public void UpdateCallsDisposeOnDisposableInstances()
{
var disposable = new Disposable(Symbols.SPY);
var dictionary = new Dictionary <Symbol, Disposable>
{
[Symbols.SPY] = disposable
};
var SPY = new Equity(
Symbols.SPY,
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new Cash("USD", 1m, 1m),
SymbolProperties.GetDefault("USD"),
ErrorCurrencyConverter.Instance,
new RegisteredSecurityDataTypesProvider(),
new SecurityCache()
);
var changes = SecurityChanges.Removed(SPY);
NotifiedSecurityChanges.UpdateDictionary(dictionary, changes,
security => security.Symbol,
security => new Disposable(security.Symbol)
);
Assert.IsTrue(disposable.Disposed);
}
public override void DelistedSecurityEmitsFlatTargetWithNewInsights(Language language, InsightDirection direction)
{
SetPortfolioConstruction(language);
var insights = new[] { GetInsight(Symbols.SPY, InsightDirection.Down, Algorithm.UtcTime) };
var targets = Algorithm.PortfolioConstruction.CreateTargets(Algorithm, insights).ToList();
Assert.AreEqual(1, targets.Count);
// Removing SPY should clear the key in the insight collection
var changes = SecurityChanges.Removed(Algorithm.Securities[Symbols.SPY]);
Algorithm.PortfolioConstruction.OnSecuritiesChanged(Algorithm, changes);
// Equity will be divided by all securities minus 1, since SPY is already invested and we want to remove it
var amount = Algorithm.Portfolio.TotalPortfolioValue / (decimal)(1 / Weight - 1) *
(1 - Algorithm.Settings.FreePortfolioValuePercentage);
var expectedTargets = Algorithm.Securities.Select(x =>
{
// Expected target quantity for SPY is zero, since it will be removed
var quantity = x.Key.Value == "SPY" ? 0 : (int)direction * Math.Floor(amount / x.Value.Price);
return(new PortfolioTarget(x.Key, quantity));
});
// Do no include SPY in the insights
insights = Algorithm.Securities.Keys.Where(x => x.Value != "SPY")
.Select(x => GetInsight(x, direction, Algorithm.UtcTime)).ToArray();
// Create target from an empty insights array
var actualTargets = Algorithm.PortfolioConstruction.CreateTargets(Algorithm, insights);
AssertTargets(expectedTargets, actualTargets);
}
/// <summary>
/// Removes the subscription from the data feed, if it exists
/// </summary>
/// <param name="configuration">The configuration of the subscription to remove</param>
/// <returns>True if the subscription was successfully removed, false otherwise</returns>
public bool RemoveSubscription(SubscriptionDataConfig configuration)
{
// remove the subscription from our collection
Subscription subscription;
if (!_subscriptions.TryGetValue(configuration, out subscription))
{
Log.Error($"LiveTradingDataFeed.RemoveSubscription(): Unable to locate: {configuration}");
}
// don't remove universe subscriptions immediately, instead mark them as disposed
// so we can turn the crank one more time to ensure we emit security changes properly
if (subscription.IsUniverseSelectionSubscription && subscription.Universe.DisposeRequested)
{
// subscription syncer will dispose the universe AFTER we've run selection a final time
// and then will invoke SubscriptionFinished which will remove the universe subscription
return(false);
}
if (!_subscriptions.TryRemove(configuration, out subscription))
{
Log.Error($"LiveTradingDataFeed.RemoveSubscription(): Unable to remove: {configuration}");
return(false);
}
var security = subscription.Security;
// remove the subscriptions
if (subscription.Configuration.IsCustomData)
{
_customExchange.RemoveEnumerator(security.Symbol);
_customExchange.RemoveDataHandler(security.Symbol);
}
else
{
_dataQueueHandler.Unsubscribe(_job, new[] { security.Symbol });
_exchange.RemoveDataHandler(security.Symbol);
}
// if the security is no longer a member of the universe, then mark the subscription properly
if (subscription.Universe != null && !subscription.Universe.Members.ContainsKey(configuration.Symbol))
{
subscription.MarkAsRemovedFromUniverse();
}
subscription.Dispose();
// keep track of security changes, we emit these to the algorithm
// as notications, used in universe selection
if (!subscription.IsUniverseSelectionSubscription)
{
_changes += SecurityChanges.Removed(security);
}
Log.Trace("LiveTradingDataFeed.RemoveSubscription(): Removed " + configuration);
UpdateFillForwardResolution();
return(true);
}
/// <summary>
/// Removes the subscription from the data feed, if it exists
/// </summary>
/// <param name="subscription">The subscription to be removed</param>
public bool RemoveSubscription(Subscription subscription)
{
Subscription sub;
if (!_subscriptions.TryRemove(subscription.Security.Symbol, out sub))
{
Log.Error("FileSystemDataFeed.RemoveSubscription(): Unable to remove: " + subscription.Security.Symbol.ToString());
return(false);
}
Log.Debug("FileSystemDataFeed.RemoveSubscription(): Removed " + subscription.Security.Symbol.ToString());
_changes += SecurityChanges.Removed(sub.Security);
_fillForwardResolution.Value = ResolveFillForwardResolution(_algorithm);
return(true);
}
public override void DelistedSecurityEmitsFlatTargetWithNewInsights(Language language, InsightDirection direction)
{
SetPortfolioConstruction(language);
var insights = new[] { GetInsight(Symbols.SPY, InsightDirection.Down, Algorithm.UtcTime) };
var targets = Algorithm.PortfolioConstruction.CreateTargets(Algorithm, insights).ToList();
Assert.AreEqual(1, targets.Count);
// Removing SPY should clear the key in the insight collection
var changes = SecurityChanges.Removed(Algorithm.Securities[Symbols.SPY]);
Algorithm.PortfolioConstruction.OnSecuritiesChanged(Algorithm, changes);
// Since we have 3 B, 2 T and 1 X, each security in each sector will get
// B => .166%, T => .25, X => 0% (removed)
var sectorCount = 2;
var groupedBySector = Algorithm.Securities
.Where(pair => pair.Value.Fundamentals?.CompanyReference?.IndustryTemplateCode != null)
.GroupBy(pair => pair.Value.Fundamentals.CompanyReference.IndustryTemplateCode);
var expectedTargets = new List <PortfolioTarget>();
foreach (var securities in groupedBySector)
{
var list = securities.ToList();
var amount = Algorithm.Portfolio.TotalPortfolioValue / list.Count / sectorCount *
(1 - Algorithm.Settings.FreePortfolioValuePercentage);
expectedTargets.AddRange(list
.Select(x => new PortfolioTarget(x.Key, x.Key.Value == "SPY" ? 0
: (int)direction * Math.Floor(amount / x.Value.Price))));
}
// Do no include SPY in the insights
insights = Algorithm.Securities.Keys.Where(x => x.Value != "SPY")
.Select(x => GetInsight(x, direction, Algorithm.UtcTime)).ToArray();
// Create target from an empty insights array
var actualTargets = Algorithm.PortfolioConstruction.CreateTargets(Algorithm, insights);
Assert.Greater(Algorithm.Securities.Count, expectedTargets.Count);
AssertTargets(expectedTargets, actualTargets);
}
/// <summary>
/// Removes the subscription from the data feed, if it exists
/// </summary>
/// <param name="configuration">The configuration of the subscription to remove</param>
/// <returns>True if the subscription was successfully removed, false otherwise</returns>
public bool RemoveSubscription(SubscriptionDataConfig configuration)
{
// remove the subscription from our collection
Subscription subscription;
if (!_subscriptions.TryRemove(configuration, out subscription))
{
Log.Error("LiveTradingDataFeed.RemoveSubscription(): Unable to remove: " + configuration.ToString());
return(false);
}
var security = subscription.Security;
// remove the subscriptions
if (subscription.Configuration.IsCustomData)
{
_customExchange.RemoveEnumerator(security.Symbol);
_customExchange.RemoveDataHandler(security.Symbol);
}
else
{
_dataQueueHandler.Unsubscribe(_job, new[] { security.Symbol });
_exchange.RemoveDataHandler(security.Symbol);
}
// if the security is no longer a member of the universe, then mark the subscription properly
if (subscription.Universe != null && !subscription.Universe.Members.ContainsKey(configuration.Symbol))
{
subscription.MarkAsRemovedFromUniverse();
}
subscription.Dispose();
// keep track of security changes, we emit these to the algorithm
// as notications, used in universe selection
if (!subscription.IsUniverseSelectionSubscription)
{
_changes += SecurityChanges.Removed(security);
}
Log.Trace("LiveTradingDataFeed.RemoveSubscription(): Removed " + configuration);
UpdateFillForwardResolution();
return(true);
}
/// <summary>
/// Removes the subscription from the data feed, if it exists
/// </summary>
/// <param name="subscription">The subscription to be removed</param>
/// <returns>True if the subscription was successfully removed, false otherwise</returns>
public bool RemoveSubscription(Subscription subscription)
{
var security = subscription.Security;
_exchange.RemoveHandler(security.Symbol);
// request to unsubscribe from the subscription
if (!security.SubscriptionDataConfig.IsCustomData)
{
_dataQueueHandler.Unsubscribe(_job, new Dictionary <SecurityType, List <string> >
{
{ security.Type, new List <string> {
security.Symbol
} }
});
}
// remove the subscription from our collection
Subscription sub;
if (_subscriptions.TryRemove(new SymbolSecurityType(security), out sub))
{
sub.Dispose();
}
else
{
return(false);
}
Log.Trace("LiveTradingDataFeed.RemoveSubscription(): Removed " + security.Symbol);
// keep track of security changes, we emit these to the algorithm
// as notications, used in universe selection
_changes += SecurityChanges.Removed(security);
// update our fill forward resolution setting
_fillForwardResolution.Value = ResolveFillForwardResolution(_algorithm);
return(true);
}
public void DelistedSecurityEmitsFlatTargetWithoutNewInsights(Language language)
{
SetPortfolioConstruction(language, _algorithm);
var insights = new[] { GetInsight(Symbols.SPY, InsightDirection.Down, _algorithm.UtcTime) };
var targets = _algorithm.PortfolioConstruction.CreateTargets(_algorithm, insights).ToList();
Assert.AreEqual(1, targets.Count);
var changes = SecurityChanges.Removed(_algorithm.Securities[Symbols.SPY]);
_algorithm.PortfolioConstruction.OnSecuritiesChanged(_algorithm, changes);
var expectedTargets = new List <IPortfolioTarget> {
new PortfolioTarget(Symbols.SPY, 0)
};
// Create target from an empty insights array
var actualTargets = _algorithm.PortfolioConstruction.CreateTargets(_algorithm, new Insight[0]);
AssertTargets(expectedTargets, actualTargets);
}
/// <summary>
/// Removes the subscription from the data feed, if it exists
/// </summary>
/// <param name="symbol">The symbol of the subscription to be removed</param>
/// <returns>True if the subscription was successfully removed, false otherwise</returns>
public bool RemoveSubscription(Symbol symbol)
{
List <Subscription> subscriptions;
if (!_subscriptions.TryRemove(symbol, out subscriptions))
{
Log.Error("FileSystemDataFeed.RemoveSubscription(): Unable to remove: " + symbol.ToString());
return(false);
}
foreach (var subscription in subscriptions)
{
subscription.Dispose();
}
Log.Debug("FileSystemDataFeed.RemoveSubscription(): Removed " + symbol.ToString());
_changes += SecurityChanges.Removed(subscriptions.Select(x => x.Security).ToArray());
UpdateFillForwardResolution();
return(true);
}
/// <summary>
/// Removes the subscription from the data feed, if it exists
/// </summary>
/// <param name="subscription">The subscription to be removed</param>
/// <returns>True if the subscription was successfully removed, false otherwise</returns>
public bool RemoveSubscription(Subscription subscription)
{
var security = subscription.Security;
// remove the subscriptions
if (subscription.Configuration.IsCustomData)
{
_customExchange.RemoveEnumerator(security.Symbol);
_customExchange.RemoveDataHandler(security.Symbol);
}
else
{
_dataQueueHandler.Unsubscribe(_job, new[] { security.Symbol });
_exchange.RemoveDataHandler(security.Symbol);
}
// remove the subscription from our collection
Subscription sub;
if (_subscriptions.TryRemove(subscription.Security.Symbol, out sub))
{
sub.Dispose();
}
else
{
return(false);
}
Log.Trace("LiveTradingDataFeed.RemoveSubscription(): Removed " + security.Symbol.ToString());
// keep track of security changes, we emit these to the algorithm
// as notications, used in universe selection
_changes += SecurityChanges.Removed(security);
// update our fill forward resolution setting
_fillForwardResolution.Value = ResolveFillForwardResolution(_algorithm);
return(true);
}
/// <summary>
/// Removes the subscription from the data feed, if it exists
/// </summary>
/// <param name="symbol">The symbol of the subscription to be removed</param>
/// <returns>True if the subscription was successfully removed, false otherwise</returns>
public bool RemoveSubscription(Symbol symbol)
{
// remove the subscription from our collection
List <Subscription> subscriptions;
if (!_subscriptions.TryRemove(symbol, out subscriptions))
{
return(false);
}
foreach (var subscription in subscriptions)
{
var security = subscription.Security;
// remove the subscriptions
if (subscription.Configuration.IsCustomData)
{
_customExchange.RemoveEnumerator(security.Symbol);
_customExchange.RemoveDataHandler(security.Symbol);
}
else
{
_dataQueueHandler.Unsubscribe(_job, new[] { security.Symbol });
_exchange.RemoveDataHandler(security.Symbol);
}
subscription.Dispose();
// keep track of security changes, we emit these to the algorithm
// as notications, used in universe selection
_changes += SecurityChanges.Removed(security);
}
Log.Trace("LiveTradingDataFeed.RemoveSubscription(): Removed " + symbol.ToString());
UpdateFillForwardResolution();
return(true);
}