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); }