public void SecurityManagerCanCreate_CustomSecurities_WithCorrectSubscriptions()
{
var equitySymbol = new Symbol(SecurityIdentifier.GenerateBase("BTC", Market.USA), "BTC");
var equityMarketHoursDbEntry = _marketHoursDatabase.SetEntryAlwaysOpen(Market.USA, "BTC", SecurityType.Base, TimeZones.NewYork);
var equitySymbolProperties = _symbolPropertiesDatabase.GetSymbolProperties(equitySymbol.ID.Market, equitySymbol, equitySymbol.ID.SecurityType, CashBook.AccountCurrency);
var equity = SecurityManager.CreateSecurity(typeof(Bitcoin),
_securityPortfolioManager,
_subscriptionManager,
equityMarketHoursDbEntry.ExchangeHours,
equityMarketHoursDbEntry.DataTimeZone,
equitySymbolProperties,
_securityInitializer,
equitySymbol,
Resolution.Second,
false,
1.0m,
false,
false,
false,
false);
Assert.AreEqual(equity.Subscriptions.Count(), 1);
Assert.AreEqual(equity.Subscriptions.First().Type, typeof(Bitcoin));
Assert.AreEqual(equity.Subscriptions.First().TickType, TickType.Trade);
}
public void SecurityManagerCanCreate_Cfd_WithCorrectSubscriptions()
{
var symbol = Symbol.Create("abc", SecurityType.Cfd, Market.USA);
var marketHoursDbEntry = _marketHoursDatabase.SetEntryAlwaysOpen(Market.USA, "abc", SecurityType.Cfd, TimeZones.NewYork);
var defaultQuoteCurrency = CashBook.AccountCurrency;
var symbolProperties = _symbolPropertiesDatabase.GetSymbolProperties(symbol.ID.Market, symbol, symbol.ID.SecurityType, defaultQuoteCurrency);
var subscriptions = SecurityManager.CreateSecurity(typeof(QuoteBar),
_securityPortfolioManager,
_subscriptionManager,
marketHoursDbEntry.ExchangeHours,
marketHoursDbEntry.DataTimeZone,
symbolProperties,
_securityInitializer,
symbol,
Resolution.Second,
false,
1.0m,
false,
false,
false,
false);
Assert.AreEqual(subscriptions.Subscriptions.Count(), 1);
Assert.AreEqual(subscriptions.Subscriptions.First().Type, typeof(QuoteBar));
Assert.AreEqual(subscriptions.Subscriptions.First().TickType, TickType.Quote);
}
public void CanCreate_Cfd_WithCorrectSubscriptions()
{
var symbol = Symbol.Create("abc", SecurityType.Cfd, Market.USA);
_marketHoursDatabase.SetEntryAlwaysOpen(Market.USA, "abc", SecurityType.Cfd, TimeZones.NewYork);
var configs = _subscriptionManager.SubscriptionDataConfigService.Add(typeof(QuoteBar), symbol, Resolution.Second, false, false, false);
var cfd = _securityService.CreateSecurity(symbol, configs, 1.0m, false);
Assert.AreEqual(cfd.Subscriptions.Count(), 1);
Assert.AreEqual(cfd.Subscriptions.First().Type, typeof(QuoteBar));
Assert.AreEqual(cfd.Subscriptions.First().TickType, TickType.Quote);
}
/// <summary>
/// AddData a new user defined data source, requiring only the minimum config options.
/// </summary>
/// <param name="dataType">Data source type</param>
/// <param name="symbol">Key/Symbol for data</param>
/// <param name="resolution">Resolution of the Data Required</param>
/// <param name="timeZone">Specifies the time zone of the raw data</param>
/// <param name="fillDataForward">When no data available on a tradebar, return the last data that was generated</param>
/// <param name="leverage">Custom leverage per security</param>
/// <returns>The new <see cref="Security"/></returns>
public Security AddData(Type dataType, string symbol, Resolution resolution, DateTimeZone timeZone, bool fillDataForward = false, decimal leverage = 1.0m)
{
var marketHoursDbEntry = MarketHoursDatabase.SetEntryAlwaysOpen(Market.USA, symbol, SecurityType.Base, timeZone);
//Add this to the data-feed subscriptions
var symbolObject = new Symbol(SecurityIdentifier.GenerateBase(symbol, Market.USA), symbol);
var symbolProperties = _symbolPropertiesDatabase.GetSymbolProperties(Market.USA, symbol, SecurityType.Base, CashBook.AccountCurrency);
//Add this new generic data as a tradeable security:
var security = SecurityManager.CreateSecurity(dataType, Portfolio, SubscriptionManager, marketHoursDbEntry.ExchangeHours, marketHoursDbEntry.DataTimeZone,
symbolProperties, SecurityInitializer, symbolObject, resolution, fillDataForward, leverage, true, false, true, LiveMode);
AddToUserDefinedUniverse(security);
return(security);
}
/// <summary>
/// Creates and adds a list of <see cref="SubscriptionDataConfig" /> for a given symbol and configuration.
/// Can optionally pass in desired subscription data types to use.
/// If the config already existed will return existing instance instead
/// </summary>
public List <SubscriptionDataConfig> Add(
Symbol symbol,
Resolution?resolution = null,
bool fillForward = true,
bool extendedMarketHours = false,
bool isFilteredSubscription = true,
bool isInternalFeed = false,
bool isCustomData = false,
List <Tuple <Type, TickType> > subscriptionDataTypes = null,
DataNormalizationMode dataNormalizationMode = DataNormalizationMode.Adjusted
)
{
var dataTypes = subscriptionDataTypes ??
LookupSubscriptionConfigDataTypes(symbol.SecurityType, resolution ?? Resolution.Minute, symbol.IsCanonical());
if (!dataTypes.Any())
{
throw new ArgumentNullException(nameof(dataTypes), "At least one type needed to create new subscriptions");
}
var resolutionWasProvided = resolution.HasValue;
foreach (var typeTuple in dataTypes)
{
var baseInstance = typeTuple.Item1.GetBaseDataInstance();
baseInstance.Symbol = symbol;
if (!resolutionWasProvided)
{
var defaultResolution = baseInstance.DefaultResolution();
if (resolution.HasValue && resolution != defaultResolution)
{
// we are here because there are multiple 'dataTypes'.
// if we get different default resolutions lets throw, this shouldn't happen
throw new InvalidOperationException(
$"Different data types ({string.Join(",", dataTypes.Select(tuple => tuple.Item1))})" +
$" provided different default resolutions {defaultResolution} and {resolution}, this is an unexpected invalid operation.");
}
resolution = defaultResolution;
}
else
{
// only assert resolution in backtesting, live can use other data source
// for example daily data for options
if (!_liveMode)
{
var supportedResolutions = baseInstance.SupportedResolutions();
if (supportedResolutions.Contains(resolution.Value))
{
continue;
}
throw new ArgumentException($"Sorry {resolution.ToStringInvariant()} is not a supported resolution for {typeTuple.Item1.Name}" +
$" and SecurityType.{symbol.SecurityType.ToStringInvariant()}." +
$" Please change your AddData to use one of the supported resolutions ({string.Join(",", supportedResolutions)}).");
}
}
}
MarketHoursDatabase.Entry marketHoursDbEntry;
if (!_marketHoursDatabase.TryGetEntry(symbol.ID.Market, symbol, symbol.ID.SecurityType, out marketHoursDbEntry))
{
if (symbol.SecurityType == SecurityType.Base)
{
var baseInstance = dataTypes.Single().Item1.GetBaseDataInstance();
baseInstance.Symbol = symbol;
_marketHoursDatabase.SetEntryAlwaysOpen(symbol.ID.Market, null, SecurityType.Base, baseInstance.DataTimeZone());
}
marketHoursDbEntry = _marketHoursDatabase.GetEntry(symbol.ID.Market, symbol, symbol.ID.SecurityType);
}
var exchangeHours = marketHoursDbEntry.ExchangeHours;
if (symbol.ID.SecurityType.IsOption() ||
symbol.ID.SecurityType == SecurityType.Future ||
symbol.ID.SecurityType == SecurityType.Index)
{
dataNormalizationMode = DataNormalizationMode.Raw;
}
if (marketHoursDbEntry.DataTimeZone == null)
{
throw new ArgumentNullException(nameof(marketHoursDbEntry.DataTimeZone),
"DataTimeZone is a required parameter for new subscriptions. Set to the time zone the raw data is time stamped in.");
}
if (exchangeHours.TimeZone == null)
{
throw new ArgumentNullException(nameof(exchangeHours.TimeZone),
"ExchangeTimeZone is a required parameter for new subscriptions. Set to the time zone the security exchange resides in.");
}
var result = (from subscriptionDataType in dataTypes
let dataType = subscriptionDataType.Item1
let tickType = subscriptionDataType.Item2
select new SubscriptionDataConfig(
dataType,
symbol,
resolution.Value,
marketHoursDbEntry.DataTimeZone,
exchangeHours.TimeZone,
fillForward,
extendedMarketHours,
// if the subscription data types were not provided and the tick type is OpenInterest we make it internal
subscriptionDataTypes == null && tickType == TickType.OpenInterest || isInternalFeed,
isCustomData,
isFilteredSubscription: isFilteredSubscription,
tickType: tickType,
dataNormalizationMode: dataNormalizationMode)).ToList();
for (int i = 0; i < result.Count; i++)
{
result[i] = SubscriptionManagerGetOrAdd(result[i]);
// track all registered data types
_registeredTypesProvider.RegisterType(result[i].Type);
}
return(result);
}