/// <summary>
/// Gets the instance of the <see cref="SymbolPropertiesDatabase"/> class produced by reading in the symbol properties
/// data found in /Data/symbol-properties/
/// </summary>
/// <returns>A <see cref="SymbolPropertiesDatabase"/> class that represents the data in the symbol-properties folder</returns>
public static SymbolPropertiesDatabase FromDataFolder()
{
lock (DataFolderSymbolPropertiesDatabaseLock)
{
if (_dataFolderSymbolPropertiesDatabase == null)
{
var directory = Path.Combine(Globals.DataFolder, "symbol-properties");
_dataFolderSymbolPropertiesDatabase = FromCsvFile(Path.Combine(directory, "symbol-properties-database.csv"));
}
}
return(_dataFolderSymbolPropertiesDatabase);
}
public List <Security> EnsureCurrencyDataFeeds(SecurityManager securities, SubscriptionManager subscriptions, MarketHoursDatabase marketHoursDatabase, SymbolPropertiesDatabase symbolPropertiesDatabase, IReadOnlyDictionary <SecurityType, string> marketMap)
{
var addedSecurities = new List <Security>();
foreach (var cash in _currencies.Values)
{
var security = cash.EnsureCurrencyDataFeed(securities, subscriptions, marketHoursDatabase, symbolPropertiesDatabase, marketMap, this);
if (security != null)
{
addedSecurities.Add(security);
}
}
return(addedSecurities);
}
public Security EnsureCurrencyDataFeed(SecurityManager securities, SubscriptionManager subscriptions, MarketHoursDatabase marketHoursDatabase, SymbolPropertiesDatabase symbolPropertiesDatabase, IReadOnlyDictionary <SecurityType, string> marketMap, CashBook cashBook)
{
if (Symbol == CashBook.AccountCurrency)
{
SecuritySymbol = VigiothCapital.QuantTrader.Symbol.Empty;
_isBaseCurrency = true;
ConversionRate = 1.0m;
return(null);
}
if (subscriptions.Count == 0)
{
throw new InvalidOperationException("Unable to add cash when no subscriptions are present. Please add subscriptions in the Initialize() method.");
}
string normal = Symbol + CashBook.AccountCurrency;
string invert = CashBook.AccountCurrency + Symbol;
foreach (var config in subscriptions.Subscriptions.Where(config => config.SecurityType == SecurityType.Forex || config.SecurityType == SecurityType.Cfd))
{
if (config.Symbol.Value == normal)
{
SecuritySymbol = config.Symbol;
return(null);
}
if (config.Symbol.Value == invert)
{
SecuritySymbol = config.Symbol;
_invertRealTimePrice = true;
return(null);
}
}
var currencyPairs = Currencies.CurrencyPairs.Select(x =>
{
var securityType = Symbol.StartsWith("X") ? SecurityType.Cfd : SecurityType.Forex;
var market = marketMap[securityType];
return(VigiothCapital.QuantTrader.Symbol.Create(x, securityType, market));
});
var minimumResolution = subscriptions.Subscriptions.Select(x => x.Resolution).DefaultIfEmpty(Resolution.Minute).Min();
var objectType = minimumResolution == Resolution.Tick ? typeof(Tick) : typeof(TradeBar);
foreach (var symbol in currencyPairs)
{
if (symbol.Value == normal || symbol.Value == invert)
{
_invertRealTimePrice = symbol.Value == invert;
var securityType = symbol.ID.SecurityType;
var symbolProperties = symbolPropertiesDatabase.GetSymbolProperties(symbol.ID.Market, symbol.Value, securityType, Symbol);
Cash quoteCash;
if (!cashBook.TryGetValue(symbolProperties.QuoteCurrency, out quoteCash))
{
throw new Exception("Unable to resolve quote cash: " + symbolProperties.QuoteCurrency + ". This is required to add conversion feed: " + symbol.ToString());
}
var marketHoursDbEntry = marketHoursDatabase.GetEntry(symbol.ID.Market, symbol.Value, symbol.ID.SecurityType);
var exchangeHours = marketHoursDbEntry.ExchangeHours;
var config = subscriptions.Add(objectType, symbol, minimumResolution, marketHoursDbEntry.DataTimeZone, exchangeHours.TimeZone, false, true, false, true);
SecuritySymbol = config.Symbol;
Security security;
if (securityType == SecurityType.Cfd)
{
security = new Cfd.Cfd(exchangeHours, quoteCash, config, symbolProperties);
}
else
{
security = new Forex.Forex(exchangeHours, this, config, symbolProperties);
}
securities.Add(config.Symbol, security);
Log.Trace("Cash.EnsureCurrencyDataFeed(): Adding " + symbol.Value + " for cash " + Symbol + " currency feed");
return(security);
}
}
throw new ArgumentException(string.Format("In order to maintain cash in {0} you are required to add a subscription for Forex pair {0}{1} or {1}{0}", Symbol, CashBook.AccountCurrency));
}