/// <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(QCAlgorithmFramework algorithm, SecurityChanges changes)
{
// save securities removed so we can zero out our holdings
_removedSymbols = changes.RemovedSecurities.Select(x => x.Symbol).ToList();
// remove the insights of the removed symbol from the collection
foreach (var removedSymbol in _removedSymbols)
{
List <Insight> insights;
if (_insightCollection.TryGetValue(removedSymbol, out insights))
{
foreach (var insight in insights.ToList())
{
_insightCollection.Remove(insight);
}
}
}
}