/// <summary>
/// Will first check and add all the required conversion rate securities
/// and later will seed an initial value to them.
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="universeSelection">The universe selection instance</param>
public static void SetupCurrencyConversions(
IAlgorithm algorithm,
UniverseSelection universeSelection)
{
// this is needed to have non-zero currency conversion rates during warmup
// will also set the Cash.ConversionRateSecurity
universeSelection.EnsureCurrencyDataFeeds(SecurityChanges.None);
// now set conversion rates
var cashToUpdate = algorithm.Portfolio.CashBook.Values
.Where(x => x.ConversionRateSecurity != null && x.ConversionRate == 0)
.ToList();
var historyRequestFactory = new HistoryRequestFactory(algorithm);
var historyRequests = new List <HistoryRequest>();
foreach (var cash in cashToUpdate)
{
var configs = algorithm
.SubscriptionManager
.SubscriptionDataConfigService
.GetSubscriptionDataConfigs(cash.ConversionRateSecurity.Symbol,
includeInternalConfigs: true);
// we need to order and select a specific configuration type
// so the conversion rate is deterministic
var configToUse = configs.OrderBy(x => x.TickType).First();
var hours = cash.ConversionRateSecurity.Exchange.Hours;
var resolution = configs.GetHighestResolution();
var startTime = historyRequestFactory.GetStartTimeAlgoTz(
cash.ConversionRateSecurity.Symbol,
10,
resolution,
hours,
configToUse.DataTimeZone);
var endTime = algorithm.Time;
historyRequests.Add(historyRequestFactory.CreateHistoryRequest(
configToUse,
startTime,
endTime,
cash.ConversionRateSecurity.Exchange.Hours,
resolution));
}
var slices = algorithm.HistoryProvider.GetHistory(historyRequests, algorithm.TimeZone);
slices.PushThrough(data =>
{
foreach (var cash in cashToUpdate
.Where(x => x.ConversionRateSecurity.Symbol == data.Symbol))
{
cash.Update(data);
}
});
Log.Trace("BaseSetupHandler.SetupCurrencyConversions():" +
$"{Environment.NewLine}{algorithm.Portfolio.CashBook}");
}
/// <summary>
/// Will first check and add all the required conversion rate securities
/// and later will seed an initial value to them.
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="universeSelection">The universe selection instance</param>
public static void SetupCurrencyConversions(
IAlgorithm algorithm,
UniverseSelection universeSelection)
{
// this is needed to have non-zero currency conversion rates during warmup
// will also set the Cash.ConversionRateSecurity
universeSelection.EnsureCurrencyDataFeeds(SecurityChanges.None);
// now set conversion rates
var cashToUpdate = algorithm.Portfolio.CashBook.Values
.Where(x => x.ConversionRateSecurity != null && x.ConversionRate == 0)
.ToList();
var historyRequestFactory = new HistoryRequestFactory(algorithm);
var historyRequests = new List <HistoryRequest>();
foreach (var cash in cashToUpdate)
{
// if we already added a history request for this security, skip
if (historyRequests.Any(x => x.Symbol == cash.ConversionRateSecurity.Symbol))
{
continue;
}
var configs = algorithm
.SubscriptionManager
.SubscriptionDataConfigService
.GetSubscriptionDataConfigs(cash.ConversionRateSecurity.Symbol);
var resolution = configs.GetHighestResolution();
var startTime = historyRequestFactory.GetStartTimeAlgoTz(
cash.ConversionRateSecurity.Symbol,
1,
resolution,
cash.ConversionRateSecurity.Exchange.Hours);
var endTime = algorithm.Time.RoundDown(resolution.ToTimeSpan());
// we need to order and select a specific configuration type
// so the conversion rate is deterministic
var configToUse = configs.OrderBy(x => x.TickType).First();
historyRequests.Add(historyRequestFactory.CreateHistoryRequest(
configToUse,
startTime,
endTime,
cash.ConversionRateSecurity.Exchange.Hours,
resolution));
}
var slices = algorithm.HistoryProvider.GetHistory(historyRequests, algorithm.TimeZone);
slices.PushThrough(data =>
{
foreach (var cash in cashToUpdate
.Where(x => x.ConversionRateSecurity.Symbol == data.Symbol))
{
cash.Update(data);
}
});
}
/// <summary>
/// Will first check and add all the required conversion rate securities
/// and later will seed an initial value to them.
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="universeSelection">The universe selection instance</param>
public static void SetupCurrencyConversions(
IAlgorithm algorithm,
UniverseSelection universeSelection)
{
// this is needed to have non-zero currency conversion rates during warmup
// will also set the Cash.ConversionRateSecurity
universeSelection.EnsureCurrencyDataFeeds(SecurityChanges.None);
// now set conversion rates
var cashToUpdate = algorithm.Portfolio.CashBook.Values
.Where(x => x.CurrencyConversion != null && x.ConversionRate == 0)
.ToList();
var securitiesToUpdate = cashToUpdate
.SelectMany(x => x.CurrencyConversion.ConversionRateSecurities)
.Distinct()
.ToList();
var historyRequestFactory = new HistoryRequestFactory(algorithm);
var historyRequests = new List <HistoryRequest>();
foreach (var security in securitiesToUpdate)
{
var configs = algorithm
.SubscriptionManager
.SubscriptionDataConfigService
.GetSubscriptionDataConfigs(security.Symbol,
includeInternalConfigs: true);
// we need to order and select a specific configuration type
// so the conversion rate is deterministic
var configToUse = configs.OrderBy(x => x.TickType).First();
var hours = security.Exchange.Hours;
var resolution = configs.GetHighestResolution();
var startTime = historyRequestFactory.GetStartTimeAlgoTz(
security.Symbol,
10,
resolution,
hours,
configToUse.DataTimeZone);
var endTime = algorithm.Time;
historyRequests.Add(historyRequestFactory.CreateHistoryRequest(
configToUse,
startTime,
endTime,
security.Exchange.Hours,
resolution));
}
// Attempt to get history for these requests and update cash
var slices = algorithm.HistoryProvider.GetHistory(historyRequests, algorithm.TimeZone);
slices.PushThrough(data =>
{
foreach (var security in securitiesToUpdate.Where(x => x.Symbol == data.Symbol))
{
security.SetMarketPrice(data);
}
});
foreach (var cash in cashToUpdate)
{
cash.Update();
}
// Any remaining unassigned cash will attempt to fall back to a daily resolution history request to resolve
var unassignedCash = cashToUpdate.Where(x => x.ConversionRate == 0).ToList();
if (unassignedCash.Any())
{
Log.Error(
$"Failed to assign conversion rates for the following cash: {string.Join(",", unassignedCash.Select(x => x.Symbol))}." +
$" Attempting to request daily resolution history to resolve conversion rate");
var unassignedCashSymbols = unassignedCash
.SelectMany(x => x.SecuritySymbols)
.ToHashSet();
var replacementHistoryRequests = new List <HistoryRequest>();
foreach (var request in historyRequests.Where(x =>
unassignedCashSymbols.Contains(x.Symbol) && x.Resolution < Resolution.Daily))
{
var newRequest = new HistoryRequest(request.EndTimeUtc.AddDays(-10), request.EndTimeUtc,
request.DataType,
request.Symbol, Resolution.Daily, request.ExchangeHours, request.DataTimeZone,
request.FillForwardResolution,
request.IncludeExtendedMarketHours, request.IsCustomData, request.DataNormalizationMode,
request.TickType);
replacementHistoryRequests.Add(newRequest);
}
slices = algorithm.HistoryProvider.GetHistory(replacementHistoryRequests, algorithm.TimeZone);
slices.PushThrough(data =>
{
foreach (var security in securitiesToUpdate.Where(x => x.Symbol == data.Symbol))
{
security.SetMarketPrice(data);
}
});
foreach (var cash in unassignedCash)
{
cash.Update();
}
}
Log.Trace("BaseSetupHandler.SetupCurrencyConversions():" +
$"{Environment.NewLine}{algorithm.Portfolio.CashBook}");
}