/// <summary>
/// Event fired each time the we add/remove securities from the data feed
/// </summary>
/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
/// <param name="changes">The security additions and removals from the algorithm</param>
public virtual void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
{
_securityChanges = changes != SecurityChanges.None;
// Get removed symbol and invalidate them in the insight collection
_removedSymbols = changes.RemovedSecurities.Select(x => x.Symbol).ToList();
InsightCollection.Clear(_removedSymbols.ToArray());
}
/// <summary>
/// Event fired each time the we add/remove securities from the data feed
/// </summary>
/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
/// <param name="changes">The security additions and removals from the algorithm</param>
public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
{
base.OnSecuritiesChanged(algorithm, changes);
// Get removed symbol and invalidate them in the insight collection
_removedSymbols = changes.RemovedSecurities.Select(x => x.Symbol).ToList();
InsightCollection.Clear(_removedSymbols.ToArray());
}
/// <summary>
/// Event fired each time the we add/remove securities from the data feed
/// </summary>
/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
/// <param name="changes">The security additions and removals from the algorithm</param>
public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
{
// Get removed symbol and invalidate them in the insight collection
_removedSymbols = changes.RemovedSecurities.Select(x => x.Symbol).ToList();
_insightCollection.Clear(_removedSymbols.ToArray());
foreach (var symbol in _removedSymbols)
{
if (_symbolDataDict.ContainsKey(symbol))
{
_symbolDataDict[symbol].Reset();
_symbolDataDict.Remove(symbol);
}
}
// initialize data for added securities
var addedSymbols = changes.AddedSecurities.Select(x => x.Symbol).ToList();
algorithm.History(addedSymbols, _lookback * _period, _resolution)
.PushThrough(bar =>
{
ReturnsSymbolData symbolData;
if (!_symbolDataDict.TryGetValue(bar.Symbol, out symbolData))
{
symbolData = new ReturnsSymbolData(bar.Symbol, _lookback, _period);
_symbolDataDict.Add(bar.Symbol, symbolData);
}
symbolData.Update(bar.EndTime, bar.Value);
});
}