/// <summary>
/// Will add any pending internal currency subscriptions
/// </summary>
/// <param name="utcStart">The current date time in utc</param>
/// <returns>Will return true if any subscription was added</returns>
public bool AddPendingInternalDataFeeds(DateTime utcStart)
{
var added = false;
if (!_initializedSecurityBenchmark)
{
_initializedSecurityBenchmark = true;
var securityBenchmark = _algorithm.Benchmark as SecurityBenchmark;
if (securityBenchmark != null)
{
var dataConfig = _algorithm.SubscriptionManager.SubscriptionDataConfigService.Add(
securityBenchmark.Security.Symbol,
_dataPermissionManager.GetResolution(_algorithm.LiveMode ? Resolution.Minute : Resolution.Hour),
isInternalFeed: true,
fillForward: false).First();
// we want to start from the previous tradable bar so the benchmark security
// never has 0 price
var previousTradableBar = Time.GetStartTimeForTradeBars(
securityBenchmark.Security.Exchange.Hours,
utcStart.ConvertFromUtc(securityBenchmark.Security.Exchange.TimeZone),
_algorithm.LiveMode ? Time.OneMinute : Time.OneDay,
1,
false,
dataConfig.DataTimeZone).ConvertToUtc(securityBenchmark.Security.Exchange.TimeZone);
if (dataConfig != null)
{
added |= _dataManager.AddSubscription(new SubscriptionRequest(
false,
null,
securityBenchmark.Security,
dataConfig,
previousTradableBar,
_algorithm.EndDate.ConvertToUtc(_algorithm.TimeZone)));
Log.Trace($"UniverseSelection.AddPendingInternalDataFeeds(): Adding internal benchmark data feed {dataConfig}");
}
}
}
if (_currencySubscriptionDataConfigManager.UpdatePendingSubscriptionDataConfigs(_algorithm.BrokerageModel))
{
foreach (var subscriptionDataConfig in _currencySubscriptionDataConfigManager
.GetPendingSubscriptionDataConfigs())
{
var security = _algorithm.Securities[subscriptionDataConfig.Symbol];
added |= _dataManager.AddSubscription(new SubscriptionRequest(
false,
null,
security,
subscriptionDataConfig,
utcStart,
_algorithm.EndDate.ConvertToUtc(_algorithm.TimeZone)));
}
}
return(added);
}
/// <summary>
/// Will add any pending internal currency subscriptions
/// </summary>
/// <param name="utcStart">The current date time in utc</param>
/// <returns>Will return true if any subscription was added</returns>
public bool AddPendingCurrencyDataFeeds(DateTime utcStart)
{
var added = false;
if (_currencySubscriptionDataConfigManager.UpdatePendingSubscriptionDataConfigs())
{
foreach (var subscriptionDataConfig in _currencySubscriptionDataConfigManager
.GetPendingSubscriptionDataConfigs())
{
var security = _algorithm.Securities[subscriptionDataConfig.Symbol];
added |= _dataManager.AddSubscription(new SubscriptionRequest(
false,
null,
security,
subscriptionDataConfig,
utcStart,
_algorithm.EndDate.ConvertToUtc(_algorithm.TimeZone)));
}
}
return(added);
}
/// <summary>
/// Will add any pending internal currency subscriptions
/// </summary>
/// <param name="utcStart">The current date time in utc</param>
/// <returns>Will return true if any subscription was added</returns>
public bool AddPendingInternalDataFeeds(DateTime utcStart)
{
var added = false;
if (!_initializedSecurityBenchmark)
{
_initializedSecurityBenchmark = true;
var securityBenchmark = _algorithm.Benchmark as SecurityBenchmark;
if (securityBenchmark != null)
{
var resolution = _algorithm.LiveMode ? Resolution.Minute : Resolution.Hour;
// Check that the tradebar subscription we are using can support this resolution GH #5893
var subscriptionType = _algorithm.SubscriptionManager.SubscriptionDataConfigService.LookupSubscriptionConfigDataTypes(securityBenchmark.Security.Type, resolution, securityBenchmark.Security.Symbol.IsCanonical()).First();
var baseInstance = subscriptionType.Item1.GetBaseDataInstance();
baseInstance.Symbol = securityBenchmark.Security.Symbol;
var supportedResolutions = baseInstance.SupportedResolutions();
if (!supportedResolutions.Contains(resolution))
{
resolution = supportedResolutions.OrderByDescending(x => x).First();
}
var subscriptionList = new List <Tuple <Type, TickType> >()
{
subscriptionType
};
var dataConfig = _algorithm.SubscriptionManager.SubscriptionDataConfigService.Add(
securityBenchmark.Security.Symbol,
resolution,
isInternalFeed: true,
fillForward: false,
subscriptionDataTypes: subscriptionList
).First();
// we want to start from the previous tradable bar so the benchmark security
// never has 0 price
var previousTradableBar = Time.GetStartTimeForTradeBars(
securityBenchmark.Security.Exchange.Hours,
utcStart.ConvertFromUtc(securityBenchmark.Security.Exchange.TimeZone),
_algorithm.LiveMode ? Time.OneMinute : Time.OneDay,
1,
false,
dataConfig.DataTimeZone).ConvertToUtc(securityBenchmark.Security.Exchange.TimeZone);
if (dataConfig != null)
{
added |= _dataManager.AddSubscription(new SubscriptionRequest(
false,
null,
securityBenchmark.Security,
dataConfig,
previousTradableBar,
_algorithm.EndDate.ConvertToUtc(_algorithm.TimeZone)));
Log.Trace($"UniverseSelection.AddPendingInternalDataFeeds(): Adding internal benchmark data feed {dataConfig}");
}
}
}
if (_currencySubscriptionDataConfigManager.UpdatePendingSubscriptionDataConfigs(_algorithm.BrokerageModel))
{
foreach (var subscriptionDataConfig in _currencySubscriptionDataConfigManager
.GetPendingSubscriptionDataConfigs())
{
var security = _algorithm.Securities[subscriptionDataConfig.Symbol];
added |= _dataManager.AddSubscription(new SubscriptionRequest(
false,
null,
security,
subscriptionDataConfig,
utcStart,
_algorithm.EndDate.ConvertToUtc(_algorithm.TimeZone)));
}
}
return(added);
}