New Indicators, Speed and Performance Improvements – Release Notes v9993-v10335
We rounded out 2020 continuing our focus on speed, stability, and feature-completeness as we added more indicators and debugged some tricky option-universe selection edge cases. We sped up the regression test-suite and welcomed several new open-source contributors!
Special thanks to Cnaccio, aarjaneiro, aricooperman,and mathpaquette. QuantConnect is an open-source platform. Join us as we break open the world of algorithmic trading! See the guidelines on contributing to our algorithmic trading engine.
The latest docker image of these changes can be pulled from LEAN Dockerhub.
We added the Chaikin Money Flow indicator, The Awesome Oscillator, The DeMarker indicator, and The Relative Vigor index to enhance and broaden your backtesting experience and capabilities.
Faster is always better. This release directly focused on algorithm initialization and exit speeds, as well as upgraded the API.ReadBacktest speed. We also added new order related mappings, OpenInterest protobuf support, and LeanDataReader futures options data.
We updated IBAutomator to 1.0.40 to increase initialize timeout to allow IB Gateway to initialize correctly, and updated IQFeed.CSharpApiClient to adapt to the way IQFeed now handles history requests.
You want the latest software. We’re making moves to begin to upgrade our system to .NET5, the latest release of .NET from Microsoft.
We focused heavily on quickly fixing many of the bugs from the GitHub issues list and new reports.
- VS Code Container Debugging updates.
- APIDataProvider zip download fixes
- Fixed Bitfinex brokerage currency mapping
- Fix to reserve string names for Pandas mapper
- Downgrade IB error codes from Warning to Information
- Fixed bug in Python runtime issue with local report generation
- Fixed intraday delistings for futures and futures options
- Fixed QuantBook import path for C# example
- Fix to update old hourly/daily data for APIDataProvider
- Reduced Travis log
- Added missing holidays to ES futures
- Fixed the missed rename of OptimizationStatus.Ended
- Fixed optimization handling of failed backtest init
- Pycharm Docker debugging fix
- Remove cloud-api-url configuration setting
- IB Brokerage restore subscriptions fix
- Fixed daylight out of order bar
- Fixed backtest result packet deserializing
- Fixed low-resolution cache
- Fixed failing option chain provider test for futures options
- Fixed DockerfileLeanFoundation build and adds/updates new packages
- Fix for Linux PyCharm Docker debugger
- Uploaded missing SHY quote bars
- Fixed DelistedFutureLiquidateRegressionAlgorithm
- Added data parsing for malformed option contracts for InteractiveBrokers
- Fixed BTC price multiplier
- Fixed IB.Connect() connection issues
- Fixed IB malformed symbols
- Allow saving of Octet Stream in API
- Fixed FillForward enumerator looping
- Fixed universe dispose and removal
- Fixed CoarseFundamental tests assertion
- Fixed CFD random generation
- Fixed MACD WarmUpPeriod and updating
- Fix UniverseSelectionAddAndRemove race condition
- Remove pythonNet from stacktrace
- Added FuturesOptionsUnderlyingMapper to correct contract month
- Fix to allow custom security properties and market hours
- Fix to ensure Interactive and Alpaca brokerages use current ticker value when mapping symbol
- Fix to correct data not being filled forward until delisting event
- Refactored market fill of equity fill model