Release Notes

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

Version 5.1

  • Strategy development
    • Full Python support
  • Version 5.0

    • Order Execution
      • Smart order routing (SOR) execution algos
      • Algo order entry UI
      • Algo order parent / child display
      • Algo order persistence
      • Display Algo Order State in UI
      • Order Custom Pre-Trade checks
    • Adapters
      • Crypto-adapter order reconciliation on WebSocket reconnect
      • Generic inbound FIX interface
      • Exante Fix interface
      • Coinbase Prime & Pro (GDAX) adapter
      • Handling of crypto Fees
      • Support for crypto withdrawals & deposit address query
      • Encryption of API keys
      • Support non spot-cryptos with CoinAPI
      • Make send, cancel & modify order non-blocking
    • Strategy development
      • Python strategy live trading support
      • Subscribe to Account/Deposit events via WebSocket
      • JSON based properties on all Entities
    • AlgoTrader UI
      • Reference data management UI
      • Historical data management UI
      • Display of CashBalances in the UI
      • Perpetual swaps P&L calculation
      • Add Trade Action to Market Data & Position table
    • Others
      • Upgrade to Java 8 Date/Time API
      • Migrate UI Entities to TypeScript
      • Spring profile validation on startup
      • Disseminate LifeCycleEvents event to strategies running in distributed mode
      • Run flyway-migration on startup
      • Eliminiate FutureFamily, OptionFamily, GenericFutureFamily and BondFamily
      • Merge FeedType, Broker and OrderServiceType
      • Upgrade all 3rd party libraries to latest version
    • Version 4.5

      • UI
        • Allow Trading View chart to display data from the historical data source configured in AT
        • Switch to AGGrid
        • Switch UI to TypeScript
        • Add React DataGrid update throttling
        • Enable CSV Export
        • Improve security search experience
        • Show execution algo properties in the UI
      • New Adapters
        • PrimeXM
        • SocGen
        • Bitflyer
        • Bitfinex
        • Bitstamp
        • Binance
        • BitMEX (including Perpetual Swaps and Indices)
        • CoinAPI
        • CoinMarketCap
      • Historical Data Management
        • CoinAPI historical data download
      • New Adapter related features
        • Implemented crypto margin and exchange trading
        • Balances download
        • Withdrawal of cryptocurrencies
        • Fees can be configured in %
        • Currency code mappings to cater for different symbols used in different exchanges
        • Automatic connection gap detection
        • Automatic reconnect
        • Rest and WebSocket message synchronization (AdaptiveConsumerProducer)
      • Execution Algorithms
        • TWAP (based on adaptive pricing logic)
        • VWAP (based on adaptive pricing logic)
      • Other
        • Use Swagger for REST API documentation

      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

       

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