Martin-Molinero ca787d0a25 Add support for live price scaling (#6104) ...

* Add support for live price scaling

- Add support for live trading price scaling for continuous futures.
  Adding unit tests

* Move live price scale application. Updating unit tests

- Live trading application of price scaling will happen before fill
  forwarding and updating securities real time price. Updating unit
  tests to reproduce issue

2022-01-24 18:02:24 -03:00

..

Algorithm/Framework

Filter out small orders based on Setting (#5776)

2021-07-19 13:17:51 -03:00

Api

Feature 5090 add api optimization methods (#6108)

2021-12-22 13:14:56 -03:00

Benchmarks

Refactor Default Benchmark (#5158)

2021-01-19 08:40:41 -03:00

Brokerages

Feature add India index algorithms and data (#6145)

2022-01-19 12:14:48 -03:00

Data

Add support for live price scaling (#6104)

2022-01-24 18:02:24 -03:00

Exceptions

Improve python exception parsing (#5831)

2021-08-06 20:11:54 -03:00

Indicators

Composite Indicator Fixes (#5929)

2021-09-16 17:58:10 -03:00

Interfaces

Option selection improvements (#6144)

2022-01-10 11:18:28 -03:00

Notifications

Implement Python overload of Notify.Web for PyObject Headers (#5749)

2021-07-08 21:07:19 -03:00

Optimizer

Feature 5090 add api optimization methods (#6108)

2021-12-22 13:14:56 -03:00

Orders

Feature add India index algorithms and data (#6145)

2022-01-19 12:14:48 -03:00

Packets

Remove user plan enum (#6055)

2021-11-12 19:37:23 -03:00

Parameters

Fix Warnings V2 (#5436)

2021-04-02 11:20:01 -07:00

Properties

Remove all nuspec files (#5311)

2021-02-18 17:13:11 -03:00

Python

Remove Quandl from LEAN (#6110)

2022-01-12 12:10:20 -03:00

Scheduling

Fix bug in ConsumeMultipleMinutes() test (#6083)

2021-11-30 21:44:42 -03:00

Securities

Feature 2839 black scholes data generator (#6135)

2022-01-10 17:21:03 -03:00

Statistics

Feature 5090 add api optimization methods (#6108)

2021-12-22 13:14:56 -03:00

Storage

Convert ObjectStore ext class to implement IObjectStore for API

2019-12-31 15:55:16 -05:00

Util

Always reuse aggregator instance if any (#6161)

2022-01-20 18:52:22 -03:00

AlgorithmImports.py

Remove Quandl from LEAN (#6110)

2022-01-12 12:10:20 -03:00

AlgorithmSettings.cs

Filter out small orders based on Setting (#5776)

2021-07-19 13:17:51 -03:00

AlphaRuntimeStatistics.cs

Common engine initialization (#5809)

2021-07-29 21:14:17 -03:00

BinaryComparison.cs

Add OptionStrategyMatcher (#4924)

2020-12-02 18:42:24 -03:00

BinaryComparisonExtensions.cs

Add OptionStrategyMatcher (#4924)

2020-12-02 18:42:24 -03:00

CapacityEstimate.cs

Round Capacity Estimate for Runtime Statistics (#5688)

2021-06-21 21:06:09 -03:00

Chart.cs

Expand Lean Default Charts and Reduce Clutter (#5680)

2021-06-22 11:19:48 -03:00

ChartPoint.cs

Update Common to respect CA1304 and CA1305

2019-09-12 14:13:24 -04:00

Currencies.cs

Fix IB Hong Kong Future Exchanges fees (#6133)

2021-12-28 20:12:59 -03:00

DataDownloaderGetParameters.cs

Add tick type to data downloader get (price data) call in order for a… (#6057)

2021-11-22 12:00:16 -03:00

DataProviderEvents.cs

DividedEventProvider distribution computation (#4828)

2020-11-11 15:47:51 -03:00

DocumentationAttribute.cs

Add file and line number to documentation attribute (#6122)

2021-12-20 17:30:04 -08:00

Exchange.cs

Continuous futures (#6034)

2021-11-15 14:44:30 -03:00

Expiry.cs

Fixes Expiry.EndOfMonth and Expiry.EndOfYear Methods

2020-04-02 02:35:47 +01:00

ExtendedDictionary.cs

Addresses Peer-Review

2020-04-01 16:15:05 +01:00

Extensions.cs

Remove Quandl from LEAN (#6110)

2022-01-12 12:10:20 -03:00

Field.cs

Allow field selectors to be used with QuoteBars

2017-04-12 12:46:22 +02:00

Global.cs

Minor Exchanges cleanup (#6100)

2021-12-06 19:27:27 -03:00

Globals.cs

Added ability to specify cache data folder

2017-09-14 16:31:43 -04:00

IDataDownloader.cs

Add tick type to data downloader get (price data) call in order for a… (#6057)

2021-11-22 12:00:16 -03:00

IIsolatorLimitResultProvider.cs

Properly handle events raised in ScheduledEvents

2019-10-19 14:52:34 -04:00

Isolator.cs

Remove raw Sleeps for Sleeps+Event (#5153)

2021-01-12 19:12:07 -03:00

IsolatorLimitResult.cs

Refactors scheduled events to execute on main thread

2019-10-19 14:52:34 -04:00

IsolatorLimitResultProvider.cs

Refactor IsolatorLimitResultProvider

2020-03-02 18:23:20 -03:00

ITimeProvider.cs

Move ITimeProvider and RealTimeProvider to Common

2019-10-19 01:52:07 -04:00

LocalTimeKeeper.cs

Remove usage of Lazy<DateTime> in LocalTimeKeeper

2017-12-29 01:12:58 +01:00

Market.cs

FTX API endpoint is cinfigurable (#6026)

2022-01-12 13:51:18 -03:00

OS.cs

Updates CPU performance metrics gathering approach (#5261)

2021-02-05 20:23:30 -03:00

PandasMapper.py

Pandas Mapper Recursion Bug Fix (#5848)

2021-08-10 20:32:09 -03:00

Parse.cs

Option Margin Strategies (#5511)

2021-04-30 18:45:27 -03:00

QuantConnect.csproj

Update to pythonNet 2.0.11 (#6131)

2021-12-27 15:49:24 -03:00

RealTimeProvider.cs

Defines ITokenBucket and a LeakyBucket implementation

2019-10-19 01:52:07 -04:00

RealTimeSynchronizedTimer.cs

Update all LEAN threads to be Background threads

2017-06-28 21:02:59 +02:00

Result.cs

Add server statistics for backtesting

2020-04-24 20:33:19 -03:00

SecurityIdentifier.cs

Continuous futures (#6034)

2021-11-15 14:44:30 -03:00

Series.cs

Alpha charting fixes

2019-04-26 18:11:48 +01:00

SeriesSampler.cs

Improve Optimizer runtime statistics (#5024)

2020-12-11 16:39:13 -08:00

StringExtensions.cs

fix date parsing: TwelveCharacter dateformat can't be parsed properly;

2020-07-31 17:53:55 +03:00

Symbol.cs

Future and FutureOption low res support (#6069)

2021-11-24 09:53:21 -03:00

SymbolCache.cs

Append type to custom data symbol

2019-09-24 10:34:35 -03:00

SymbolCapacity.cs

CFD Capacity Estimate (#5582)

2021-05-21 16:24:29 -03:00

SymbolJsonConverter.cs

SymbolJsonConverter improvements (#5683)

2021-06-21 21:02:46 -03:00

SymbolRepresentation.cs

Fix Futures SymbolRepresentation disambiguation of ticker with limited year information (#5715)

2021-06-29 17:37:06 -03:00

SymbolValueJsonConverter.cs

Change Holding.Symbol to be of type Symbol

2015-11-18 12:55:40 -05:00

Time.cs

Continuous Futures Refactor. Live Mappings (#6076)

2021-11-30 21:38:50 -03:00

TimeKeeper.cs

Overall performance improvements

2019-06-03 15:09:02 -03:00

TimeUpdatedEventArgs.cs

Adds TimeUpdated event on LocalTimeKeeper

2015-07-13 15:12:49 -04:00

TimeZoneOffsetProvider.cs

Add note for TimeZoneOffsetProvider StartTime (#5469)

2021-04-08 18:00:17 -03:00

TimeZones.cs

Indian stock markets support & Zerodha brokerage implementation (#4873)

2021-03-08 18:51:54 -03:00

TradingCalendar.cs

Add Useful Error Message on TradingCalendar (#5588)

2021-05-24 11:09:29 -03:00

TradingDay.cs

Update Common to respect CA1304 and CA1305

2019-09-12 14:13:24 -04:00