/// <summary>
/// Cleans out old security data and initializes the RSI for any newly added securities.
/// This functional also seeds any new indicators using a history request.
/// </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)
{
// clean up data for removed securities
if (changes.RemovedSecurities.Count > 0)
{
var removed = changes.RemovedSecurities.ToHashSet(x => x.Symbol);
foreach (var subscription in algorithm.SubscriptionManager.Subscriptions)
{
if (removed.Contains(subscription.Symbol))
{
_symbolDataBySymbol.Remove(subscription.Symbol);
subscription.Consolidators.Clear();
}
}
}
// initialize data for added securities
var addedSymbols = new List <Symbol>();
foreach (var added in changes.AddedSecurities)
{
if (!_symbolDataBySymbol.ContainsKey(added.Symbol))
{
if (!added.Symbol.HasUnderlying)
{
//algorithm.Consolidate(added.Symbol, _resolution, HandleAction);
//var consolidator = algorithm.ResolveConsolidator(added.Symbol, _resolution);
//consolidator.DataConsolidated += Consolidator_DataConsolidated;
var symbolData = new SymbolData(added.Symbol, _period);
_symbolDataBySymbol[added.Symbol] = symbolData;
addedSymbols.Add(symbolData.Symbol);
var chart = new Chart(added.Symbol.Value + " - Options Contango");
chart.AddSeries(symbolData.FrontIVSeries);
chart.AddSeries(symbolData.BackIVSeries);
chart.AddSeries(symbolData.STDSeries);
algorithm.AddChart(chart);
}
}
}
if (addedSymbols.Count > 0)
{
// warmup our indicators by pushing history through the consolidators
/*
* algorithm.History(addedSymbols, _resolution.Multiply(_period))
* .PushThrough(data =>
* {
* SymbolData symbolData;
* if (_symbolDataBySymbol.TryGetValue(data.Symbol, out symbolData))
* {
* symbolData.RSI.Update(data.EndTime, data.Value);
* }
* });
*/
}
}
/// <summary>
/// Cleans out old security data and initializes the RSI for any newly added securities.
/// This functional also seeds any new indicators using a history request.
/// </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)
{
// clean up data for removed securities
if (changes.RemovedSecurities.Count > 0)
{
var removed = changes.RemovedSecurities.ToHashSet(x => x.Symbol);
foreach (var subscription in algorithm.SubscriptionManager.Subscriptions)
{
if (removed.Contains(subscription.Symbol))
{
_symbolDataBySymbol.Remove(subscription.Symbol);
subscription.Consolidators.Clear();
}
}
}
// initialize data for added securities
var addedSymbols = new List <Symbol>();
foreach (var added in changes.AddedSecurities)
{
if (!_symbolDataBySymbol.ContainsKey(added.Symbol))
{
if (!added.Symbol.HasUnderlying) //ignore derivatives
{
var symbolData = new SymbolData(algorithm, added.Symbol, _period, this.IsPercent);
_symbolDataBySymbol[added.Symbol] = symbolData;
addedSymbols.Add(symbolData.Symbol);
var chart = new Chart(added.Symbol.Value + " - " + typeof(T).Name);
chart.AddSeries(symbolData.IndicatorSeries);
chart.AddSeries(symbolData.IndicatorSeriesSTD);
algorithm.AddChart(chart);
}
}
}
if (addedSymbols.Count > 0)
{
// warmup our indicators by pushing history through the consolidators
algorithm.History(addedSymbols, _resolution.Multiply(_period))
.PushThrough(data =>
{
SymbolData symbolData;
if (_symbolDataBySymbol.TryGetValue(data.Symbol, out symbolData))
{
symbolData.Update((TradeBar)data);
}
});
}
}
/// <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)
{
foreach (var added in changes.AddedSecurities)
{
if (added.Symbol.HasUnderlying)
{
continue;
}
SymbolData symbolData;
if (!_symbolDataBySymbol.TryGetValue(added.Symbol, out symbolData))
{
// create fast/slow EMAs
var bb = algorithm.BB(added.Symbol, _period, _threshold);
symbolData = _symbolDataBySymbol[added.Symbol] = new SymbolData
{
Security = added,
BB = bb,
LastDirection = InsightDirection.Flat,
Price = new Series("Price", SeriesType.Line),
Upper = new Series("Upper", SeriesType.Line),
Middle = new Series("Middle", SeriesType.Line),
Lower = new Series("Lower", SeriesType.Line),
};
var chart = new Chart(added.Symbol.Value + " - Bollinger Bands");
chart.AddSeries(symbolData.Price);
chart.AddSeries(symbolData.Upper);
chart.AddSeries(symbolData.Middle);
chart.AddSeries(symbolData.Lower);
algorithm.AddChart(chart);
}
else
{
// a security that was already initialized was re-added, reset the indicators
symbolData.BB.Reset();
}
}
}
