/// <summary>
/// Adds the security to the user defined universe
/// </summary>
/// <param name="security">The security to add</param>
/// <param name="configurations">The <see cref="SubscriptionDataConfig"/> instances we want to add</param>
private void AddToUserDefinedUniverse(
Security security,
List <SubscriptionDataConfig> configurations)
{
var subscription = configurations.First();
// if we are adding a non-internal security which already has an internal feed, we remove it first
Security existingSecurity;
if (Securities.TryGetValue(security.Symbol, out existingSecurity))
{
if (!subscription.IsInternalFeed && existingSecurity.IsInternalFeed())
{
var securityUniverse = UniverseManager.Select(x => x.Value).OfType <UserDefinedUniverse>().FirstOrDefault(x => x.Members.ContainsKey(security.Symbol));
securityUniverse?.Remove(security.Symbol);
Securities.Remove(security.Symbol);
}
}
Securities.Add(security);
// add this security to the user defined universe
Universe universe;
var universeSymbol = UserDefinedUniverse.CreateSymbol(security.Type, security.Symbol.ID.Market);
lock (_pendingUniverseAdditionsLock)
{
if (!UniverseManager.TryGetValue(universeSymbol, out universe))
{
universe = _pendingUniverseAdditions.FirstOrDefault(x => x.Configuration.Symbol == universeSymbol);
if (universe == null)
{
// create a new universe, these subscription settings don't currently get used
// since universe selection proper is never invoked on this type of universe
var uconfig = new SubscriptionDataConfig(subscription, symbol: universeSymbol, isInternalFeed: true, fillForward: false);
if (security.Type == SecurityType.Base)
{
// set entry in market hours database for the universe subscription to match the custom data
var symbolString = MarketHoursDatabase.GetDatabaseSymbolKey(uconfig.Symbol);
MarketHoursDatabase.SetEntry(uconfig.Market, symbolString, uconfig.SecurityType, security.Exchange.Hours, uconfig.DataTimeZone);
}
universe = new UserDefinedUniverse(uconfig,
new UniverseSettings(
subscription.Resolution,
security.Leverage,
subscription.FillDataForward,
subscription.ExtendedMarketHours,
TimeSpan.Zero),
QuantConnect.Time.MaxTimeSpan,
new List <Symbol>());
_pendingUniverseAdditions.Add(universe);
}
}
}
var userDefinedUniverse = universe as UserDefinedUniverse;
if (userDefinedUniverse != null)
{
lock (_pendingUniverseAdditionsLock)
{
_pendingUserDefinedUniverseSecurityAdditions.Add(
new UserDefinedUniverseAddition(userDefinedUniverse, configurations, security));
}
}
else
{
// should never happen, someone would need to add a non-user defined universe with this symbol
throw new Exception("Expected universe with symbol '" + universeSymbol.Value + "' to be of type UserDefinedUniverse.");
}
}