/// <summary>
/// Adds the specified security to this universe
/// </summary>
/// <param name="utcTime">The current utc date time</param>
/// <param name="security">The security to be added</param>
/// <returns>True if the security was successfully added,
/// false if the security was already in the universe</returns>
internal override bool AddMember(DateTime utcTime, Security security)
{
// never add members to disposed universes
if (DisposeRequested)
{
return(false);
}
if (Securities.ContainsKey(security.Symbol))
{
return(false);
}
// method take into account the case, when the option has experienced an adjustment
// we update member reference in this case
if (Securities.Any(x => x.Value.Security == security))
{
Member member;
Securities.TryRemove(security.Symbol, out member);
}
var added = Securities.TryAdd(security.Symbol, new Member(utcTime, security));
if (added && _liveMode)
{
_addTimesBySymbol[security.Symbol] = utcTime;
}
return(added);
}
/// <summary>
/// Adds the specified security to this universe
/// </summary>
/// <param name="utcTime">The current utc date time</param>
/// <param name="security">The security to be added</param>
/// <returns>True if the security was successfully added,
/// false if the security was already in the universe</returns>
internal override bool AddMember(DateTime utcTime, Security security)
{
if (Securities.ContainsKey(security.Symbol))
{
return(false);
}
// method take into account the case, when the option has experienced an adjustment
// we update member reference in this case
if (Securities.Any(x => x.Value.Security == security))
{
Member member;
Securities.TryRemove(security.Symbol, out member);
}
return(Securities.TryAdd(security.Symbol, new Member(utcTime, security)));
}
public void OnEndOfTimeStep()
{
if (_pendingUniverseAdditions.Count + _pendingUserDefinedUniverseSecurityAdditions.Count == 0)
{
// no point in looping through everything if there's no pending changes
return;
}
var requiredHistoryRequests = new Dictionary <Security, Resolution>();
// rewrite securities w/ derivatives to be in raw mode
lock (_pendingUniverseAdditionsLock)
{
foreach (var security in Securities.Select(kvp => kvp.Value).Union(
_pendingUserDefinedUniverseSecurityAdditions.Select(x => x.Security)))
{
// check for any derivative securities and mark the underlying as raw
if (Securities.Any(skvp => skvp.Key.SecurityType != SecurityType.Base && skvp.Key.HasUnderlyingSymbol(security.Symbol)))
{
// set data mode raw and default volatility model
ConfigureUnderlyingSecurity(security);
}
var configs = SubscriptionManager.SubscriptionDataConfigService
.GetSubscriptionDataConfigs(security.Symbol);
if (security.Symbol.HasUnderlying && security.Symbol.SecurityType != SecurityType.Base)
{
Security underlyingSecurity;
var underlyingSymbol = security.Symbol.Underlying;
var resolution = configs.GetHighestResolution();
// create the underlying security object if it doesn't already exist
if (!Securities.TryGetValue(underlyingSymbol, out underlyingSecurity))
{
underlyingSecurity = AddSecurity(underlyingSymbol.SecurityType,
underlyingSymbol.Value,
resolution,
underlyingSymbol.ID.Market,
false,
0,
configs.IsExtendedMarketHours());
}
// set data mode raw and default volatility model
ConfigureUnderlyingSecurity(underlyingSecurity);
if (LiveMode && underlyingSecurity.GetLastData() == null)
{
if (requiredHistoryRequests.ContainsKey(underlyingSecurity))
{
// lets request the higher resolution
var currentResolutionRequest = requiredHistoryRequests[underlyingSecurity];
if (currentResolutionRequest != Resolution.Minute && // Can not be less than Minute
resolution < currentResolutionRequest)
{
requiredHistoryRequests[underlyingSecurity] = (Resolution)Math.Max((int)resolution, (int)Resolution.Minute);
}
}
else
{
requiredHistoryRequests.Add(underlyingSecurity, (Resolution)Math.Max((int)resolution, (int)Resolution.Minute));
}
}
// set the underlying security on the derivative -- we do this in two places since it's possible
// to do AddOptionContract w/out the underlying already added and normalized properly
var derivative = security as IDerivativeSecurity;
if (derivative != null)
{
derivative.Underlying = underlyingSecurity;
}
}
}
if (!requiredHistoryRequests.IsNullOrEmpty())
{
// Create requests
var historyRequests = Enumerable.Empty <HistoryRequest>();
foreach (var byResolution in requiredHistoryRequests.GroupBy(x => x.Value))
{
historyRequests = historyRequests.Concat(
CreateBarCountHistoryRequests(byResolution.Select(x => x.Key.Symbol), 3, byResolution.Key));
}
// Request data
var historicLastData = History(historyRequests);
historicLastData.PushThrough(x =>
{
var security = requiredHistoryRequests.Keys.FirstOrDefault(y => y.Symbol == x.Symbol);
security?.Cache.AddData(x);
});
}
// add subscriptionDataConfig to their respective user defined universes
foreach (var userDefinedUniverseAddition in _pendingUserDefinedUniverseSecurityAdditions)
{
foreach (var subscriptionDataConfig in userDefinedUniverseAddition.SubscriptionDataConfigs)
{
userDefinedUniverseAddition.Universe.Add(subscriptionDataConfig);
}
}
// finally add any pending universes, this will make them available to the data feed
foreach (var universe in _pendingUniverseAdditions)
{
UniverseManager.Add(universe.Configuration.Symbol, universe);
}
_pendingUniverseAdditions.Clear();
_pendingUserDefinedUniverseSecurityAdditions.Clear();
}
if (!_rawNormalizationWarningSymbols.IsNullOrEmpty())
{
// Log our securities being set to raw price mode
Debug($"Warning: The following securities were set to raw price normalization mode to work with options: " +
$"{string.Join(", ", _rawNormalizationWarningSymbols.Take(_rawNormalizationWarningSymbolsMaxCount).Select(x => x.Value))}...");
// Set our warning list to null to stop emitting these warnings after its done once
_rawNormalizationWarningSymbols = null;
}
}
/// <summary>
/// Invoked at the end of every time step. This allows the algorithm
/// to process events before advancing to the next time step.
/// </summary>
public void OnEndOfTimeStep()
{
if (_pendingUniverseAdditions.Count + _pendingUserDefinedUniverseSecurityAdditions.Count == 0)
{
// no point in looping through everything if there's no pending changes
return;
}
// rewrite securities w/ derivatives to be in raw mode
lock (_pendingUniverseAdditionsLock)
{
foreach (var security in Securities.Select(kvp => kvp.Value).Union(_pendingUserDefinedUniverseSecurityAdditions.Keys))
{
// check for any derivative securities and mark the underlying as raw
if (Securities.Any(skvp => skvp.Key.HasUnderlyingSymbol(security.Symbol)))
{
// set data mode raw and default volatility model
ConfigureUnderlyingSecurity(security);
}
if (security.Symbol.HasUnderlying)
{
Security underlyingSecurity;
var underlyingSymbol = security.Symbol.Underlying;
// create the underlying security object if it doesn't already exist
if (!Securities.TryGetValue(underlyingSymbol, out underlyingSecurity))
{
underlyingSecurity = AddSecurity(underlyingSymbol.SecurityType, underlyingSymbol.Value, security.Resolution,
underlyingSymbol.ID.Market, false, 0, security.IsExtendedMarketHours);
}
// set data mode raw and default volatility model
ConfigureUnderlyingSecurity(underlyingSecurity);
// set the underying security on the derivative -- we do this in two places since it's possible
// to do AddOptionContract w/out the underlying already added and normalized properly
var derivative = security as IDerivativeSecurity;
if (derivative != null)
{
derivative.Underlying = underlyingSecurity;
}
}
}
// add securities to their respective user defined universes
foreach (var kvp in _pendingUserDefinedUniverseSecurityAdditions)
{
var security = kvp.Key;
var userDefinedUniverse = kvp.Value;
userDefinedUniverse.Add(security.Symbol);
}
// finally add any pending universes, this will make them available to the data feed
foreach (var universe in _pendingUniverseAdditions)
{
UniverseManager.Add(universe.Configuration.Symbol, universe);
}
_pendingUniverseAdditions.Clear();
_pendingUserDefinedUniverseSecurityAdditions.Clear();
}
}
/// <summary>
/// Invoked at the end of every time step. This allows the algorithm
/// to process events before advancing to the next time step.
/// </summary>
public void OnEndOfTimeStep()
{
if (_pendingUniverseAdditions.Count + _pendingUserDefinedUniverseSecurityAdditions.Count == 0)
{
// no point in looping through everything if there's no pending changes
return;
}
var requiredHistoryRequests = new Dictionary <Security, Resolution>();
// rewrite securities w/ derivatives to be in raw mode
lock (_pendingUniverseAdditionsLock)
{
foreach (var security in Securities.Select(kvp => kvp.Value).Union(_pendingUserDefinedUniverseSecurityAdditions.Keys))
{
// check for any derivative securities and mark the underlying as raw
if (Securities.Any(skvp => skvp.Key.HasUnderlyingSymbol(security.Symbol)))
{
// set data mode raw and default volatility model
ConfigureUnderlyingSecurity(security);
}
if (security.Symbol.HasUnderlying)
{
Security underlyingSecurity;
var underlyingSymbol = security.Symbol.Underlying;
// create the underlying security object if it doesn't already exist
if (!Securities.TryGetValue(underlyingSymbol, out underlyingSecurity))
{
underlyingSecurity = AddSecurity(underlyingSymbol.SecurityType, underlyingSymbol.Value, security.Resolution,
underlyingSymbol.ID.Market, false, 0, security.IsExtendedMarketHours);
}
// set data mode raw and default volatility model
ConfigureUnderlyingSecurity(underlyingSecurity);
if (LiveMode && underlyingSecurity.GetLastData() == null)
{
requiredHistoryRequests.Add(underlyingSecurity, (Resolution)Math.Max((int)security.Resolution, (int)Resolution.Minute));
}
// set the underlying security on the derivative -- we do this in two places since it's possible
// to do AddOptionContract w/out the underlying already added and normalized properly
var derivative = security as IDerivativeSecurity;
if (derivative != null)
{
derivative.Underlying = underlyingSecurity;
}
}
}
if (!requiredHistoryRequests.IsNullOrEmpty())
{
// Create requests
var historyRequests = Enumerable.Empty <HistoryRequest>();
foreach (var byResolution in requiredHistoryRequests.GroupBy(x => x.Value))
{
historyRequests = historyRequests.Concat(
CreateBarCountHistoryRequests(byResolution.Select(x => x.Key.Symbol), 3, byResolution.Key));
}
// Request data
var historicLastData = History(historyRequests);
historicLastData.PushThrough(x =>
{
var security = requiredHistoryRequests.Keys.FirstOrDefault(y => y.Symbol == x.Symbol);
security?.Cache.AddData(x);
});
}
// add securities to their respective user defined universes
foreach (var kvp in _pendingUserDefinedUniverseSecurityAdditions)
{
var security = kvp.Key;
var userDefinedUniverse = kvp.Value;
userDefinedUniverse.Add(security.Symbol);
}
// finally add any pending universes, this will make them available to the data feed
foreach (var universe in _pendingUniverseAdditions)
{
UniverseManager.Add(universe.Configuration.Symbol, universe);
}
_pendingUniverseAdditions.Clear();
_pendingUserDefinedUniverseSecurityAdditions.Clear();
}
}