public void FromOrders(IEnumerable <Order> orders)
{
foreach (var symbol in orders.Select(x => x.Symbol).Distinct())
{
Resolution resolution;
switch (symbol.SecurityType)
{
case SecurityType.Option:
case SecurityType.Future:
resolution = Resolution.Minute;
break;
default:
resolution = Resolution.Daily;
break;
}
var configs = SubscriptionManager.SubscriptionDataConfigService.Add(symbol, resolution, false, false);
var security = Securities.CreateSecurity(symbol, configs, 0m);
if (symbol.SecurityType == SecurityType.Crypto)
{
security.BuyingPowerModel = new SecurityMarginModel();
}
// Set leverage to 10000 to account for unknown leverage values in user algorithms
security.SetLeverage(10000m);
var method = typeof(QCAlgorithm).GetMethod("AddToUserDefinedUniverse", BindingFlags.NonPublic | BindingFlags.Instance);
method.Invoke(this, new object[] { security, configs });
}
}
public void FromOrders(IEnumerable <Order> orders)
{
foreach (var symbol in orders.Select(x => x.Symbol).Distinct())
{
var configs = SubscriptionManager.SubscriptionDataConfigService.Add(symbol, Resolution.Daily, false, false);
var security = Securities.CreateSecurity(symbol, configs, 10000m);
var method = typeof(QCAlgorithm).GetMethod("AddToUserDefinedUniverse", BindingFlags.NonPublic | BindingFlags.Instance);
method.Invoke(this, new object[] { security, configs });
}
}
/// <summary>
/// Get all fundamental data for given symbols
/// </summary>
/// <param name="symbols">The symbols to retrieve fundamental data for</param>
/// <param name="start">The start date of selected data</param>
/// <param name="end">The end date of selected data</param>
/// <returns>DataDictionary of Enumerable IBaseData</returns>
private Dictionary <DateTime, DataDictionary <dynamic> > GetAllFundamental(IEnumerable <Symbol> symbols, string selector, DateTime?start = null, DateTime?end = null)
{
//SubscriptionRequest does not except nullable DateTimes, so set a startTime and endTime
var startTime = start.HasValue ? (DateTime)start : QuantConnect.Time.BeginningOfTime;
var endTime = end.HasValue ? (DateTime)end : DateTime.UtcNow.Date;
//Collection to store our results
var data = new Dictionary <DateTime, DataDictionary <dynamic> >();
//Build factory
var factory = new FineFundamentalSubscriptionEnumeratorFactory(false);
//Get all data for each symbol and fill our dictionary
var options = new ParallelOptions {
MaxDegreeOfParallelism = Environment.ProcessorCount
};
Parallel.ForEach(symbols, options, symbol =>
{
var config = new SubscriptionDataConfig(
typeof(FineFundamental),
symbol,
Resolution.Daily,
TimeZones.NewYork,
TimeZones.NewYork,
false,
false,
false
);
var security = Securities.CreateSecurity(symbol, config);
var request = new SubscriptionRequest(false, null, security, config, startTime.ConvertToUtc(TimeZones.NewYork), endTime.ConvertToUtc(TimeZones.NewYork));
using (var enumerator = factory.CreateEnumerator(request, _dataProvider))
{
while (enumerator.MoveNext())
{
var dataPoint = string.IsNullOrWhiteSpace(selector)
? enumerator.Current
: GetPropertyValue(enumerator.Current, selector);
lock (data)
{
if (!data.ContainsKey(enumerator.Current.Time))
{
data[enumerator.Current.Time] = new DataDictionary <dynamic>(enumerator.Current.Time);
}
data[enumerator.Current.Time].Add(enumerator.Current.Symbol, dataPoint);
}
}
}
});
return(data);
}
