/// <summary>
/// Gets the subscription requests to be added for the specified security
/// </summary>
/// <param name="security">The security to get subscriptions for</param>
/// <param name="currentTimeUtc">The current time in utc. This is the frontier time of the algorithm</param>
/// <param name="maximumEndTimeUtc">The max end time</param>
/// <param name="subscriptionService">Instance which implements <see cref="ISubscriptionDataConfigService"/> interface</param>
/// <returns>All subscriptions required by this security</returns>
public override IEnumerable <SubscriptionRequest> GetSubscriptionRequests(Security security,
DateTime currentTimeUtc,
DateTime maximumEndTimeUtc,
ISubscriptionDataConfigService subscriptionService)
{
return(Universe.GetSubscriptionRequests(security, currentTimeUtc, maximumEndTimeUtc, subscriptionService));
}
/// <summary>
/// Gets the subscription requests to be added for the specified security
/// </summary>
/// <param name="security">The security to get subscriptions for</param>
/// <param name="currentTimeUtc">The current time in utc. This is the frontier time of the algorithm</param>
/// <param name="maximumEndTimeUtc">The max end time</param>
/// <param name="subscriptionService">Instance which implements <see cref="ISubscriptionDataConfigService"/> interface</param>
/// <returns>All subscriptions required by this security</returns>
public override IEnumerable<SubscriptionRequest> GetSubscriptionRequests(Security security,
DateTime currentTimeUtc,
DateTime maximumEndTimeUtc,
ISubscriptionDataConfigService subscriptionService)
{
var result = _subscriptionDataConfigs.Where(x => x.Symbol == security.Symbol).ToList();
if (!result.Any())
{
result = _pendingRemovedConfigs.Where(x => x.Symbol == security.Symbol).ToList();
if (result.Any())
{
_pendingRemovedConfigs.RemoveWhere(x => x.Symbol == security.Symbol);
}
else
{
result = base.GetSubscriptionRequests(security, currentTimeUtc, maximumEndTimeUtc, subscriptionService).Select(x => x.Configuration).ToList();
// we create subscription data configs ourselves, add the configs
_subscriptionDataConfigs.UnionWith(result);
}
}
return result.Select(config => new SubscriptionRequest(isUniverseSubscription: false,
universe: this,
security: security,
configuration: config,
startTimeUtc: currentTimeUtc,
endTimeUtc: maximumEndTimeUtc));
}
/// <summary>
/// Gets the subscription requests to be added for the specified security
/// </summary>
/// <param name="security">The security to get subscriptions for</param>
/// <param name="currentTimeUtc">The current time in utc. This is the frontier time of the algorithm</param>
/// <param name="maximumEndTimeUtc">The max end time</param>
/// <param name="subscriptionService">Instance which implements <see cref="ISubscriptionDataConfigService"/> interface</param>
/// <returns>All subscriptions required by this security</returns>
public override IEnumerable <SubscriptionRequest> GetSubscriptionRequests(Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc,
ISubscriptionDataConfigService subscriptionService)
{
if (Future.Symbol.Underlying == security.Symbol)
{
Future.Underlying = security;
}
return(base.GetSubscriptionRequests(security, currentTimeUtc, maximumEndTimeUtc, subscriptionService));
}
/// <summary>
/// Gets the subscription requests to be added for the specified security
/// </summary>
/// <param name="security">The security to get subscriptions for</param>
/// <param name="currentTimeUtc">The current time in utc. This is the frontier time of the algorithm</param>
/// <param name="maximumEndTimeUtc">The max end time</param>
/// <param name="subscriptionService">Instance which implements <see cref="ISubscriptionDataConfigService"/> interface</param>
/// <returns>All subscriptions required by this security</returns>
public override IEnumerable <SubscriptionRequest> GetSubscriptionRequests(Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc,
ISubscriptionDataConfigService subscriptionService)
{
return(security.Subscriptions.Select(config =>
new SubscriptionRequest(
isUniverseSubscription: false,
universe: this,
security: security,
configuration: new SubscriptionDataConfig(config, isInternalFeed: false),
startTimeUtc: currentTimeUtc,
endTimeUtc: maximumEndTimeUtc
)
));
}
/// <summary>
/// Creates the canonical <see cref="Future"/> chain security for a given symbol
/// </summary>
/// <param name="subscriptionDataConfigService">The service used to create new <see cref="SubscriptionDataConfig"/></param>
/// <param name="symbol">Symbol of the future</param>
/// <param name="settings">Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed</param>
/// <param name="securityManager">Used to create new <see cref="Security"/></param>
/// <returns><see cref="Future"/> for the given symbol</returns>
protected virtual Future CreateFutureChainSecurity(
ISubscriptionDataConfigService subscriptionDataConfigService,
Symbol symbol,
UniverseSettings settings,
SecurityManager securityManager)
{
var config = subscriptionDataConfigService.Add(
typeof(ZipEntryName),
symbol,
settings.Resolution,
settings.FillForward,
settings.ExtendedMarketHours,
isFilteredSubscription: false);
return((Future)securityManager.CreateSecurity(symbol, config, settings.Leverage, false));
}
/// <summary>
/// Gets the subscription requests to be added for the specified security
/// </summary>
/// <param name="security">The security to get subscriptions for</param>
/// <param name="currentTimeUtc">The current time in utc. This is the frontier time of the algorithm</param>
/// <param name="maximumEndTimeUtc">The max end time</param>
/// <param name="subscriptionService">Instance which implements <see cref="ISubscriptionDataConfigService"/> interface</param>
/// <returns>All subscriptions required by this security</returns>
public override IEnumerable <SubscriptionRequest> GetSubscriptionRequests(Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc,
ISubscriptionDataConfigService subscriptionService)
{
using (Py.GIL())
{
var subscriptionRequests = _universe.GetSubscriptionRequests(security, currentTimeUtc, maximumEndTimeUtc, subscriptionService) as PyObject;
var iterator = subscriptionRequests.GetIterator();
foreach (PyObject request in iterator)
{
var subscriptionRequest = request.GetAndDispose <SubscriptionRequest>();
yield return(new SubscriptionRequest(subscriptionRequest, universe: this));
}
iterator.Dispose();
subscriptionRequests.Dispose();
}
}
/// <summary>
/// Gets the subscription requests to be added for the specified security
/// </summary>
/// <param name="security">The security to get subscriptions for</param>
/// <param name="currentTimeUtc">The current time in utc. This is the frontier time of the algorithm</param>
/// <param name="maximumEndTimeUtc">The max end time</param>
/// <param name="subscriptionService">Instance which implements <see cref="ISubscriptionDataConfigService"/> interface</param>
/// <returns>All subscriptions required by this security</returns>
public override IEnumerable <SubscriptionRequest> GetSubscriptionRequests(Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc,
ISubscriptionDataConfigService subscriptionService)
{
var result = subscriptionService.Add(security.Symbol, UniverseSettings.Resolution,
UniverseSettings.FillForward,
UniverseSettings.ExtendedMarketHours,
// force raw data normalization mode for underlying
dataNormalizationMode: DataNormalizationMode.Raw);
return(result.Select(config => new SubscriptionRequest(isUniverseSubscription: false,
universe: this,
security: security,
configuration: config,
startTimeUtc: currentTimeUtc,
endTimeUtc: maximumEndTimeUtc)));
}
/// <summary>
/// Gets the subscription requests to be added for the specified security
/// </summary>
/// <param name="security">The security to get subscriptions for</param>
/// <param name="currentTimeUtc">The current time in utc. This is the frontier time of the algorithm</param>
/// <param name="maximumEndTimeUtc">The max end time</param>
/// <param name="subscriptionService">Instance which implements <see cref="ISubscriptionDataConfigService"/> interface</param>
/// <returns>All subscriptions required by this security</returns>
public override IEnumerable <SubscriptionRequest> GetSubscriptionRequests(Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc,
ISubscriptionDataConfigService subscriptionService)
{
if (Future.Symbol.Underlying == security.Symbol)
{
Future.Underlying = security;
}
else
{
// set the underlying security and pricing model from the canonical security
var future = (Future)security;
future.Underlying = Future.Underlying;
}
return(base.GetSubscriptionRequests(security, currentTimeUtc, maximumEndTimeUtc, subscriptionService));
}
/// <summary>
/// Gets the subscription requests to be added for the specified security
/// </summary>
/// <param name="security">The security to get subscriptions for</param>
/// <param name="currentTimeUtc">The current time in utc. This is the frontier time of the algorithm</param>
/// <param name="maximumEndTimeUtc">The max end time</param>
/// <param name="subscriptionService">Instance which implements <see cref="ISubscriptionDataConfigService"/> interface</param>
/// <returns>All subscriptions required by this security</returns>
public override IEnumerable <SubscriptionRequest> GetSubscriptionRequests(Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc,
ISubscriptionDataConfigService subscriptionService)
{
if (Option.Symbol.Underlying == security.Symbol)
{
Option.Underlying = security;
security.SetDataNormalizationMode(DataNormalizationMode.Raw);
}
else
{
// set the underlying security and pricing model from the canonical security
var option = (Option)security;
option.PriceModel = Option.PriceModel;
}
return(base.GetSubscriptionRequests(security, currentTimeUtc, maximumEndTimeUtc, subscriptionService));
}
/// <summary>
/// Gets the subscription requests to be added for the specified security
/// </summary>
/// <param name="security">The security to get subscriptions for</param>
/// <param name="currentTimeUtc">The current time in utc. This is the frontier time of the algorithm</param>
/// <param name="maximumEndTimeUtc">The max end time</param>
/// <param name="subscriptionService">Instance which implements <see cref="ISubscriptionDataConfigService"/> interface</param>
/// <returns>All subscriptions required by this security</returns>
public virtual IEnumerable <SubscriptionRequest> GetSubscriptionRequests(Security security,
DateTime currentTimeUtc,
DateTime maximumEndTimeUtc,
ISubscriptionDataConfigService subscriptionService)
{
var result = subscriptionService.Add(security.Symbol,
UniverseSettings.Resolution,
UniverseSettings.FillForward,
UniverseSettings.ExtendedMarketHours);
return(result.Select(config => new SubscriptionRequest(isUniverseSubscription: false,
universe: this,
security: security,
configuration: config,
startTimeUtc: currentTimeUtc,
endTimeUtc: maximumEndTimeUtc)));
}
/// <summary>
/// Gets the subscription requests to be added for the specified security
/// </summary>
/// <param name="security">The security to get subscriptions for</param>
/// <param name="currentTimeUtc">The current time in utc. This is the frontier time of the algorithm</param>
/// <param name="maximumEndTimeUtc">The max end time</param>
/// <param name="subscriptionService">Instance which implements <see cref="ISubscriptionDataConfigService"/> interface</param>
/// <returns>All subscriptions required by this security</returns>
public override IEnumerable <SubscriptionRequest> GetSubscriptionRequests(Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc,
ISubscriptionDataConfigService subscriptionService)
{
// CustomUniverse will return any existing SDC for the symbol, else will create new, using universe settings.
var existingSubscriptionDataConfigs = subscriptionService.GetSubscriptionDataConfigs(security.Symbol);
if (existingSubscriptionDataConfigs.Any())
{
return(existingSubscriptionDataConfigs.Select(
config => new SubscriptionRequest(isUniverseSubscription: false,
universe: this,
security: security,
configuration: config,
startTimeUtc: currentTimeUtc,
endTimeUtc: maximumEndTimeUtc)));
}
return(base.GetSubscriptionRequests(security, currentTimeUtc, maximumEndTimeUtc, subscriptionService));
}
/// <summary>
/// Gets the subscription requests to be added for the specified security
/// </summary>
/// <param name="security">The security to get subscriptions for</param>
/// <param name="currentTimeUtc">The current time in utc. This is the frontier time of the algorithm</param>
/// <param name="maximumEndTimeUtc">The max end time</param>
/// <param name="subscriptionService">Instance which implements <see cref="ISubscriptionDataConfigService"/> interface</param>
/// <returns>All subscriptions required by this security</returns>
public virtual IEnumerable <SubscriptionRequest> GetSubscriptionRequests(Security security,
DateTime currentTimeUtc,
DateTime maximumEndTimeUtc,
ISubscriptionDataConfigService subscriptionService)
{
var result = subscriptionService.Add(security.Symbol,
UniverseSettings.Resolution,
UniverseSettings.FillForward,
UniverseSettings.ExtendedMarketHours,
dataNormalizationMode: UniverseSettings.DataNormalizationMode,
subscriptionDataTypes: UniverseSettings.SubscriptionDataTypes,
dataMappingMode: UniverseSettings.DataMappingMode,
contractDepthOffset: (uint)Math.Abs(UniverseSettings.ContractDepthOffset));
return(result.Select(config => new SubscriptionRequest(isUniverseSubscription: false,
universe: this,
security: security,
configuration: config,
startTimeUtc: currentTimeUtc,
endTimeUtc: maximumEndTimeUtc)));
}
/// <summary>
/// Gets the subscription requests to be added for the specified security
/// </summary>
/// <param name="security">The security to get subscriptions for</param>
/// <param name="currentTimeUtc">The current time in utc. This is the frontier time of the algorithm</param>
/// <param name="maximumEndTimeUtc">The max end time</param>
/// <param name="subscriptionService">Instance which implements <see cref="ISubscriptionDataConfigService"/> interface</param>
/// <returns>All subscriptions required by this security</returns>
public override IEnumerable <SubscriptionRequest> GetSubscriptionRequests(Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc,
ISubscriptionDataConfigService subscriptionService)
{
// ManualUniverse will return any existing SDC for the symbol, else will create new, using universe settings.
// This is for maintaining existing behavior and preventing breaking changes: Specifically motivated
// by usages of Algorithm.Securities.Keys as constructor parameter of the ManualUniverseSelectionModel.
// Symbols at Algorithm.Securities.Keys added by Addxxx() calls will already be added by the UserDefinedUniverse.
var existingSubscriptionDataConfigs = subscriptionService.GetSubscriptionDataConfigs(security.Symbol);
if (existingSubscriptionDataConfigs.Any())
{
return(existingSubscriptionDataConfigs.Select(
config => new SubscriptionRequest(isUniverseSubscription: false,
universe: this,
security: security,
configuration: config,
startTimeUtc: currentTimeUtc,
endTimeUtc: maximumEndTimeUtc)));
}
return(base.GetSubscriptionRequests(security, currentTimeUtc, maximumEndTimeUtc, subscriptionService));
}
/// <summary>
/// Gets the subscription requests to be added for the specified security
/// </summary>
/// <param name="security">The security to get subscriptions for</param>
/// <param name="currentTimeUtc">The current time in utc. This is the frontier time of the algorithm</param>
/// <param name="maximumEndTimeUtc">The max end time</param>
/// <param name="subscriptionService">Instance which implements <see cref="ISubscriptionDataConfigService"/> interface</param>
/// <returns>All subscriptions required by this security</returns>
public override IEnumerable <SubscriptionRequest> GetSubscriptionRequests(Security security,
DateTime currentTimeUtc,
DateTime maximumEndTimeUtc,
ISubscriptionDataConfigService subscriptionService)
{
var isInternal = !security.Symbol.IsCanonical();
var result = subscriptionService.Add(security.Symbol,
UniverseSettings.Resolution,
UniverseSettings.FillForward,
UniverseSettings.ExtendedMarketHours,
dataNormalizationMode: UniverseSettings.DataNormalizationMode,
subscriptionDataTypes: UniverseSettings.SubscriptionDataTypes,
dataMappingMode: UniverseSettings.DataMappingMode,
contractDepthOffset: (uint)Math.Abs(UniverseSettings.ContractDepthOffset),
isInternalFeed: isInternal);
return(result.Select(config => new SubscriptionRequest(isUniverseSubscription: false,
universe: this,
security: security,
configuration: new SubscriptionDataConfig(config, isInternalFeed: config.IsInternalFeed || config.TickType == TickType.OpenInterest),
startTimeUtc: currentTimeUtc,
endTimeUtc: maximumEndTimeUtc)));
}
/// <summary>
/// Gets the subscription requests to be added for the specified security
/// </summary>
/// <param name="security">The security to get subscriptions for</param>
/// <param name="currentTimeUtc">The current time in utc. This is the frontier time of the algorithm</param>
/// <param name="maximumEndTimeUtc">The max end time</param>
/// <param name="subscriptionService">Instance which implements <see cref="ISubscriptionDataConfigService"/> interface</param>
/// <returns>All subscriptions required by this security</returns>
public override IEnumerable <SubscriptionRequest> GetSubscriptionRequests(Security security,
DateTime currentTimeUtc,
DateTime maximumEndTimeUtc,
ISubscriptionDataConfigService subscriptionService)
{
var result = Universe.GetSubscriptionRequests(
security,
currentTimeUtc,
maximumEndTimeUtc,
subscriptionService).ToList();
for (var i = 0; i < result.Count; i++)
{
// This is required because the system tracks which universe
// is requesting to add or remove each SubscriptionRequest.
// UniverseDecorator is a special case because
// `this != UniverseDecorator.Universe`
result[i] =
new SubscriptionRequest(result[i], universe: this);
}
return(result);
}
public override IEnumerable <SubscriptionRequest> GetSubscriptionRequests(Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc,
ISubscriptionDataConfigService subscriptionService)
{
var config = subscriptionService.Add(
typeof(TiingoNews),
security.Symbol,
UniverseSettings.Resolution,
UniverseSettings.FillForward,
UniverseSettings.ExtendedMarketHours,
dataNormalizationMode: UniverseSettings.DataNormalizationMode);
return(new[] { new SubscriptionRequest(isUniverseSubscription: false,
universe: this,
security: security,
configuration: config,
startTimeUtc: currentTimeUtc,
endTimeUtc: maximumEndTimeUtc) });
}
