Release Notes

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

Version 5.2

  • Generic events
    • Full support for generic events that can contain (i.e. corporate actions, external signals, alternative data, and news / social-media-sentiment data)
    • Strategies can subscribe to these events for analysis and signal generation
    • Generic events can be persisted in InfluxDB
  • OTC RFQ Functionality
    • Full support for RFQ (Request for Quote) processes
    • Adapters
      • Interface to Intrinio for the retrieval of dividend data
      • Binance adapter with full support for both stop orders and margin trading
      • User Interace
        • Integrated TradingView charts displays your orders and execution
        • Integrated RFQ functionalities
        • Historical Data Management
          • Trade and Quote events can be persisted into InfluxDB
          • Example Strategies
            • Spreader Example Strategy
            • 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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