Release Notes

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

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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