/// <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 void OnSecuritiesChanged(QCAlgorithmFramework algorithm, SecurityChanges changes)
{
foreach (var added in changes.AddedSecurities)
{
SymbolData symbolData;
if (!_symbolDataBySymbol.TryGetValue(added.Symbol, out symbolData))
{
// create fast/slow EMAs
var fast = algorithm.EMA(added.Symbol, _fastPeriod);
var slow = algorithm.EMA(added.Symbol, _slowPeriod);
_symbolDataBySymbol[added.Symbol] = new SymbolData
{
Security = added,
Fast = fast,
Slow = slow
};
}
else
{
// a security that was already initialized was re-added, reset the indicators
symbolData.Fast.Reset();
symbolData.Slow.Reset();
}
}
}
