/// <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(QCAlgorithm algorithm, SecurityChanges changes)
{
NotifiedSecurityChanges.UpdateCollection(Securities, changes);
var symbols = Securities.Select(x => x.Symbol).ToArray();
var history = algorithm.History(symbols, _lookback, _resolution);
var vectors = GetPriceVectors(history);
if (vectors.LongLength == 0)
{
algorithm.Debug($"PearsonCorrelationPairsTradingAlphaModel.OnSecuritiesChanged(): The requested historical data does not have series of prices with the same date/time. Please consider increasing the looback period. Current lookback: {_lookback}");
}
else
{
var pearsonMatrix = Correlation.PearsonMatrix(vectors).UpperTriangle();
var maxValue = pearsonMatrix.Enumerate().Where(x => Math.Abs(x) < 1).Max();
if (maxValue >= _minimumCorrelation)
{
var maxTuple = pearsonMatrix.Find(x => x == maxValue);
_bestPair = Tuple.Create(symbols[maxTuple.Item1], symbols[maxTuple.Item2]);
}
}
base.OnSecuritiesChanged(algorithm, changes);
}
public IEnumerable <TypedSecurity> ToTypedSecurities()
{
return(Securities.Select(sec => new TypedSecurity
{
Type = Type,
BoardgroupId = Id,
SecId = sec,
}));
}
private double[][] GetPriceVectors(IEnumerable <Slice> slices)
{
var symbols = Securities.Select(x => x.Symbol).ToArray();
var timeZones = Securities.ToDictionary(x => x.Symbol, y => y.Exchange.TimeZone);
// Special case: daily data and securities from different timezone
var isDailyAndMultipleTimeZone = _resolution == Resolution.Daily && timeZones.Values.Distinct().Count() > 1;
var bars = new List <BaseData>();
if (isDailyAndMultipleTimeZone)
{
bars.AddRange(slices
.GroupBy(x => x.Time.Date)
.Where(x => x.Sum(k => k.Count) == symbols.Length)
.SelectMany(x => x.SelectMany(y => y.Values)));
}
else
{
bars.AddRange(slices
.Where(x => x.Count == symbols.Length)
.SelectMany(x => x.Values));
}
return(bars
.GroupBy(x => x.Symbol)
.Select(x =>
{
var array = x.Select(b => Math.Log((double)b.Price)).ToArray();
if (array.Length > 1)
{
for (var i = array.Length - 1; i > 0; i--)
{
array[i] = array[i] - array[i - 1];
}
array[0] = array[1];
return array;
}
else
{
return new double[0];
}
}).ToArray());
}
private static async Task LoadStrategies()
{
var iStrategyTypes = GetIStrategyTypes();
var iStrategyNames = GetIStrategyNames();
var initializeTasks = new List <Task>();
Logger.LogInformation($"Initializing strategies.");
foreach (var strategyName in appSettings.strategies)
{
if (iStrategyNames.Contains(strategyName))
{
var strategyType = iStrategyTypes.Where(t => t.Name == strategyName).First();
var strategy = Activator.CreateInstance(strategyType) as IStrategy;
var task = Task.Run(async() =>
{
Logger.LogDebug($"Initializing: {strategyName}");
await strategy.Initialize();
});
initializeTasks.Add(task);
foreach (var symbol in strategy.Subscriptions)
{
var security = Securities.GetOrAdd(symbol, new Security(symbol));
security.OnMinuteAggReceived += strategy.OnDataReceived;
}
}
}
if (Securities.Count > 0)
{
Task.WaitAll(initializeTasks.ToArray());
// TODO: No longer outputing the correct information, fix
var jsonNames = JsonConvert.SerializeObject(Securities.Select(s => s.Value.GetType().Name));
Logger.LogInformation($"Initialized strategies: {jsonNames}");
}
else
{
Logger.LogError("No strategies found.");
await StopAsync();
}
}
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: " +
$"{string.Join(", ", _rawNormalizationWarningSymbols.Take(_rawNormalizationWarningSymbolsMaxCount).Select(x => x.Value))}...");
// Set our warning list to null to stop emitting these warnings after its done once
_rawNormalizationWarningSymbols = null;
}
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">Slice object keyed by symbol containing the stock data</param>
public override void OnData(Slice data)
{
Debug($"[{Time}] Warmup: {IsWarmingUp}. Invested: {Portfolio.Invested} {string.Join(",", Securities.Select(pair => $"{pair.Key.Value}:{pair.Value.Price}"))}");
if (IsWarmingUp)
{
_equityGotTradeBars |= data.Bars.ContainsKey("SPY");
_equityGotQuoteBars |= data.QuoteBars.ContainsKey("SPY");
_cryptoGotTradeBars |= data.Bars.ContainsKey("BTCUSD");
}
else
{
if (!Portfolio.Invested)
{
AddEquity("AAPL", Resolution.Hour);
SetHoldings("BTCUSD", 0.3);
}
}
}
/// <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();
}
}