29 +10:00
  • 9043887649 Merge branch 'master' of https://github.com/QuantConnect/Lean QuantConnect 2015-06-03 15:14:14 -04:00
  • c68902b870 Send brokerage setup errors to user snugs 2015-06-03 14:38:46 -04:00
  • 641d643cc3 Throw error from ResolveConsolidator if requested res too high snugs 2015-06-03 11:19:55 -04:00
  • 6217665f56 Version bump QuantConnect 2015-06-03 11:08:33 -04:00
  • 054459bf99 Fixes bug in fill-forward with forex data snugs 2015-06-03 11:01:38 -04:00
  • 887faa24e7 Adds support for hourly/daily data to LEAN engine snugs 2015-05-22 13:30:41 -04:00
  • 3e2b5b2ea0 Fixed bug when aggregating ticks + fixed issues #90 and #91 Stefano Raggi 2015-06-03 02:30:23 +02:00
  • 39708adad4 Bug fix tick sync issue with multiple resolution data QuantConnect 2015-06-02 02:26:46 -04:00
  • 51f9b1dd6d Fixes bug in DataStream with ticks snugs 2015-06-01 13:56:06 -04:00
  • 2ef6333096 Adds reg test that relies heavily on fill forward snugs 2015-05-29 16:44:50 -04:00
  • bef0affea2 Transaction spin wait for order processing to avoid thread bug QuantConnect 2015-06-01 11:10:15 -04:00
  • 8976f07e9c v2.1.0.30 QuantConnect 2015-05-31 22:34:30 -04:00
  • 8bcb8236b7 Double runtime for subscribers QuantConnect 2015-05-31 22:33:44 -04:00
  • 738b037145 Update CONTRIBUTING.md Michael 2015-05-29 17:12:23 -04:00
  • 099cee9b3f Implements MarketOnOpen and MarketOnClose order types snugs 2015-05-26 14:27:20 -04:00
  • 456349b704 Made Order.Type not settable, ctor required snugs 2015-05-26 13:13:34 -04:00
  • cce36e15f2 Some unit test clean up snugs 2015-05-26 11:12:11 -04:00
  • d52ad06be3 Use Read instead of ReadKey, don't always ahve console snugs 2015-05-26 00:49:34 -04:00
  • 4a404b968c Implements BrokerageModel snugs 2015-05-25 12:13:02 -04:00
  • 3123475ec7 Merge branch 'master' into brokerage-model snugs 2015-05-25 11:08:16 -04:00
  • 6af4d898f3 Use trigger time to determine exchange open snugs 2015-05-22 14:52:25 -04:00
  • cf128b0b7b Don't sample scatter plots! snugs 2015-05-22 14:32:39 -04:00
  • 352fb00dbe Respect security.exchange market hours in live feed snugs 2015-05-22 14:08:58 -04:00
  • a6ff3c74f8 Better log when loading debug info snugs 2015-05-22 14:06:20 -04:00
  • 4747021dde Add padding to IB server reset times snugs 2015-05-22 13:29:48 -04:00
  • b012409515 Fixes unzip routine to use default encoding snugs 2015-05-22 13:28:28 -04:00
  • 225eaf81c9 Initial impl of brokerage model snugs 2015-05-23 15:44:00 -04:00
  • ac2844cea0 Use trigger time to determine exchange open snugs 2015-05-22 14:52:25 -04:00
  • 4c835ee9d7 Don't sample scatter plots! snugs 2015-05-22 14:32:39 -04:00
  • 5db53df279 Respect security.exchange market hours in live feed snugs 2015-05-22 14:08:58 -04:00
  • d7318aab1b Better log when loading debug info snugs 2015-05-22 14:06:20 -04:00
  • 00d4c60da5 Add padding to IB server reset times snugs 2015-05-22 13:29:48 -04:00
  • eed1924990 Fixes unzip routine to use default encoding snugs 2015-05-22 13:28:28 -04:00
  • f60ec0cf04 Rework lean to remove do-while loop and only run once QuantConnect 2015-05-21 22:21:36 -04:00
  • 41cccea0d9 Make indicators IComparable snugs 2015-05-21 21:10:17 -04:00
  • 72a5fabc9a Brokerage cash sync every morning snugs 2015-05-21 16:01:34 -04:00
  • 33a7985e84 Cleanly reverts 1a80db7 - adds back do while in engine loop snugs 2015-05-21 11:04:08 -04:00
  • 370e516dbf IApi now disposable, clean up disposable resources from lean.engine.main snugs 2015-05-20 23:51:46 -04:00
  • ea11caf201 State check thread error handling QuantConnect 2015-05-20 23:49:47 -04:00
  • 8a9be167e3 Do Loop Out of Engine, Max stack default QuantConnect 2015-05-20 22:55:21 -04:00
  • 1909d640f1 Gave more RAM allocation to subscribers QuantConnect 2015-05-20 12:33:44 -04:00
  • 1a80db7955 Make lean run and die after job snugs 2015-05-20 21:24:55 -04:00
  • de0441249e Set data time in live trading data feed snugs 2015-05-20 20:58:53 -04:00
  • b56614f84a Fixes test in light of leverage=1 margin call fix snugs 2015-05-20 17:26:00 -04:00
  • 6165c354e7 Initial implementation of TradierBrokerage snugs 2015-05-20 16:37:33 -04:00
  • a62b50caa9 Don't load debug symbols when local, they'll be in bin already snugs 2015-05-20 14:49:00 -04:00
  • 5c75090d5f Adds unrealized profit percent to holdings snugs 2015-05-20 12:38:56 -04:00
  • 4eeb61911f Load debug information from setup handlers snugs 2015-05-20 12:13:16 -04:00
  • 6f5fd88123 Use IReadOnlyDictionary instead of stricter Dictionary in method sig snugs 2015-05-19 18:55:28 -04:00
  • 89902022fb Fixes bug in holdings not referencing real transaction model snugs 2015-05-19 14:27:25 -04:00
  • e14e117e25 Fix margin call scan to ignore 1x leverage snugs 2015-05-19 14:26:41 -04:00
  • 4d1e931dac Merge pull request #82 from kaffeebrauer/master Michael 2015-05-19 14:19:12 -04:00
  • cd69af3a23 * Given Smoothed TR at zero return 0 for Positive DI and Negative DI. David Hsieh 2015-05-20 03:36:47 +10:00
  • cf5efba946 Fix superfluous comments. David Hsieh 2015-05-20 00:49:53 +10:00
  • 696eed5b4a Implemented minor fixes to conform to standards. David Hsieh 2015-05-20 00:47:53 +10:00
  • 526ca0292b Implemented the Average Directional Index Indicator with accompanying test data and unit tests. David Hsieh 2015-05-19 23:07:17 +10:00
  • df7ae5b63b Adds volume to Field selector class snugs 2015-05-19 00:24:27 -04:00
  • 613a09f95c Improve IB connection resiliency logic snugs 2015-05-18 15:57:33 -04:00
  • 1c045c4813 Merge branch 'master' of https://github.com/QuantConnect/Lean QuantConnect 2015-05-18 01:01:39 -04:00
  • f4342a9615 Update data queue to get next base data instead of ticks QuantConnect 2015-05-18 01:01:25 -04:00
  • 9c1728125e Update readme.md Jared 2015-05-17 16:39:40 -04:00
  • 0478490e62 Added helper overload for STO, fix comments QuantConnect 2015-05-17 15:27:43 -04:00
  • a449048de2 Added Stochastic helper method QuantConnect 2015-05-17 15:24:38 -04:00
  • ac3b51ca83 Rename OnBalanceVolume helper method to OBV QuantConnect 2015-05-17 14:21:43 -04:00
  • 89b6e98af8 Fixes warnings mostly relating to xml comments snugs 2015-05-13 10:55:26 -04:00
  • a443071fe2 Merge pull request #81 from bizcad/issue-79/Assure-Sell-quantity-is-negative Michael 2015-05-13 10:05:52 -04:00
  • 21fb882855 Null fix for live trading backtesting brokerage QuantConnect 2015-05-13 10:02:49 -04:00
  • d174705e69 Performance improvement to backtests with many orders snugs 2015-05-12 22:50:34 -04:00
  • 6698942b3f Move Total Fees to end of statistics snugs 2015-05-12 22:25:30 -04:00
  • abd1092db1 Adds Log.Error(exception) methods snugs 2015-05-12 18:13:03 -04:00
  • e1827fae31 Implements OnMarginCall and OnMarginCallWarning events snugs 2015-05-12 17:14:00 -04:00
  • 12379b13fc Remove multiple enumerations from live data feed, fix local paper trading snugs 2015-05-12 15:24:52 -04:00
  • 790ce35c55 Adds 10 minute default time limit to each algo mgr loop snugs 2015-05-12 15:24:18 -04:00
  • f65ed9ba59 Adds Total Fees to backtesting statistics snugs 2015-05-12 14:13:16 -04:00
  • e32b82babf Rework paper and live trading datafeed files to eliminate paper feed. Added unsubscribe call to queue QuantConnect 2015-05-12 18:11:35 -04:00
  • a3be5716ef Quandl update to have default time span of 1 day, closes #80 QuantConnect 2015-05-12 14:57:11 -04:00
  • 2d023e3db6 Update quandl to allow setting personal auth codes per algorithm, thx @xenu256 QuantConnect 2015-05-12 14:35:34 -04:00
  • 6061b34859 Version bump QuantConnect 2015-05-09 16:07:09 -04:00
  • 45d7605981 Fixes bug in series sampler with duplicate times snugs 2015-05-12 13:16:24 -04:00
  • bc0cfcda27 Updates diffs in regression, caused by time sync changes snugs 2015-05-11 21:35:48 -04:00
  • ffd7d99aa3 Adds Field.cs static class for indicator selectors snugs 2015-05-11 21:33:30 -04:00
  • e8c826c43f Removed redundant code from transaction models snugs 2015-05-11 18:51:35 -04:00
  • 3caf079bc0 Added frontier parameter to DataDictionary bizcad 2015-05-09 20:54:37 -07:00
  • e4f5219a7f Update origin master from upstream bizcad 2015-05-09 20:38:02 -07:00
  • bed1941b77 issue-79/Assure-Sell-quantity-is-negative bizcad 2015-05-09 19:18:30 -07:00
  • 55eac35937 Current version 2.1.0.17 snugs 2015-05-06 10:34:15 -04:00
  • dfdd29195b Modifies stream symbols algo to randomly select symbols snugs 2015-05-06 10:14:45 -04:00
  • 449150f71e Fixes SetHoldings when crossing zero line snugs 2015-05-05 21:07:03 -04:00
  • 1425d6c994 Fixes bug in IB disconnect delay task snugs 2015-05-05 21:03:58 -04:00
  • 290c49858a More precision in chart rounding snugs 2015-05-05 17:17:24 -04:00
  • 411ea8ab54 Fixing forex market hours issue snugs 2015-05-05 14:48:03 -04:00
  • db4ed634f1 Remove is local check from state check snugs 2015-05-05 10:11:21 -04:00
  • 0c9a09b793 Add banner to LWMA tests snugs 2015-05-05 10:10:47 -04:00
  • 9dd02c0271 SetHoldings bail if margin rem less than per share snugs 2015-05-04 22:29:55 -04:00