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  • 928ac944a9 Shuffle realtime.SetTime into backtest only behaviour. Live Realtime will set its own time based on reality QuantConnect 2015-02-25 15:44:45 -03:00
  • fd218fd77d More aggressive GC, regular logging memory usage to diagnose memory leaks QuantConnect 2015-02-25 15:37:29 -03:00
  • 5be77cbaaf Large shuffle to move MarketToday clock into RealTime handler and out of DataFeed. Added public accessor for market today hours. Simplify and tidy live real time handler QuantConnect 2015-02-25 15:33:10 -03:00
  • 4bc1e106ff Breaking Change:: Made order object abstract, must implement specific order type MarketOrder, LimitOrder,StopMarketOrder. Updated IB brokerage to work with new types QuantConnect 2015-02-25 15:29:50 -03:00
  • 79e1e4d3be Reworked MarketToday open close times to use date time QuantConnect 2015-02-25 15:27:40 -03:00
  • 8c51bfeb24 Restricted date range to avoid 2000 year backtests (common user error 0201 year) QuantConnect 2015-02-25 15:26:06 -03:00
  • f96cfbab4c Fixes IB GetCashBalance bug, all IB tests green snugs 2015-02-25 01:29:04 -05:00
  • a16aa2fd28 Adds IBBrokerage.GetExecutions snugs 2015-02-25 00:56:23 -05:00
  • 1bbb90366b Add BrokerIds to OrderEvent snugs 2015-02-25 00:10:55 -05:00
  • b0f54722ab Adds IB test for account events snugs 2015-02-24 23:55:44 -05:00
  • 605f26e0a3 Fixes some comments in Composer.cs snugs 2015-02-24 23:27:46 -05:00
  • e692f984df Merge branch 'master' into feature/brokerage-setup-handler snugs 2015-02-24 21:50:22 -05:00
  • fb7a1c03a0 Build flag for any platform QuantConnect 2015-02-23 15:37:26 -03:00
  • 315689f0c6 Port IB to use new order types QuantConnect 2015-02-23 15:37:07 -03:00
  • 5a0760cc5e Added in obsolete helper methods to ensure algorithms don't break with new order changes QuantConnect 2015-02-23 15:36:33 -03:00
  • 4e5580416c Added new order types in dedicated files QuantConnect 2015-02-23 15:03:06 -03:00
  • 912d6007ed Updated Order method to not take OrderType - it was impossible to use anyway since no price input. Now Order() method defaults to a market order QuantConnect 2015-02-23 15:02:39 -03:00
  • 30c0efca19 Added helper methods for market, stopmarket and limit order types. Updated comments, separated preOrderChecks into dedicated method QuantConnect 2015-02-23 15:01:34 -03:00
  • 375df5603d Added usability hack-make securities index on upper or lower case symbol string QuantConnect 2015-02-23 14:59:53 -03:00
  • 097543ec6a Rewrite transaction models to handle new order types, remove fill method, obsolete previous Order based fill methods QuantConnect 2015-02-23 14:59:08 -03:00
  • f2c1a1e94c Split out order type enums and order errors list into dedicated files QuantConnect 2015-02-23 14:53:02 -03:00
  • 73c73a5f4e Created new order types to handle complexities of future order requirements; starting with limit, stopmarket, and market QuantConnect 2015-02-23 14:52:24 -03:00
  • b7db9db329 Move model.Fill() method into backtesting brokerage QuantConnect 2015-02-23 14:49:04 -03:00
  • 2309a111fc Bug fix drawdown reporting max drawdown value-percentage instead of max-percentage-drawdown, thanks @xenu256 QuantConnect 2015-02-23 14:47:36 -03:00
  • 4fbdff8f5e Bug fix daily performance showing $ instead of % QuantConnect 2015-02-23 14:44:29 -03:00
  • c9654ced71 Tidied up state check; will make it OO & remove statics soon. QuantConnect 2015-02-23 14:43:41 -03:00
  • d2c6467abc Removed debug from tight loop QuantConnect 2015-02-22 19:31:33 -03:00
  • d30f0986b0 Minor comments snugs 2015-02-21 15:40:42 -05:00
  • 5375b40a0c Merge remote-tracking branch 'origin/master' into feature/brokerage-setup-handler snugs 2015-02-21 15:13:02 -05:00
  • 29b4885fdb Hooks up BrokerageSetupHandler to initialize algo from brokerage-setup-handler snugs 2015-02-21 15:10:55 -05:00
  • 6db5bd6422 Remove try-finally-null out for cache variable, apparently hinders GC collection https://msdn.microsoft.com/en-us/magazine/cc163491.aspx QuantConnect 2015-02-20 17:37:27 -03:00
  • 81647e29ec Shifted to ANY CPU target for Engine QuantConnect 2015-02-20 17:36:15 -03:00
  • d5d80deaef Shifted to ANY CPU target for Engine QuantConnect 2015-02-20 17:35:40 -03:00
  • 2177789d77 Bug fix daily performance showing $ instead of % units QuantConnect 2015-02-20 17:34:27 -03:00
  • 8e9d779f11 Merge pull request #28 from bdilber/master Jared 2015-02-20 17:13:16 -03:00
  • 41f530f05d Merge branch 'master' of github.com:bdilber/Lean Baran Dilber 2015-02-20 19:53:04 +02:00
  • 4b59ca6025 Merge branch 'master' of https://github.com/QuantConnect/Lean Baran Dilber 2015-02-20 19:52:30 +02:00
  • 9546aedce7 Refactored the Log class into ILogHandler interface and the ConsoleLogHandler implementation. bdilber 2015-02-20 19:49:51 +02:00
  • 6a84068ca4 Only dispose of redelivered jobs if they're matching version, bug fix missing channel for reporting fall over errors Jared Broad 2015-02-19 16:52:26 -03:00
  • 7e33e46ea0 Switch to use short thread start format Jared Broad 2015-02-19 16:47:29 -03:00
  • f6f3d9d38e Rework local names to convention, added exitTriggered check for breaking out of hibernate, tidy comments Jared Broad 2015-02-19 16:46:58 -03:00
  • a2bc6c420e Rename of local variable to match convention Jared Broad 2015-02-19 16:43:26 -03:00
  • 144f8e25ef Fix bug where not using mapped symbols so missing data Jared Broad 2015-02-19 16:42:46 -03:00
  • c3efeee6e2 Merge branch 'master' of https://github.com/QuantConnect/Lean Baran Dilber 2015-02-19 21:33:47 +02:00
  • df00cc1f3a Fixed access to modified closure bug with wrong EOD event symbol Jared Broad 2015-02-19 00:40:10 -03:00
  • 1d493087c3 Added Brokerage data object in live job packets; recorded paper trading cash so paper trading on QC remembers project cash between algo start-stop deployments Jared Broad 2015-02-18 19:22:43 -03:00
  • 90b162b85d Rework RealtimeEvent class to use datetime - fix #11, simplified live realtime event handler, eliminate backtest realtime thread Jared Broad 2015-02-18 16:49:42 -03:00
  • 5cc3bbb4a0 Shuffled StateCheck class into its own file Jared Broad 2015-02-18 16:35:06 -03:00
  • e234eeaef5 Shuffled StateCheck class into its own file Jared Broad 2015-02-18 16:34:32 -03:00
  • 3215045fe2 Bug fix day after market holiday, check if SR is null from previous day Jared Broad 2015-02-18 11:04:28 -03:00
  • 0fa15beda8 Removed Newtonsoft from dependencies in logging Jared Broad 2015-02-17 23:00:31 -03:00
  • c845e21feb Added culture invariant info to all convert to decimal references, close #25 Jared Broad 2015-02-17 22:50:33 -03:00
  • 7378b54170 Close #16 added system proxy to web clients Jared Broad 2015-02-17 22:43:58 -03:00
  • 21a41900eb Merge branch 'master' of https://github.com/QuantConnect/Lean Baran Dilber 2015-02-17 18:50:15 +02:00
  • 9904c667c5 Added Console field to Log class to redirect log messages if needed. (Commented Console color change lines for compatibility with TextWriter) Baran Dilber 2015-02-17 18:33:53 +02:00
  • 4aed8f79a0 BrokerageSetupHandler initializes portfolio holdings snugs 2015-02-17 00:00:56 -05:00
  • 822347c47c Adds IBrokerage.GetAccountHoldings with test snugs 2015-02-16 23:57:50 -05:00
  • 304629bc78 Adds SecurityType to Holding snugs 2015-02-16 21:37:31 -05:00
  • 0a0738c2e5 Adds test for InteractiveBrokersBrokerageFactory snugs 2015-02-16 21:29:12 -05:00
  • 327c76815c Merge branch 'master' into feature/brokerage-setup-handler snugs 2015-02-16 20:18:53 -05:00
  • 0dc0c673f3 Added MathNumerics depdendency for indicators project Jared Broad 2015-02-16 14:26:14 -03:00
  • f87e463074 Version bump for numerics and json.net Jared Broad 2015-02-16 14:18:57 -03:00
  • f04fdacf15 Version bump numerics Jared Broad 2015-02-16 14:06:29 -03:00
  • 8620da3823 Force config to default to datetime by removing it entirely from config Jared Broad 2015-02-16 14:05:50 -03:00
  • 7f03718d1d Added redelivered detection and handling for failed algorithm packets Jared Broad 2015-02-16 14:05:11 -03:00
  • 7910f3124b Version bump MathNet Numerics Jared Broad 2015-02-16 14:04:00 -03:00
  • 4432c8e52c Version bump MathNet Numerics Jared Broad 2015-02-16 14:03:33 -03:00
  • 1f83b78009 Added redelivered flag to prevent failed algorithms circulating the cloud Jared Broad 2015-02-16 14:02:20 -03:00
  • 2b7192e40c Force disable fillforward for tick data Jared Broad 2015-02-16 14:01:38 -03:00
  • 423ace5a9f Merge remote-tracking branch 'origin/master' into feature/brokerage-setup-handler snugs 2015-02-14 13:28:09 -05:00
  • 942cea7bff Rewind earlier changes to timeout if fails to read the line multiple times Jared Broad 2015-02-12 17:59:52 -03:00
  • ce15f77d84 Fixed unreported runtime error, standardized return calculation Jared Broad 2015-02-12 17:52:29 -03:00
  • 077b5863a5 Fixed race condition with reporting runtime errors caused blank stack traces Jared Broad 2015-02-12 17:51:59 -03:00
  • 83fdd6a6f3 Removed unused method Jared Broad 2015-02-12 17:51:07 -03:00
  • be215c7751 Live streaming custom data reader infintely requested on failure, 10x attempt before killing stream Jared Broad 2015-02-12 16:08:33 -03:00
  • 150da9878b Debug live result plugin lock up Jared Broad 2015-02-12 16:06:56 -03:00
  • 22be8a9871 Whitespace and tidy comments Jared Broad 2015-02-12 16:06:31 -03:00
  • db656a8018 Custom data streaming made more robust and with 10 attempt timeout Jared Broad 2015-02-12 16:06:07 -03:00
  • 1e4c2ba606 Updated ProcessSync events to accept force parameter and force sending all remaining messages at end of algorithm. Jared Broad 2015-02-12 13:22:47 -03:00
  • dcd2cb9fa4 Updated API to send returns as well as equity for consistent cash across trading deployments Jared Broad 2015-02-12 13:21:33 -03:00
  • b3fb67c2ad Version in algo packet and engine Jared Broad 2015-02-11 21:24:04 -03:00
  • cb0291a5af Fixed loader not loading bug Jared Broad 2015-02-11 21:23:28 -03:00
  • 21365ab37d Added version to config file Jared Broad 2015-02-11 21:22:58 -03:00
  • 36000d1b90 Added flag chart type Jared Broad 2015-02-11 21:22:32 -03:00
  • ad9e153bb7 Added meta to list of reserved chart names Jared Broad 2015-02-11 21:22:13 -03:00
  • 618dbe0500 Moved basic template to example namespace Jared Broad 2015-02-11 21:21:47 -03:00
  • 342f1b53d5 Added quant connect quandl auth code to Quandl data types to avoid API limit exceeded errors Jared Broad 2015-02-10 16:40:40 -03:00
  • 023438c618 Comments Jared Broad 2015-02-10 16:40:00 -03:00
  • ae4de01921 Added realtime prices datafeed property for live result generation, and updated live results to use it and generate seults to generate second by second updates to equity and asset pricing Jared Broad 2015-02-10 13:31:59 -03:00
  • 4934f5eed8 Added equity to runtime statistics Jared Broad 2015-02-10 11:56:48 -03:00
  • 844c9af0a7 Merge branch 'master' into feature/brokerage-setup-handler snugs 2015-02-09 21:26:22 -05:00
  • 87a2845609 Near midnight UTC Today bug fix Jared Broad 2015-02-09 23:50:56 -03:00
  • b06972a963 Adds BrokerageSetupHandler snugs 2015-02-09 21:24:14 -05:00
  • b9d37ad6bd Broke out server types into separate enum and algo job packet definition Jared Broad 2015-02-09 22:46:17 -03:00
  • 999a099b56 Added server statistics sending. Fixed bug in notification type determination Jared Broad 2015-02-09 21:19:29 -03:00
  • 52c1532576 Comments on chart subscription Jared Broad 2015-02-09 21:18:45 -03:00
  • 759eeff770 Added server statistics to API for tracking live mode Jared Broad 2015-02-09 21:18:12 -03:00
  • b3631a7e65 Added server statistics to API for tracking live mode Jared Broad 2015-02-09 21:17:57 -03:00
  • 921e166023 Added custom event handler for notification message types calling the virtual base Send method Jared Broad 2015-02-08 20:14:01 -03:00
  • 1f01abbe90 Removed type from base notification class to simplify notification object implementations and allow for future extensibility Jared Broad 2015-02-08 20:08:40 -03:00