/// <summary>
/// AddData<typeparam name="T"/> a new user defined data source, requiring only the minimum config options.
/// </summary>
/// <param name="symbol">Key/Symbol for data</param>
/// <param name="resolution">Resolution of the Data Required</param>
/// <param name="timeZone">Specifies the time zone of the raw data</param>
/// <param name="fillDataForward">When no data available on a tradebar, return the last data that was generated</param>
/// <param name="leverage">Custom leverage per security</param>
/// <remarks>Generic type T must implement base data</remarks>
public void AddData <T>(Symbol symbol, Resolution resolution, DateTimeZone timeZone, bool fillDataForward = false, decimal leverage = 1.0m)
where T : BaseData, new()
{
if (_locked)
{
return;
}
//Add this to the data-feed subscriptions
var config = SubscriptionManager.Add(typeof(T), SecurityType.Base, symbol, resolution, "usa", timeZone, true, fillDataForward, true, false);
var exchangeHours = _exchangeHoursProvider.GetExchangeHours(config);
//Add this new generic data as a tradeable security:
var security = new Security(exchangeHours, config, leverage);
Securities.Add(symbol, security);
}
/// <summary>
/// Ensures that we have a data feed to conver this currency into the base currency.
/// This will add a subscription at the lowest resolution if one is not found.
/// </summary>
/// <param name="securities">The security manager</param>
/// <param name="subscriptions">The subscription manager used for searching and adding subscriptions</param>
/// <param name="exchangeHoursProvider">A security exchange hours provider instance used to resolve exchange hours for new subscriptions</param>
public void EnsureCurrencyDataFeed(SecurityManager securities, SubscriptionManager subscriptions, SecurityExchangeHoursProvider exchangeHoursProvider)
{
if (Symbol == CashBook.AccountCurrency)
{
SecuritySymbol = string.Empty;
_isBaseCurrency = true;
ConversionRate = 1.0m;
return;
}
if (subscriptions.Count == 0)
{
throw new InvalidOperationException("Unable to add cash when no subscriptions are present. Please add subscriptions in the Initialize() method.");
}
// we require a subscription that converts this into the base currency
string normal = Symbol + CashBook.AccountCurrency;
string invert = CashBook.AccountCurrency + Symbol;
foreach (var config in subscriptions.Subscriptions.Where(config => config.SecurityType == SecurityType.Forex))
{
if (config.Symbol == normal)
{
SecuritySymbol = config.Symbol;
return;
}
if (config.Symbol == invert)
{
SecuritySymbol = config.Symbol;
_invertRealTimePrice = true;
return;
}
}
// get the market from the first Forex subscription
string market = (from config in subscriptions.Subscriptions
where config.SecurityType == SecurityType.Forex
select config.Market).FirstOrDefault() ?? "fxcm";
// if we've made it here we didn't find a subscription, so we'll need to add one
var currencyPairs = Forex.Forex.CurrencyPairs;
var minimumResolution = subscriptions.Subscriptions.Min(x => x.Resolution);
var objectType = minimumResolution == Resolution.Tick ? typeof (Tick) : typeof (TradeBar);
foreach (var symbol in currencyPairs)
{
if (symbol == normal || symbol == invert)
{
_invertRealTimePrice = symbol == invert;
var exchangeHours = exchangeHoursProvider.GetExchangeHours(market, symbol, SecurityType.Forex);
// set this as an internal feed so that the data doesn't get sent into the algorithm's OnData events
var config = subscriptions.Add(objectType, SecurityType.Forex, symbol, minimumResolution, market, exchangeHours.TimeZone, true, false, true);
var security = new Forex.Forex(this, config, 1m);
SecuritySymbol = config.Symbol;
securities.Add(symbol, security);
Log.Trace("Cash.EnsureCurrencyDataFeed(): Adding " + symbol + " for cash " + Symbol + " currency feed");
return;
}
}
// if this still hasn't been set then it's an error condition
throw new ArgumentException(string.Format("In order to maintain cash in {0} you are required to add a subscription for Forex pair {0}{1} or {1}{0}", Symbol, CashBook.AccountCurrency));
}
/// <summary>
/// Set a required SecurityType-symbol and resolution for algorithm
/// </summary>
/// <param name="securityType">SecurityType Enum: Equity, Commodity, FOREX or Future</param>
/// <param name="symbol">Symbol Representation of the MarketType, e.g. AAPL</param>
/// <param name="resolution">Resolution of the MarketType required: MarketData, Second or Minute</param>
/// <param name="market">The market the requested security belongs to, such as 'usa' or 'fxcm'</param>
/// <param name="fillDataForward">If true, returns the last available data even if none in that timeslice.</param>
/// <param name="leverage">leverage for this security</param>
/// <param name="extendedMarketHours">ExtendedMarketHours send in data from 4am - 8pm, not used for FOREX</param>
public void AddSecurity(SecurityType securityType, string symbol, Resolution resolution, string market, bool fillDataForward, decimal leverage, bool extendedMarketHours)
{
try
{
if (_locked)
{
throw new Exception("Algorithm.AddSecurity(): Cannot add another security after algorithm running.");
}
symbol = symbol.ToUpper();
//If it hasn't been set, use some defaults based on the portfolio type:
if (leverage <= 0)
{
switch (securityType)
{
case SecurityType.Equity:
leverage = 2; //Cash Ac. = 1, RegT Std = 2 or PDT = 4.
break;
case SecurityType.Forex:
leverage = 50;
break;
}
}
if (market == null)
{
// set default values
if (securityType == SecurityType.Forex)
{
market = "fxcm";
}
else if (securityType == SecurityType.Equity)
{
market = "usa";
}
else
{
market = "usa";
}
}
//Add the symbol to Data Manager -- generate unified data streams for algorithm events
var exchangeHours = _exchangeHoursProvider.GetExchangeHours(market, symbol, securityType);
var config = SubscriptionManager.Add(securityType, symbol, resolution, market, exchangeHours.TimeZone, fillDataForward, extendedMarketHours);
Security security;
switch (config.SecurityType)
{
case SecurityType.Equity:
security = new Equity(exchangeHours, config, leverage, false);
break;
case SecurityType.Forex:
// decompose the symbol into each currency pair
string baseCurrency, quoteCurrency;
QuantConnect.Securities.Forex.Forex.DecomposeCurrencyPair(symbol, out baseCurrency, out quoteCurrency);
if (!Portfolio.CashBook.ContainsKey(baseCurrency))
{
// since we have none it's safe to say the conversion is zero
Portfolio.CashBook.Add(baseCurrency, 0, 0);
}
if (!Portfolio.CashBook.ContainsKey(quoteCurrency))
{
// since we have none it's safe to say the conversion is zero
Portfolio.CashBook.Add(quoteCurrency, 0, 0);
}
security = new Forex(exchangeHours, Portfolio.CashBook[quoteCurrency], config, leverage, false);
break;
default:
case SecurityType.Base:
security = new Security(exchangeHours, config, leverage, false);
break;
}
//Add the symbol to Securities Manager -- manage collection of portfolio entities for easy access.
Securities.Add(config.Symbol, security);
}
catch (Exception err)
{
Error("Algorithm.AddSecurity(): " + err.Message);
}
}
