public void Option_SubscriptionDataConfigList_CanOnlyHave_RawDataNormalization()
{
var option = new Symbol(SecurityIdentifier.GenerateOption(SecurityIdentifier.DefaultDate, Symbols.SPY.ID, Market.USA, 0, default(OptionRight), default(OptionStyle)), "?SPY");
var subscriptionDataConfigList = new SubscriptionDataConfigList(option);
Assert.DoesNotThrow(() => { subscriptionDataConfigList.SetDataNormalizationMode(DataNormalizationMode.Raw); });
Assert.Throws(typeof(ArgumentException), () => { subscriptionDataConfigList.SetDataNormalizationMode(DataNormalizationMode.Adjusted); });
Assert.Throws(typeof(ArgumentException), () => { subscriptionDataConfigList.SetDataNormalizationMode(DataNormalizationMode.SplitAdjusted); });
Assert.Throws(typeof(ArgumentException), () => { subscriptionDataConfigList.SetDataNormalizationMode(DataNormalizationMode.Adjusted); });
Assert.Throws(typeof(ArgumentException), () => { subscriptionDataConfigList.SetDataNormalizationMode(DataNormalizationMode.TotalReturn); });
}
/// <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);
}