public override void OnSecuritiesChanged(QCAlgorithmFramework algorithm, SecurityChanges changes)
{
foreach (var security in changes.RemovedSecurities)
{
if (_symbolDataBySymbol.ContainsKey(security.Symbol))
{
_symbolDataBySymbol.Remove(security.Symbol);
}
}
// Retrieve price history for all securities in the security universe
// and update the indicators in the SymbolData object
var symbols = changes.AddedSecurities.Select(x => x.Symbol);
var history = algorithm.History(symbols, 1, _resolution);
if (symbols.Count() > 0 && history.Count() == 0)
{
algorithm.Debug($"No data on {algorithm.Time}");
}
history.PushThrough(bar =>
{
SymbolData symbolData;
if (!_symbolDataBySymbol.TryGetValue(bar.Symbol, out symbolData))
{
symbolData = new SymbolData(bar.Symbol, _predictionInterval);
}
symbolData.Update(bar.EndTime, bar.Price);
_symbolDataBySymbol[bar.Symbol] = symbolData;
});
}
/// <summary>
/// Event fired each time the we add/remove securities from the data feed
/// </summary>
/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
/// <param name="changes">The security additions and removals from the algorithm</param>
public override void OnSecuritiesChanged(QCAlgorithmFramework algorithm, SecurityChanges changes)
{
NotifiedSecurityChanges.UpdateCollection(Securities, changes);
var symbols = Securities.Select(x => x.Symbol).ToArray();
var history = algorithm.History(symbols, _lookback, _resolution);
var vectors = GetPriceVectors(history);
if (vectors.LongLength == 0)
{
algorithm.Debug($"PearsonCorrelationPairsTradingAlphaModel.OnSecuritiesChanged(): The requested historical data does not have series of prices with the same date/time. Please consider increasing the looback period. Current lookback: {_lookback}");
}
else
{
var pearsonMatrix = Correlation.PearsonMatrix(vectors).UpperTriangle();
var maxValue = pearsonMatrix.Enumerate().Where(x => Math.Abs(x) < 1).Max();
if (maxValue >= _minimumCorrelation)
{
var maxTuple = pearsonMatrix.Find(x => x == maxValue);
_bestPair = Tuple.Create(symbols[maxTuple.Item1], symbols[maxTuple.Item2]);
}
}
base.OnSecuritiesChanged(algorithm, changes);
}
public override void OnSecuritiesChanged(QCAlgorithmFramework algorithm, SecurityChanges changes)
{
foreach (var removed in changes.RemovedSecurities)
{
if (_symbolDataBySymbol.ContainsKey(removed.Symbol))
{
_symbolDataBySymbol[removed.Symbol].RemoveConsolidators(algorithm);
_symbolDataBySymbol.Remove(removed.Symbol);
}
}
// Initialize data for added securities
var symbols = changes.AddedSecurities.Select(x => x.Symbol);
var dailyHistory = algorithm.History(symbols, _historyDays + 1, Resolution.Daily);
if (symbols.Count() > 0 && dailyHistory.Count() == 0)
{
algorithm.Debug($"{algorithm.Time} :: No daily data");
}
dailyHistory.PushThrough(bar =>
{
SymbolData symbolData;
if (!_symbolDataBySymbol.TryGetValue(bar.Symbol, out symbolData))
{
symbolData = new SymbolData(algorithm, bar.Symbol, _historyDays, _lookback, _resolution);
_symbolDataBySymbol.Add(bar.Symbol, symbolData);
}
// Update daily rate of change indicator
symbolData.UpdateDailyRateOfChange(bar);
});
algorithm.History(symbols, _lookback, _resolution).PushThrough(bar =>
{
// Update rate of change indicator with given resolution
if (_symbolDataBySymbol.ContainsKey(bar.Symbol))
{
_symbolDataBySymbol[bar.Symbol].UpdateRateOfChange(bar);
}
});
}