Release Notes

See the list of release notes below for recent changes in AlgoTrader.

Version 4.0

  • Major Changes
    • InfluxDB integration
    • Cryptocurrency trading through Coinigy
    • Support HTML customizations
  • New Adapters
    • Coinigy
    • QuantHouse
    • Nexus Prime
    • UBS
    • Quandl
  • Historical Data Management
    • use InfluxDB time-series-database
    • Quandl Historical Data Download
  • Market Data
    • QuantHouse low latency market data
    • live data recording
    • ad-hoc bar aggreation
    • propagate BidVO, AskVO and TradeVO events to strategies
  • Domain Model
    • decimal quantities on Orders, Transactions, Positions, etc.
  • Order Processing
    • ExecutionModel
    • support OrderCompletion events for AlgoOrders
    • PositionMutationEvent
  • Back Testing
    • Stream Historical Data from InfluxDB
    • Base Strategy Name
  • IB Interface
    • Process IB RTVolume
    • IB calendar spread support
    • IBOrderIdSynchronizer
  • Archetypes
    • algotrader-archetype-simple
    • algotrader-archetype-esper
  • Example Strategies
    • EMA strategy
    • Random strategy
    • HTML5 based example strategy monitoring
  • 3rd party library Upgrades
    • Spring 4.3.8
    • Hibernate
    • Esper 5.5.0
    • ActiveMQ 5.14.5
    • Jetty 9.3.19
    • Jackson 2.8.8
    • Lucene 6.5.1
    • Log4J 1.7.25
    • MySql Connector 6.0.6

Version 3.0

  • Major changes
    • HTML5 based web frontend
    • Docker based installation and deployment
    • Excel based back test report
    • Execution algo API redesign
    • New execution algos: VWAP, target position & trailing limit
  • Installation & Deployment
    • use of Flyway command line
    • generate separate assemblies for client & core
  • Domain Model
    • added CNH, CZK, DKK, HUF, ILS, MXN currencies
    • generate VOBuilders
  • Database
    • security family & security mapping changed to one table per hierarchy
    • updated database sample data
  • Esper
    • added ExponentialMovingAverage function
    • Engine callback API redesign
  • Futures & Options
    • added future monthYear
  • Market Data
    • CvsTypeCoercer to accept yyyy-MM-dd HH:mm:ss format
    • market data price normalization
  • Adapters
    • added DropCopy for TT & LMAX
  • Events and Messaging
    • added embedded ActiveMQ message broker
    • added Websocket infrastructure
  • Processes and Networking
    • added embedded Jetty HTTP server
    • added optional TLS transport security & BASIC auth

Version 2.3

  • Strategy Development
    • support for strategy groups
    • added local MarketDataCache
    • simplified strategy starters
  • Adapters
    • added Trading Technologies Fix interface (trading, market data & reference data)
    • added Fortex Fix interface (trading & market data)
    • added FIX session life cycle events
    • add Trading status events for LMAX
    • redesigned IB interface
    • added suport for fix-jdbc-message-store
    • support custom logging per Fix session
  • Event handling
    • added event dispatch framework
    • added event listeners
    • added strategy life cycle events (INIT, PREFEED, START & EXIT)
    • all events are now ValueObjects
  • Distributed Cache Manager
    • LookupService now uses CacheManager instead of DAO’s
    • CacheManager / GenericDao are now available to strategies
  • New entity / VO generation framework
    • added Entity Visitors
    • Entities, Entity Interfaces, Value Objects and Entity to VO Converters are now generated using Hibernate tools
    • Entity identifiers now use long instead of int
    • enhanced equals and hashCode methods
  • New DAO framework
    • AbstractDAO is now base class of all DAO’s
    • finders have been moved to Hibernate.hbm.xml
  • Esper Enhancements
    • enhanced syntax for Esper statement subscribers
    • Esper Engine is now configured through Spring
    • replaced EngineLocator with Spring EngineManager
    • strategy initModules and runModules are now configured through Spring
    • Spring Services are now available to Esper statements directly
  • Order Management enhancements
    • replaced Esper based OpenOrderWindow with Java based OrderRegistry
    • SlicingOrder: assure minimum quantity on the last slice
    • Exchange can now be set directly on an Order
    • OrderStatus events now include lastQuantity attribute
  • Miscellaneous enhancements
    • migration to Spring Configuration annotations
    • harmonized date / time formats
    • new Entity Security Reference
    • GoogleFincanceDownloader
    • enhanced reset service
    • new Reports TradeReport & PortfolioReport
    • updated DB sample data
    • remove margin / exit value from position
    • remove support for server side close position
    • trading hour definitions are now optional
    • client now shows unrealizedPnL & FX Exposure
  • 3rd party library Upgrades
    • Java 1.8
    • Esper 5.2.0 (5.3.0?)
    • Hibernate 4.x
    • Spring from 3.x to 4.x
    • Log4J 2.x

Version 2.2

  • additional Fix trading and market data interface:
    • LMAX
    • FXCM
    • Currenex
    • DukasCopy (added market data interface)
  • add Calendar Service, Exchange, Trading Hours and Holidays)
  • eclipse based strategy creation wizard
  • eclipse based config editor
  • new configuration manager
  • support custom order properties
  • generic symbology resolver
  • persist order and order status to database
  • report manager
  • weekly options
  • market-on-open, limit-on-open, market-on-close and limit-on-close
  • order completion event
  • order recovery
  • in-process exchange simulator
  • add flyway for database migration
  • add csv diff tool
  • 3rd Party Library updates (Esper 5.1.0)

Version 2.1

  • new Instruments: Bond, Fund & Commodity
  • overhaul AlgoTrader Reference Data Manager (based on Grails)
  • RealTick Fix interface
  • Fix market data interface
  • Enable multiple concurrent market data streams
  • AlgoTrader Maven Archetype to generate new projects
  • embedded in-memory DataSource based on H2 database
  • Bloomberg Historical data and security retriever interface
  • BreakOut Example Strategy
  • allow broker specific parameters (e.g. commissions)
  • More flexibility on market data file naming
  • ManagementService: allow securityId, symbol, isin, bbgid, ric and conid for security definition
  • Switch from LIFO to average cost
  • East-to-Borrow list for stocks
  • overhaul Esper Engine management (EngineLocator, Engine, AbstractEngine and EngineImpl)
  • overhaul Spring Proxy generation
  • enable client specific code generation based on UML
  • 3rd Party Library updates (Esper 4.11.0)

Version 2.0

  • Multi Account Handling
  • Bloomberg Market Data Interface
  • Level-Zero Cache
  • New Execution Algorithm “Disbtributional”
  • InteractiveBrokers Financial Advisors Handling over FIX
  • SABR Option Pricing Engine
  • Single-JVM Live-Trading Mode
  • Eclipse Colorer Integration
  • Support for Global Industry Classification Standard (GICS)
  • relate Component to Combination instead of Security
  • DocBook based documentation
  • add JavaDoc Comments
  • Client Expert Mode
  • 3rd Party Library updates:
    • Esper 4.9
    • Spring Framework 3.2.3
    • Spring Integration 2.2.4
    • Hibernate 3.6.10

Version 1.12

  • Esper 4.8
  • use Spring Integration for Mail Reconciliation
  • Esper Threading
  • Hibernate Locking
  • Portfolio Value Restoring
  • OpenPositionCallback / ClosePositionCallback
  • Generic approach for Bars and Ticks
  • FIX:
    • FIX 4.4
    • DukasCopy Fix Interface
    • Init orderId from log-file
    • Weekly Fix logon/logoff
  • Client:
    • Markers, Annotations, Description & Crosshair
    • Monitoring & Rechability Checking & Notifications
  • Market Data Snapshots
  • Strategy Properties
  • Market Data Gap Checking
  • Position Realized P/L
  • Handle crossed spreads

Version 1.11

  • Reconciliation (IB / RBS / UI)
  • SimpleOrders vs AlgoOrders (e.g. SlicingOrder)
  • Fix Interface
  • OrderPreference
  • PorfolioValue logging and charting
  • MailMessageReceiver
  • AndroMDA 3.4
  • ForexFuture / FX Hedging by ForexFuture

Version 1.10

  • GenericEvents
  • update Charting Functionality (add Indicators & Bars)
  • JMX over SSL

Version 1.9

  • SyntheticSecurities (Combinations / SyntheticIndices)
  • AlgoTraderSSHClient
  • PropertyService / PropertyHolder / Property
  • improve Hibernate Sessions Handling / Caching
  • Metrics Logging
  • PortfolioService
  • General performance optimizations

Version 1.8

  • IncrementalLimitOrder
  • HistoricalDataService HistoricalBars
  • MBean Annotations
  • SecurityFamily TickSizePattern
  • Measurement & MeasurementService

Version 1.7

  • update ServiceLocation & Configuration
  • separation of code into core and common
  • update Account Functionality
  • Reconciliation
  • OrderValidation
  • TWS 921.5 / IB Gateway 921.5 / IB Client 9.65 / IBController 2.9.0
  • Esper 4.5

Version 1.6

  • TickCallback and OrderCallback
  • Combinations & Allocations
  • Asynchronous Event Propagation using ActiveMQ
  • convert Model to UML2.0
  • Esper 4.4

Version 1.5

  • async Order & MarketDataService
  • Esper 4.3

Version 1.4

  • GenericFutures
  • Cash Balances & FX-Equalization
  • Management Service Diagrams
  • MarketDataEvents (Bars, Bid, Ask & Trade)
  • AndroMDA 3.4 SNAPSHOT
  • Maven 2
  • Esper 4.2

 

Responsive Menu Clicked Image