Merge branch 'master' into minor-algo-fix

Algorithm.CSharp/AddRemoveSecurityRegressionAlgorithm.cs

@@ -1,11 +1,11 @@
 /*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
- * 
- * Licensed under the Apache License, Version 2.0 (the "License"); 
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
  * you may not use this file except in compliance with the License.
  * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
- * 
+ *
  * Unless required by applicable law or agreed to in writing, software
  * distributed under the License is distributed on an "AS IS" BASIS,
  * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
@@ -14,16 +14,18 @@
 */
 
 using System;
-using QuantConnect.Data;
 using QuantConnect.Data.Market;
-using QuantConnect.Data.UniverseSelection;
 using QuantConnect.Orders;
 
 namespace QuantConnect.Algorithm.CSharp
 {
     /// <summary>
-    /// Basic template algorithm simply initializes the date range and cash
+    /// This algorithm demonstrates the runtime addition and removal of securities from your algorithm.
+    /// With LEAN it is possible to add and remove securities after the initialization.
     /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="assets" />
+    /// <meta name="tag" content="regression test" />
     public class AddRemoveSecurityRegressionAlgorithm : QCAlgorithm
     {
         private DateTime lastAction;
@@ -40,8 +42,6 @@ public override void Initialize()
             SetStartDate(2013, 10, 07);  //Set Start Date
             SetEndDate(2013, 10, 11);    //Set End Date
             SetCash(100000);             //Set Strategy Cash
-            // Find more symbols here: http://quantconnect.com/data
-
             AddSecurity(SecurityType.Equity, "SPY");
         }
 
@@ -78,15 +78,19 @@ public void OnData(TradeBars data)
             }
         }
 
+        /// <summary>
+        /// Order events are triggered on order status changes. There are many order events including non-fill messages.
+        /// </summary>
+        /// <param name="orderEvent">OrderEvent object with details about the order status</param>
         public override void OnOrderEvent(OrderEvent orderEvent)
         {
             if (orderEvent.Status == OrderStatus.Submitted)
             {
-                Console.WriteLine(Time + ": Submitted: " + Transactions.GetOrderById(orderEvent.OrderId));
+                Debug(Time + ": Submitted: " + Transactions.GetOrderById(orderEvent.OrderId));
             }
             if (orderEvent.Status.IsFill())
             {
-                Console.WriteLine(Time + ": Filled: " + Transactions.GetOrderById(orderEvent.OrderId));
+                Debug(Time + ": Filled: " + Transactions.GetOrderById(orderEvent.OrderId));
             }
         }
     }

Algorithm.CSharp/BasicTemplateAlgorithm.cs

@@ -1,11 +1,11 @@
 /*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
- * 
- * Licensed under the Apache License, Version 2.0 (the "License"); 
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
  * you may not use this file except in compliance with the License.
  * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
- * 
+ *
  * Unless required by applicable law or agreed to in writing, software
  * distributed under the License is distributed on an "AS IS" BASIS,
  * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
@@ -18,12 +18,15 @@
 namespace QuantConnect.Algorithm.CSharp
 {
     /// <summary>
-    /// Basic template algorithm simply initializes the date range and cash
+    /// Basic template algorithm simply initializes the date range and cash. This is a skeleton
+    /// framework you can use for designing an algorithm.
     /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="using quantconnect" />
+    /// <meta name="tag" content="trading and orders" />
+    /// <meta name="tag" content="regression test" />
     public class BasicTemplateAlgorithm : QCAlgorithm
     {
-        private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
-
         /// <summary>
         /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
         /// </summary>
@@ -32,8 +35,15 @@ public override void Initialize()
             SetStartDate(2013, 10, 07);  //Set Start Date
             SetEndDate(2013, 10, 11);    //Set End Date
             SetCash(100000);             //Set Strategy Cash
+
             // Find more symbols here: http://quantconnect.com/data
-            AddEquity("SPY", Resolution.Second);
+            // Forex, CFD, Equities Resolutions: Tick, Second, Minute, Hour, Daily.
+            // Futures Resolution: Tick, Second, Minute
+            // Options Resolution: Minute Only.
+            AddEquity("SPY", Resolution.Minute);
+
+            // There are other assets with similar methods. See "Selecting Options" etc for more details.
+            // AddFuture, AddForex, AddCfd, AddOption
         }
 
         /// <summary>
@@ -44,7 +54,7 @@ public override void OnData(Slice data)
         {
             if (!Portfolio.Invested)
             {
-                SetHoldings(_spy, 1);
+                SetHoldings("SPY", 1);
                 Debug("Purchased Stock");
             }
         }

Algorithm.CSharp/BasicTemplateDailyAlgorithm.cs

@@ -1,11 +1,11 @@
 /*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
- * 
- * Licensed under the Apache License, Version 2.0 (the "License"); 
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
  * you may not use this file except in compliance with the License.
  * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
- * 
+ *
  * Unless required by applicable law or agreed to in writing, software
  * distributed under the License is distributed on an "AS IS" BASIS,
  * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
@@ -18,12 +18,13 @@
 namespace QuantConnect.Algorithm.CSharp
 {
     /// <summary>
-    /// Basic template algorithm simply initializes the date range and cash
+    /// Demonstration of requesting daily resolution data for US Equities.
+    /// This is a simple regression test algorithm using a skeleton algorithm and requesting daily data.
     /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="regression test" />
     public class BasicTemplateDailyAlgorithm : QCAlgorithm
     {
-        private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
-
         /// <summary>
         /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
         /// </summary>
@@ -44,7 +45,7 @@ public override void OnData(Slice data)
         {
             if (!Portfolio.Invested)
             {
-                SetHoldings(_spy, 1);
+                SetHoldings("SPY", 1);
                 Debug("Purchased Stock");
             }
         }

Algorithm.CSharp/BasicTemplateFillForwardAlgorithm.cs

@@ -1,11 +1,11 @@
 /*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
- * 
- * Licensed under the Apache License, Version 2.0 (the "License"); 
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
  * you may not use this file except in compliance with the License.
  * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
- * 
+ *
  * Unless required by applicable law or agreed to in writing, software
  * distributed under the License is distributed on an "AS IS" BASIS,
  * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
@@ -18,12 +18,13 @@
 namespace QuantConnect.Algorithm.Examples
 {
     /// <summary>
-    /// Basic template algorithm simply initializes the date range and cash
+    /// Skeleton algorithm demonstrating filling forward data through gaps and inconsistent data. By default LEAN fills the previous bar forward
+    /// so you get regular bars.
     /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="regression test" />
     public class BasicTemplateFillForwardAlgorithm : QCAlgorithm
     {
-        private Symbol _asur = QuantConnect.Symbol.Create("ASUR", SecurityType.Equity, Market.USA);
-
         /// <summary>
         /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
         /// </summary>
@@ -44,7 +45,7 @@ public void OnData(TradeBars data)
         {
             if (!Portfolio.Invested)
             {
-                SetHoldings(_asur, 1);
+                SetHoldings("ASUR", 1);
                 Debug("Purchased Stock");
             }
         }

Algorithm.CSharp/BasicTemplateForexAlgorithm.cs

@@ -1,11 +1,11 @@
 /*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
- * 
- * Licensed under the Apache License, Version 2.0 (the "License"); 
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
  * you may not use this file except in compliance with the License.
  * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
- * 
+ *
  * Unless required by applicable law or agreed to in writing, software
  * distributed under the License is distributed on an "AS IS" BASIS,
  * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
@@ -19,8 +19,13 @@
 namespace QuantConnect.Algorithm.CSharp
 {
     /// <summary>
-    /// Basic template algorithm simply initializes the date range and cash
+    /// Algorithm demonstrating FOREX asset types and requesting history on them in bulk. As FOREX uses
+    /// QuoteBars you should request slices or
     /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="history and warm up" />
+    /// <meta name="tag" content="history" />
+    /// <meta name="tag" content="forex" />
     public class BasicTemplateForexAlgorithm : QCAlgorithm
     {
         /// <summary>

Algorithm.CSharp/BasicTemplateFuturesAlgorithm.cs

@@ -1,11 +1,11 @@
 /*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
- * 
- * Licensed under the Apache License, Version 2.0 (the "License"); 
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
  * you may not use this file except in compliance with the License.
  * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
- * 
+ *
  * Unless required by applicable law or agreed to in writing, software
  * distributed under the License is distributed on an "AS IS" BASIS,
  * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
@@ -17,17 +17,19 @@
 using System;
 using System.Linq;
 using QuantConnect.Data;
-using QuantConnect.Data.Market;
 using QuantConnect.Orders;
 using QuantConnect.Securities;
 
 namespace QuantConnect.Algorithm.CSharp
 {
     /// <summary>
-    /// This example demonstrates how to add futures for a given underlying.
-    /// It also shows how you can prefilter contracts easily based on expirations.
-    /// It also shows how you can inspect the futures chain to pick a specific contract to trade.
+    /// This example demonstrates how to add futures for a given underlying asset.
+    /// It also shows how you can prefilter contracts easily based on expirations, and how you
+    /// can inspect the futures chain to pick a specific contract to trade.
     /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="benchmarks" />
+    /// <meta name="tag" content="futures" />
     public class BasicTemplateFuturesAlgorithm : QCAlgorithm
     {
         // S&P 500 EMini futures
@@ -38,6 +40,9 @@ public class BasicTemplateFuturesAlgorithm : QCAlgorithm
         private const string RootGold = Futures.Metals.Gold;
         public Symbol Gold = QuantConnect.Symbol.Create(RootGold, SecurityType.Future, Market.USA);
 
+        /// <summary>
+        /// Initialize your algorithm and add desired assets.
+        /// </summary>
         public override void Initialize()
         {
             SetStartDate(2013, 10, 07);

Algorithm.CSharp/BasicTemplateFuturesConsolidationAlgorithm.cs

@@ -1,11 +1,11 @@
 /*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
- * 
- * Licensed under the Apache License, Version 2.0 (the "License"); 
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
  * you may not use this file except in compliance with the License.
  * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
- * 
+ *
  * Unless required by applicable law or agreed to in writing, software
  * distributed under the License is distributed on an "AS IS" BASIS,
  * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
@@ -23,6 +23,13 @@
 
 namespace QuantConnect.Algorithm.CSharp
 {
+    /// <summary>
+    /// A demonstration of consolidating futures data into larger bars for your algorithm.
+    /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="benchmarks" />
+    /// <meta name="tag" content="consolidating data" />
+    /// <meta name="tag" content="futures" />
     public class BasicTemplateFuturesConsolidationAlgorithm : QCAlgorithm
     {
         private const string RootSP500 = Futures.Indices.SP500EMini;

Algorithm.CSharp/BasicTemplateFuturesHistoryAlgorithm.cs

@@ -1,11 +1,11 @@
 /*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
- * 
- * Licensed under the Apache License, Version 2.0 (the "License"); 
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
  * you may not use this file except in compliance with the License.
  * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
- * 
+ *
  * Unless required by applicable law or agreed to in writing, software
  * distributed under the License is distributed on an "AS IS" BASIS,
  * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
@@ -17,7 +17,6 @@
 using System;
 using System.Linq;
 using QuantConnect.Data;
-using QuantConnect.Data.Market;
 using QuantConnect.Orders;
 using QuantConnect.Securities;
 using QuantConnect.Data.UniverseSelection;
@@ -26,9 +25,13 @@ namespace QuantConnect.Algorithm.CSharp
 {
     /// <summary>
     /// This example demonstrates how to get access to futures history for a given root symbol.
-    /// It also shows how you can prefilter contracts easily based on expirations.
-    /// It also shows how you can inspect the futures chain to pick a specific contract to trade.
+    /// It also shows how you can prefilter contracts easily based on expirations, and inspect the futures
+    /// chain to pick a specific contract to trade.
     /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="history and warm up" />
+    /// <meta name="tag" content="history" />
+    /// <meta name="tag" content="futures" />
     public class BasicTemplateFuturesHistoryAlgorithm : QCAlgorithm
     {
         // S&P 500 EMini futures