Tags: xdpknx/Lean
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Adds Warnings to MOO and MOO using Tick Data (QuantConnect#5937) Adds Warnings to MOO and MOO using Tick Data These warnings are meant to let the user know that it was not possible to find ticks marked with the `OfficialOpen`, `OfficialClose`, `OpeningPrints` or `ClosingPrints` flags.
Adds Warnings to MOO and MOO using Tick Data (QuantConnect#5937) Adds Warnings to MOO and MOO using Tick Data These warnings are meant to let the user know that it was not possible to find ticks marked with the `OfficialOpen`, `OfficialClose`, `OpeningPrints` or `ClosingPrints` flags.
IB brokerage updates (QuantConnect#5933) * Disconnect from IB API before waiting for restart * Update IBAutomater to v2.0.62 * Update IBAutomater to v2.0.63
Fixes Market On Close Fill of Equity Fill Model (QuantConnect#5913) * Fixes Market On Close Fill of Equity Fill Model Only use trade data (`Tick` with `TickTrade` type or `TradeBar`) to get the closing price, since MOC is filled with the closing price. - Fix unit tests to show that the new implementation only fills with trade data from the current open market. - Change regression tests to reflect the bug fix. All other changes are the consequence of using `TradeBar` instead of `QuoteBar`. * Address Peer-Review Fixes the logic with tick data: looking for the OfficalClose or ClosingPrints only apply if data from the extended market hours is included. Adds additional logic to handle missing trade data. * Refactors Timeout Logic and Adds It to MarketOnOpenFIll -Refactors timeout logic to address peer-review and adds it to MOO fill too. - Adds unit tests
Fixes Market On Close Fill of Equity Fill Model (QuantConnect#5913) * Fixes Market On Close Fill of Equity Fill Model Only use trade data (`Tick` with `TickTrade` type or `TradeBar`) to get the closing price, since MOC is filled with the closing price. - Fix unit tests to show that the new implementation only fills with trade data from the current open market. - Change regression tests to reflect the bug fix. All other changes are the consequence of using `TradeBar` instead of `QuoteBar`. * Address Peer-Review Fixes the logic with tick data: looking for the OfficalClose or ClosingPrints only apply if data from the extended market hours is included. Adds additional logic to handle missing trade data. * Refactors Timeout Logic and Adds It to MarketOnOpenFIll -Refactors timeout logic to address peer-review and adds it to MOO fill too. - Adds unit tests
Tradier add retry logic. Clean up rate gate (QuantConnect#5935) - Add Tradier retry logic in case of an unexpected execution failure - Clean up rate gate logic to use RateGate class
IB Brokerage - fix for futures contracts priced in cents (QuantConnec… …t#5930) * Fix IB futures prices where PriceMagnifier != 1 * Fix deadlock in GetOpenOrdersInternal by moving ConvertOrder call out of event handler; Minor refactor to combine NormalizePrice and ConvertPrice methods * IB future and future options price magnifier * Address review. IB API clean up Co-authored-by: Martin-Molinero <[email protected]>
IB Brokerage - fix for futures contracts priced in cents (QuantConnec… …t#5930) * Fix IB futures prices where PriceMagnifier != 1 * Fix deadlock in GetOpenOrdersInternal by moving ConvertOrder call out of event handler; Minor refactor to combine NormalizePrice and ConvertPrice methods * IB future and future options price magnifier * Address review. IB API clean up Co-authored-by: Martin-Molinero <[email protected]>
Lean exchange improvements (QuantConnect#5932) * Lean exchanges improvements - Adding new Exchange class to avoid exchange code clash. Adding and updating unit test * Add Market for MapFile API * Self review
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