public IEnumerable <TimeSlice> GetTimeSlices()
{
var bars = new TradeBars();
var quotes = new QuoteBars();
var ticks = new Ticks();
var options = new OptionChains();
var futures = new FuturesChains();
var splits = new Splits();
var dividends = new Dividends();
var delistings = new Delistings();
var symbolChanges = new SymbolChangedEvents();
var dataFeedPackets = new List <DataFeedPacket>();
var cashUpdateData = new List <UpdateData <Cash> >();
var customData = new List <UpdateData <Security> >();
var changes = SecurityChanges.None;
do
{
var slice = new Slice(default(DateTime), _data, bars, quotes, ticks, options, futures, splits, dividends, delistings, symbolChanges);
var timeSlice = new TimeSlice(_frontierUtc, _data.Count, slice, dataFeedPackets, cashUpdateData, securitiesUpdateData, _consolidatorUpdateData, customData, changes);
yield return(timeSlice);
_frontierUtc += FrontierStepSize;
}while (_frontierUtc <= _endTimeUtc);
}
/// <summary>
/// Merge two slice with same Time
/// </summary>
/// <param name="inputSlice">slice instance</param>
/// <remarks> Will change the input collection for re-use</remarks>
public void MergeSlice(Slice inputSlice)
{
if (UtcTime != inputSlice.UtcTime)
{
throw new InvalidOperationException($"Slice with time {UtcTime} can't be merged with given slice with different {inputSlice.UtcTime}");
}
_bars = (TradeBars)UpdateCollection(_bars, inputSlice.Bars);
_quoteBars = (QuoteBars)UpdateCollection(_quoteBars, inputSlice.QuoteBars);
_ticks = (Ticks)UpdateCollection(_ticks, inputSlice.Ticks);
_optionChains = (OptionChains)UpdateCollection(_optionChains, inputSlice.OptionChains);
_futuresChains = (FuturesChains)UpdateCollection(_futuresChains, inputSlice.FuturesChains);
_splits = (Splits)UpdateCollection(_splits, inputSlice.Splits);
_dividends = (Dividends)UpdateCollection(_dividends, inputSlice.Dividends);
_delistings = (Delistings)UpdateCollection(_delistings, inputSlice.Delistings);
_symbolChangedEvents = (SymbolChangedEvents)UpdateCollection(_symbolChangedEvents, inputSlice.SymbolChangedEvents);
if (inputSlice._rawDataList.Count != 0)
{
if (_rawDataList.Count == 0)
{
_rawDataList = inputSlice._rawDataList;
_data = inputSlice._data;
}
else
{
// Should keep this._rawDataList last so that selected data points are not overriden
// while creating _data
inputSlice._rawDataList.AddRange(_rawDataList);
_rawDataList = inputSlice._rawDataList;
_data = new Lazy <DataDictionary <SymbolData> >(() => CreateDynamicDataDictionary(_rawDataList));
}
}
}
public Slice(DateTime time, IEnumerable <BaseData> data, TradeBars tradeBars, QuoteBars quoteBars, Ticks ticks, OptionChains optionChains, Splits splits, Dividends dividends, Delistings delistings, SymbolChangedEvents symbolChanges, bool?hasData = null)
{
Time = time;
_dataByType = new Dictionary <Type, Lazy <object> >();
_data = new Lazy <DataDictionary <SymbolData> >(() => CreateDynamicDataDictionary(data));
HasData = hasData ?? _data.Value.Count > 0;
_ticks = CreateTicksCollection(ticks);
_bars = CreateCollection <TradeBars, TradeBar>(tradeBars);
_quoteBars = CreateCollection <QuoteBars, QuoteBar>(quoteBars);
_optionChains = CreateCollection <OptionChains, OptionChain>(optionChains);
_splits = CreateCollection <Splits, Split>(splits);
_dividends = CreateCollection <Dividends, Dividend>(dividends);
_delistings = CreateCollection <Delistings, Delisting>(delistings);
_symbolChangedEvents = CreateCollection <SymbolChangedEvents, SymbolChangedEvent>(symbolChanges);
}
/// <summary>
/// Initializes a new instance of the <see cref="Slice"/> class
/// </summary>
/// <param name="time">The timestamp for this slice of data</param>
/// <param name="data">The raw data in this slice</param>
/// <param name="tradeBars">The trade bars for this slice</param>
/// <param name="quoteBars">The quote bars for this slice</param>
/// <param name="ticks">This ticks for this slice</param>
/// <param name="optionChains">The option chains for this slice</param>
/// <param name="futuresChains">The futures chains for this slice</param>
/// <param name="splits">The splits for this slice</param>
/// <param name="dividends">The dividends for this slice</param>
/// <param name="delistings">The delistings for this slice</param>
/// <param name="symbolChanges">The symbol changed events for this slice</param>
/// <param name="hasData">true if this slice contains data</param>
public Slice(DateTime time, IEnumerable <BaseData> data, TradeBars tradeBars, QuoteBars quoteBars, Ticks ticks, OptionChains optionChains, FuturesChains futuresChains, Splits splits, Dividends dividends, Delistings delistings, SymbolChangedEvents symbolChanges, bool?hasData = null)
{
Time = time;
// market data
_data = new Lazy <DataDictionary <SymbolData> >(() => CreateDynamicDataDictionary(data));
HasData = hasData ?? _data.Value.Count > 0;
_ticks = ticks;
_bars = tradeBars;
_quoteBars = quoteBars;
_optionChains = optionChains;
_futuresChains = futuresChains;
// auxiliary data
_splits = splits;
_dividends = dividends;
_delistings = delistings;
_symbolChangedEvents = symbolChanges;
}
/// <summary>
/// Initializes a new instance used by the <see cref="PythonSlice"/>
/// </summary>
/// <param name="slice">slice object to wrap</param>
/// <remarks>This is required so that python slice enumeration works correctly since it relies on the private <see cref="_data"/> collection</remarks>
protected Slice(Slice slice)
{
Time = slice.Time;
_dataByType = slice._dataByType;
_data = slice._data;
HasData = slice.HasData;
_ticks = slice._ticks;
_bars = slice._bars;
_quoteBars = slice._quoteBars;
_optionChains = slice._optionChains;
_futuresChains = slice._futuresChains;
// auxiliary data
_splits = slice._splits;
_dividends = slice._dividends;
_delistings = slice._delistings;
_symbolChangedEvents = slice._symbolChangedEvents;
}
private List <TradableOption> GetTradableOptions(OptionChains chains)
{
List <TradableOption> res = new List <TradableOption>();
chains.Values.ToList().ForEach((chain) =>
{
//var contracts = chain.Contracts.Values.Where((x) =>
//{
// return
// x.BidPrice > M &
// x.BidPrice > 0 &
// x.ImpliedVolatility < MAX_IV &
// x.Expiry >= Time.AddDays(MIN_EXPIRATION_DAYS) &
// x.Expiry <= Time.AddDays(MAX_EXPIRATION_DAYS);
//});
var contracts = chain.Contracts.Values;
var calls = contracts.Where((x) => x.Right == OptionRight.Call);
var puts = contracts.Where((x) => x.Right == OptionRight.Put);
// get symbol IV out of the closest put&call avarage IV.
OptionContract closestCall = calls.MinBy((x) => Math.Abs(chain.Underlying.Price - x.Strike)).FirstOrDefault();
OptionContract closestPut = puts.MinBy((x) => Math.Abs(chain.Underlying.Price - x.Strike)).FirstOrDefault();
decimal IV = closestCall != null & closestPut != null ? (closestCall.ImpliedVolatility + closestPut.ImpliedVolatility) / 2 : 0;
OptionContract bestCall = calls.Where((x) => (x.BidPrice + x.Strike) > chain.Underlying.Price * P && x.BidPrice > M).OrderByDescending((x) => x.Expiry).FirstOrDefault();
OptionContract bestPut = puts.Where((x) => (x.Strike - x.BidPrice) < chain.Underlying.Price * (2 - P) && x.BidPrice > M).OrderByDescending((x) => x.Expiry).FirstOrDefault();
res.Add(new TradableOption()
{
Symbol = chain.Symbol,
Call = bestCall,
Put = bestPut,
IV = IV
});
});
return(res);
}
private static bool HandleOptionData(DateTime algorithmTime, BaseData baseData, OptionChains optionChains, Security security, Lazy <Slice> sliceFuture)
{
var symbol = baseData.Symbol;
OptionChain chain;
var canonical = Symbol.CreateOption(symbol.Underlying, symbol.ID.Market, default(OptionStyle), default(OptionRight), 0, SecurityIdentifier.DefaultDate);
if (!optionChains.TryGetValue(canonical, out chain))
{
chain = new OptionChain(canonical, algorithmTime);
optionChains[canonical] = chain;
}
var universeData = baseData as OptionChainUniverseDataCollection;
if (universeData != null)
{
if (universeData.Underlying != null)
{
chain.Underlying = universeData.Underlying;
foreach (var addedContract in chain.Contracts)
{
addedContract.Value.UnderlyingLastPrice = chain.Underlying.Price;
}
}
foreach (var contractSymbol in universeData.FilteredContracts)
{
chain.FilteredContracts.Add(contractSymbol);
}
return(false);
}
OptionContract contract;
if (!chain.Contracts.TryGetValue(baseData.Symbol, out contract))
{
var underlyingSymbol = baseData.Symbol.Underlying;
contract = new OptionContract(baseData.Symbol, underlyingSymbol)
{
Time = baseData.EndTime,
LastPrice = security.Close,
BidPrice = security.BidPrice,
BidSize = (long)security.BidSize,
AskPrice = security.AskPrice,
AskSize = (long)security.AskSize,
OpenInterest = security.OpenInterest,
UnderlyingLastPrice = chain.Underlying.Price
};
chain.Contracts[baseData.Symbol] = contract;
var option = security as Option;
if (option != null)
{
contract.SetOptionPriceModel(() => option.PriceModel.Evaluate(option, sliceFuture.Value, contract));
}
}
// populate ticks and tradebars dictionaries with no aux data
switch (baseData.DataType)
{
case MarketDataType.Tick:
var tick = (Tick)baseData;
chain.Ticks.Add(tick.Symbol, tick);
UpdateContract(contract, tick);
break;
case MarketDataType.TradeBar:
var tradeBar = (TradeBar)baseData;
chain.TradeBars[symbol] = tradeBar;
contract.LastPrice = tradeBar.Close;
break;
case MarketDataType.QuoteBar:
var quote = (QuoteBar)baseData;
chain.QuoteBars[symbol] = quote;
UpdateContract(contract, quote);
break;
case MarketDataType.Base:
chain.AddAuxData(baseData);
break;
}
return(true);
}
/// <summary>
/// Adds the specified <see cref="BaseData"/> instance to the appropriate <see cref="DataDictionary{T}"/>
/// </summary>
private static void PopulateDataDictionaries(BaseData baseData, Ticks ticks, TradeBars tradeBars, QuoteBars quoteBars, OptionChains optionChains, FuturesChains futuresChains)
{
var symbol = baseData.Symbol;
// populate data dictionaries
switch (baseData.DataType)
{
case MarketDataType.Tick:
ticks.Add(symbol, (Tick)baseData);
break;
case MarketDataType.TradeBar:
tradeBars[symbol] = (TradeBar)baseData;
break;
case MarketDataType.QuoteBar:
quoteBars[symbol] = (QuoteBar)baseData;
break;
case MarketDataType.OptionChain:
optionChains[symbol] = (OptionChain)baseData;
break;
case MarketDataType.FuturesChain:
futuresChains[symbol] = (FuturesChain)baseData;
break;
}
}
/// <summary>
/// Creates a new <see cref="TimeSlice"/> for the specified time using the specified data
/// </summary>
/// <param name="utcDateTime">The UTC frontier date time</param>
/// <param name="algorithmTimeZone">The algorithm's time zone, required for computing algorithm and slice time</param>
/// <param name="cashBook">The algorithm's cash book, required for generating cash update pairs</param>
/// <param name="data">The data in this <see cref="TimeSlice"/></param>
/// <param name="changes">The new changes that are seen in this time slice as a result of universe selection</param>
/// <returns>A new <see cref="TimeSlice"/> containing the specified data</returns>
public static TimeSlice Create(DateTime utcDateTime, DateTimeZone algorithmTimeZone, CashBook cashBook, List <DataFeedPacket> data, SecurityChanges changes)
{
int count = 0;
var security = new List <UpdateData <Security> >();
var custom = new List <UpdateData <Security> >();
var consolidator = new List <UpdateData <SubscriptionDataConfig> >();
var allDataForAlgorithm = new List <BaseData>(data.Count);
var cash = new List <UpdateData <Cash> >(cashBook.Count);
var cashSecurities = new HashSet <Symbol>();
foreach (var cashItem in cashBook.Values)
{
cashSecurities.Add(cashItem.SecuritySymbol);
}
Split split;
Dividend dividend;
Delisting delisting;
SymbolChangedEvent symbolChange;
// we need to be able to reference the slice being created in order to define the
// evaluation of option price models, so we define a 'future' that can be referenced
// in the option price model evaluation delegates for each contract
Slice slice = null;
var sliceFuture = new Lazy <Slice>(() => slice);
var algorithmTime = utcDateTime.ConvertFromUtc(algorithmTimeZone);
var tradeBars = new TradeBars(algorithmTime);
var quoteBars = new QuoteBars(algorithmTime);
var ticks = new Ticks(algorithmTime);
var splits = new Splits(algorithmTime);
var dividends = new Dividends(algorithmTime);
var delistings = new Delistings(algorithmTime);
var optionChains = new OptionChains(algorithmTime);
var futuresChains = new FuturesChains(algorithmTime);
var symbolChanges = new SymbolChangedEvents(algorithmTime);
foreach (var packet in data)
{
var list = packet.Data;
var symbol = packet.Security.Symbol;
if (list.Count == 0)
{
continue;
}
// keep count of all data points
if (list.Count == 1 && list[0] is BaseDataCollection)
{
var baseDataCollectionCount = ((BaseDataCollection)list[0]).Data.Count;
if (baseDataCollectionCount == 0)
{
continue;
}
count += baseDataCollectionCount;
}
else
{
count += list.Count;
}
if (!packet.Configuration.IsInternalFeed && packet.Configuration.IsCustomData)
{
// This is all the custom data
custom.Add(new UpdateData <Security>(packet.Security, packet.Configuration.Type, list));
}
var securityUpdate = new List <BaseData>(list.Count);
var consolidatorUpdate = new List <BaseData>(list.Count);
for (int i = 0; i < list.Count; i++)
{
var baseData = list[i];
if (!packet.Configuration.IsInternalFeed)
{
// this is all the data that goes into the algorithm
allDataForAlgorithm.Add(baseData);
}
// don't add internal feed data to ticks/bars objects
if (baseData.DataType != MarketDataType.Auxiliary)
{
if (!packet.Configuration.IsInternalFeed)
{
PopulateDataDictionaries(baseData, ticks, tradeBars, quoteBars, optionChains, futuresChains);
// special handling of options data to build the option chain
if (packet.Security.Type == SecurityType.Option)
{
if (baseData.DataType == MarketDataType.OptionChain)
{
optionChains[baseData.Symbol] = (OptionChain)baseData;
}
else if (!HandleOptionData(algorithmTime, baseData, optionChains, packet.Security, sliceFuture))
{
continue;
}
}
// special handling of futures data to build the futures chain
if (packet.Security.Type == SecurityType.Future)
{
if (baseData.DataType == MarketDataType.FuturesChain)
{
futuresChains[baseData.Symbol] = (FuturesChain)baseData;
}
else if (!HandleFuturesData(algorithmTime, baseData, futuresChains, packet.Security))
{
continue;
}
}
// this is data used to update consolidators
consolidatorUpdate.Add(baseData);
}
// this is the data used set market prices
// do not add it if it is a Suspicious tick
var tick = baseData as Tick;
if (tick != null && tick.Suspicious)
{
continue;
}
securityUpdate.Add(baseData);
}
// include checks for various aux types so we don't have to construct the dictionaries in Slice
else if ((delisting = baseData as Delisting) != null)
{
delistings[symbol] = delisting;
}
else if ((dividend = baseData as Dividend) != null)
{
dividends[symbol] = dividend;
}
else if ((split = baseData as Split) != null)
{
splits[symbol] = split;
}
else if ((symbolChange = baseData as SymbolChangedEvent) != null)
{
// symbol changes is keyed by the requested symbol
symbolChanges[packet.Configuration.Symbol] = symbolChange;
}
}
if (securityUpdate.Count > 0)
{
// check for 'cash securities' if we found valid update data for this symbol
// and we need this data to update cash conversion rates, long term we should
// have Cash hold onto it's security, then he can update himself, or rather, just
// patch through calls to conversion rate to compue it on the fly using Security.Price
if (cashSecurities.Contains(packet.Security.Symbol))
{
foreach (var cashKvp in cashBook)
{
if (cashKvp.Value.SecuritySymbol == packet.Security.Symbol)
{
var cashUpdates = new List <BaseData> {
securityUpdate[securityUpdate.Count - 1]
};
cash.Add(new UpdateData <Cash>(cashKvp.Value, packet.Configuration.Type, cashUpdates));
}
}
}
security.Add(new UpdateData <Security>(packet.Security, packet.Configuration.Type, securityUpdate));
}
if (consolidatorUpdate.Count > 0)
{
consolidator.Add(new UpdateData <SubscriptionDataConfig>(packet.Configuration, packet.Configuration.Type, consolidatorUpdate));
}
}
slice = new Slice(algorithmTime, allDataForAlgorithm, tradeBars, quoteBars, ticks, optionChains, futuresChains, splits, dividends, delistings, symbolChanges, allDataForAlgorithm.Count > 0);
return(new TimeSlice(utcDateTime, count, slice, data, cash, security, consolidator, custom, changes));
}
/// <summary>
/// Creates a new <see cref="TimeSlice"/> for the specified time using the specified data
/// </summary>
/// <param name="utcDateTime">The UTC frontier date time</param>
/// <param name="data">The data in this <see cref="TimeSlice"/></param>
/// <param name="changes">The new changes that are seen in this time slice as a result of universe selection</param>
/// <param name="universeData"></param>
/// <returns>A new <see cref="TimeSlice"/> containing the specified data</returns>
public TimeSlice Create(DateTime utcDateTime,
List <DataFeedPacket> data,
SecurityChanges changes,
Dictionary <Universe, BaseDataCollection> universeData)
{
int count = 0;
var security = new List <UpdateData <ISecurityPrice> >(data.Count);
List <UpdateData <ISecurityPrice> > custom = null;
var consolidator = new List <UpdateData <SubscriptionDataConfig> >(data.Count);
var allDataForAlgorithm = new List <BaseData>(data.Count);
var optionUnderlyingUpdates = new Dictionary <Symbol, BaseData>();
Split split;
Dividend dividend;
Delisting delisting;
SymbolChangedEvent symbolChange;
// we need to be able to reference the slice being created in order to define the
// evaluation of option price models, so we define a 'future' that can be referenced
// in the option price model evaluation delegates for each contract
Slice slice = null;
var sliceFuture = new Lazy <Slice>(() => slice);
var algorithmTime = utcDateTime.ConvertFromUtc(_timeZone);
TradeBars tradeBars = null;
QuoteBars quoteBars = null;
Ticks ticks = null;
Splits splits = null;
Dividends dividends = null;
Delistings delistings = null;
OptionChains optionChains = null;
FuturesChains futuresChains = null;
SymbolChangedEvents symbolChanges = null;
UpdateEmptyCollections(algorithmTime);
if (universeData.Count > 0)
{
// count universe data
foreach (var kvp in universeData)
{
count += kvp.Value.Data.Count;
}
}
// ensure we read equity data before option data, so we can set the current underlying price
foreach (var packet in data)
{
// filter out packets for removed subscriptions
if (packet.IsSubscriptionRemoved)
{
continue;
}
var list = packet.Data;
var symbol = packet.Configuration.Symbol;
if (list.Count == 0)
{
continue;
}
// keep count of all data points
if (list.Count == 1 && list[0] is BaseDataCollection)
{
var baseDataCollectionCount = ((BaseDataCollection)list[0]).Data.Count;
if (baseDataCollectionCount == 0)
{
continue;
}
count += baseDataCollectionCount;
}
else
{
count += list.Count;
}
if (!packet.Configuration.IsInternalFeed && packet.Configuration.IsCustomData)
{
if (custom == null)
{
custom = new List <UpdateData <ISecurityPrice> >(1);
}
// This is all the custom data
custom.Add(new UpdateData <ISecurityPrice>(packet.Security, packet.Configuration.Type, list, packet.Configuration.IsInternalFeed));
}
var securityUpdate = new List <BaseData>(list.Count);
var consolidatorUpdate = new List <BaseData>(list.Count);
var containsFillForwardData = false;
for (var i = 0; i < list.Count; i++)
{
var baseData = list[i];
if (!packet.Configuration.IsInternalFeed)
{
// this is all the data that goes into the algorithm
allDataForAlgorithm.Add(baseData);
}
containsFillForwardData |= baseData.IsFillForward;
// don't add internal feed data to ticks/bars objects
if (baseData.DataType != MarketDataType.Auxiliary)
{
var tick = baseData as Tick;
if (!packet.Configuration.IsInternalFeed)
{
// populate data dictionaries
switch (baseData.DataType)
{
case MarketDataType.Tick:
if (ticks == null)
{
ticks = new Ticks(algorithmTime);
}
ticks.Add(baseData.Symbol, (Tick)baseData);
break;
case MarketDataType.TradeBar:
if (tradeBars == null)
{
tradeBars = new TradeBars(algorithmTime);
}
var newTradeBar = (TradeBar)baseData;
TradeBar existingTradeBar;
// if we have an existing bar keep the highest resolution one
// e.g Hour and Minute resolution subscriptions for the same symbol
// see CustomUniverseWithBenchmarkRegressionAlgorithm
if (!tradeBars.TryGetValue(baseData.Symbol, out existingTradeBar) ||
existingTradeBar.Period > newTradeBar.Period)
{
tradeBars[baseData.Symbol] = newTradeBar;
}
break;
case MarketDataType.QuoteBar:
if (quoteBars == null)
{
quoteBars = new QuoteBars(algorithmTime);
}
var newQuoteBar = (QuoteBar)baseData;
QuoteBar existingQuoteBar;
// if we have an existing bar keep the highest resolution one
// e.g Hour and Minute resolution subscriptions for the same symbol
// see CustomUniverseWithBenchmarkRegressionAlgorithm
if (!quoteBars.TryGetValue(baseData.Symbol, out existingQuoteBar) ||
existingQuoteBar.Period > newQuoteBar.Period)
{
quoteBars[baseData.Symbol] = newQuoteBar;
}
break;
case MarketDataType.OptionChain:
if (optionChains == null)
{
optionChains = new OptionChains(algorithmTime);
}
optionChains[baseData.Symbol] = (OptionChain)baseData;
break;
case MarketDataType.FuturesChain:
if (futuresChains == null)
{
futuresChains = new FuturesChains(algorithmTime);
}
futuresChains[baseData.Symbol] = (FuturesChain)baseData;
break;
}
// this is data used to update consolidators
// do not add it if it is a Suspicious tick
if (tick == null || !tick.Suspicious)
{
consolidatorUpdate.Add(baseData);
}
}
// special handling of options data to build the option chain
if (symbol.SecurityType.IsOption())
{
// internal feeds, like open interest, will not create the chain but will update it if it exists
// this is because the open interest could arrive at some closed market hours in which there is no other data and we don't
// want to generate a chain object in this case
if (optionChains == null && !packet.Configuration.IsInternalFeed)
{
optionChains = new OptionChains(algorithmTime);
}
if (baseData.DataType == MarketDataType.OptionChain)
{
optionChains[baseData.Symbol] = (OptionChain)baseData;
}
else if (optionChains != null && !HandleOptionData(algorithmTime, baseData, optionChains, packet.Security, sliceFuture, optionUnderlyingUpdates))
{
continue;
}
}
// special handling of futures data to build the futures chain
if (symbol.SecurityType == SecurityType.Future)
{
// internal feeds, like open interest, will not create the chain but will update it if it exists
// this is because the open interest could arrive at some closed market hours in which there is no other data and we don't
// want to generate a chain object in this case
if (futuresChains == null && !packet.Configuration.IsInternalFeed)
{
futuresChains = new FuturesChains(algorithmTime);
}
if (baseData.DataType == MarketDataType.FuturesChain)
{
futuresChains[baseData.Symbol] = (FuturesChain)baseData;
}
else if (futuresChains != null && !HandleFuturesData(algorithmTime, baseData, futuresChains, packet.Security))
{
continue;
}
}
// this is the data used set market prices
// do not add it if it is a Suspicious tick
if (tick != null && tick.Suspicious)
{
continue;
}
securityUpdate.Add(baseData);
// option underlying security update
if (!packet.Configuration.IsInternalFeed)
{
optionUnderlyingUpdates[symbol] = baseData;
}
}
else if (!packet.Configuration.IsInternalFeed)
{
// include checks for various aux types so we don't have to construct the dictionaries in Slice
if ((delisting = baseData as Delisting) != null)
{
if (delistings == null)
{
delistings = new Delistings(algorithmTime);
}
delistings[symbol] = delisting;
}
else if ((dividend = baseData as Dividend) != null)
{
if (dividends == null)
{
dividends = new Dividends(algorithmTime);
}
dividends[symbol] = dividend;
}
else if ((split = baseData as Split) != null)
{
if (splits == null)
{
splits = new Splits(algorithmTime);
}
splits[symbol] = split;
}
else if ((symbolChange = baseData as SymbolChangedEvent) != null)
{
if (symbolChanges == null)
{
symbolChanges = new SymbolChangedEvents(algorithmTime);
}
// symbol changes is keyed by the requested symbol
symbolChanges[packet.Configuration.Symbol] = symbolChange;
}
}
}
if (securityUpdate.Count > 0)
{
security.Add(new UpdateData <ISecurityPrice>(packet.Security, packet.Configuration.Type, securityUpdate, packet.Configuration.IsInternalFeed, containsFillForwardData));
}
if (consolidatorUpdate.Count > 0)
{
consolidator.Add(new UpdateData <SubscriptionDataConfig>(packet.Configuration, packet.Configuration.Type, consolidatorUpdate, packet.Configuration.IsInternalFeed, containsFillForwardData));
}
}
slice = new Slice(algorithmTime, allDataForAlgorithm, tradeBars ?? _emptyTradeBars, quoteBars ?? _emptyQuoteBars, ticks ?? _emptyTicks, optionChains ?? _emptyOptionChains, futuresChains ?? _emptyFuturesChains, splits ?? _emptySplits, dividends ?? _emptyDividends, delistings ?? _emptyDelistings, symbolChanges ?? _emptySymbolChangedEvents, allDataForAlgorithm.Count > 0);
return(new TimeSlice(utcDateTime, count, slice, data, security, consolidator, custom ?? _emptyCustom, changes, universeData));
}
private bool HandleOptionData(DateTime algorithmTime, BaseData baseData, OptionChains optionChains, ISecurityPrice security, Lazy <Slice> sliceFuture, IReadOnlyDictionary <Symbol, BaseData> optionUnderlyingUpdates)
{
var symbol = baseData.Symbol;
OptionChain chain;
var canonical = symbol.Canonical;
if (!optionChains.TryGetValue(canonical, out chain))
{
chain = new OptionChain(canonical, algorithmTime);
optionChains[canonical] = chain;
}
// set the underlying current data point in the option chain
var option = security as IOptionPrice;
if (option != null)
{
if (option.Underlying == null)
{
Log.Error($"TimeSlice.HandleOptionData(): {algorithmTime}: Option underlying is null");
return(false);
}
BaseData underlyingData;
if (!optionUnderlyingUpdates.TryGetValue(option.Underlying.Symbol, out underlyingData))
{
underlyingData = option.Underlying.GetLastData();
}
if (underlyingData == null)
{
Log.Error($"TimeSlice.HandleOptionData(): {algorithmTime}: Option underlying GetLastData returned null");
return(false);
}
chain.Underlying = underlyingData;
}
var universeData = baseData as OptionChainUniverseDataCollection;
if (universeData != null)
{
if (universeData.Underlying != null)
{
foreach (var addedContract in chain.Contracts)
{
addedContract.Value.UnderlyingLastPrice = chain.Underlying.Price;
}
}
foreach (var contractSymbol in universeData.FilteredContracts)
{
chain.FilteredContracts.Add(contractSymbol);
}
return(false);
}
OptionContract contract;
if (!chain.Contracts.TryGetValue(baseData.Symbol, out contract))
{
var underlyingSymbol = baseData.Symbol.Underlying;
contract = new OptionContract(baseData.Symbol, underlyingSymbol)
{
Time = baseData.EndTime,
LastPrice = security.Close,
Volume = (long)security.Volume,
BidPrice = security.BidPrice,
BidSize = (long)security.BidSize,
AskPrice = security.AskPrice,
AskSize = (long)security.AskSize,
OpenInterest = security.OpenInterest,
UnderlyingLastPrice = chain.Underlying.Price
};
chain.Contracts[baseData.Symbol] = contract;
if (option != null)
{
contract.SetOptionPriceModel(() => option.EvaluatePriceModel(sliceFuture.Value, contract));
}
}
// populate ticks and tradebars dictionaries with no aux data
switch (baseData.DataType)
{
case MarketDataType.Tick:
var tick = (Tick)baseData;
chain.Ticks.Add(tick.Symbol, tick);
UpdateContract(contract, tick);
break;
case MarketDataType.TradeBar:
var tradeBar = (TradeBar)baseData;
chain.TradeBars[symbol] = tradeBar;
UpdateContract(contract, tradeBar);
break;
case MarketDataType.QuoteBar:
var quote = (QuoteBar)baseData;
chain.QuoteBars[symbol] = quote;
UpdateContract(contract, quote);
break;
case MarketDataType.Base:
chain.AddAuxData(baseData);
break;
}
return(true);
}
private static bool HandleOptionData(DateTime algorithmTime, BaseData baseData, OptionChains optionChains, Security security, Lazy<Slice> sliceFuture)
{
var symbol = baseData.Symbol;
OptionChain chain;
var canonical = Symbol.Create(symbol.ID.Symbol, SecurityType.Option, symbol.ID.Market);
if (!optionChains.TryGetValue(canonical, out chain))
{
chain = new OptionChain(canonical, algorithmTime);
optionChains[canonical] = chain;
}
var universeData = baseData as OptionChainUniverseDataCollection;
if (universeData != null)
{
if (universeData.Underlying != null)
{
chain.Underlying = universeData.Underlying;
}
foreach (var contractSymbol in universeData.FilteredContracts)
{
chain.FilteredContracts.Add(contractSymbol);
}
return false;
}
OptionContract contract;
if (!chain.Contracts.TryGetValue(baseData.Symbol, out contract))
{
var underlyingSymbol = Symbol.Create(baseData.Symbol.ID.Symbol, SecurityType.Equity, baseData.Symbol.ID.Market);
contract = new OptionContract(baseData.Symbol, underlyingSymbol)
{
Time = baseData.EndTime,
LastPrice = security.Close,
BidPrice = security.BidPrice,
BidSize = security.BidSize,
AskPrice = security.AskPrice,
AskSize = security.AskSize,
UnderlyingLastPrice = chain.Underlying != null ? chain.Underlying.Price : 0m
};
chain.Contracts[baseData.Symbol] = contract;
var option = security as Option;
if (option != null)
{
contract.SetOptionPriceModel(() => option.PriceModel.Evaluate(option, sliceFuture.Value, contract));
}
}
// populate ticks and tradebars dictionaries with no aux data
switch (baseData.DataType)
{
case MarketDataType.Tick:
var tick = (Tick)baseData;
chain.Ticks.Add(tick.Symbol, tick);
UpdateContract(contract, tick);
break;
case MarketDataType.TradeBar:
var tradeBar = (TradeBar)baseData;
chain.TradeBars[symbol] = tradeBar;
contract.LastPrice = tradeBar.Close;
break;
case MarketDataType.QuoteBar:
var quote = (QuoteBar)baseData;
chain.QuoteBars[symbol] = quote;
UpdateContract(contract, quote);
break;
case MarketDataType.Base:
chain.AddAuxData(baseData);
break;
}
return true;
}
/// <summary>
/// Adds the specified <see cref="BaseData"/> instance to the appropriate <see cref="DataDictionary{T}"/>
/// </summary>
private static void PopulateDataDictionaries(BaseData baseData, Ticks ticks, TradeBars tradeBars, QuoteBars quoteBars, OptionChains optionChains)
{
var symbol = baseData.Symbol;
// populate data dictionaries
switch (baseData.DataType)
{
case MarketDataType.Tick:
ticks.Add(symbol, (Tick)baseData);
break;
case MarketDataType.TradeBar:
tradeBars[symbol] = (TradeBar) baseData;
break;
case MarketDataType.QuoteBar:
quoteBars[symbol] = (QuoteBar) baseData;
break;
case MarketDataType.OptionChain:
optionChains[symbol] = (OptionChain) baseData;
break;
}
}
/// <summary>
/// Creates a new <see cref="TimeSlice"/> for the specified time using the specified data
/// </summary>
/// <param name="utcDateTime">The UTC frontier date time</param>
/// <param name="algorithmTimeZone">The algorithm's time zone, required for computing algorithm and slice time</param>
/// <param name="cashBook">The algorithm's cash book, required for generating cash update pairs</param>
/// <param name="data">The data in this <see cref="TimeSlice"/></param>
/// <param name="changes">The new changes that are seen in this time slice as a result of universe selection</param>
/// <returns>A new <see cref="TimeSlice"/> containing the specified data</returns>
public static TimeSlice Create(DateTime utcDateTime, DateTimeZone algorithmTimeZone, CashBook cashBook, List<DataFeedPacket> data, SecurityChanges changes)
{
int count = 0;
var security = new List<UpdateData<Security>>();
var custom = new List<UpdateData<Security>>();
var consolidator = new List<UpdateData<SubscriptionDataConfig>>();
var allDataForAlgorithm = new List<BaseData>(data.Count);
var cash = new List<UpdateData<Cash>>(cashBook.Count);
var cashSecurities = new HashSet<Symbol>();
foreach (var cashItem in cashBook.Values)
{
cashSecurities.Add(cashItem.SecuritySymbol);
}
Split split;
Dividend dividend;
Delisting delisting;
SymbolChangedEvent symbolChange;
// we need to be able to reference the slice being created in order to define the
// evaluation of option price models, so we define a 'future' that can be referenced
// in the option price model evaluation delegates for each contract
Slice slice = null;
var sliceFuture = new Lazy<Slice>(() => slice);
var algorithmTime = utcDateTime.ConvertFromUtc(algorithmTimeZone);
var tradeBars = new TradeBars(algorithmTime);
var quoteBars = new QuoteBars(algorithmTime);
var ticks = new Ticks(algorithmTime);
var splits = new Splits(algorithmTime);
var dividends = new Dividends(algorithmTime);
var delistings = new Delistings(algorithmTime);
var optionChains = new OptionChains(algorithmTime);
var symbolChanges = new SymbolChangedEvents(algorithmTime);
foreach (var packet in data)
{
var list = packet.Data;
var symbol = packet.Security.Symbol;
if (list.Count == 0) continue;
// keep count of all data points
if (list.Count == 1 && list[0] is BaseDataCollection)
{
var baseDataCollectionCount = ((BaseDataCollection)list[0]).Data.Count;
if (baseDataCollectionCount == 0)
{
continue;
}
count += baseDataCollectionCount;
}
else
{
count += list.Count;
}
if (!packet.Configuration.IsInternalFeed && packet.Configuration.IsCustomData)
{
// This is all the custom data
custom.Add(new UpdateData<Security>(packet.Security, packet.Configuration.Type, list));
}
var securityUpdate = new List<BaseData>(list.Count);
var consolidatorUpdate = new List<BaseData>(list.Count);
for (int i = 0; i < list.Count; i++)
{
var baseData = list[i];
if (!packet.Configuration.IsInternalFeed)
{
// this is all the data that goes into the algorithm
allDataForAlgorithm.Add(baseData);
}
// don't add internal feed data to ticks/bars objects
if (baseData.DataType != MarketDataType.Auxiliary)
{
if (!packet.Configuration.IsInternalFeed)
{
PopulateDataDictionaries(baseData, ticks, tradeBars, quoteBars, optionChains);
// special handling of options data to build the option chain
if (packet.Security.Type == SecurityType.Option)
{
if (baseData.DataType == MarketDataType.OptionChain)
{
optionChains[baseData.Symbol] = (OptionChain) baseData;
}
else if (!HandleOptionData(algorithmTime, baseData, optionChains, packet.Security, sliceFuture))
{
continue;
}
}
// this is data used to update consolidators
consolidatorUpdate.Add(baseData);
}
// this is the data used set market prices
securityUpdate.Add(baseData);
}
// include checks for various aux types so we don't have to construct the dictionaries in Slice
else if ((delisting = baseData as Delisting) != null)
{
delistings[symbol] = delisting;
}
else if ((dividend = baseData as Dividend) != null)
{
dividends[symbol] = dividend;
}
else if ((split = baseData as Split) != null)
{
splits[symbol] = split;
}
else if ((symbolChange = baseData as SymbolChangedEvent) != null)
{
// symbol changes is keyed by the requested symbol
symbolChanges[packet.Configuration.Symbol] = symbolChange;
}
}
if (securityUpdate.Count > 0)
{
// check for 'cash securities' if we found valid update data for this symbol
// and we need this data to update cash conversion rates, long term we should
// have Cash hold onto it's security, then he can update himself, or rather, just
// patch through calls to conversion rate to compue it on the fly using Security.Price
if (cashSecurities.Contains(packet.Security.Symbol))
{
foreach (var cashKvp in cashBook)
{
if (cashKvp.Value.SecuritySymbol == packet.Security.Symbol)
{
var cashUpdates = new List<BaseData> {securityUpdate[securityUpdate.Count - 1]};
cash.Add(new UpdateData<Cash>(cashKvp.Value, packet.Configuration.Type, cashUpdates));
}
}
}
security.Add(new UpdateData<Security>(packet.Security, packet.Configuration.Type, securityUpdate));
}
if (consolidatorUpdate.Count > 0)
{
consolidator.Add(new UpdateData<SubscriptionDataConfig>(packet.Configuration, packet.Configuration.Type, consolidatorUpdate));
}
}
slice = new Slice(algorithmTime, allDataForAlgorithm, tradeBars, quoteBars, ticks, optionChains, splits, dividends, delistings, symbolChanges, allDataForAlgorithm.Count > 0);
return new TimeSlice(utcDateTime, count, slice, data, cash, security, consolidator, custom, changes);
}
/// <summary>
/// Creates a new <see cref="TimeSlice"/> for the specified time using the specified data
/// </summary>
/// <param name="utcDateTime">The UTC frontier date time</param>
/// <param name="algorithmTimeZone">The algorithm's time zone, required for computing algorithm and slice time</param>
/// <param name="cashBook">The algorithm's cash book, required for generating cash update pairs</param>
/// <param name="data">The data in this <see cref="TimeSlice"/></param>
/// <param name="changes">The new changes that are seen in this time slice as a result of universe selection</param>
/// <param name="universeData"></param>
/// <returns>A new <see cref="TimeSlice"/> containing the specified data</returns>
public static TimeSlice Create(DateTime utcDateTime,
DateTimeZone algorithmTimeZone,
CashBook cashBook,
List <DataFeedPacket> data,
SecurityChanges changes,
Dictionary <Universe, BaseDataCollection> universeData)
{
int count = 0;
var security = new List <UpdateData <Security> >();
var custom = new List <UpdateData <Security> >();
var consolidator = new List <UpdateData <SubscriptionDataConfig> >();
var allDataForAlgorithm = new List <BaseData>(data.Count);
var optionUnderlyingUpdates = new Dictionary <Symbol, BaseData>();
Split split;
Dividend dividend;
Delisting delisting;
SymbolChangedEvent symbolChange;
// we need to be able to reference the slice being created in order to define the
// evaluation of option price models, so we define a 'future' that can be referenced
// in the option price model evaluation delegates for each contract
Slice slice = null;
var sliceFuture = new Lazy <Slice>(() => slice);
var algorithmTime = utcDateTime.ConvertFromUtc(algorithmTimeZone);
var tradeBars = new TradeBars(algorithmTime);
var quoteBars = new QuoteBars(algorithmTime);
var ticks = new Ticks(algorithmTime);
var splits = new Splits(algorithmTime);
var dividends = new Dividends(algorithmTime);
var delistings = new Delistings(algorithmTime);
var optionChains = new OptionChains(algorithmTime);
var futuresChains = new FuturesChains(algorithmTime);
var symbolChanges = new SymbolChangedEvents(algorithmTime);
if (universeData.Count > 0)
{
// count universe data
foreach (var kvp in universeData)
{
count += kvp.Value.Data.Count;
}
}
// ensure we read equity data before option data, so we can set the current underlying price
foreach (var packet in data)
{
// filter out packets for removed subscriptions
if (packet.IsSubscriptionRemoved)
{
continue;
}
var list = packet.Data;
var symbol = packet.Security.Symbol;
if (list.Count == 0)
{
continue;
}
// keep count of all data points
if (list.Count == 1 && list[0] is BaseDataCollection)
{
var baseDataCollectionCount = ((BaseDataCollection)list[0]).Data.Count;
if (baseDataCollectionCount == 0)
{
continue;
}
count += baseDataCollectionCount;
}
else
{
count += list.Count;
}
if (!packet.Configuration.IsInternalFeed && packet.Configuration.IsCustomData)
{
// This is all the custom data
custom.Add(new UpdateData <Security>(packet.Security, packet.Configuration.Type, list));
}
var securityUpdate = new List <BaseData>(list.Count);
var consolidatorUpdate = new List <BaseData>(list.Count);
for (int i = 0; i < list.Count; i++)
{
var baseData = list[i];
if (!packet.Configuration.IsInternalFeed)
{
// this is all the data that goes into the algorithm
allDataForAlgorithm.Add(baseData);
}
// don't add internal feed data to ticks/bars objects
if (baseData.DataType != MarketDataType.Auxiliary)
{
if (!packet.Configuration.IsInternalFeed)
{
PopulateDataDictionaries(baseData, ticks, tradeBars, quoteBars, optionChains, futuresChains);
// special handling of options data to build the option chain
if (packet.Security.Type == SecurityType.Option)
{
if (baseData.DataType == MarketDataType.OptionChain)
{
optionChains[baseData.Symbol] = (OptionChain)baseData;
}
else if (!HandleOptionData(algorithmTime, baseData, optionChains, packet.Security, sliceFuture, optionUnderlyingUpdates))
{
continue;
}
}
// special handling of futures data to build the futures chain
if (packet.Security.Type == SecurityType.Future)
{
if (baseData.DataType == MarketDataType.FuturesChain)
{
futuresChains[baseData.Symbol] = (FuturesChain)baseData;
}
else if (!HandleFuturesData(algorithmTime, baseData, futuresChains, packet.Security))
{
continue;
}
}
// this is data used to update consolidators
consolidatorUpdate.Add(baseData);
}
// this is the data used set market prices
// do not add it if it is a Suspicious tick
var tick = baseData as Tick;
if (tick != null && tick.Suspicious)
{
continue;
}
securityUpdate.Add(baseData);
// option underlying security update
if (packet.Security.Symbol.SecurityType == SecurityType.Equity)
{
optionUnderlyingUpdates[packet.Security.Symbol] = baseData;
}
}
// include checks for various aux types so we don't have to construct the dictionaries in Slice
else if ((delisting = baseData as Delisting) != null)
{
delistings[symbol] = delisting;
}
else if ((dividend = baseData as Dividend) != null)
{
dividends[symbol] = dividend;
}
else if ((split = baseData as Split) != null)
{
splits[symbol] = split;
}
else if ((symbolChange = baseData as SymbolChangedEvent) != null)
{
// symbol changes is keyed by the requested symbol
symbolChanges[packet.Configuration.Symbol] = symbolChange;
}
}
if (securityUpdate.Count > 0)
{
security.Add(new UpdateData <Security>(packet.Security, packet.Configuration.Type, securityUpdate));
}
if (consolidatorUpdate.Count > 0)
{
consolidator.Add(new UpdateData <SubscriptionDataConfig>(packet.Configuration, packet.Configuration.Type, consolidatorUpdate));
}
}
slice = new Slice(algorithmTime, allDataForAlgorithm, tradeBars, quoteBars, ticks, optionChains, futuresChains, splits, dividends, delistings, symbolChanges, allDataForAlgorithm.Count > 0);
return(new TimeSlice(utcDateTime, count, slice, data, security, consolidator, custom, changes, universeData));
}
