/// <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)
{
// added
foreach (var added in changes.AddedSecurities)
{
SymbolData symbolData;
if (!_symbolDataBySymbol.TryGetValue(added.Symbol, out symbolData))
{
// add symbol/symbolData pair to collection
symbolData = new SymbolData(_rangePeriod, _consolidatorTimeSpan)
{
Symbol = added.Symbol,
K1 = _k1,
K2 = _k2
};
_symbolDataBySymbol[added.Symbol] = symbolData;
//register consolidator
algorithm.SubscriptionManager.AddConsolidator(added.Symbol, symbolData.GetConsolidator());
}
}
// removed
foreach (var removed in changes.RemovedSecurities)
{
SymbolData symbolData;
if (_symbolDataBySymbol.TryGetValue(removed.Symbol, out symbolData))
{
// unsibscribe consolidator from data updates
algorithm.SubscriptionManager.RemoveConsolidator(removed.Symbol, symbolData.GetConsolidator());
// remove item from dictionary collection
if (!_symbolDataBySymbol.Remove(removed.Symbol))
{
algorithm.Error("Unable to remove data from collection: DualThrustAlphaModel");
}
}
}
}
