/// <summary>
/// Gets the instance of the <see cref="SecurityExchangeHoursProvider"/> class produced by reading in the market hours
/// data found in /Data/market-hours/
/// </summary>
/// <returns>A <see cref="SecurityExchangeHoursProvider"/> class that represents the data in the market-hours folder</returns>
public static SecurityExchangeHoursProvider FromDataFolder()
{
lock (DataFolderSecurityExchangeHoursProviderLock)
{
if (DataFolderSecurityExchangeHoursProvider == null)
{
var directory = Path.Combine(Constants.DataFolder, "market-hours");
var holidays = ReadHolidaysFromDirectory(directory);
DataFolderSecurityExchangeHoursProvider = FromCsvFile(Path.Combine(directory, "market-hours-database.csv"), holidays);
}
}
return(DataFolderSecurityExchangeHoursProvider);
}
/// <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 = QuantConnect.Symbol.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.Value == normal)
{
SecuritySymbol = config.Symbol;
return;
}
if (config.Symbol.Value == 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.Select(x => new Symbol(x));
var minimumResolution = subscriptions.Subscriptions.Min(x => x.Resolution);
var objectType = minimumResolution == Resolution.Tick ? typeof(Tick) : typeof(TradeBar);
foreach (var symbol in currencyPairs)
{
if (symbol.Value == normal || symbol.Value == invert)
{
_invertRealTimePrice = symbol.Value == 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(config.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>
/// Checks the current subscriptions and adds necessary currency pair feeds to provide real time conversion data
/// </summary>
/// <param name="securities">The SecurityManager for the algorithm</param>
/// <param name="subscriptions">The SubscriptionManager for the algorithm</param>
/// <param name="exchangeHoursProvider">A security exchange hours provider instance used to resolve exchange hours for new subscriptions</param>
public void EnsureCurrencyDataFeeds(SecurityManager securities, SubscriptionManager subscriptions, SecurityExchangeHoursProvider exchangeHoursProvider)
{
foreach (var cash in _currencies.Values)
{
cash.EnsureCurrencyDataFeed(securities, subscriptions, exchangeHoursProvider);
}
}
/// <summary>
/// Creates a security and matching configuration. This applies the default leverage if
/// leverage is less than or equal to zero
/// </summary>
public static Security CreateSecurity(SecurityPortfolioManager securityPortfolioManager,
SubscriptionManager subscriptionManager,
SecurityExchangeHoursProvider securityExchangeHoursProvider,
SecurityType securityType,
Symbol symbol,
Resolution resolution,
string market,
bool fillDataForward,
decimal leverage,
bool extendedMarketHours,
bool isInternalFeed,
bool isCustomData)
{
//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 = securityExchangeHoursProvider.GetExchangeHours(market, symbol, securityType);
var tradeBarType = typeof(TradeBar);
var type = resolution == Resolution.Tick ? typeof(Tick) : tradeBarType;
var config = subscriptionManager.Add(type, securityType, symbol, resolution, market, exchangeHours.TimeZone, isCustomData, fillDataForward, extendedMarketHours, isInternalFeed);
Security security;
switch (config.SecurityType)
{
case SecurityType.Equity:
security = new Equity.Equity(exchangeHours, config, leverage);
break;
case SecurityType.Forex:
// decompose the symbol into each currency pair
string baseCurrency, quoteCurrency;
Forex.Forex.DecomposeCurrencyPair(symbol.Value, out baseCurrency, out quoteCurrency);
if (!securityPortfolioManager.CashBook.ContainsKey(baseCurrency))
{
// since we have none it's safe to say the conversion is zero
securityPortfolioManager.CashBook.Add(baseCurrency, 0, 0);
}
if (!securityPortfolioManager.CashBook.ContainsKey(quoteCurrency))
{
// since we have none it's safe to say the conversion is zero
securityPortfolioManager.CashBook.Add(quoteCurrency, 0, 0);
}
security = new Forex.Forex(exchangeHours, securityPortfolioManager.CashBook[quoteCurrency], config, leverage);
break;
default:
case SecurityType.Base:
security = new Security(exchangeHours, config, leverage);
break;
}
return(security);
}
