public void AddUniverseOptions(Symbol underlyingSymbol, Func <OptionFilterUniverse, OptionFilterUniverse> optionFilter)
{
// We need to load the universe associated with the provided Symbol and provide that universe to the option filter universe.
// The option filter universe will subscribe to any changes in the universe of the underlying Symbol,
// ensuring that we load the option chain for every asset found in the underlying's Universe.
Universe universe;
if (!UniverseManager.TryGetValue(underlyingSymbol, out universe))
{
// The universe might be already added, but not registered with the UniverseManager.
universe = _pendingUniverseAdditions.SingleOrDefault(u => u.Configuration.Symbol == underlyingSymbol);
if (universe == null)
{
underlyingSymbol = AddSecurity(underlyingSymbol).Symbol;
}
// Recheck again, we should have a universe addition pending for the provided Symbol
universe = _pendingUniverseAdditions.SingleOrDefault(u => u.Configuration.Symbol == underlyingSymbol);
if (universe == null)
{
// Should never happen, but it could be that the subscription
// created with AddSecurity is not aligned with the Symbol we're using.
throw new InvalidOperationException($"Universe not found for underlying Symbol: {underlyingSymbol}.");
}
}
// Allow all option contracts through without filtering if we're provided a null filter.
AddUniverseOptions(universe, optionFilter ?? (_ => _));
}
/// <summary>
/// Adds the security to the user defined universe for the specified
/// </summary>
private void AddToUserDefinedUniverse(Security security)
{
// if we are adding a non-internal security which already has an internal feed, we remove it first
Security existingSecurity;
if (Securities.TryGetValue(security.Symbol, out existingSecurity))
{
if (!security.IsInternalFeed() && existingSecurity.IsInternalFeed())
{
var securityUniverse = UniverseManager.Select(x => x.Value).OfType <UserDefinedUniverse>().FirstOrDefault(x => x.Members.ContainsKey(security.Symbol));
securityUniverse?.Remove(security.Symbol);
Securities.Remove(security.Symbol);
}
}
Securities.Add(security);
// add this security to the user defined universe
Universe universe;
var subscription = security.Subscriptions.First();
var universeSymbol = UserDefinedUniverse.CreateSymbol(subscription.SecurityType, subscription.Market);
if (!UniverseManager.TryGetValue(universeSymbol, out universe))
{
// create a new universe, these subscription settings don't currently get used
// since universe selection proper is never invoked on this type of universe
var uconfig = new SubscriptionDataConfig(subscription, symbol: universeSymbol, isInternalFeed: true, fillForward: false);
if (security.Type == SecurityType.Base)
{
// set entry in market hours database for the universe subscription to match the custom data
var symbolString = MarketHoursDatabase.GetDatabaseSymbolKey(uconfig.Symbol);
MarketHoursDatabase.SetEntry(uconfig.Market, symbolString, uconfig.SecurityType, security.Exchange.Hours, uconfig.DataTimeZone);
}
universe = new UserDefinedUniverse(uconfig,
new UniverseSettings(security.Resolution, security.Leverage, security.IsFillDataForward, security.IsExtendedMarketHours, TimeSpan.Zero),
SecurityInitializer,
QuantConnect.Time.MaxTimeSpan,
new List <Symbol> {
security.Symbol
}
);
UniverseManager.Add(universeSymbol, universe);
}
var userDefinedUniverse = universe as UserDefinedUniverse;
if (userDefinedUniverse != null)
{
userDefinedUniverse.Add(security.Symbol);
}
else
{
// should never happen, someone would need to add a non-user defined universe with this symbol
throw new Exception("Expected universe with symbol '" + universeSymbol.Value + "' to be of type UserDefinedUniverse.");
}
}
public Option AddChineseOption(string underlying, Resolution resolution = Resolution.Minute, string market = null, bool fillDataForward = true, decimal leverage = 0m)
{
if (market == null)
{
if (!BrokerageModel.DefaultMarkets.TryGetValue(SecurityType.Option, out market))
{
throw new Exception("No default market set for security type: " + SecurityType.Option);
}
}
Symbol canonicalSymbol;
var alias = "?" + underlying;
if (!SymbolCache.TryGetSymbol(alias, out canonicalSymbol))
{
//canonicalSymbol = QuantConnect.Symbol.Create(underlying, SecurityType.Option, market, alias);
canonicalSymbol = QuantConnect.Symbol.CreateOption(underlying, market, OptionStyle.European, default(OptionRight), 0, SecurityIdentifier.DefaultDate, alias);
}
var marketHoursEntry = MarketHoursDatabase.FromDataFolder().GetEntry(market, underlying, SecurityType.Option);
var symbolProperties = SymbolPropertiesDatabase.FromDataFolder().GetSymbolProperties(market, underlying, SecurityType.Option, CashBook.AccountCurrency);
var canonicalSecurity = (Option)SecurityManager.CreateSecurity(new List <Type>()
{
typeof(ZipEntryName)
}, Portfolio, SubscriptionManager,
marketHoursEntry.ExchangeHours, marketHoursEntry.DataTimeZone, symbolProperties, SecurityInitializer, canonicalSymbol, resolution,
fillDataForward, leverage, false, false, false, LiveMode, true, false);
canonicalSecurity.IsTradable = false;
Securities.Add(canonicalSecurity);
// add this security to the user defined universe
Universe universe;
if (!UniverseManager.TryGetValue(canonicalSymbol, out universe))
{
var settings = new UniverseSettings(resolution, leverage, true, false, TimeSpan.Zero);
universe = new OptionChainUniverse(canonicalSecurity, settings, SubscriptionManager, SecurityInitializer);
UniverseManager.Add(canonicalSymbol, universe);
}
return(canonicalSecurity);
}
/// <summary>
/// Adds the security to the user defined universe for the specified
/// </summary>
private void AddToUserDefinedUniverse(Security security)
{
Securities.Add(security);
// add this security to the user defined universe
Universe universe;
var securityConfig = security.SubscriptionDataConfig;
var universeSymbol = UserDefinedUniverse.CreateSymbol(securityConfig.SecurityType, securityConfig.Market);
if (!UniverseManager.TryGetValue(universeSymbol, out universe))
{
// create a new universe, these subscription settings don't currently get used
// since universe selection proper is never invoked on this type of universe
var uconfig = new SubscriptionDataConfig(securityConfig, symbol: universeSymbol, isInternalFeed: true, fillForward: false);
universe = new UserDefinedUniverse(uconfig,
new UniverseSettings(security.Resolution, security.Leverage, security.IsFillDataForward, security.IsExtendedMarketHours, TimeSpan.Zero),
SecurityInitializer,
QuantConnect.Time.OneDay,
new List <Symbol> {
security.Symbol
}
);
UniverseManager.Add(universeSymbol, universe);
}
var userDefinedUniverse = universe as UserDefinedUniverse;
if (userDefinedUniverse != null)
{
userDefinedUniverse.Add(security.Symbol);
}
else
{
// should never happen, someone would need to add a non-user defined universe with this symbol
throw new Exception("Expected universe with symbol '" + universeSymbol.Value + "' to be of type UserDefinedUniverse.");
}
}
/// <summary>
/// Adds the security to the user defined universe
/// </summary>
/// <param name="security">The security to add</param>
/// <param name="configurations">The <see cref="SubscriptionDataConfig"/> instances we want to add</param>
private Security AddToUserDefinedUniverse(
Security security,
List <SubscriptionDataConfig> configurations)
{
var subscription = configurations.First();
// if we are adding a non-internal security which already has an internal feed, we remove it first
if (Securities.TryGetValue(security.Symbol, out var existingSecurity))
{
if (!subscription.IsInternalFeed && existingSecurity.IsInternalFeed())
{
var securityUniverse = UniverseManager.Select(x => x.Value).OfType <UserDefinedUniverse>().FirstOrDefault(x => x.Members.ContainsKey(security.Symbol));
securityUniverse?.Remove(security.Symbol);
Securities.Remove(security.Symbol);
Securities.Add(security);
}
else
{
var isTradable = security.IsTradable;
// We will reuse existing so we return it to the user.
// We will use the IsTradable flag of the new security, since existing could of been set to false when removed
security = existingSecurity;
security.IsTradable = isTradable;
}
}
else
{
Securities.Add(security);
}
// add this security to the user defined universe
Universe universe;
var universeSymbol = UserDefinedUniverse.CreateSymbol(security.Type, security.Symbol.ID.Market);
lock (_pendingUniverseAdditionsLock)
{
if (!UniverseManager.TryGetValue(universeSymbol, out universe))
{
universe = _pendingUniverseAdditions.FirstOrDefault(x => x.Configuration.Symbol == universeSymbol);
if (universe == null)
{
// create a new universe, these subscription settings don't currently get used
// since universe selection proper is never invoked on this type of universe
var uconfig = new SubscriptionDataConfig(subscription, symbol: universeSymbol, isInternalFeed: true, fillForward: false,
exchangeTimeZone: DateTimeZone.Utc,
dataTimeZone: DateTimeZone.Utc);
// this is the universe symbol, has no real entry in the mhdb, will default to market and security type
// set entry in market hours database for the universe subscription to match the config
var symbolString = MarketHoursDatabase.GetDatabaseSymbolKey(uconfig.Symbol);
MarketHoursDatabase.SetEntry(uconfig.Market, symbolString, uconfig.SecurityType,
SecurityExchangeHours.AlwaysOpen(uconfig.ExchangeTimeZone), uconfig.DataTimeZone);
universe = new UserDefinedUniverse(uconfig,
new UniverseSettings(
subscription.Resolution,
security.Leverage,
subscription.FillDataForward,
subscription.ExtendedMarketHours,
TimeSpan.Zero),
QuantConnect.Time.MaxTimeSpan,
new List <Symbol>());
AddUniverse(universe);
}
}
}
var userDefinedUniverse = universe as UserDefinedUniverse;
if (userDefinedUniverse != null)
{
lock (_pendingUniverseAdditionsLock)
{
_pendingUserDefinedUniverseSecurityAdditions.Add(
new UserDefinedUniverseAddition(userDefinedUniverse, configurations, security));
}
}
else
{
// should never happen, someone would need to add a non-user defined universe with this symbol
throw new Exception($"Expected universe with symbol '{universeSymbol.Value}' to be of type {nameof(UserDefinedUniverse)} but was {universe.GetType().Name}.");
}
return(security);
}