/// <summary>
/// Temporary convenience constructor
/// </summary>
protected Security(SubscriptionDataConfig config,
Cash quoteCurrency,
SymbolProperties symbolProperties,
SecurityExchange exchange,
SecurityCache cache,
ISecurityPortfolioModel portfolioModel,
IFillModel fillModel,
IFeeModel feeModel,
ISlippageModel slippageModel,
ISettlementModel settlementModel,
IVolatilityModel volatilityModel,
IBuyingPowerModel buyingPowerModel,
ISecurityDataFilter dataFilter,
IPriceVariationModel priceVariationModel
)
: this(config.Symbol,
quoteCurrency,
symbolProperties,
exchange,
cache,
portfolioModel,
fillModel,
feeModel,
slippageModel,
settlementModel,
volatilityModel,
buyingPowerModel,
dataFilter,
priceVariationModel
)
{
SubscriptionsBag.Add(config);
UpdateSubscriptionProperties();
}
/********************************************************
* CONSTRUCTOR/DELEGATE DEFINITIONS
*********************************************************/
/// <summary>
/// Construct the Market Vehicle
/// </summary>
public Security(string symbol, SecurityType type, Resolution resolution, bool fillDataForward, decimal leverage, bool extendedMarketHours, bool useQuantConnectData = false)
{
//Set Basics:
this._symbol = symbol;
this._type = type;
this._resolution = resolution;
this._isFillDataForward = fillDataForward;
this._leverage = leverage;
this._isExtendedMarketHours = extendedMarketHours;
this._isQuantConnectData = useQuantConnectData;
//Setup Transaction Model for this Asset
switch (type)
{
case SecurityType.Equity:
Model = new EquityTransactionModel();
break;
case SecurityType.Forex:
Model = new ForexTransactionModel();
break;
case SecurityType.Base:
Model = new SecurityTransactionModel();
break;
}
//Holdings for new Vehicle:
Cache = new SecurityCache();
Holdings = new SecurityHolding(symbol, Model);
Exchange = new SecurityExchange();
}
/********************************************************
* CONSTRUCTOR/DELEGATE DEFINITIONS
*********************************************************/
/// <summary>
/// Construct the Market Vehicle
/// </summary>
public Security(string symbol, SecurityType type, Resolution resolution, bool fillDataForward, decimal leverage, bool extendedMarketHours)
{
//Set Basics:
this._symbol = symbol;
this._type = type;
this._resolution = resolution;
this._isFillDataForward = fillDataForward;
this._leverage = leverage;
this._isExtendedMarketHours = extendedMarketHours;
//Holdings for new Vehicle:
Cache = new SecurityCache();
Holdings = new SecurityHolding(symbol, Model);
Exchange = new SecurityExchange();
//Cannot initalise a default model.
Model = null;
//Set data type:
if (resolution == Resolution.Minute || resolution == Resolution.Second) {
_dataType = typeof(TradeBar);
} else {
_dataType = typeof(Tick);
}
}
/// <summary>
/// Temporary convenience constructor
/// </summary>
protected Security(SubscriptionDataConfig config,
Cash quoteCurrency,
SymbolProperties symbolProperties,
SecurityExchange exchange,
SecurityCache cache,
ISecurityPortfolioModel portfolioModel,
IFillModel fillModel,
IFeeModel feeModel,
ISlippageModel slippageModel,
ISettlementModel settlementModel,
IVolatilityModel volatilityModel,
ISecurityMarginModel marginModel,
ISecurityDataFilter dataFilter
)
: this(config.Symbol,
quoteCurrency,
symbolProperties,
exchange,
cache,
portfolioModel,
fillModel,
feeModel,
slippageModel,
settlementModel,
volatilityModel,
marginModel,
dataFilter
)
{
SubscriptionsBag.Add(config);
}
/********************************************************
* CONSTRUCTOR/DELEGATE DEFINITIONS
*********************************************************/
/// <summary>
/// Construct a new security vehicle based on the user options.
/// </summary>
public Security(string symbol, SecurityType type, Resolution resolution, bool fillDataForward, decimal leverage, bool extendedMarketHours, bool isDynamicallyLoadedData = false)
{
//Set Basics:
_symbol = symbol;
_type = type;
_resolution = resolution;
_isFillDataForward = fillDataForward;
_isExtendedMarketHours = extendedMarketHours;
_isDynamicallyLoadedData = isDynamicallyLoadedData;
//Setup Transaction Model for this Asset
switch (type)
{
case SecurityType.Equity:
Model = new EquityTransactionModel();
DataFilter = new EquityDataFilter();
break;
case SecurityType.Forex:
Model = new ForexTransactionModel();
DataFilter = new ForexDataFilter();
break;
case SecurityType.Base:
Model = new SecurityTransactionModel();
DataFilter = new SecurityDataFilter();
break;
}
//Holdings for new Vehicle:
Cache = new SecurityCache();
Holdings = new SecurityHolding(symbol, type, leverage, Model);
Exchange = new SecurityExchange();
}
/// <summary>
/// Construct a new security vehicle based on the user options.
/// </summary>
public Security(SecurityExchangeHours exchangeHours, SubscriptionDataConfig config, decimal leverage)
{
_config = config;
Cache = new SecurityCache();
Exchange = new SecurityExchange(exchangeHours);
DataFilter = new SecurityDataFilter();
PortfolioModel = new SecurityPortfolioModel();
TransactionModel = new SecurityTransactionModel();
MarginModel = new SecurityMarginModel(leverage);
Holdings = new SecurityHolding(this);
}
/// <summary>
/// Construct a new security vehicle based on the user options.
/// </summary>
public Security(SecurityExchangeHours exchangeHours, SubscriptionDataConfig config, decimal leverage)
{
_config = config;
Cache = new SecurityCache();
Exchange = new SecurityExchange(exchangeHours);
DataFilter = new SecurityDataFilter();
PortfolioModel = new SecurityPortfolioModel();
TransactionModel = new SecurityTransactionModel();
MarginModel = new SecurityMarginModel(leverage);
Holdings = new SecurityHolding(this);
}
/// <summary>
/// Construct a new security vehicle based on the user options.
/// </summary>
protected Security(Symbol symbol,
Cash quoteCurrency,
SymbolProperties symbolProperties,
SecurityExchange exchange,
SecurityCache cache,
ISecurityPortfolioModel portfolioModel,
IFillModel fillModel,
IFeeModel feeModel,
ISlippageModel slippageModel,
ISettlementModel settlementModel,
IVolatilityModel volatilityModel,
IBuyingPowerModel buyingPowerModel,
ISecurityDataFilter dataFilter,
IPriceVariationModel priceVariationModel,
ICurrencyConverter currencyConverter,
IRegisteredSecurityDataTypesProvider registeredTypesProvider
)
{
if (symbolProperties == null)
{
throw new ArgumentNullException(nameof(symbolProperties), "Security requires a valid SymbolProperties instance.");
}
if (symbolProperties.QuoteCurrency != quoteCurrency.Symbol)
{
throw new ArgumentException("symbolProperties.QuoteCurrency must match the quoteCurrency.Symbol");
}
this._currencyConverter = currencyConverter;
Symbol = symbol;
SubscriptionsBag = new ConcurrentBag <SubscriptionDataConfig>();
QuoteCurrency = quoteCurrency;
SymbolProperties = symbolProperties;
IsTradable = true;
Cache = cache;
Exchange = exchange;
DataFilter = dataFilter;
PriceVariationModel = priceVariationModel;
PortfolioModel = portfolioModel;
BuyingPowerModel = buyingPowerModel;
FillModel = fillModel;
FeeModel = feeModel;
SlippageModel = slippageModel;
SettlementModel = settlementModel;
VolatilityModel = volatilityModel;
Holdings = new SecurityHolding(this, currencyConverter);
Data = new DynamicSecurityData(registeredTypesProvider);
Cache.DataStored += (sender, args) => Data.StoreData(args.DataType, args.Data);
UpdateSubscriptionProperties();
}
/// <summary>
/// Construct a new security vehicle based on the user options.
/// </summary>
public Security(SecurityExchangeHours exchangeHours, SubscriptionDataConfig config, decimal leverage, bool isDynamicallyLoadedData = false)
{
_config = config;
_symbol = config.Symbol;
_isDynamicallyLoadedData = isDynamicallyLoadedData;
Cache = new SecurityCache();
Exchange = new SecurityExchange(exchangeHours);
DataFilter = new SecurityDataFilter();
PortfolioModel = new SecurityPortfolioModel();
TransactionModel = new SecurityTransactionModel();
MarginModel = new SecurityMarginModel(leverage);
Holdings = new SecurityHolding(this);
}
/// <summary>
/// Construct a new security vehicle based on the user options.
/// </summary>
public Security(SubscriptionDataConfig config, decimal leverage, bool isDynamicallyLoadedData = false)
{
_config = config;
_symbol = config.Symbol;
_isDynamicallyLoadedData = isDynamicallyLoadedData;
Cache = new SecurityCache();
Exchange = new SecurityExchange();
DataFilter = new SecurityDataFilter();
PortfolioModel = new SecurityPortfolioModel();
TransactionModel = new SecurityTransactionModel();
MarginModel = new SecurityMarginModel(leverage);
Holdings = new SecurityHolding(this);
}
/// <summary>
/// Construct a new security vehicle based on the user options.
/// </summary>
protected Security(Symbol symbol,
Cash quoteCurrency,
SymbolProperties symbolProperties,
SecurityExchange exchange,
SecurityCache cache,
ISecurityPortfolioModel portfolioModel,
IFillModel fillModel,
IFeeModel feeModel,
ISlippageModel slippageModel,
ISettlementModel settlementModel,
IVolatilityModel volatilityModel,
IBuyingPowerModel buyingPowerModel,
ISecurityDataFilter dataFilter,
IPriceVariationModel priceVariationModel
)
{
if (symbolProperties == null)
{
throw new ArgumentNullException("symbolProperties", "Security requires a valid SymbolProperties instance.");
}
if (symbolProperties.QuoteCurrency != quoteCurrency.Symbol)
{
throw new ArgumentException("symbolProperties.QuoteCurrency must match the quoteCurrency.Symbol");
}
Symbol = symbol;
SubscriptionsBag = new ConcurrentBag <SubscriptionDataConfig>();
QuoteCurrency = quoteCurrency;
SymbolProperties = symbolProperties;
IsTradable = true;
Cache = cache;
Exchange = exchange;
DataFilter = dataFilter;
PriceVariationModel = priceVariationModel;
PortfolioModel = portfolioModel;
BuyingPowerModel = buyingPowerModel;
FillModel = fillModel;
FeeModel = feeModel;
SlippageModel = slippageModel;
SettlementModel = settlementModel;
VolatilityModel = volatilityModel;
Holdings = new SecurityHolding(this);
UpdateSubscriptionProperties();
}
/// <summary>
/// Construct a new security vehicle based on the user options.
/// </summary>
protected Security(SubscriptionDataConfig config,
Cash quoteCurrency,
SymbolProperties symbolProperties,
SecurityExchange exchange,
SecurityCache cache,
ISecurityPortfolioModel portfolioModel,
IFillModel fillModel,
IFeeModel feeModel,
ISlippageModel slippageModel,
ISettlementModel settlementModel,
IVolatilityModel volatilityModel,
ISecurityMarginModel marginModel,
ISecurityDataFilter dataFilter
)
{
if (symbolProperties == null)
{
throw new ArgumentNullException("symbolProperties", "Security requires a valid SymbolProperties instance.");
}
if (symbolProperties.QuoteCurrency != quoteCurrency.Symbol)
{
throw new ArgumentException("symbolProperties.QuoteCurrency must match the quoteCurrency.Symbol");
}
_config = config;
QuoteCurrency = quoteCurrency;
SymbolProperties = symbolProperties;
IsTradable = !config.IsInternalFeed;
Cache = cache;
Exchange = exchange;
DataFilter = dataFilter;
PortfolioModel = portfolioModel;
MarginModel = marginModel;
FillModel = fillModel;
FeeModel = feeModel;
SlippageModel = slippageModel;
SettlementModel = settlementModel;
VolatilityModel = volatilityModel;
Holdings = new SecurityHolding(this);
}
/// <summary>
/// Construct a new security vehicle based on the user options.
/// </summary>
protected Security(SubscriptionDataConfig config,
SecurityExchange exchange,
SecurityCache cache,
ISecurityPortfolioModel portfolioModel,
IFillModel fillModel,
IFeeModel feeModel,
ISlippageModel slippageModel,
ISettlementModel settlementModel,
ISecurityMarginModel marginModel,
ISecurityDataFilter dataFilter
)
{
_config = config;
Cache = cache;
Exchange = exchange;
DataFilter = dataFilter;
PortfolioModel = portfolioModel;
MarginModel = marginModel;
FillModel = fillModel;
FeeModel = feeModel;
SlippageModel = slippageModel;
SettlementModel = settlementModel;
Holdings = new SecurityHolding(this);
}
/********************************************************
* CONSTRUCTOR/DELEGATE DEFINITIONS
*********************************************************/
/// <summary>
/// Construct a new security vehicle based on the user options.
/// </summary>
public Security(string symbol, SecurityType type, Resolution resolution, bool fillDataForward, decimal leverage, bool extendedMarketHours, bool isDynamicallyLoadedData = false)
{
//Set Basics:
_symbol = symbol;
_type = type;
_resolution = resolution;
_isFillDataForward = fillDataForward;
_leverage = leverage;
_isExtendedMarketHours = extendedMarketHours;
_isDynamicallyLoadedData = isDynamicallyLoadedData;
//Setup Transaction Model for this Asset
switch (type)
{
case SecurityType.Equity:
Model = new EquityTransactionModel();
DataFilter = new EquityDataFilter();
break;
case SecurityType.Forex:
Model = new ForexTransactionModel();
DataFilter = new ForexDataFilter();
break;
case SecurityType.Base:
Model = new SecurityTransactionModel();
DataFilter = new SecurityDataFilter();
break;
}
//Holdings for new Vehicle:
Cache = new SecurityCache();
Holdings = new SecurityHolding(symbol, type, Model);
Exchange = new SecurityExchange();
}
/// <summary>
/// Initializes a new instance of the <see cref="LiveFillForwardEnumerator"/> class that accepts
/// a reference to the fill forward resolution, useful if the fill forward resolution is dynamic
/// and changing as the enumeration progresses
/// </summary>
/// <param name="timeProvider">The source of time used to gauage when this enumerator should emit extra bars when
/// null data is returned from the source enumerator</param>
/// <param name="enumerator">The source enumerator to be filled forward</param>
/// <param name="exchange">The exchange used to determine when to insert fill forward data</param>
/// <param name="fillForwardResolution">The resolution we'd like to receive data on</param>
/// <param name="isExtendedMarketHours">True to use the exchange's extended market hours, false to use the regular market hours</param>
/// <param name="subscriptionEndTime">The end time of the subscrition, once passing this date the enumerator will stop</param>
/// <param name="dataResolution">The source enumerator's data resolution</param>
public LiveFillForwardEnumerator(ITimeProvider timeProvider, IEnumerator<BaseData> enumerator, SecurityExchange exchange, IReadOnlyRef<TimeSpan> fillForwardResolution, bool isExtendedMarketHours, DateTime subscriptionEndTime, TimeSpan dataResolution)
: base(enumerator, exchange, fillForwardResolution, isExtendedMarketHours, subscriptionEndTime, dataResolution)
{
_timeProvider = timeProvider;
}
/// <summary>
/// Construct a new security vehicle based on the user options.
/// </summary>
protected Security(SubscriptionDataConfig config,
SecurityExchange exchange,
SecurityCache cache,
ISecurityPortfolioModel portfolioModel,
IFillModel fillModel,
IFeeModel feeModel,
ISlippageModel slippageModel,
ISettlementModel settlementModel,
ISecurityMarginModel marginModel,
ISecurityDataFilter dataFilter
)
{
_config = config;
Cache = cache;
Exchange = exchange;
DataFilter = dataFilter;
PortfolioModel = portfolioModel;
MarginModel = marginModel;
FillModel = fillModel;
FeeModel = feeModel;
SlippageModel = slippageModel;
SettlementModel = settlementModel;
Holdings = new SecurityHolding(this);
}
/// <summary>
/// Define an enumerable date range of tradeable dates - skip the holidays and weekends when securities in this algorithm don't trade.
/// </summary>
/// <param name="exchange">The security to get tradeable dates for</param>
/// <param name="from">Start date</param>
/// <param name="thru">End date</param>
/// <returns>Enumerable date range</returns>
public static IEnumerable<DateTime> EachTradeableDay(SecurityExchange exchange, DateTime from, DateTime thru)
{
for (var day = from.Date; day.Date <= thru.Date; day = day.AddDays(1))
{
if (exchange.DateIsOpen(day))
{
yield return day;
}
}
}
/// <summary>
/// Construct a new security vehicle based on the user options.
/// </summary>
protected Security(SubscriptionDataConfig config,
Cash quoteCurrency,
SymbolProperties symbolProperties,
SecurityExchange exchange,
SecurityCache cache,
ISecurityPortfolioModel portfolioModel,
IFillModel fillModel,
IFeeModel feeModel,
ISlippageModel slippageModel,
ISettlementModel settlementModel,
ISecurityMarginModel marginModel,
ISecurityDataFilter dataFilter
)
{
if (symbolProperties == null)
{
throw new ArgumentNullException("symbolProperties", "Security requires a valid SymbolProperties instance.");
}
if (symbolProperties.QuoteCurrency != quoteCurrency.Symbol)
{
throw new ArgumentException("symbolProperties.QuoteCurrency must match the quoteCurrency.Symbol");
}
_config = config;
QuoteCurrency = quoteCurrency;
SymbolProperties = symbolProperties;
Cache = cache;
Exchange = exchange;
DataFilter = dataFilter;
PortfolioModel = portfolioModel;
MarginModel = marginModel;
FillModel = fillModel;
FeeModel = feeModel;
SlippageModel = slippageModel;
SettlementModel = settlementModel;
Holdings = new SecurityHolding(this);
}
/// <summary>
/// Construct a new security vehicle based on the user options.
/// </summary>
protected Security(Symbol symbol,
Cash quoteCurrency,
SymbolProperties symbolProperties,
SecurityExchange exchange,
SecurityCache cache,
ISecurityPortfolioModel portfolioModel,
IFillModel fillModel,
IFeeModel feeModel,
ISlippageModel slippageModel,
ISettlementModel settlementModel,
IVolatilityModel volatilityModel,
ISecurityMarginModel marginModel,
ISecurityDataFilter dataFilter,
IPriceVariationModel priceVariationModel
)
{
if (symbolProperties == null)
{
throw new ArgumentNullException("symbolProperties", "Security requires a valid SymbolProperties instance.");
}
if (symbolProperties.QuoteCurrency != quoteCurrency.Symbol)
{
throw new ArgumentException("symbolProperties.QuoteCurrency must match the quoteCurrency.Symbol");
}
_symbol = symbol;
SubscriptionsBag = new ConcurrentBag<SubscriptionDataConfig>();
QuoteCurrency = quoteCurrency;
SymbolProperties = symbolProperties;
IsTradable = true;
Cache = cache;
Exchange = exchange;
DataFilter = dataFilter;
PriceVariationModel = priceVariationModel;
PortfolioModel = portfolioModel;
MarginModel = marginModel;
FillModel = fillModel;
FeeModel = feeModel;
SlippageModel = slippageModel;
SettlementModel = settlementModel;
VolatilityModel = volatilityModel;
Holdings = new SecurityHolding(this);
}
public void FillsForwardOnNulls()
{
var reference = new DateTime(2015, 10, 08);
var period = Time.OneSecond;
var underlying = new List<BaseData>
{
// 0 seconds
new TradeBar(reference, Symbols.SPY, 10, 20, 5, 15, 123456, period),
// 1 seconds
null,
// 3 seconds
new TradeBar(reference.AddSeconds(2), Symbols.SPY, 100, 200, 50, 150, 1234560, period),
null,
null,
null,
null
};
var timeProvider = new ManualTimeProvider(TimeZones.NewYork);
timeProvider.SetCurrentTime(reference);
var exchange = new SecurityExchange(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork));
var fillForward = new LiveFillForwardEnumerator(timeProvider, underlying.GetEnumerator(), exchange, Ref.Create(Time.OneSecond), false, Time.EndOfTime, Time.OneSecond);
// first point is always emitted
Assert.IsTrue(fillForward.MoveNext());
Assert.AreEqual(underlying[0], fillForward.Current);
// stepping again without advancing time does nothing, but we'll still
// return true as per IEnumerator contract
Assert.IsTrue(fillForward.MoveNext());
Assert.IsNull(fillForward.Current);
timeProvider.SetCurrentTime(reference.AddSeconds(1));
// non-null next will fill forward in between
Assert.IsTrue(fillForward.MoveNext());
Assert.AreEqual(underlying[0].EndTime, fillForward.Current.Time);
Assert.AreEqual(underlying[0].Value, fillForward.Current.Value);
Assert.IsTrue(fillForward.Current.IsFillForward);
// even without stepping the time this will advance since non-null data is ready
Assert.IsTrue(fillForward.MoveNext());
Assert.AreEqual(underlying[2], fillForward.Current);
// step ahead into null data territory
timeProvider.SetCurrentTime(reference.AddSeconds(4));
Assert.IsTrue(fillForward.MoveNext());
Assert.AreEqual(underlying[2].Value, fillForward.Current.Value);
Assert.AreEqual(timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork), fillForward.Current.EndTime);
Assert.IsTrue(fillForward.Current.IsFillForward);
Assert.IsTrue(fillForward.MoveNext());
Assert.IsNull(fillForward.Current);
timeProvider.SetCurrentTime(reference.AddSeconds(5));
Assert.IsTrue(fillForward.MoveNext());
Assert.AreEqual(underlying[2].Value, fillForward.Current.Value);
Assert.AreEqual(timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork), fillForward.Current.EndTime);
Assert.IsTrue(fillForward.Current.IsFillForward);
timeProvider.SetCurrentTime(reference.AddSeconds(6));
Assert.IsTrue(fillForward.MoveNext());
Assert.AreEqual(underlying[2].Value, fillForward.Current.Value);
Assert.AreEqual(timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork), fillForward.Current.EndTime);
Assert.IsTrue(fillForward.Current.IsFillForward);
}
/// <summary>
/// Temporary convenience constructor
/// </summary>
protected Security(SubscriptionDataConfig config,
Cash quoteCurrency,
SymbolProperties symbolProperties,
SecurityExchange exchange,
SecurityCache cache,
ISecurityPortfolioModel portfolioModel,
IFillModel fillModel,
IFeeModel feeModel,
ISlippageModel slippageModel,
ISettlementModel settlementModel,
IVolatilityModel volatilityModel,
ISecurityMarginModel marginModel,
ISecurityDataFilter dataFilter
)
: this(config.Symbol,
quoteCurrency,
symbolProperties,
exchange,
cache,
portfolioModel,
fillModel,
feeModel,
slippageModel,
settlementModel,
volatilityModel,
marginModel,
dataFilter
)
{
SubscriptionsBag.Add(config);
}