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  • 7ca866c5e3 Removing empty spaces from line ends. Adriano Marcondes Machado 2015-03-12 16:54:02 -03:00
  • 65a32f4cba Update fillforward to stop filling when date changes, force source-file refresh QuantConnect 2015-03-12 13:19:59 -05:00
  • 88cd0e2a34 Added try-catch around consolidator updating to pass error back to IDE QuantConnect 2015-03-12 13:18:16 -05:00
  • ef5bc133de Added TimeOfDayClosed, TimeOfDayOpen models for FX assets QuantConnect 2015-03-12 13:17:25 -05:00
  • b59ce4dc7f Added check if no mapped symbol, use primary symbol QuantConnect 2015-03-12 13:15:07 -05:00
  • ebf3dfd861 Shuffle empty emit case so guarentee emit empty array when timeout emit. Remove unused brackets QuantConnect 2015-03-12 13:14:06 -05:00
  • 8bb2673ba1 Added more information to forward only indicator error QuantConnect 2015-03-12 13:12:25 -05:00
  • 70f821aa34 Removed irrelevent comment QuantConnect 2015-03-12 13:11:57 -05:00
  • 6ab6006047 Merge branch 'ammachado/master' into warnings. Adriano Marcondes Machado 2015-03-12 11:49:08 -03:00
  • 002596a51d Fixed a few more warnings. Adriano Marcondes Machado 2015-03-12 11:42:46 -03:00
  • 3e34be1703 Small optimization on tradable dates calculation. Adriano Marcondes Machado 2015-03-12 11:22:37 -03:00
  • 7dfe905904 Additional test data for new indicators QuantConnect 2015-03-11 17:16:03 -05:00
  • bd1fdc6fb7 Fix #41 Created loaded flag for datafeeds to fix freezing when data parses much faster than algorithm QuantConnect 2015-03-11 17:14:38 -05:00
  • aad2371c68 Made AddTransactionRecord public for manual statistics QuantConnect 2015-03-11 15:46:45 -05:00
  • 3973e5c335 Fixed a few warnings. Adriano Marcondes Machado 2015-03-11 16:05:40 -03:00
  • 43435fb971 Added testrunner folder to .gitignore. Adriano Marcondes Machado 2015-03-11 11:43:30 -03:00
  • 9aa9a73e23 Merge branch 'master' into feature/brokerage-setup-handler snugs 2015-03-10 21:20:39 -04:00
  • 6e8ca37f93 Merge pull request #45 from mattmast/indicators/mfi-indicator Michael 2015-03-10 20:56:22 -04:00
  • 40fc6aba04 Merge pull request #44 from ammachado/warnings Jared 2015-03-10 17:24:54 -05:00
  • 669bda8e80 LastOrderId property, GetOpenOrders() method and bug fix #42 to handle decrease in position size case QuantConnect 2015-03-10 17:01:32 -05:00
  • 4904dc362e Added Data directory to git ignore QuantConnect 2015-03-10 17:00:24 -05:00
  • 0fee16e8be Added Bubble detector algorithm by TimCo QuantConnect 2015-03-10 16:56:10 -05:00
  • b4eb808e15 If not invested, return cash as buying power immediately QuantConnect 2015-03-10 16:54:48 -05:00
  • b5b5464198 Empty cache files 24hr after creation QuantConnect 2015-03-10 16:51:53 -05:00
  • 9bd4c3017c Rework SetHoldings calculation to factor in fees QuantConnect 2015-03-10 16:48:54 -05:00
  • 3c097658f7 Added extra information to the insufficient capital error QuantConnect 2015-03-10 16:19:37 -05:00
  • 1af4953b13 Add license to Sum indicator mattmast 2015-03-09 23:29:44 -04:00
  • c4af1e2a5b Add MFI tests for zero volume trade bars and Resets properly mattmast 2015-03-09 22:46:27 -04:00
  • c8ce9b48ba Remove composite indicator for MFI and handle divide by zero mattmast 2015-03-09 22:44:37 -04:00
  • 8dcfdb2dc5 Add Sum indicator tests mattmast 2015-03-09 22:40:58 -04:00
  • b24d67e1e7 Add sum indicator and use it for the SMA and MFI. Add left and right Reset for CompositeIndicator Reset with test. Reset sum on SMA reset with test. Update test helper to parse for Volume. Update test data for MFI to include volume. mattmast 2015-03-05 23:53:20 -05:00
  • ad9509e682 Add helper function for money flow index mattmast 2015-03-03 21:30:35 -05:00
  • a1c57b9968 Add Money Flow Index indicator with tests mattmast 2015-03-02 23:11:39 -05:00
  • b2229e8968 Fixed a few compilation warnings Adriano Marcondes Machado 2015-03-09 16:28:17 -03:00
  • 33b83b57e1 Gets InteractiveBrokersBrokerage running in Beta snugs 2015-03-09 00:27:30 -04:00
  • 6f3d2ddc52 Updated SetHoldings to factor in fees when setting holdings fractionally, added a 1% safety margin to avoid market price changes rejecting orders QuantConnect 2015-03-08 22:24:02 -03:00
  • ae60582d29 Updated comments QuantConnect 2015-03-08 22:23:06 -03:00
  • 0c89005085 Added Error() message packet sending to backtesting allowed messages, added default case for unspecified messages types QuantConnect 2015-03-08 21:37:47 -03:00
  • bc285f4c30 Only reject jobs on version number in live mode QuantConnect 2015-03-08 21:36:54 -03:00
  • defee6a5fe Move result synchronous events processing into main time loop to prevent short data files not processing QuantConnect 2015-03-08 21:36:26 -03:00
  • 34ab364add Complete #42, move leverage into holdings class QuantConnect 2015-03-08 21:35:10 -03:00
  • 5d5bb76fe0 Merge pull request #42 from bdilber/master Jared 2015-03-08 20:30:31 -04:00
  • 80bde4cb41 Merge branch 'master' into feature/brokerage-setup-handler snugs 2015-03-08 19:02:24 -04:00
  • a0c8038668 Merge remote-tracking branch 'origin/master' snugs 2015-03-08 15:54:37 -04:00
  • 5066ff614b Closes #38 - AverageTrueRange cleanup snugs 2015-03-08 15:51:09 -04:00
  • 9ef6779660 Merge conflict with DisplacedMovingAverage QuantConnect 2015-03-08 15:45:38 -03:00
  • 3a8c0fb279 Fix memory leak in live trading mode; removed hibernate mode and sleep thread when there are no ticks to process. QuantConnect 2015-03-08 15:41:57 -03:00
  • db6fb56e56 Bug fix potential error with negative thread sleep timing QuantConnect 2015-03-08 15:40:27 -03:00
  • 5ca2d4b5d0 Removed live mode switch from debug packet, now intelligently handles in IDE QuantConnect 2015-03-08 15:39:53 -03:00
  • 884884449d Made runmode (obsolete) default to series QuantConnect 2015-03-08 15:39:23 -03:00
  • 7d2aa33ad8 Added xml comments to all methods to reduce warnings from compiler QuantConnect 2015-03-08 15:38:47 -03:00
  • 8479d406eb Added comments to example algorithms to reduce warning messages from compiler QuantConnect 2015-03-08 15:26:08 -03:00
  • 54fde44d87 Added Leverage, UnleveredHoldingsCost to SecurityHoldings Baran Dilber 2015-03-06 20:20:06 +02:00
  • f9e1db8329 Added Leverage, UnleveredHoldingsCost to SecurityHoldings Baran Dilber 2015-03-06 20:17:50 +02:00
  • 9932d4f0a7 Fixes bug in SecurityPortfolioManager GetBuyingPower() Baran Dilber 2015-03-06 14:05:26 +02:00
  • 21f45ed578 Fixes bug in SecurityPortfolioManager GetBuyingPower() Baran Dilber 2015-03-06 14:01:48 +02:00
  • 6aff4fa1b4 Use TryParseExact instead of try/catches in Time.cs snugs 2015-03-04 19:40:08 -05:00
  • 0610ce4303 Some minor commenting snugs 2015-03-01 13:40:23 -05:00
  • d9051ab62b Adds some basic tests for Plus,Minus,Over,Times extensions snugs 2015-03-01 13:37:53 -05:00
  • 1ff3ec15b1 Merge remote-tracking branch 'origin/master' into feature/push-indicators snugs 2015-03-01 13:29:28 -05:00
  • cf3a399799 Updates CompositeIndicator to use push system snugs 2015-03-01 13:26:26 -05:00
  • 09798cd1c0 Merge branch 'master' of https://github.com/QuantConnect/Lean QuantConnect 2015-03-01 13:57:02 -03:00
  • e91fe59132 Merge pull request #37 from mattmast/cci-indicator-7 Michael 2015-03-01 11:20:56 -05:00
  • 7f340a56dd Expose internal indicators for CCI and MAD mattmast 2015-03-01 00:45:39 -05:00
  • 374c8c17af Removes SequentialIndicator and uses events for auto push snugs 2015-02-28 23:41:02 -05:00
  • 8546368b12 GetOrderBuyingPower leverage bug fix, thanks @bdilber QuantConnect 2015-02-28 21:46:05 -03:00
  • e1da8f5aa3 Update XML docs for CCI indicator mattmast 2015-02-28 17:37:27 -05:00
  • 6f4ca1fe2a add cci helper to algorithm indicators mattmast 2015-02-28 17:12:25 -05:00
  • 8e6d7f7f51 Add tests for CCI and handle divide by zero mattmast 2015-02-26 00:28:56 -05:00
  • f6d3d5dd69 update MeanAbsoluteDeviation to use a simple moving average for the mean calculation and update tests accordingly mattmast 2015-02-25 21:20:35 -05:00
  • ef9e005811 refactor mean absolute deviation indicator to use linq in calculation mattmast 2015-02-24 00:37:26 -05:00
  • 3d5689bcad Issue #7: Initial version of the CCI indicator and the mean absolute deviation indicator mattmast 2015-02-22 23:41:04 -05:00
  • 8c50cb8d96 refactor mean absolute deviation indicator to use linq in calculation mattmast 2015-02-24 00:37:26 -05:00
  • 3aac430ef6 Issue #7: add tests for the mean absolute deviation indicator mattmast 2015-02-23 23:49:34 -05:00
  • 88a22cf503 Issue #7: Initial version of the CCI indicator and the mean absolute deviation indicator mattmast 2015-02-22 23:41:04 -05:00
  • dcc31d9dc1 Made derived equity & forex models overrides of base SecurityTransactionModel to avoid repeating reusable model code, added StopLimitOrder type to Common. Closes #33 QuantConnect 2015-02-27 18:15:11 -03:00
  • 18f4c7f89b Added StopLimitFill to interface and tidied up comments QuantConnect 2015-02-27 18:12:09 -03:00
  • cd5a9d81c7 Added StopLimit fill to Backtesting Brokerage model QuantConnect 2015-02-27 18:11:32 -03:00
  • d19ea06e3c Default fill model for stop limit order type QuantConnect 2015-02-27 18:10:59 -03:00
  • 0ec03f4b7b Added order type to order enum QuantConnect 2015-02-27 18:10:21 -03:00
  • 963872e86c Initial implementation of StopLimitOrder type QuantConnect 2015-02-27 18:09:59 -03:00
  • ec7bc3bef4 Added stop limit order type helper method to QC Trading QuantConnect 2015-02-27 18:09:32 -03:00
  • 1dc4fa01a3 Modified SecurityPortfolioManager.GetBuyingPower to exclude leverage Baran Dilber 2015-02-27 22:23:34 +02:00
  • ae63a8bb78 Bug fix #36 order.Value and order fees factored for buying power QuantConnect 2015-02-27 14:18:48 -03:00
  • e652d5cf28 Merge branch 'master' of https://github.com/QuantConnect/Lean QuantConnect 2015-02-27 14:10:20 -03:00
  • 6ee01b54e7 Converted Value property to abstract and implemented in extended classes stop,market and limit QuantConnect 2015-02-27 14:10:07 -03:00
  • 118f037e43 Set market price for market orders in QCAlgorithm Trading QuantConnect 2015-02-27 14:08:59 -03:00
  • 11bc7d14eb Merge pull request #36 from bdilber/master Jared 2015-02-27 13:08:03 -04:00
  • 8e67ae9677 Modified GetOrderRequiredBuyingPower to use market price for market orders Baran Dilber 2015-02-27 17:06:42 +02:00
  • 76b5a3cbd6 Converted holdings constructor to use security type for custom rounding QuantConnect 2015-02-27 02:28:15 -03:00
  • 8b94703977 Added GetOrderById method to Transaction manager QuantConnect 2015-02-27 02:24:52 -03:00
  • 49a998c36a JSON serialization to include order type in transport QuantConnect 2015-02-27 02:24:24 -03:00
  • 22376f640a Added security type to Holdings constructor to allow custom rounding of price by security type QuantConnect 2015-02-27 02:23:18 -03:00
  • cd8e7a8275 Made dynamic data more robust by searching for properties with lower case QuantConnect 2015-02-27 02:22:21 -03:00
  • 0a6e0612eb Added release configuration with code optimized QuantConnect 2015-02-25 15:52:54 -03:00
  • ad70f81e3e Try-catch around entire MoveNext method, returning false on failure to prevent custom data errors taking down the data thread QuantConnect 2015-02-25 15:52:15 -03:00
  • 941ed47870 Refactor to remove safety-loop around data-tasks, tidy hibernate, tidy comments QuantConnect 2015-02-25 15:50:36 -03:00
  • 17847f15bf Added release mode for the code base with code optimized in build settings QuantConnect 2015-02-25 15:48:04 -03:00
  • 1b2f7d2a4a Remove task thread for sending of result packets, result handler has its own thread anyway QuantConnect 2015-02-25 15:47:14 -03:00
  • bb15de6bf6 Rework Cancel Order method to use new order types QuantConnect 2015-02-25 15:45:31 -03:00