/// <summary>
/// Creates a new security
/// </summary>
/// <remarks>Following the obsoletion of Security.Subscriptions,
/// both overloads will be merged removing <see cref="SubscriptionDataConfig"/> arguments</remarks>
public Security CreateSecurity(Symbol symbol,
List <SubscriptionDataConfig> subscriptionDataConfigList,
decimal leverage = 0,
bool addToSymbolCache = true)
{
var configList = new SubscriptionDataConfigList(symbol);
configList.AddRange(subscriptionDataConfigList);
var exchangeHours = _marketHoursDatabase.GetEntry(symbol.ID.Market, symbol, symbol.ID.SecurityType).ExchangeHours;
var defaultQuoteCurrency = _cashBook.AccountCurrency;
if (symbol.ID.SecurityType == SecurityType.Forex)
{
defaultQuoteCurrency = symbol.Value.Substring(3);
}
if (symbol.ID.SecurityType == SecurityType.Crypto && !_symbolPropertiesDatabase.ContainsKey(symbol.ID.Market, symbol, symbol.ID.SecurityType))
{
throw new ArgumentException($"Symbol can't be found in the Symbol Properties Database: {symbol.Value}");
}
// For Futures Options that don't have a SPDB entry, the futures entry will be used instead.
var symbolProperties = _symbolPropertiesDatabase.GetSymbolProperties(
symbol.ID.Market,
symbol,
symbol.SecurityType,
defaultQuoteCurrency);
// add the symbol to our cache
if (addToSymbolCache)
{
SymbolCache.Set(symbol.Value, symbol);
}
// verify the cash book is in a ready state
var quoteCurrency = symbolProperties.QuoteCurrency;
if (!_cashBook.ContainsKey(quoteCurrency))
{
// since we have none it's safe to say the conversion is zero
_cashBook.Add(quoteCurrency, 0, 0);
}
if (symbol.ID.SecurityType == SecurityType.Forex || symbol.ID.SecurityType == SecurityType.Crypto)
{
// decompose the symbol into each currency pair
string baseCurrency;
if (symbol.ID.SecurityType == SecurityType.Forex)
{
Forex.Forex.DecomposeCurrencyPair(symbol.Value, out baseCurrency, out quoteCurrency);
}
else
{
Crypto.Crypto.DecomposeCurrencyPair(symbol, symbolProperties, out baseCurrency, out quoteCurrency);
}
if (!_cashBook.ContainsKey(baseCurrency))
{
// since we have none it's safe to say the conversion is zero
_cashBook.Add(baseCurrency, 0, 0);
}
if (!_cashBook.ContainsKey(quoteCurrency))
{
// since we have none it's safe to say the conversion is zero
_cashBook.Add(quoteCurrency, 0, 0);
}
}
var quoteCash = _cashBook[symbolProperties.QuoteCurrency];
var cache = _cacheProvider.GetSecurityCache(symbol);
Security security;
switch (symbol.ID.SecurityType)
{
case SecurityType.Equity:
security = new Equity.Equity(symbol, exchangeHours, quoteCash, symbolProperties, _cashBook, _registeredTypes, cache);
break;
case SecurityType.Option:
if (addToSymbolCache)
{
SymbolCache.Set(symbol.Underlying.Value, symbol.Underlying);
}
security = new Option.Option(symbol, exchangeHours, quoteCash, new Option.OptionSymbolProperties(symbolProperties), _cashBook, _registeredTypes, cache);
break;
case SecurityType.FutureOption:
if (addToSymbolCache)
{
SymbolCache.Set(symbol.Underlying.Value, symbol.Underlying);
}
var optionSymbolProperties = new Option.OptionSymbolProperties(symbolProperties);
// Future options exercised only gives us one contract back, rather than the
// 100x seen in equities.
optionSymbolProperties.SetContractUnitOfTrade(1);
security = new FutureOption.FutureOption(symbol, exchangeHours, quoteCash, optionSymbolProperties, _cashBook, _registeredTypes, cache);
break;
case SecurityType.Future:
security = new Future.Future(symbol, exchangeHours, quoteCash, symbolProperties, _cashBook, _registeredTypes, cache);
break;
case SecurityType.Forex:
security = new Forex.Forex(symbol, exchangeHours, quoteCash, symbolProperties, _cashBook, _registeredTypes, cache);
break;
case SecurityType.Cfd:
security = new Cfd.Cfd(symbol, exchangeHours, quoteCash, symbolProperties, _cashBook, _registeredTypes, cache);
break;
case SecurityType.Crypto:
security = new Crypto.Crypto(symbol, exchangeHours, quoteCash, symbolProperties, _cashBook, _registeredTypes, cache);
break;
default:
case SecurityType.Base:
security = new Security(symbol, exchangeHours, quoteCash, symbolProperties, _cashBook, _registeredTypes, cache);
break;
}
// if we're just creating this security and it only has an internal
// feed, mark it as non-tradable since the user didn't request this data
if (!configList.IsInternalFeed)
{
security.IsTradable = true;
}
security.AddData(configList);
// invoke the security initializer
_securityInitializerProvider.SecurityInitializer.Initialize(security);
// if leverage was specified then apply to security after the initializer has run, parameters of this
// method take precedence over the intializer
if (leverage != Security.NullLeverage)
{
security.SetLeverage(leverage);
}
var isNotNormalized = configList.DataNormalizationMode() == DataNormalizationMode.Raw;
// In live mode and non normalized data, equity assumes specific price variation model
if ((_isLiveMode || isNotNormalized) && security.Type == SecurityType.Equity)
{
security.PriceVariationModel = new EquityPriceVariationModel();
}
return(security);
}
/// <summary>
/// Creates a security and matching configuration. This applies the default leverage if
/// leverage is less than or equal to zero.
/// This method also add the new symbol mapping to the <see cref="SymbolCache"/>
/// </summary>
public static Security CreateSecurity(List <Tuple <Type, TickType> > subscriptionDataTypes,
SecurityPortfolioManager securityPortfolioManager,
SubscriptionManager subscriptionManager,
SecurityExchangeHours exchangeHours,
DateTimeZone dataTimeZone,
SymbolProperties symbolProperties,
ISecurityInitializer securityInitializer,
Symbol symbol,
Resolution resolution,
bool fillDataForward,
decimal leverage,
bool extendedMarketHours,
bool isInternalFeed,
bool isCustomData,
bool isLiveMode,
bool addToSymbolCache = true,
bool isFilteredSubscription = true)
{
if (!subscriptionDataTypes.Any())
{
throw new ArgumentNullException(nameof(subscriptionDataTypes), "At least one type needed to create security");
}
// add the symbol to our cache
if (addToSymbolCache)
{
SymbolCache.Set(symbol.Value, symbol);
}
// Add the symbol to Data Manager -- generate unified data streams for algorithm events
var configList = new SubscriptionDataConfigList(symbol);
configList.AddRange(from subscriptionDataType
in subscriptionDataTypes
let dataType = subscriptionDataType.Item1
let tickType = subscriptionDataType.Item2
select subscriptionManager.Add(dataType, tickType,
symbol, resolution, dataTimeZone,
exchangeHours.TimeZone, isCustomData,
fillDataForward, extendedMarketHours,
isInternalFeed, isFilteredSubscription));
// verify the cash book is in a ready state
var quoteCurrency = symbolProperties.QuoteCurrency;
if (!securityPortfolioManager.CashBook.ContainsKey(quoteCurrency))
{
// since we have none it's safe to say the conversion is zero
securityPortfolioManager.CashBook.Add(quoteCurrency, 0, 0);
}
if (symbol.ID.SecurityType == SecurityType.Forex || symbol.ID.SecurityType == SecurityType.Crypto)
{
// decompose the symbol into each currency pair
string baseCurrency;
Forex.Forex.DecomposeCurrencyPair(symbol.Value, out baseCurrency, out quoteCurrency);
if (!securityPortfolioManager.CashBook.ContainsKey(baseCurrency))
{
// since we have none it's safe to say the conversion is zero
securityPortfolioManager.CashBook.Add(baseCurrency, 0, 0);
}
if (!securityPortfolioManager.CashBook.ContainsKey(quoteCurrency))
{
// since we have none it's safe to say the conversion is zero
securityPortfolioManager.CashBook.Add(quoteCurrency, 0, 0);
}
}
var quoteCash = securityPortfolioManager.CashBook[symbolProperties.QuoteCurrency];
Security security;
switch (configList.Symbol.ID.SecurityType)
{
case SecurityType.Equity:
security = new Equity.Equity(symbol, exchangeHours, quoteCash, symbolProperties);
break;
case SecurityType.Option:
if (addToSymbolCache)
{
SymbolCache.Set(symbol.Underlying.Value, symbol.Underlying);
}
configList.SetDataNormalizationMode(DataNormalizationMode.Raw);
security = new Option.Option(symbol, exchangeHours, securityPortfolioManager.CashBook[CashBook.AccountCurrency], new Option.OptionSymbolProperties(symbolProperties));
break;
case SecurityType.Future:
configList.SetDataNormalizationMode(DataNormalizationMode.Raw);
security = new Future.Future(symbol, exchangeHours, securityPortfolioManager.CashBook[CashBook.AccountCurrency], symbolProperties);
break;
case SecurityType.Forex:
security = new Forex.Forex(symbol, exchangeHours, quoteCash, symbolProperties);
break;
case SecurityType.Cfd:
security = new Cfd.Cfd(symbol, exchangeHours, quoteCash, symbolProperties);
break;
case SecurityType.Crypto:
security = new Crypto.Crypto(symbol, exchangeHours, quoteCash, symbolProperties);
break;
default:
case SecurityType.Base:
security = new Security(symbol, exchangeHours, quoteCash, symbolProperties);
break;
}
// if we're just creating this security and it only has an internal
// feed, mark it as non-tradable since the user didn't request this data
if (!configList.IsInternalFeed)
{
security.IsTradable = true;
}
security.AddData(configList);
// invoke the security initializer
securityInitializer.Initialize(security, true);
// if leverage was specified then apply to security after the initializer has run, parameters of this
// method take precedence over the intializer
if (leverage > 0)
{
security.SetLeverage(leverage);
}
// In live mode, equity assumes specific price variation model
if (isLiveMode && security.Type == SecurityType.Equity)
{
security.PriceVariationModel = new EquityPriceVariationModel();
}
return(security);
}
/// <summary>
/// Creates a new security
/// </summary>
/// <remarks>Following the obsoletion of Security.Subscriptions,
/// both overloads will be merged removing <see cref="SubscriptionDataConfig"/> arguments</remarks>
public Security CreateSecurity(Symbol symbol,
List <SubscriptionDataConfig> subscriptionDataConfigList,
decimal leverage = 0,
bool addToSymbolCache = true)
{
var configList = new SubscriptionDataConfigList(symbol);
configList.AddRange(subscriptionDataConfigList);
var exchangeHours = _marketHoursDatabase.GetEntry(symbol.ID.Market, symbol, symbol.ID.SecurityType).ExchangeHours;
var defaultQuoteCurrency = _cashBook.AccountCurrency;
if (symbol.ID.SecurityType == SecurityType.Forex || symbol.ID.SecurityType == SecurityType.Crypto)
{
defaultQuoteCurrency = symbol.Value.Substring(3);
}
var symbolProperties = _symbolPropertiesDatabase.GetSymbolProperties(symbol.ID.Market, symbol, symbol.ID.SecurityType, defaultQuoteCurrency);
// add the symbol to our cache
if (addToSymbolCache)
{
SymbolCache.Set(symbol.Value, symbol);
}
// verify the cash book is in a ready state
var quoteCurrency = symbolProperties.QuoteCurrency;
if (!_cashBook.ContainsKey(quoteCurrency))
{
// since we have none it's safe to say the conversion is zero
_cashBook.Add(quoteCurrency, 0, 0);
}
if (symbol.ID.SecurityType == SecurityType.Forex || symbol.ID.SecurityType == SecurityType.Crypto)
{
// decompose the symbol into each currency pair
string baseCurrency;
Forex.Forex.DecomposeCurrencyPair(symbol.Value, out baseCurrency, out quoteCurrency);
if (!_cashBook.ContainsKey(baseCurrency))
{
// since we have none it's safe to say the conversion is zero
_cashBook.Add(baseCurrency, 0, 0);
}
if (!_cashBook.ContainsKey(quoteCurrency))
{
// since we have none it's safe to say the conversion is zero
_cashBook.Add(quoteCurrency, 0, 0);
}
}
var quoteCash = _cashBook[symbolProperties.QuoteCurrency];
Security security;
switch (symbol.ID.SecurityType)
{
case SecurityType.Equity:
security = new Equity.Equity(symbol, exchangeHours, quoteCash, symbolProperties, _cashBook);
break;
case SecurityType.Option:
if (addToSymbolCache)
{
SymbolCache.Set(symbol.Underlying.Value, symbol.Underlying);
}
security = new Option.Option(symbol, exchangeHours, _cashBook[_cashBook.AccountCurrency], new Option.OptionSymbolProperties(symbolProperties), _cashBook);
break;
case SecurityType.Future:
security = new Future.Future(symbol, exchangeHours, _cashBook[_cashBook.AccountCurrency], symbolProperties, _cashBook);
break;
case SecurityType.Forex:
security = new Forex.Forex(symbol, exchangeHours, quoteCash, symbolProperties, _cashBook);
break;
case SecurityType.Cfd:
security = new Cfd.Cfd(symbol, exchangeHours, quoteCash, symbolProperties, _cashBook);
break;
case SecurityType.Crypto:
security = new Crypto.Crypto(symbol, exchangeHours, quoteCash, symbolProperties, _cashBook);
break;
default:
case SecurityType.Base:
security = new Security(symbol, exchangeHours, quoteCash, symbolProperties, _cashBook);
break;
}
// if we're just creating this security and it only has an internal
// feed, mark it as non-tradable since the user didn't request this data
if (!configList.IsInternalFeed)
{
security.IsTradable = true;
}
security.AddData(configList);
// invoke the security initializer
_securityInitializerProvider.SecurityInitializer.Initialize(security);
// if leverage was specified then apply to security after the initializer has run, parameters of this
// method take precedence over the intializer
if (leverage > 0)
{
security.SetLeverage(leverage);
}
// In live mode, equity assumes specific price variation model
if (_isLiveMode && security.Type == SecurityType.Equity)
{
security.PriceVariationModel = new EquityPriceVariationModel();
}
return(security);
}
