public void UpdateCallsDisposeOnDisposableInstances()
{
var disposable = new Disposable(Symbols.SPY);
var dictionary = new Dictionary <Symbol, Disposable>
{
[Symbols.SPY] = disposable
};
var SPY = new Equity(
Symbols.SPY,
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new Cash("USD", 1m, 1m),
SymbolProperties.GetDefault("USD"),
ErrorCurrencyConverter.Instance,
new RegisteredSecurityDataTypesProvider(),
new SecurityCache()
);
var changes = SecurityChangesTests.RemovedNonInternal(SPY);
NotifiedSecurityChanges.UpdateDictionary(dictionary, changes,
security => security.Symbol,
security => new Disposable(security.Symbol)
);
Assert.IsTrue(disposable.Disposed);
}
/// <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 virtual void OnSecuritiesChanged(QCAlgorithmFramework algorithm, SecurityChanges changes)
{
// save securities removed so we can zero out our holdings
_removedSymbols = changes.RemovedSecurities.Select(x => x.Symbol).ToList();
NotifiedSecurityChanges.UpdateCollection(_securities, changes);
}
/// <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(QCAlgorithm algorithm, SecurityChanges changes)
{
NotifiedSecurityChanges.UpdateCollection(Securities, changes);
var symbols = Securities.Select(x => x.Symbol).ToArray();
var history = algorithm.History(symbols, _lookback, _resolution);
var vectors = GetPriceVectors(history);
if (vectors.LongLength == 0)
{
algorithm.Debug($"PearsonCorrelationPairsTradingAlphaModel.OnSecuritiesChanged(): The requested historical data does not have series of prices with the same date/time. Please consider increasing the looback period. Current lookback: {_lookback}");
}
else
{
var pearsonMatrix = Correlation.PearsonMatrix(vectors).UpperTriangle();
var maxValue = pearsonMatrix.Enumerate().Where(x => Math.Abs(x) < 1).Max();
if (maxValue >= _minimumCorrelation)
{
var maxTuple = pearsonMatrix.Find(x => x == maxValue);
_bestPair = Tuple.Create(symbols[maxTuple.Item1], symbols[maxTuple.Item2]);
}
}
base.OnSecuritiesChanged(algorithm, changes);
}
/// <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)
{
NotifiedSecurityChanges.UpdateCollection(_securities, changes);
// this will allow the insight to be re-sent when the security re-joins the universe
foreach (var removed in changes.RemovedSecurities)
{
_insightsTimeBySymbol.Remove(removed.Symbol);
}
}
/// <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(QCAlgorithm algorithm, SecurityChanges changes)
{
NotifiedSecurityChanges.UpdateCollection(Securities, changes);
UpdatePairs(algorithm);
// Remove pairs that has assets that were removed from the universe
foreach (var security in changes.RemovedSecurities)
{
var symbol = security.Symbol;
var keys = _pairs.Keys.Where(k => k.Item1 == symbol || k.Item2 == symbol).ToList();
foreach (var key in keys)
{
_pairs.Remove(key);
}
}
}
/// <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 void OnSecuritiesChanged(QCAlgorithmFramework algorithm, SecurityChanges changes)
{
NotifiedSecurityChanges.UpdateCollection(_securities, changes);
}
