/// <summary>
/// Ensures that we have a data feed to conver this currency into the base currency.
/// This will add a subscription at the lowest resolution if one is not found.
/// </summary>
/// <param name="securities">The security manager</param>
/// <param name="subscriptions">The subscription manager used for searching and adding subscriptions</param>
public void EnsureCurrencyDataFeed(SecurityManager securities, SubscriptionManager subscriptions)
{
if (Symbol == CashBook.AccountCurrency)
{
_isBaseCurrency = true;
ConversionRate = 1.0m;
return;
}
if (subscriptions.Count == 0)
{
throw new InvalidOperationException("Unable to add cash when no subscriptions are present. Please add subscriptions in the Initialize() method.");
}
// we require a subscription that converts this into the base currency
string normal = Symbol + CashBook.AccountCurrency;
string invert = CashBook.AccountCurrency + Symbol;
for (int i = 0; i < subscriptions.Subscriptions.Count; i++)
{
var config = subscriptions.Subscriptions[i];
if (config.Security != SecurityType.Forex)
{
continue;
}
if (config.Symbol == normal)
{
_config = config;
return;
}
if (config.Symbol == invert)
{
_config = config;
_invertRealTimePrice = true;
return;
}
}
// if we've made it here we didn't find a subscription, so we'll need to add one
var currencyPairs = Forex.Forex.CurrencyPairs;
var minimumResolution = subscriptions.Subscriptions.Min(x => x.Resolution);
var objectType = minimumResolution == Resolution.Tick ? typeof(Tick) : typeof(TradeBar);
var isTradeBar = objectType == typeof(TradeBar);
foreach (var symbol in currencyPairs)
{
if (symbol == normal || symbol == invert)
{
_invertRealTimePrice = symbol == invert;
// set this as an internal feed so that the data doesn't get sent into the algorithm's OnData events
_config = subscriptions.Add(objectType, SecurityType.Forex, symbol, minimumResolution, true, false, isTradeBar, isTradeBar, true);
var security = new Forex.Forex(this, _config, 1m, false);
securities.Add(symbol, security);
return;
}
}
// if this still hasn't been set then it's an error condition
throw new ArgumentException(string.Format("In order to maintain cash in {0} you are required to add a subscription for Forex pair {0}{1} or {1}{0}", Symbol, CashBook.AccountCurrency));
}
/// <summary>
/// Ensures that we have a data feed to convert this currency into the base currency.
/// This will add a subscription at the lowest resolution if one is not found.
/// </summary>
/// <param name="securities">The security manager</param>
/// <param name="subscriptions">The subscription manager used for searching and adding subscriptions</param>
/// <param name="marketHoursDatabase">A security exchange hours provider instance used to resolve exchange hours for new subscriptions</param>
/// <param name="symbolPropertiesDatabase">A symbol properties database instance</param>
/// <param name="marketMap">The market map that decides which market the new security should be in</param>
/// <param name="cashBook">The cash book - used for resolving quote currencies for created conversion securities</param>
/// <returns>Returns the added currency security if needed, otherwise null</returns>
public Security EnsureCurrencyDataFeed(SecurityManager securities, SubscriptionManager subscriptions, MarketHoursDatabase marketHoursDatabase, SymbolPropertiesDatabase symbolPropertiesDatabase, IReadOnlyDictionary <SecurityType, string> marketMap, CashBook cashBook)
{
if (Symbol == CashBook.AccountCurrency)
{
SecuritySymbol = QuantConnect.Symbol.Empty;
_isBaseCurrency = true;
ConversionRate = 1.0m;
return(null);
}
if (subscriptions.Count == 0)
{
throw new InvalidOperationException("Unable to add cash when no subscriptions are present. Please add subscriptions in the Initialize() method.");
}
// we require a subscription that converts this into the base currency
string normal = Symbol + CashBook.AccountCurrency;
string invert = CashBook.AccountCurrency + Symbol;
foreach (var config in subscriptions.Subscriptions.Where(config => config.SecurityType == SecurityType.Forex || config.SecurityType == SecurityType.Cfd))
{
if (config.Symbol.Value == normal)
{
SecuritySymbol = config.Symbol;
return(null);
}
if (config.Symbol.Value == invert)
{
SecuritySymbol = config.Symbol;
_invertRealTimePrice = true;
return(null);
}
}
// if we've made it here we didn't find a subscription, so we'll need to add one
var currencyPairs = Currencies.CurrencyPairs.Select(x =>
{
// allow XAU or XAG to be used as quote currencies, but pairs including them are CFDs
var securityType = Symbol.StartsWith("X") ? SecurityType.Cfd : SecurityType.Forex;
var market = marketMap[securityType];
return(QuantConnect.Symbol.Create(x, securityType, market));
});
var minimumResolution = subscriptions.Subscriptions.Select(x => x.Resolution).DefaultIfEmpty(Resolution.Minute).Min();
var objectType = minimumResolution == Resolution.Tick ? typeof(Tick) : typeof(TradeBar);
foreach (var symbol in currencyPairs)
{
if (symbol.Value == normal || symbol.Value == invert)
{
_invertRealTimePrice = symbol.Value == invert;
var securityType = symbol.ID.SecurityType;
var symbolProperties = symbolPropertiesDatabase.GetSymbolProperties(symbol.ID.Market, symbol.Value, securityType, Symbol);
Cash quoteCash;
if (!cashBook.TryGetValue(symbolProperties.QuoteCurrency, out quoteCash))
{
throw new Exception("Unable to resolve quote cash: " + symbolProperties.QuoteCurrency + ". This is required to add conversion feed: " + symbol.ToString());
}
var marketHoursDbEntry = marketHoursDatabase.GetEntry(symbol.ID.Market, symbol.Value, symbol.ID.SecurityType);
var exchangeHours = marketHoursDbEntry.ExchangeHours;
// set this as an internal feed so that the data doesn't get sent into the algorithm's OnData events
var config = subscriptions.Add(objectType, symbol, minimumResolution, marketHoursDbEntry.DataTimeZone, exchangeHours.TimeZone, false, true, false, true);
SecuritySymbol = config.Symbol;
Security security;
if (securityType == SecurityType.Cfd)
{
security = new Cfd.Cfd(exchangeHours, quoteCash, config, symbolProperties);
}
else
{
security = new Forex.Forex(exchangeHours, quoteCash, config, symbolProperties);
}
securities.Add(config.Symbol, security);
Log.Trace("Cash.EnsureCurrencyDataFeed(): Adding " + symbol.Value + " for cash " + Symbol + " currency feed");
return(security);
}
}
// if this still hasn't been set then it's an error condition
throw new ArgumentException(string.Format("In order to maintain cash in {0} you are required to add a subscription for Forex pair {0}{1} or {1}{0}", Symbol, CashBook.AccountCurrency));
}
/// <summary>
/// Ensures that we have a data feed to conver this currency into the base currency.
/// This will add a subscription at the lowest resolution if one is not found.
/// </summary>
/// <param name="securities">The security manager</param>
/// <param name="subscriptions">The subscription manager used for searching and adding subscriptions</param>
/// <param name="marketHoursDatabase">A security exchange hours provider instance used to resolve exchange hours for new subscriptions</param>
public void EnsureCurrencyDataFeed(SecurityManager securities, SubscriptionManager subscriptions, MarketHoursDatabase marketHoursDatabase)
{
if (Symbol == CashBook.AccountCurrency)
{
SecuritySymbol = QuantConnect.Symbol.Empty;
_isBaseCurrency = true;
ConversionRate = 1.0m;
return;
}
if (subscriptions.Count == 0)
{
throw new InvalidOperationException("Unable to add cash when no subscriptions are present. Please add subscriptions in the Initialize() method.");
}
// we require a subscription that converts this into the base currency
string normal = Symbol + CashBook.AccountCurrency;
string invert = CashBook.AccountCurrency + Symbol;
foreach (var config in subscriptions.Subscriptions.Where(config => config.SecurityType == SecurityType.Forex))
{
if (config.Symbol.Value == normal)
{
SecuritySymbol = config.Symbol;
return;
}
if (config.Symbol.Value == invert)
{
SecuritySymbol = config.Symbol;
_invertRealTimePrice = true;
return;
}
}
// get the market from the first Forex subscription
string market = (from config in subscriptions.Subscriptions
where config.SecurityType == SecurityType.Forex
select config.Market).FirstOrDefault() ?? Market.FXCM;
// if we've made it here we didn't find a subscription, so we'll need to add one
var currencyPairs = Forex.Forex.CurrencyPairs.Select(x => new Symbol(SecurityIdentifier.GenerateForex(x, market), x));
var minimumResolution = subscriptions.Subscriptions.Min(x => x.Resolution);
var objectType = minimumResolution == Resolution.Tick ? typeof(Tick) : typeof(TradeBar);
foreach (var symbol in currencyPairs)
{
if (symbol.Value == normal || symbol.Value == invert)
{
_invertRealTimePrice = symbol.Value == invert;
var marketHoursDbEntry = marketHoursDatabase.GetEntry(market, symbol, SecurityType.Forex);
var exchangeHours = marketHoursDbEntry.ExchangeHours;
// set this as an internal feed so that the data doesn't get sent into the algorithm's OnData events
var config = subscriptions.Add(objectType, symbol, minimumResolution, marketHoursDbEntry.DataTimeZone, exchangeHours.TimeZone, false, true, false, true);
var security = new Forex.Forex(exchangeHours, this, config, 1m);
SecuritySymbol = config.Symbol;
securities.Add(config.Symbol, security);
Log.Trace("Cash.EnsureCurrencyDataFeed(): Adding " + symbol.ToString() + " for cash " + Symbol + " currency feed");
return;
}
}
// if this still hasn't been set then it's an error condition
throw new ArgumentException(string.Format("In order to maintain cash in {0} you are required to add a subscription for Forex pair {0}{1} or {1}{0}", Symbol, CashBook.AccountCurrency));
}
/// <summary>
/// Ensures that we have a data feed to convert this currency into the base currency.
/// This will add a <see cref="SubscriptionDataConfig"/> and create a <see cref="Security"/> at the lowest resolution if one is not found.
/// </summary>
/// <param name="securities">The security manager</param>
/// <param name="subscriptions">The subscription manager used for searching and adding subscriptions</param>
/// <param name="marketMap">The market map that decides which market the new security should be in</param>
/// <param name="changes">Will be used to consume <see cref="SecurityChanges.AddedSecurities"/></param>
/// <param name="securityService">Will be used to create required new <see cref="Security"/></param>
/// <returns>Returns the added <see cref="SubscriptionDataConfig"/>, otherwise null</returns>
public SubscriptionDataConfig EnsureCurrencyDataFeed(SecurityManager securities,
SubscriptionManager subscriptions,
IReadOnlyDictionary <SecurityType, string> marketMap,
SecurityChanges changes,
ISecurityService securityService,
string accountCurrency
)
{
// this gets called every time we add securities using universe selection,
// so must of the time we've already resolved the value and don't need to again
if (ConversionRateSecurity != null)
{
return(null);
}
if (Symbol == accountCurrency)
{
ConversionRateSecurity = null;
_isBaseCurrency = true;
ConversionRate = 1.0m;
return(null);
}
// we require a security that converts this into the base currency
string normal = Symbol + accountCurrency;
string invert = accountCurrency + Symbol;
var securitiesToSearch = securities.Select(kvp => kvp.Value)
.Concat(changes.AddedSecurities)
.Where(s => s.Type == SecurityType.Forex || s.Type == SecurityType.Cfd || s.Type == SecurityType.Crypto);
foreach (var security in securitiesToSearch)
{
if (security.Symbol.Value == normal)
{
ConversionRateSecurity = security;
return(null);
}
if (security.Symbol.Value == invert)
{
ConversionRateSecurity = security;
_invertRealTimePrice = true;
return(null);
}
}
// if we've made it here we didn't find a security, so we'll need to add one
// Create a SecurityType to Market mapping with the markets from SecurityManager members
var markets = securities.Select(x => x.Key).GroupBy(x => x.SecurityType).ToDictionary(x => x.Key, y => y.First().ID.Market);
if (markets.ContainsKey(SecurityType.Cfd) && !markets.ContainsKey(SecurityType.Forex))
{
markets.Add(SecurityType.Forex, markets[SecurityType.Cfd]);
}
if (markets.ContainsKey(SecurityType.Forex) && !markets.ContainsKey(SecurityType.Cfd))
{
markets.Add(SecurityType.Cfd, markets[SecurityType.Forex]);
}
var potentials = Currencies.CurrencyPairs.Select(fx => CreateSymbol(marketMap, fx, markets, SecurityType.Forex))
.Concat(Currencies.CfdCurrencyPairs.Select(cfd => CreateSymbol(marketMap, cfd, markets, SecurityType.Cfd)))
.Concat(Currencies.CryptoCurrencyPairs.Select(crypto => CreateSymbol(marketMap, crypto, markets, SecurityType.Crypto)));
var minimumResolution = subscriptions.Subscriptions.Select(x => x.Resolution).DefaultIfEmpty(Resolution.Minute).Min();
foreach (var symbol in potentials)
{
if (symbol.Value == normal || symbol.Value == invert)
{
_invertRealTimePrice = symbol.Value == invert;
var securityType = symbol.ID.SecurityType;
// use the first subscription defined in the subscription manager
var type = subscriptions.LookupSubscriptionConfigDataTypes(securityType, minimumResolution, false).First();
var objectType = type.Item1;
var tickType = type.Item2;
// set this as an internal feed so that the data doesn't get sent into the algorithm's OnData events
var config = subscriptions.SubscriptionDataConfigService.Add(symbol,
minimumResolution,
fillForward: true,
extendedMarketHours: false,
isInternalFeed: true,
subscriptionDataTypes: new List <Tuple <Type, TickType> > {
new Tuple <Type, TickType>(objectType, tickType)
}).First();
var security = securityService.CreateSecurity(symbol,
config,
addToSymbolCache: false);
ConversionRateSecurity = security;
securities.Add(config.Symbol, security);
Log.Trace($"Cash.EnsureCurrencyDataFeed(): Adding {symbol.Value} for cash {Symbol} currency feed");
return(config);
}
}
// if this still hasn't been set then it's an error condition
throw new ArgumentException($"In order to maintain cash in {Symbol} you are required to add a " +
$"subscription for Forex pair {Symbol}{accountCurrency} or {accountCurrency}{Symbol}"
);
}
/// <summary>
/// Ensures that we have a data feed to convert this currency into the base currency.
/// This will add a subscription at the lowest resolution if one is not found.
/// </summary>
/// <param name="securities">The security manager</param>
/// <param name="subscriptions">The subscription manager used for searching and adding subscriptions</param>
/// <param name="marketHoursDatabase">A security exchange hours provider instance used to resolve exchange hours for new subscriptions</param>
/// <param name="symbolPropertiesDatabase">A symbol properties database instance</param>
/// <param name="marketMap">The market map that decides which market the new security should be in</param>
/// <param name="cashBook">The cash book - used for resolving quote currencies for created conversion securities</param>
/// <param name="changes"></param>
/// <returns>Returns the added currency security if needed, otherwise null</returns>
public Security EnsureCurrencyDataFeed(SecurityManager securities,
SubscriptionManager subscriptions,
MarketHoursDatabase marketHoursDatabase,
SymbolPropertiesDatabase symbolPropertiesDatabase,
IReadOnlyDictionary <SecurityType, string> marketMap,
CashBook cashBook,
SecurityChanges changes
)
{
// this gets called every time we add securities using universe selection,
// so must of the time we've already resolved the value and don't need to again
if (ConversionRateSecurity != null)
{
return(null);
}
if (Symbol == CashBook.AccountCurrency)
{
ConversionRateSecurity = null;
_isBaseCurrency = true;
ConversionRate = 1.0m;
return(null);
}
// we require a security that converts this into the base currency
string normal = Symbol + CashBook.AccountCurrency;
string invert = CashBook.AccountCurrency + Symbol;
var securitiesToSearch = securities.Select(kvp => kvp.Value)
.Concat(changes.AddedSecurities)
.Where(s => s.Type == SecurityType.Forex || s.Type == SecurityType.Cfd || s.Type == SecurityType.Crypto);
foreach (var security in securitiesToSearch)
{
if (security.Symbol.Value == normal)
{
ConversionRateSecurity = security;
return(null);
}
if (security.Symbol.Value == invert)
{
ConversionRateSecurity = security;
_invertRealTimePrice = true;
return(null);
}
}
// if we've made it here we didn't find a security, so we'll need to add one
// Create a SecurityType to Market mapping with the markets from SecurityManager members
var markets = securities.Select(x => x.Key).GroupBy(x => x.SecurityType).ToDictionary(x => x.Key, y => y.First().ID.Market);
if (markets.ContainsKey(SecurityType.Cfd) && !markets.ContainsKey(SecurityType.Forex))
{
markets.Add(SecurityType.Forex, markets[SecurityType.Cfd]);
}
if (markets.ContainsKey(SecurityType.Forex) && !markets.ContainsKey(SecurityType.Cfd))
{
markets.Add(SecurityType.Cfd, markets[SecurityType.Forex]);
}
var potentials = Currencies.CurrencyPairs.Select(fx => CreateSymbol(marketMap, fx, markets, SecurityType.Forex))
.Concat(Currencies.CfdCurrencyPairs.Select(cfd => CreateSymbol(marketMap, cfd, markets, SecurityType.Cfd)))
.Concat(Currencies.CryptoCurrencyPairs.Select(crypto => CreateSymbol(marketMap, crypto, markets, SecurityType.Crypto)));
var minimumResolution = subscriptions.Subscriptions.Select(x => x.Resolution).DefaultIfEmpty(Resolution.Minute).Min();
var objectType = minimumResolution == Resolution.Tick ? typeof(Tick) : typeof(QuoteBar);
foreach (var symbol in potentials)
{
if (symbol.Value == normal || symbol.Value == invert)
{
_invertRealTimePrice = symbol.Value == invert;
var securityType = symbol.ID.SecurityType;
var symbolProperties = symbolPropertiesDatabase.GetSymbolProperties(symbol.ID.Market, symbol.Value, securityType, Symbol);
Cash quoteCash;
if (!cashBook.TryGetValue(symbolProperties.QuoteCurrency, out quoteCash))
{
throw new Exception("Unable to resolve quote cash: " + symbolProperties.QuoteCurrency + ". This is required to add conversion feed: " + symbol.Value);
}
var marketHoursDbEntry = marketHoursDatabase.GetEntry(symbol.ID.Market, symbol.Value, symbol.ID.SecurityType);
var exchangeHours = marketHoursDbEntry.ExchangeHours;
// set this as an internal feed so that the data doesn't get sent into the algorithm's OnData events
var config = subscriptions.Add(objectType, TickType.Quote, symbol, minimumResolution, marketHoursDbEntry.DataTimeZone, exchangeHours.TimeZone, false, true, false, true);
Security security;
if (securityType == SecurityType.Cfd)
{
security = new Cfd.Cfd(exchangeHours, quoteCash, config, symbolProperties);
}
else if (securityType == SecurityType.Crypto)
{
security = new Crypto.Crypto(exchangeHours, quoteCash, config, symbolProperties);
}
else
{
security = new Forex.Forex(exchangeHours, quoteCash, config, symbolProperties);
}
ConversionRateSecurity = security;
securities.Add(config.Symbol, security);
Log.Trace("Cash.EnsureCurrencyDataFeed(): Adding " + symbol.Value + " for cash " + Symbol + " currency feed");
return(security);
}
}
// if this still hasn't been set then it's an error condition
throw new ArgumentException(string.Format("In order to maintain cash in {0} you are required to add a subscription for Forex pair {0}{1} or {1}{0}", Symbol, CashBook.AccountCurrency));
}
/// <summary>
/// Ensures that we have a data feed to convert this currency into the base currency.
/// This will add a <see cref="SubscriptionDataConfig"/> and create a <see cref="Security"/> at the lowest resolution if one is not found.
/// </summary>
/// <param name="securities">The security manager</param>
/// <param name="subscriptions">The subscription manager used for searching and adding subscriptions</param>
/// <param name="marketMap">The market map that decides which market the new security should be in</param>
/// <param name="changes">Will be used to consume <see cref="SecurityChanges.AddedSecurities"/></param>
/// <param name="securityService">Will be used to create required new <see cref="Security"/></param>
/// <param name="accountCurrency">The account currency</param>
/// <param name="defaultResolution">The default resolution to use for the internal subscriptions</param>
/// <returns>Returns the added <see cref="SubscriptionDataConfig"/>, otherwise null</returns>
public SubscriptionDataConfig EnsureCurrencyDataFeed(SecurityManager securities,
SubscriptionManager subscriptions,
IReadOnlyDictionary <SecurityType, string> marketMap,
SecurityChanges changes,
ISecurityService securityService,
string accountCurrency,
Resolution defaultResolution = Resolution.Minute
)
{
// this gets called every time we add securities using universe selection,
// so must of the time we've already resolved the value and don't need to again
if (ConversionRateSecurity != null)
{
return(null);
}
if (Symbol == accountCurrency)
{
ConversionRateSecurity = null;
_isBaseCurrency = true;
ConversionRate = 1.0m;
return(null);
}
// we require a security that converts this into the base currency
string normal = Symbol + accountCurrency;
string invert = accountCurrency + Symbol;
var securitiesToSearch = securities.Select(kvp => kvp.Value)
.Concat(changes.AddedSecurities)
.Where(s => s.Type == SecurityType.Forex || s.Type == SecurityType.Cfd || s.Type == SecurityType.Crypto);
foreach (var security in securitiesToSearch)
{
if (security.Symbol.Value == normal)
{
ConversionRateSecurity = security;
return(null);
}
if (security.Symbol.Value == invert)
{
ConversionRateSecurity = security;
_invertRealTimePrice = true;
return(null);
}
}
// if we've made it here we didn't find a security, so we'll need to add one
// Create a SecurityType to Market mapping with the markets from SecurityManager members
var markets = securities.Select(x => x.Key).GroupBy(x => x.SecurityType).ToDictionary(x => x.Key, y => y.First().ID.Market);
if (markets.ContainsKey(SecurityType.Cfd) && !markets.ContainsKey(SecurityType.Forex))
{
markets.Add(SecurityType.Forex, markets[SecurityType.Cfd]);
}
if (markets.ContainsKey(SecurityType.Forex) && !markets.ContainsKey(SecurityType.Cfd))
{
markets.Add(SecurityType.Cfd, markets[SecurityType.Forex]);
}
var forexEntries = GetAvailableSymbolPropertiesDatabaseEntries(SecurityType.Forex, marketMap, markets);
var cfdEntries = GetAvailableSymbolPropertiesDatabaseEntries(SecurityType.Cfd, marketMap, markets);
var cryptoEntries = GetAvailableSymbolPropertiesDatabaseEntries(SecurityType.Crypto, marketMap, markets);
var potentialEntries = forexEntries
.Concat(cfdEntries)
.Concat(cryptoEntries)
.ToList();
if (!potentialEntries.Any(x =>
Symbol == x.Key.Symbol.Substring(0, x.Key.Symbol.Length - x.Value.QuoteCurrency.Length) ||
Symbol == x.Value.QuoteCurrency))
{
// currency not found in any tradeable pair
Log.Error($"No tradeable pair was found for currency {Symbol}, conversion rate to account currency ({accountCurrency}) will be set to zero.");
ConversionRateSecurity = null;
ConversionRate = 0m;
return(null);
}
var potentials = potentialEntries
.Select(x => QuantConnect.Symbol.Create(x.Key.Symbol, x.Key.SecurityType, x.Key.Market));
var minimumResolution = subscriptions.Subscriptions.Select(x => x.Resolution).DefaultIfEmpty(defaultResolution).Min();
foreach (var symbol in potentials)
{
if (symbol.Value == normal || symbol.Value == invert)
{
_invertRealTimePrice = symbol.Value == invert;
var securityType = symbol.ID.SecurityType;
// use the first subscription defined in the subscription manager
var type = subscriptions.LookupSubscriptionConfigDataTypes(securityType, minimumResolution, false).First();
var objectType = type.Item1;
var tickType = type.Item2;
// set this as an internal feed so that the data doesn't get sent into the algorithm's OnData events
var config = subscriptions.SubscriptionDataConfigService.Add(symbol,
minimumResolution,
fillForward: true,
extendedMarketHours: false,
isInternalFeed: true,
subscriptionDataTypes: new List <Tuple <Type, TickType> > {
new Tuple <Type, TickType>(objectType, tickType)
}).First();
var security = securityService.CreateSecurity(symbol,
config,
addToSymbolCache: false);
ConversionRateSecurity = security;
securities.Add(config.Symbol, security);
Log.Trace($"Cash.EnsureCurrencyDataFeed(): Adding {symbol.Value} for cash {Symbol} currency feed");
return(config);
}
}
// Special case for crypto markets without direct pairs (They wont be found by the above)
// This allows us to add cash for "StableCoins" that are 1-1 with our account currency without needing a conversion security.
// Check out the StableCoinsWithoutPairs static var for those that are missing their 1-1 conversion pairs
if (Currencies.StableCoinsWithoutPairs.Contains(QuantConnect.Symbol.Create(normal, SecurityType.Crypto, marketMap[SecurityType.Crypto])))
{
ConversionRateSecurity = null;
ConversionRate = 1.0m;
return(null);
}
// if this still hasn't been set then it's an error condition
throw new ArgumentException($"In order to maintain cash in {Symbol} you are required to add a " +
$"subscription for Forex pair {Symbol}{accountCurrency} or {accountCurrency}{Symbol}"
);
}
/// <summary>
/// Ensures that we have a data feed to convert this currency into the base currency.
/// This will add a <see cref="SubscriptionDataConfig"/> and create a <see cref="Security"/> at the lowest resolution if one is not found.
/// </summary>
/// <param name="securities">The security manager</param>
/// <param name="subscriptions">The subscription manager used for searching and adding subscriptions</param>
/// <param name="marketMap">The market map that decides which market the new security should be in</param>
/// <param name="changes">Will be used to consume <see cref="SecurityChanges.AddedSecurities"/></param>
/// <param name="securityService">Will be used to create required new <see cref="Security"/></param>
/// <param name="accountCurrency">The account currency</param>
/// <param name="defaultResolution">The default resolution to use for the internal subscriptions</param>
/// <returns>Returns the added <see cref="SubscriptionDataConfig"/>, otherwise null</returns>
public List <SubscriptionDataConfig> EnsureCurrencyDataFeed(SecurityManager securities,
SubscriptionManager subscriptions,
IReadOnlyDictionary <SecurityType, string> marketMap,
SecurityChanges changes,
ISecurityService securityService,
string accountCurrency,
Resolution defaultResolution = Resolution.Minute
)
{
// this gets called every time we add securities using universe selection,
// so must of the time we've already resolved the value and don't need to again
if (CurrencyConversion != null)
{
return(null);
}
if (Symbol == accountCurrency)
{
_isBaseCurrency = true;
CurrencyConversion = null;
ConversionRate = 1.0m;
return(null);
}
// existing securities
var securitiesToSearch = securities.Select(kvp => kvp.Value)
.Concat(changes.AddedSecurities)
.Where(s => s.Type == SecurityType.Forex || s.Type == SecurityType.Cfd || s.Type == SecurityType.Crypto);
// Create a SecurityType to Market mapping with the markets from SecurityManager members
var markets = securities.Select(x => x.Key)
.GroupBy(x => x.SecurityType)
.ToDictionary(x => x.Key, y => y.Select(symbol => symbol.ID.Market).ToHashSet());
if (markets.ContainsKey(SecurityType.Cfd) && !markets.ContainsKey(SecurityType.Forex))
{
markets.Add(SecurityType.Forex, markets[SecurityType.Cfd]);
}
if (markets.ContainsKey(SecurityType.Forex) && !markets.ContainsKey(SecurityType.Cfd))
{
markets.Add(SecurityType.Cfd, markets[SecurityType.Forex]);
}
var forexEntries = GetAvailableSymbolPropertiesDatabaseEntries(SecurityType.Forex, marketMap, markets);
var cfdEntries = GetAvailableSymbolPropertiesDatabaseEntries(SecurityType.Cfd, marketMap, markets);
var cryptoEntries = GetAvailableSymbolPropertiesDatabaseEntries(SecurityType.Crypto, marketMap, markets);
var potentialEntries = forexEntries
.Concat(cfdEntries)
.Concat(cryptoEntries)
.ToList();
if (!potentialEntries.Any(x =>
Symbol == x.Key.Symbol.Substring(0, x.Key.Symbol.Length - x.Value.QuoteCurrency.Length) ||
Symbol == x.Value.QuoteCurrency))
{
// currency not found in any tradeable pair
Log.Error($"No tradeable pair was found for currency {Symbol}, conversion rate to account currency ({accountCurrency}) will be set to zero.");
CurrencyConversion = null;
ConversionRate = 0m;
return(null);
}
// Special case for crypto markets without direct pairs (They wont be found by the above)
// This allows us to add cash for "StableCoins" that are 1-1 with our account currency without needing a conversion security.
// Check out the StableCoinsWithoutPairs static var for those that are missing their 1-1 conversion pairs
if (marketMap.TryGetValue(SecurityType.Crypto, out var market)
&&
(Currencies.IsStableCoinWithoutPair(Symbol + accountCurrency, market) ||
Currencies.IsStableCoinWithoutPair(accountCurrency + Symbol, market)))
{
CurrencyConversion = null;
ConversionRate = 1.0m;
return(null);
}
var requiredSecurities = new List <SubscriptionDataConfig>();
var potentials = potentialEntries
.Select(x => QuantConnect.Symbol.Create(x.Key.Symbol, x.Key.SecurityType, x.Key.Market));
var minimumResolution = subscriptions.Subscriptions.Select(x => x.Resolution).DefaultIfEmpty(defaultResolution).Min();
var makeNewSecurity = new Func <Symbol, Security>(symbol =>
{
var securityType = symbol.ID.SecurityType;
// use the first subscription defined in the subscription manager
var type = subscriptions.LookupSubscriptionConfigDataTypes(securityType, minimumResolution, false).First();
var objectType = type.Item1;
var tickType = type.Item2;
// set this as an internal feed so that the data doesn't get sent into the algorithm's OnData events
var config = subscriptions.SubscriptionDataConfigService.Add(symbol,
minimumResolution,
fillForward: true,
extendedMarketHours: false,
isInternalFeed: true,
subscriptionDataTypes: new List <Tuple <Type, TickType> >
{
new Tuple <Type, TickType>(objectType, tickType)
}).First();
var newSecurity = securityService.CreateSecurity(symbol,
config,
addToSymbolCache: false);
Log.Trace($"Cash.EnsureCurrencyDataFeed(): Adding {symbol.Value} for cash {Symbol} currency feed");
securities.Add(symbol, newSecurity);
requiredSecurities.Add(config);
return(newSecurity);
});
CurrencyConversion = SecurityCurrencyConversion.LinearSearch(Symbol,
accountCurrency,
securitiesToSearch.ToList(),
potentials,
makeNewSecurity);
return(requiredSecurities);
}