/// <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)
{
// this model is limitted to looking at a single pair of assets
if (added.Symbol != _asset1 && added.Symbol != _asset2)
{
continue;
}
if (added.Symbol == _asset1)
{
_asset1Price = algorithm.Identity(added.Symbol);
}
else
{
_asset2Price = algorithm.Identity(added.Symbol);
}
}
if (_ratio == null)
{
// initialize indicators dependent on both assets
if (_asset1Price != null && _asset2Price != null)
{
_ratio = _asset1Price.Over(_asset2Price);
_mean = new ExponentialMovingAverage(500).Of(_ratio);
var upper = new ConstantIndicator <IndicatorDataPoint>("ct", 1 + _threshold / 100m);
_upperThreshold = _mean.Times(upper, "UpperThreshold");
var lower = new ConstantIndicator <IndicatorDataPoint>("ct", 1 - _threshold / 100m);
_lowerThreshold = _mean.Times(lower, "LowerThreshold");
}
}
}
