/******************************************************** * CLASS CONSTRUCTOR *********************************************************/ /// <summary> /// Initialise security portfolio manager. /// </summary> public SecurityPortfolioManager(SecurityManager securityManager, SecurityTransactionManager transactions) { Securities = securityManager; Transactions = transactions; CashBook = new CashBook(); _baseCurrencyCash = CashBook[CashBook.BaseCurrency]; }
/******************************************************** * CLASS CONSTRUCTOR *********************************************************/ /// <summary> /// Initialise security portfolio manager. /// </summary> public SecurityPortfolioManager(SecurityManager securityManager, SecurityTransactionManager transactions) { Securities = securityManager; Transactions = transactions; MarginCallModel = new MarginCallModel(this); CashBook = new CashBook(); _baseCurrencyCash = CashBook[CashBook.AccountCurrency]; }
/// <summary> /// Creates a new instance of the SecurityService class /// </summary> public SecurityService(CashBook cashBook, MarketHoursDatabase marketHoursDatabase, SymbolPropertiesDatabase symbolPropertiesDatabase, ISecurityInitializerProvider securityInitializerProvider) { _cashBook = cashBook; _marketHoursDatabase = marketHoursDatabase; _symbolPropertiesDatabase = symbolPropertiesDatabase; _securityInitializerProvider = securityInitializerProvider; }
/// <summary> /// Initialise security portfolio manager. /// </summary> public SecurityPortfolioManager(SecurityManager securityManager, SecurityTransactionManager transactions) { Securities = securityManager; Transactions = transactions; MarginCallModel = new MarginCallModel(this); CashBook = new CashBook(); _baseCurrencyCash = CashBook[CashBook.AccountCurrency]; // default to $100,000.00 _baseCurrencyCash.Quantity = 100000; }
/// <summary> /// Creates a new instance of the SecurityService class /// </summary> public SecurityService(CashBook cashBook, MarketHoursDatabase marketHoursDatabase, SymbolPropertiesDatabase symbolPropertiesDatabase, ISecurityInitializerProvider securityInitializerProvider, IRegisteredSecurityDataTypesProvider registeredTypes) { _cashBook = cashBook; _registeredTypes = registeredTypes; _marketHoursDatabase = marketHoursDatabase; _symbolPropertiesDatabase = symbolPropertiesDatabase; _securityInitializerProvider = securityInitializerProvider; }
/// <summary> /// Set the cash for the specified symbol /// </summary> /// <param name="symbol">The cash symbol to set</param> /// <param name="cash">Decimal cash value of portfolio</param> /// <param name="conversionRate">The current conversion rate for the</param> public void SetCash(string symbol, decimal cash, decimal conversionRate) { Cash item; if (CashBook.TryGetValue(symbol, out item)) { item.Quantity = cash; item.ConversionRate = conversionRate; } else { CashBook.Add(symbol, cash, conversionRate); } }
/// <summary> /// Set the cash for the specified symbol /// </summary> /// <param name="symbol">The cash symbol to set</param> /// <param name="cash">Decimal cash value of portfolio</param> /// <param name="conversionRate">The current conversion rate for the</param> public void SetCash(string symbol, decimal cash, decimal conversionRate) { _setCashWasCalled = true; Cash item; if (CashBook.TryGetValue(symbol, out item)) { item.SetAmount(cash); item.ConversionRate = conversionRate; } else { CashBook.Add(symbol, cash, conversionRate); } }
/// <summary> /// Initialise security portfolio manager. /// </summary> public SecurityPortfolioManager(SecurityManager securityManager, SecurityTransactionManager transactions, IOrderProperties defaultOrderProperties = null) { Securities = securityManager; Transactions = transactions; MarginCallModel = new DefaultMarginCallModel(this, defaultOrderProperties); CashBook = new CashBook(); UnsettledCashBook = new CashBook(); _unsettledCashAmounts = new List <UnsettledCashAmount>(); _baseCurrencyCash = CashBook[CashBook.AccountCurrency]; _baseCurrencyUnsettledCash = UnsettledCashBook[CashBook.AccountCurrency]; // default to $100,000.00 _baseCurrencyCash.SetAmount(100000); }
/// <summary> /// Creates a new instance of the SecurityService class /// </summary> public SecurityService(CashBook cashBook, MarketHoursDatabase marketHoursDatabase, SymbolPropertiesDatabase symbolPropertiesDatabase, ISecurityInitializerProvider securityInitializerProvider, IRegisteredSecurityDataTypesProvider registeredTypes, SecurityCacheProvider cacheProvider, IPrimaryExchangeProvider primaryExchangeProvider = null) { _cashBook = cashBook; _registeredTypes = registeredTypes; _marketHoursDatabase = marketHoursDatabase; _symbolPropertiesDatabase = symbolPropertiesDatabase; _securityInitializerProvider = securityInitializerProvider; _cacheProvider = cacheProvider; _primaryExchangeProvider = primaryExchangeProvider; }
/// <summary> /// Ensures that we have a data feed to convert this currency into the base currency. /// This will add a subscription at the lowest resolution if one is not found. /// </summary> /// <param name="securities">The security manager</param> /// <param name="subscriptions">The subscription manager used for searching and adding subscriptions</param> /// <param name="marketHoursDatabase">A security exchange hours provider instance used to resolve exchange hours for new subscriptions</param> /// <param name="symbolPropertiesDatabase">A symbol properties database instance</param> /// <param name="marketMap">The market map that decides which market the new security should be in</param> /// <param name="cashBook">The cash book - used for resolving quote currencies for created conversion securities</param> /// <returns>Returns the added currency security if needed, otherwise null</returns> public Security EnsureCurrencyDataFeed(SecurityManager securities, SubscriptionManager subscriptions, MarketHoursDatabase marketHoursDatabase, SymbolPropertiesDatabase symbolPropertiesDatabase, IReadOnlyDictionary <SecurityType, string> marketMap, CashBook cashBook) { if (Symbol == CashBook.AccountCurrency) { SecuritySymbol = QuantConnect.Symbol.Empty; _isBaseCurrency = true; ConversionRate = 1.0m; return(null); } if (subscriptions.Count == 0) { throw new InvalidOperationException("Unable to add cash when no subscriptions are present. Please add subscriptions in the Initialize() method."); } // we require a subscription that converts this into the base currency string normal = Symbol + CashBook.AccountCurrency; string invert = CashBook.AccountCurrency + Symbol; foreach (var config in subscriptions.Subscriptions.Where(config => config.SecurityType == SecurityType.Forex || config.SecurityType == SecurityType.Cfd)) { if (config.Symbol.Value == normal) { SecuritySymbol = config.Symbol; return(null); } if (config.Symbol.Value == invert) { SecuritySymbol = config.Symbol; _invertRealTimePrice = true; return(null); } } // if we've made it here we didn't find a subscription, so we'll need to add one var currencyPairs = Currencies.CurrencyPairs.Select(x => { // allow XAU or XAG to be used as quote currencies, but pairs including them are CFDs var securityType = Symbol.StartsWith("X") ? SecurityType.Cfd : SecurityType.Forex; var market = marketMap[securityType]; return(QuantConnect.Symbol.Create(x, securityType, market)); }); var minimumResolution = subscriptions.Subscriptions.Select(x => x.Resolution).DefaultIfEmpty(Resolution.Minute).Min(); var objectType = minimumResolution == Resolution.Tick ? typeof(Tick) : typeof(TradeBar); foreach (var symbol in currencyPairs) { if (symbol.Value == normal || symbol.Value == invert) { _invertRealTimePrice = symbol.Value == invert; var securityType = symbol.ID.SecurityType; var symbolProperties = symbolPropertiesDatabase.GetSymbolProperties(symbol.ID.Market, symbol.Value, securityType, Symbol); Cash quoteCash; if (!cashBook.TryGetValue(symbolProperties.QuoteCurrency, out quoteCash)) { throw new Exception("Unable to resolve quote cash: " + symbolProperties.QuoteCurrency + ". This is required to add conversion feed: " + symbol.ToString()); } var marketHoursDbEntry = marketHoursDatabase.GetEntry(symbol.ID.Market, symbol.Value, symbol.ID.SecurityType); var exchangeHours = marketHoursDbEntry.ExchangeHours; // set this as an internal feed so that the data doesn't get sent into the algorithm's OnData events var config = subscriptions.Add(objectType, symbol, minimumResolution, marketHoursDbEntry.DataTimeZone, exchangeHours.TimeZone, false, true, false, true); SecuritySymbol = config.Symbol; Security security; if (securityType == SecurityType.Cfd) { security = new Cfd.Cfd(exchangeHours, quoteCash, config, symbolProperties); } else { security = new Forex.Forex(exchangeHours, quoteCash, config, symbolProperties); } securities.Add(config.Symbol, security); Log.Trace("Cash.EnsureCurrencyDataFeed(): Adding " + symbol.Value + " for cash " + Symbol + " currency feed"); return(security); } } // if this still hasn't been set then it's an error condition throw new ArgumentException(string.Format("In order to maintain cash in {0} you are required to add a subscription for Forex pair {0}{1} or {1}{0}", Symbol, CashBook.AccountCurrency)); }
/// <summary> /// Ensures that we have a data feed to convert this currency into the base currency. /// This will add a subscription at the lowest resolution if one is not found. /// </summary> /// <param name="securities">The security manager</param> /// <param name="subscriptions">The subscription manager used for searching and adding subscriptions</param> /// <param name="marketHoursDatabase">A security exchange hours provider instance used to resolve exchange hours for new subscriptions</param> /// <param name="symbolPropertiesDatabase">A symbol properties database instance</param> /// <param name="marketMap">The market map that decides which market the new security should be in</param> /// <param name="cashBook">The cash book - used for resolving quote currencies for created conversion securities</param> /// <param name="changes"></param> /// <returns>Returns the added currency security if needed, otherwise null</returns> public Security EnsureCurrencyDataFeed(SecurityManager securities, SubscriptionManager subscriptions, MarketHoursDatabase marketHoursDatabase, SymbolPropertiesDatabase symbolPropertiesDatabase, IReadOnlyDictionary <SecurityType, string> marketMap, CashBook cashBook, SecurityChanges changes ) { // this gets called every time we add securities using universe selection, // so must of the time we've already resolved the value and don't need to again if (ConversionRateSecurity != null) { return(null); } if (Symbol == CashBook.AccountCurrency) { ConversionRateSecurity = null; _isBaseCurrency = true; ConversionRate = 1.0m; return(null); } // we require a security that converts this into the base currency string normal = Symbol + CashBook.AccountCurrency; string invert = CashBook.AccountCurrency + Symbol; var securitiesToSearch = securities.Select(kvp => kvp.Value) .Concat(changes.AddedSecurities) .Where(s => s.Type == SecurityType.Forex || s.Type == SecurityType.Cfd || s.Type == SecurityType.Crypto); foreach (var security in securitiesToSearch) { if (security.Symbol.Value == normal) { ConversionRateSecurity = security; return(null); } if (security.Symbol.Value == invert) { ConversionRateSecurity = security; _invertRealTimePrice = true; return(null); } } // if we've made it here we didn't find a security, so we'll need to add one // Create a SecurityType to Market mapping with the markets from SecurityManager members var markets = securities.Select(x => x.Key).GroupBy(x => x.SecurityType).ToDictionary(x => x.Key, y => y.First().ID.Market); if (markets.ContainsKey(SecurityType.Cfd) && !markets.ContainsKey(SecurityType.Forex)) { markets.Add(SecurityType.Forex, markets[SecurityType.Cfd]); } if (markets.ContainsKey(SecurityType.Forex) && !markets.ContainsKey(SecurityType.Cfd)) { markets.Add(SecurityType.Cfd, markets[SecurityType.Forex]); } var potentials = Currencies.CurrencyPairs.Select(fx => CreateSymbol(marketMap, fx, markets, SecurityType.Forex)) .Concat(Currencies.CfdCurrencyPairs.Select(cfd => CreateSymbol(marketMap, cfd, markets, SecurityType.Cfd))) .Concat(Currencies.CryptoCurrencyPairs.Select(crypto => CreateSymbol(marketMap, crypto, markets, SecurityType.Crypto))); var minimumResolution = subscriptions.Subscriptions.Select(x => x.Resolution).DefaultIfEmpty(Resolution.Minute).Min(); var objectType = minimumResolution == Resolution.Tick ? typeof(Tick) : typeof(QuoteBar); foreach (var symbol in potentials) { if (symbol.Value == normal || symbol.Value == invert) { _invertRealTimePrice = symbol.Value == invert; var securityType = symbol.ID.SecurityType; var symbolProperties = symbolPropertiesDatabase.GetSymbolProperties(symbol.ID.Market, symbol.Value, securityType, Symbol); Cash quoteCash; if (!cashBook.TryGetValue(symbolProperties.QuoteCurrency, out quoteCash)) { throw new Exception("Unable to resolve quote cash: " + symbolProperties.QuoteCurrency + ". This is required to add conversion feed: " + symbol.Value); } var marketHoursDbEntry = marketHoursDatabase.GetEntry(symbol.ID.Market, symbol.Value, symbol.ID.SecurityType); var exchangeHours = marketHoursDbEntry.ExchangeHours; // set this as an internal feed so that the data doesn't get sent into the algorithm's OnData events var config = subscriptions.Add(objectType, TickType.Quote, symbol, minimumResolution, marketHoursDbEntry.DataTimeZone, exchangeHours.TimeZone, false, true, false, true); Security security; if (securityType == SecurityType.Cfd) { security = new Cfd.Cfd(exchangeHours, quoteCash, config, symbolProperties); } else if (securityType == SecurityType.Crypto) { security = new Crypto.Crypto(exchangeHours, quoteCash, config, symbolProperties); } else { security = new Forex.Forex(exchangeHours, quoteCash, config, symbolProperties); } ConversionRateSecurity = security; securities.Add(config.Symbol, security); Log.Trace("Cash.EnsureCurrencyDataFeed(): Adding " + symbol.Value + " for cash " + Symbol + " currency feed"); return(security); } } // if this still hasn't been set then it's an error condition throw new ArgumentException(string.Format("In order to maintain cash in {0} you are required to add a subscription for Forex pair {0}{1} or {1}{0}", Symbol, CashBook.AccountCurrency)); }