/// <summary>
/// Runs this command against the specified algorithm instance
/// </summary>
/// <param name="algorithm">The algorithm to run this command against</param>
public CommandResultPacket Run(IAlgorithm algorithm)
{
var request = new SubmitOrderRequest(OrderType, SecurityType, Symbol, Quantity, StopPrice, LimitPrice, DateTime.UtcNow, Tag);
var ticket = algorithm.Transactions.ProcessRequest(request);
var response = ticket.GetMostRecentOrderResponse();
var message = string.Format("{0} for {1} units of {2}: {3}", OrderType, Quantity, Symbol, response);
if (response.IsSuccess)
{
algorithm.Debug(message);
}
else
{
algorithm.Error(message);
}
return new CommandResultPacket(this, response.IsSuccess);
}
/// <summary>
/// Scans all the outstanding orders and applies the algorithm model fills to generate the order events
/// </summary>
public void Scan()
{
lock (_needsScanLock)
{
// there's usually nothing in here
if (!_needsScan)
{
return;
}
//2. NOW ALL ORDERS IN ORDER DICTIONARY::>
// Scan through Orders: Process fills. Trigger Events.
// Refresh the order model: look at the orders for ones - process every time.
// find orders that still need to be processed, be sure to sort them by their id so we
// fill them in the proper order
var orders = (from order in _pending
where order.Value.Status != OrderStatus.Filled &&
order.Value.Status != OrderStatus.Canceled &&
order.Value.Status != OrderStatus.Invalid
orderby order.Value.Id ascending
select order);
var stillNeedsScan = false;
//Now we have the orders; re-apply the order models to each order.
foreach (var kvp in orders)
{
var order = kvp.Value;
var security = _algorithm.Securities[order.Symbol];
// check if we would actually be able to fill this
if (!_algorithm.BrokerageModel.CanExecuteOrder(security, order))
{
continue;
}
// verify sure we have enough cash to perform the fill
var sufficientBuyingPower = _algorithm.Transactions.GetSufficientCapitalForOrder(_algorithm.Portfolio, order);
var fill = new OrderEvent();
fill.Symbol = order.Symbol;
//Before we check this queued order make sure we have buying power:
if (sufficientBuyingPower)
{
//Model:
var model = security.TransactionModel;
//Based on the order type: refresh its model to get fill price and quantity
try
{
switch (order.Type)
{
case OrderType.Limit:
fill = model.LimitFill(security, order as LimitOrder);
break;
case OrderType.StopMarket:
fill = model.StopMarketFill(security, order as StopMarketOrder);
break;
case OrderType.Market:
fill = model.MarketFill(security, order as MarketOrder);
break;
case OrderType.StopLimit:
fill = model.StopLimitFill(security, order as StopLimitOrder);
break;
case OrderType.MarketOnOpen:
fill = model.MarketOnOpenFill(security, order as MarketOnOpenOrder);
break;
case OrderType.MarketOnClose:
fill = model.MarketOnCloseFill(security, order as MarketOnCloseOrder);
break;
}
}
catch (Exception err)
{
Log.Error("BacktestingBrokerage.Scan(): " + err.Message);
_algorithm.Error(string.Format("Order Error: id: {0}, Transaction model failed to fill for order type: {1} with error: {2}",
order.Id, order.Type, err.Message));
}
}
else
{
//Flag order as invalid and push off queue:
order.Status = OrderStatus.Invalid;
_algorithm.Error(string.Format("Order Error: id: {0}, Insufficient buying power to complete order (Value:{1}).", order.Id,
order.GetValue(security.Price).SmartRounding()));
}
// change in status or a new fill
if (order.Status != fill.Status || fill.FillQuantity != 0)
{
//If the fill models come back suggesting filled, process the affects on portfolio
OnOrderEvent(fill);
}
if (order.Status == OrderStatus.Filled || order.Status == OrderStatus.Invalid || order.Status == OrderStatus.Canceled)
{
_pending.TryRemove(order.Id, out order);
}
else
{
stillNeedsScan = true;
}
}
// if we didn't fill then we need to continue to scan
_needsScan = stillNeedsScan;
}
}
/// <summary>
/// Runs this command against the specified algorithm instance
/// </summary>
/// <param name="algorithm">The algorithm to run this command against</param>
public CommandResultPacket Run(IAlgorithm algorithm)
{
try
{
var security = algorithm.AddSecurity(SecurityType, Symbol, Resolution, Market, FillDataForward, Leverage, ExtendedMarketHours);
return new Result(this, true, security.Symbol);
}
catch (Exception err)
{
Log.Error(err);
algorithm.Error("AddSecuityCommand Error: " + err.Message);
return new Result(this, false, QuantConnect.Symbol.Empty);
}
}
/// <summary>
/// Launch the algorithm manager to run this strategy
/// </summary>
/// <param name="job">Algorithm job</param>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="synchronizer">Instance which implements <see cref="ISynchronizer"/>. Used to stream the data</param>
/// <param name="transactions">Transaction manager object</param>
/// <param name="results">Result handler object</param>
/// <param name="realtime">Realtime processing object</param>
/// <param name="leanManager">ILeanManager implementation that is updated periodically with the IAlgorithm instance</param>
/// <param name="alphas">Alpha handler used to process algorithm generated insights</param>
/// <param name="token">Cancellation token</param>
/// <remarks>Modify with caution</remarks>
public void Run(AlgorithmNodePacket job, IAlgorithm algorithm, ISynchronizer synchronizer, ITransactionHandler transactions, IResultHandler results, IRealTimeHandler realtime, ILeanManager leanManager, IAlphaHandler alphas, CancellationToken token)
{
//Initialize:
DataPoints = 0;
_algorithm = algorithm;
var backtestMode = (job.Type == PacketType.BacktestNode);
var methodInvokers = new Dictionary <Type, MethodInvoker>();
var marginCallFrequency = TimeSpan.FromMinutes(5);
var nextMarginCallTime = DateTime.MinValue;
var settlementScanFrequency = TimeSpan.FromMinutes(30);
var nextSettlementScanTime = DateTime.MinValue;
var time = algorithm.StartDate.Date;
var pendingDelistings = new List <Delisting>();
var splitWarnings = new List <Split>();
//Initialize Properties:
AlgorithmId = job.AlgorithmId;
//Create the method accessors to push generic types into algorithm: Find all OnData events:
// Algorithm 2.0 data accessors
var hasOnDataTradeBars = AddMethodInvoker <TradeBars>(algorithm, methodInvokers);
var hasOnDataQuoteBars = AddMethodInvoker <QuoteBars>(algorithm, methodInvokers);
var hasOnDataOptionChains = AddMethodInvoker <OptionChains>(algorithm, methodInvokers);
var hasOnDataTicks = AddMethodInvoker <Ticks>(algorithm, methodInvokers);
// dividend and split events
var hasOnDataDividends = AddMethodInvoker <Dividends>(algorithm, methodInvokers);
var hasOnDataSplits = AddMethodInvoker <Splits>(algorithm, methodInvokers);
var hasOnDataDelistings = AddMethodInvoker <Delistings>(algorithm, methodInvokers);
var hasOnDataSymbolChangedEvents = AddMethodInvoker <SymbolChangedEvents>(algorithm, methodInvokers);
//Go through the subscription types and create invokers to trigger the event handlers for each custom type:
foreach (var config in algorithm.SubscriptionManager.Subscriptions)
{
//If type is a custom feed, check for a dedicated event handler
if (config.IsCustomData)
{
//Get the matching method for this event handler - e.g. public void OnData(Quandl data) { .. }
var genericMethod = (algorithm.GetType()).GetMethod("OnData", new[] { config.Type });
//If we already have this Type-handler then don't add it to invokers again.
if (methodInvokers.ContainsKey(config.Type))
{
continue;
}
if (genericMethod != null)
{
methodInvokers.Add(config.Type, genericMethod.DelegateForCallMethod());
}
}
}
// Schedule a daily event for sampling at midnight every night
algorithm.Schedule.On("Daily Sampling", algorithm.Schedule.DateRules.EveryDay(),
algorithm.Schedule.TimeRules.Midnight, () =>
{
results.Sample(algorithm.UtcTime);
});
//Loop over the queues: get a data collection, then pass them all into relevent methods in the algorithm.
Log.Trace($"AlgorithmManager.Run(): Begin DataStream - Start: {algorithm.StartDate} Stop: {algorithm.EndDate} Time: {algorithm.Time} Warmup: {algorithm.IsWarmingUp}");
foreach (var timeSlice in Stream(algorithm, synchronizer, results, token))
{
// reset our timer on each loop
TimeLimit.StartNewTimeStep();
//Check this backtest is still running:
if (_algorithm.Status != AlgorithmStatus.Running && _algorithm.RunTimeError == null)
{
Log.Error($"AlgorithmManager.Run(): Algorithm state changed to {_algorithm.Status} at {timeSlice.Time.ToStringInvariant()}");
break;
}
//Execute with TimeLimit Monitor:
if (token.IsCancellationRequested)
{
Log.Error($"AlgorithmManager.Run(): CancellationRequestion at {timeSlice.Time.ToStringInvariant()}");
return;
}
// Update the ILeanManager
leanManager.Update();
time = timeSlice.Time;
DataPoints += timeSlice.DataPointCount;
if (backtestMode && algorithm.Portfolio.TotalPortfolioValue <= 0)
{
var logMessage = "AlgorithmManager.Run(): Portfolio value is less than or equal to zero, stopping algorithm.";
Log.Error(logMessage);
results.SystemDebugMessage(logMessage);
break;
}
// If backtesting/warmup, we need to check if there are realtime events in the past
// which didn't fire because at the scheduled times there was no data (i.e. markets closed)
// and fire them with the correct date/time.
realtime.ScanPastEvents(time);
//Set the algorithm and real time handler's time
algorithm.SetDateTime(time);
// the time pulse are just to advance algorithm time, lets shortcut the loop here
if (timeSlice.IsTimePulse)
{
continue;
}
// Update the current slice before firing scheduled events or any other task
algorithm.SetCurrentSlice(timeSlice.Slice);
if (timeSlice.Slice.SymbolChangedEvents.Count != 0)
{
if (hasOnDataSymbolChangedEvents)
{
methodInvokers[typeof(SymbolChangedEvents)](algorithm, timeSlice.Slice.SymbolChangedEvents);
}
foreach (var symbol in timeSlice.Slice.SymbolChangedEvents.Keys)
{
// cancel all orders for the old symbol
foreach (var ticket in transactions.GetOpenOrderTickets(x => x.Symbol == symbol))
{
ticket.Cancel("Open order cancelled on symbol changed event");
}
}
}
if (timeSlice.SecurityChanges != SecurityChanges.None)
{
foreach (var security in timeSlice.SecurityChanges.AddedSecurities)
{
security.IsTradable = true;
// uses TryAdd, so don't need to worry about duplicates here
algorithm.Securities.Add(security);
}
var activeSecurities = algorithm.UniverseManager.ActiveSecurities;
foreach (var security in timeSlice.SecurityChanges.RemovedSecurities)
{
if (!activeSecurities.ContainsKey(security.Symbol))
{
security.IsTradable = false;
}
}
leanManager.OnSecuritiesChanged(timeSlice.SecurityChanges);
realtime.OnSecuritiesChanged(timeSlice.SecurityChanges);
results.OnSecuritiesChanged(timeSlice.SecurityChanges);
}
//Update the securities properties: first before calling user code to avoid issues with data
foreach (var update in timeSlice.SecuritiesUpdateData)
{
var security = update.Target;
security.Update(update.Data, update.DataType, update.ContainsFillForwardData);
if (!update.IsInternalConfig)
{
// Send market price updates to the TradeBuilder
algorithm.TradeBuilder.SetMarketPrice(security.Symbol, security.Price);
}
}
//Update the securities properties with any universe data
if (timeSlice.UniverseData.Count > 0)
{
foreach (var kvp in timeSlice.UniverseData)
{
foreach (var data in kvp.Value.Data)
{
Security security;
if (algorithm.Securities.TryGetValue(data.Symbol, out security))
{
security.Cache.StoreData(new[] { data }, data.GetType());
}
}
}
}
// poke each cash object to update from the recent security data
foreach (var cash in algorithm.Portfolio.CashBook.Values.Where(x => x.CurrencyConversion != null))
{
cash.Update();
}
// security prices got updated
algorithm.Portfolio.InvalidateTotalPortfolioValue();
// process fill models on the updated data before entering algorithm, applies to all non-market orders
transactions.ProcessSynchronousEvents();
// fire real time events after we've updated based on the new data
realtime.SetTime(timeSlice.Time);
// process split warnings for options
ProcessSplitSymbols(algorithm, splitWarnings, pendingDelistings);
//Check if the user's signalled Quit: loop over data until day changes.
if (_algorithm.Status != AlgorithmStatus.Running && _algorithm.RunTimeError == null)
{
Log.Error($"AlgorithmManager.Run(): Algorithm state changed to {_algorithm.Status} at {timeSlice.Time.ToStringInvariant()}");
break;
}
if (algorithm.RunTimeError != null)
{
Log.Error($"AlgorithmManager.Run(): Stopping, encountered a runtime error at {algorithm.UtcTime} UTC.");
return;
}
// perform margin calls, in live mode we can also use realtime to emit these
if (time >= nextMarginCallTime || (_liveMode && nextMarginCallTime > DateTime.UtcNow))
{
// determine if there are possible margin call orders to be executed
bool issueMarginCallWarning;
var marginCallOrders = algorithm.Portfolio.MarginCallModel.GetMarginCallOrders(out issueMarginCallWarning);
if (marginCallOrders.Count != 0)
{
var executingMarginCall = false;
try
{
// tell the algorithm we're about to issue the margin call
algorithm.OnMarginCall(marginCallOrders);
executingMarginCall = true;
// execute the margin call orders
var executedTickets = algorithm.Portfolio.MarginCallModel.ExecuteMarginCall(marginCallOrders);
foreach (var ticket in executedTickets)
{
algorithm.Error($"{algorithm.Time.ToStringInvariant()} - Executed MarginCallOrder: {ticket.Symbol} - " +
$"Quantity: {ticket.Quantity.ToStringInvariant()} @ {ticket.AverageFillPrice.ToStringInvariant()}"
);
}
}
catch (Exception err)
{
algorithm.SetRuntimeError(err, executingMarginCall ? "Portfolio.MarginCallModel.ExecuteMarginCall" : "OnMarginCall");
return;
}
}
// we didn't perform a margin call, but got the warning flag back, so issue the warning to the algorithm
else if (issueMarginCallWarning)
{
try
{
algorithm.OnMarginCallWarning();
}
catch (Exception err)
{
algorithm.SetRuntimeError(err, "OnMarginCallWarning");
return;
}
}
nextMarginCallTime = time + marginCallFrequency;
}
// perform check for settlement of unsettled funds
if (time >= nextSettlementScanTime || (_liveMode && nextSettlementScanTime > DateTime.UtcNow))
{
algorithm.Portfolio.ScanForCashSettlement(algorithm.UtcTime);
nextSettlementScanTime = time + settlementScanFrequency;
}
// before we call any events, let the algorithm know about universe changes
if (timeSlice.SecurityChanges != SecurityChanges.None)
{
try
{
var algorithmSecurityChanges = new SecurityChanges(timeSlice.SecurityChanges)
{
// by default for user code we want to filter out custom securities
FilterCustomSecurities = true,
// by default for user code we want to filter out internal securities
FilterInternalSecurities = true
};
algorithm.OnSecuritiesChanged(algorithmSecurityChanges);
algorithm.OnFrameworkSecuritiesChanged(algorithmSecurityChanges);
}
catch (Exception err)
{
algorithm.SetRuntimeError(err, "OnSecuritiesChanged");
return;
}
}
// apply dividends
foreach (var dividend in timeSlice.Slice.Dividends.Values)
{
Log.Debug($"AlgorithmManager.Run(): {algorithm.Time}: Applying Dividend: {dividend}");
Security security = null;
if (_liveMode && algorithm.Securities.TryGetValue(dividend.Symbol, out security))
{
Log.Trace($"AlgorithmManager.Run(): {algorithm.Time}: Pre-Dividend: {dividend}. " +
$"Security Holdings: {security.Holdings.Quantity} Account Currency Holdings: " +
$"{algorithm.Portfolio.CashBook[algorithm.AccountCurrency].Amount}");
}
var mode = algorithm.SubscriptionManager.SubscriptionDataConfigService
.GetSubscriptionDataConfigs(dividend.Symbol)
.DataNormalizationMode();
// apply the dividend event to the portfolio
algorithm.Portfolio.ApplyDividend(dividend, _liveMode, mode);
if (_liveMode && security != null)
{
Log.Trace($"AlgorithmManager.Run(): {algorithm.Time}: Post-Dividend: {dividend}. Security " +
$"Holdings: {security.Holdings.Quantity} Account Currency Holdings: " +
$"{algorithm.Portfolio.CashBook[algorithm.AccountCurrency].Amount}");
}
}
// apply splits
foreach (var split in timeSlice.Slice.Splits.Values)
{
try
{
// only process split occurred events (ignore warnings)
if (split.Type != SplitType.SplitOccurred)
{
continue;
}
Log.Debug($"AlgorithmManager.Run(): {algorithm.Time}: Applying Split for {split.Symbol}");
Security security = null;
if (_liveMode && algorithm.Securities.TryGetValue(split.Symbol, out security))
{
Log.Trace($"AlgorithmManager.Run(): {algorithm.Time}: Pre-Split for {split}. Security Price: {security.Price} Holdings: {security.Holdings.Quantity}");
}
var mode = algorithm.SubscriptionManager.SubscriptionDataConfigService
.GetSubscriptionDataConfigs(split.Symbol)
.DataNormalizationMode();
// apply the split event to the portfolio
algorithm.Portfolio.ApplySplit(split, _liveMode, mode);
if (_liveMode && security != null)
{
Log.Trace($"AlgorithmManager.Run(): {algorithm.Time}: Post-Split for {split}. Security Price: {security.Price} Holdings: {security.Holdings.Quantity}");
}
// apply the split to open orders as well in raw mode, all other modes are split adjusted
if (_liveMode || mode == DataNormalizationMode.Raw)
{
// in live mode we always want to have our order match the order at the brokerage, so apply the split to the orders
var openOrders = transactions.GetOpenOrderTickets(ticket => ticket.Symbol == split.Symbol);
algorithm.BrokerageModel.ApplySplit(openOrders.ToList(), split);
}
}
catch (Exception err)
{
algorithm.SetRuntimeError(err, "Split event");
return;
}
}
//Update registered consolidators for this symbol index
try
{
if (timeSlice.ConsolidatorUpdateData.Count > 0)
{
var timeKeeper = algorithm.TimeKeeper;
foreach (var update in timeSlice.ConsolidatorUpdateData)
{
var localTime = timeKeeper.GetLocalTimeKeeper(update.Target.ExchangeTimeZone).LocalTime;
var consolidators = update.Target.Consolidators;
foreach (var consolidator in consolidators)
{
foreach (var dataPoint in update.Data)
{
// only push data into consolidators on the native, subscribed to resolution
if (EndTimeIsInNativeResolution(update.Target, dataPoint.EndTime))
{
consolidator.Update(dataPoint);
}
}
// scan for time after we've pumped all the data through for this consolidator
consolidator.Scan(localTime);
}
}
}
}
catch (Exception err)
{
algorithm.SetRuntimeError(err, "Consolidators update");
return;
}
// fire custom event handlers
foreach (var update in timeSlice.CustomData)
{
MethodInvoker methodInvoker;
if (!methodInvokers.TryGetValue(update.DataType, out methodInvoker))
{
continue;
}
try
{
foreach (var dataPoint in update.Data)
{
if (update.DataType.IsInstanceOfType(dataPoint))
{
methodInvoker(algorithm, dataPoint);
}
}
}
catch (Exception err)
{
algorithm.SetRuntimeError(err, "Custom Data");
return;
}
}
try
{
// fire off the dividend and split events before pricing events
if (hasOnDataDividends && timeSlice.Slice.Dividends.Count != 0)
{
methodInvokers[typeof(Dividends)](algorithm, timeSlice.Slice.Dividends);
}
if (hasOnDataSplits && timeSlice.Slice.Splits.Count != 0)
{
methodInvokers[typeof(Splits)](algorithm, timeSlice.Slice.Splits);
}
if (hasOnDataDelistings && timeSlice.Slice.Delistings.Count != 0)
{
methodInvokers[typeof(Delistings)](algorithm, timeSlice.Slice.Delistings);
}
}
catch (Exception err)
{
algorithm.SetRuntimeError(err, "Dividends/Splits/Delistings");
return;
}
// Only track pending delistings in non-live mode.
if (!algorithm.LiveMode)
{
// Keep this up to date even though we don't process delistings here anymore
foreach (var delisting in timeSlice.Slice.Delistings.Values)
{
if (delisting.Type == DelistingType.Warning)
{
// Store our delistings warnings because they are still used by ProcessSplitSymbols above
pendingDelistings.Add(delisting);
}
else
{
// If we have an actual delisting event, remove it from pending delistings
var index = pendingDelistings.FindIndex(x => x.Symbol == delisting.Symbol);
if (index != -1)
{
pendingDelistings.RemoveAt(index);
}
}
}
}
// run split logic after firing split events
HandleSplitSymbols(timeSlice.Slice.Splits, splitWarnings);
//After we've fired all other events in this second, fire the pricing events:
try
{
if (hasOnDataTradeBars && timeSlice.Slice.Bars.Count > 0)
{
methodInvokers[typeof(TradeBars)](algorithm, timeSlice.Slice.Bars);
}
if (hasOnDataQuoteBars && timeSlice.Slice.QuoteBars.Count > 0)
{
methodInvokers[typeof(QuoteBars)](algorithm, timeSlice.Slice.QuoteBars);
}
if (hasOnDataOptionChains && timeSlice.Slice.OptionChains.Count > 0)
{
methodInvokers[typeof(OptionChains)](algorithm, timeSlice.Slice.OptionChains);
}
if (hasOnDataTicks && timeSlice.Slice.Ticks.Count > 0)
{
methodInvokers[typeof(Ticks)](algorithm, timeSlice.Slice.Ticks);
}
}
catch (Exception err)
{
algorithm.SetRuntimeError(err, "methodInvokers");
return;
}
try
{
if (timeSlice.Slice.HasData)
{
// EVENT HANDLER v3.0 -- all data in a single event
algorithm.OnData(timeSlice.Slice);
}
// always turn the crank on this method to ensure universe selection models function properly on day changes w/out data
algorithm.OnFrameworkData(timeSlice.Slice);
}
catch (Exception err)
{
algorithm.SetRuntimeError(err, "OnData");
return;
}
//If its the historical/paper trading models, wait until market orders have been "filled"
// Manually trigger the event handler to prevent thread switch.
transactions.ProcessSynchronousEvents();
// sample alpha charts now that we've updated time/price information and after transactions
// are processed so that insights closed because of new order based insights get updated
alphas.ProcessSynchronousEvents();
// send the alpha statistics to the result handler for storage/transmit with the result packets
results.SetAlphaRuntimeStatistics(alphas.RuntimeStatistics);
// Process any required events of the results handler such as sampling assets, equity, or stock prices.
results.ProcessSynchronousEvents();
// poke the algorithm at the end of each time step
algorithm.OnEndOfTimeStep();
} // End of ForEach feed.Bridge.GetConsumingEnumerable
// stop timing the loops
TimeLimit.StopEnforcingTimeLimit();
//Stream over:: Send the final packet and fire final events:
Log.Trace("AlgorithmManager.Run(): Firing On End Of Algorithm...");
try
{
algorithm.OnEndOfAlgorithm();
}
catch (Exception err)
{
algorithm.SetRuntimeError(err, "OnEndOfAlgorithm");
return;
}
// final processing now that the algorithm has completed
alphas.ProcessSynchronousEvents();
// send the final alpha statistics to the result handler for storage/transmit with the result packets
results.SetAlphaRuntimeStatistics(alphas.RuntimeStatistics);
// Process any required events of the results handler such as sampling assets, equity, or stock prices.
results.ProcessSynchronousEvents(forceProcess: true);
//Liquidate Holdings for Calculations:
if (_algorithm.Status == AlgorithmStatus.Liquidated && _liveMode)
{
Log.Trace("AlgorithmManager.Run(): Liquidating algorithm holdings...");
algorithm.Liquidate();
results.LogMessage("Algorithm Liquidated");
results.SendStatusUpdate(AlgorithmStatus.Liquidated);
}
//Manually stopped the algorithm
if (_algorithm.Status == AlgorithmStatus.Stopped)
{
Log.Trace("AlgorithmManager.Run(): Stopping algorithm...");
results.LogMessage("Algorithm Stopped");
results.SendStatusUpdate(AlgorithmStatus.Stopped);
}
//Backtest deleted.
if (_algorithm.Status == AlgorithmStatus.Deleted)
{
Log.Trace("AlgorithmManager.Run(): Deleting algorithm...");
results.DebugMessage("Algorithm Id:(" + job.AlgorithmId + ") Deleted by request.");
results.SendStatusUpdate(AlgorithmStatus.Deleted);
}
//Algorithm finished, send regardless of commands:
results.SendStatusUpdate(AlgorithmStatus.Completed);
SetStatus(AlgorithmStatus.Completed);
//Take final samples:
results.Sample(time);
} // End of Run();
/// <summary>
/// Launch the algorithm manager to run this strategy
/// </summary>
/// <param name="job">Algorithm job</param>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="feed">Datafeed object</param>
/// <param name="transactions">Transaction manager object</param>
/// <param name="results">Result handler object</param>
/// <param name="realtime">Realtime processing object</param>
/// <param name="leanManager">ILeanManager implementation that is updated periodically with the IAlgorithm instance</param>
/// <param name="alphas">Alpha handler used to process algorithm generated alphas</param>
/// <param name="token">Cancellation token</param>
/// <remarks>Modify with caution</remarks>
public void Run(AlgorithmNodePacket job, IAlgorithm algorithm, IDataFeed feed, ITransactionHandler transactions, IResultHandler results, IRealTimeHandler realtime, ILeanManager leanManager, IAlphaHandler alphas, CancellationToken token)
{
//Initialize:
_dataPointCount = 0;
_algorithm = algorithm;
var portfolioValue = algorithm.Portfolio.TotalPortfolioValue;
var backtestMode = (job.Type == PacketType.BacktestNode);
var methodInvokers = new Dictionary <Type, MethodInvoker>();
var marginCallFrequency = TimeSpan.FromMinutes(5);
var nextMarginCallTime = DateTime.MinValue;
var settlementScanFrequency = TimeSpan.FromMinutes(30);
var nextSettlementScanTime = DateTime.MinValue;
var delistings = new List <Delisting>();
//Initialize Properties:
_algorithmId = job.AlgorithmId;
_algorithm.Status = AlgorithmStatus.Running;
_previousTime = algorithm.StartDate.Date;
//Create the method accessors to push generic types into algorithm: Find all OnData events:
// Algorithm 2.0 data accessors
var hasOnDataTradeBars = AddMethodInvoker <TradeBars>(algorithm, methodInvokers);
var hasOnDataQuoteBars = AddMethodInvoker <QuoteBars>(algorithm, methodInvokers);
var hasOnDataOptionChains = AddMethodInvoker <OptionChains>(algorithm, methodInvokers);
var hasOnDataTicks = AddMethodInvoker <Ticks>(algorithm, methodInvokers);
// dividend and split events
var hasOnDataDividends = AddMethodInvoker <Dividends>(algorithm, methodInvokers);
var hasOnDataSplits = AddMethodInvoker <Splits>(algorithm, methodInvokers);
var hasOnDataDelistings = AddMethodInvoker <Delistings>(algorithm, methodInvokers);
var hasOnDataSymbolChangedEvents = AddMethodInvoker <SymbolChangedEvents>(algorithm, methodInvokers);
// Algorithm 3.0 data accessors
var hasOnDataSlice = algorithm.GetType().GetMethods()
.Where(x => x.Name == "OnData" && x.GetParameters().Length == 1 && x.GetParameters()[0].ParameterType == typeof(Slice))
.FirstOrDefault(x => x.DeclaringType == algorithm.GetType()) != null;
//Go through the subscription types and create invokers to trigger the event handlers for each custom type:
foreach (var config in algorithm.SubscriptionManager.Subscriptions)
{
//If type is a custom feed, check for a dedicated event handler
if (config.IsCustomData)
{
//Get the matching method for this event handler - e.g. public void OnData(Quandl data) { .. }
var genericMethod = (algorithm.GetType()).GetMethod("OnData", new[] { config.Type });
//If we already have this Type-handler then don't add it to invokers again.
if (methodInvokers.ContainsKey(config.Type))
{
continue;
}
//If we couldnt find the event handler, let the user know we can't fire that event.
if (genericMethod == null && !hasOnDataSlice)
{
algorithm.RunTimeError = new Exception("Data event handler not found, please create a function matching this template: public void OnData(" + config.Type.Name + " data) { }");
_algorithm.Status = AlgorithmStatus.RuntimeError;
return;
}
if (genericMethod != null)
{
methodInvokers.Add(config.Type, genericMethod.DelegateForCallMethod());
}
}
}
//Loop over the queues: get a data collection, then pass them all into relevent methods in the algorithm.
Log.Trace("AlgorithmManager.Run(): Begin DataStream - Start: " + algorithm.StartDate + " Stop: " + algorithm.EndDate);
foreach (var timeSlice in Stream(job, algorithm, feed, results, token))
{
// reset our timer on each loop
_currentTimeStepTime = DateTime.UtcNow;
//Check this backtest is still running:
if (_algorithm.Status != AlgorithmStatus.Running)
{
Log.Error(string.Format("AlgorithmManager.Run(): Algorithm state changed to {0} at {1}", _algorithm.Status, timeSlice.Time));
break;
}
//Execute with TimeLimit Monitor:
if (token.IsCancellationRequested)
{
Log.Error("AlgorithmManager.Run(): CancellationRequestion at " + timeSlice.Time);
return;
}
// Update the ILeanManager
leanManager.Update();
var time = timeSlice.Time;
_dataPointCount += timeSlice.DataPointCount;
//If we're in backtest mode we need to capture the daily performance. We do this here directly
//before updating the algorithm state with the new data from this time step, otherwise we'll
//produce incorrect samples (they'll take into account this time step's new price values)
if (backtestMode)
{
//On day-change sample equity and daily performance for statistics calculations
if (_previousTime.Date != time.Date)
{
SampleBenchmark(algorithm, results, _previousTime.Date);
//Sample the portfolio value over time for chart.
results.SampleEquity(_previousTime, Math.Round(algorithm.Portfolio.TotalPortfolioValue, 4));
//Check for divide by zero
if (portfolioValue == 0m)
{
results.SamplePerformance(_previousTime.Date, 0);
}
else
{
results.SamplePerformance(_previousTime.Date, Math.Round((algorithm.Portfolio.TotalPortfolioValue - portfolioValue) * 100 / portfolioValue, 10));
}
portfolioValue = algorithm.Portfolio.TotalPortfolioValue;
}
if (portfolioValue <= 0)
{
string logMessage = "AlgorithmManager.Run(): Portfolio value is less than or equal to zero";
Log.Trace(logMessage);
results.SystemDebugMessage(logMessage);
break;
}
}
else
{
// live mode continously sample the benchmark
SampleBenchmark(algorithm, results, time);
}
//Update algorithm state after capturing performance from previous day
// If backtesting, we need to check if there are realtime events in the past
// which didn't fire because at the scheduled times there was no data (i.e. markets closed)
// and fire them with the correct date/time.
if (backtestMode)
{
realtime.ScanPastEvents(time);
}
//Set the algorithm and real time handler's time
algorithm.SetDateTime(time);
if (timeSlice.Slice.SymbolChangedEvents.Count != 0)
{
if (hasOnDataSymbolChangedEvents)
{
methodInvokers[typeof(SymbolChangedEvents)](algorithm, timeSlice.Slice.SymbolChangedEvents);
}
foreach (var symbol in timeSlice.Slice.SymbolChangedEvents.Keys)
{
// cancel all orders for the old symbol
foreach (var ticket in transactions.GetOrderTickets(x => x.Status.IsOpen() && x.Symbol == symbol))
{
ticket.Cancel("Open order cancelled on symbol changed event");
}
}
}
if (timeSlice.SecurityChanges != SecurityChanges.None)
{
foreach (var security in timeSlice.SecurityChanges.AddedSecurities)
{
if (!algorithm.Securities.ContainsKey(security.Symbol))
{
// add the new security
algorithm.Securities.Add(security);
}
}
}
//On each time step push the real time prices to the cashbook so we can have updated conversion rates
foreach (var update in timeSlice.CashBookUpdateData)
{
var cash = update.Target;
foreach (var data in update.Data)
{
cash.Update(data);
}
}
//Update the securities properties: first before calling user code to avoid issues with data
foreach (var update in timeSlice.SecuritiesUpdateData)
{
var security = update.Target;
foreach (var data in update.Data)
{
security.SetMarketPrice(data);
}
// Send market price updates to the TradeBuilder
algorithm.TradeBuilder.SetMarketPrice(security.Symbol, security.Price);
}
// sample alpha charts now that we've updated time/price information but BEFORE we receive new alphas
alphas.ProcessSynchronousEvents();
// fire real time events after we've updated based on the new data
realtime.SetTime(timeSlice.Time);
// process fill models on the updated data before entering algorithm, applies to all non-market orders
transactions.ProcessSynchronousEvents();
// process end of day delistings
ProcessDelistedSymbols(algorithm, delistings);
//Check if the user's signalled Quit: loop over data until day changes.
if (algorithm.Status == AlgorithmStatus.Stopped)
{
Log.Trace("AlgorithmManager.Run(): Algorithm quit requested.");
break;
}
if (algorithm.RunTimeError != null)
{
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Trace(string.Format("AlgorithmManager.Run(): Algorithm encountered a runtime error at {0}. Error: {1}", timeSlice.Time, algorithm.RunTimeError));
break;
}
// perform margin calls, in live mode we can also use realtime to emit these
if (time >= nextMarginCallTime || (_liveMode && nextMarginCallTime > DateTime.UtcNow))
{
// determine if there are possible margin call orders to be executed
bool issueMarginCallWarning;
var marginCallOrders = algorithm.Portfolio.ScanForMarginCall(out issueMarginCallWarning);
if (marginCallOrders.Count != 0)
{
var executingMarginCall = false;
try
{
// tell the algorithm we're about to issue the margin call
algorithm.OnMarginCall(marginCallOrders);
executingMarginCall = true;
// execute the margin call orders
var executedTickets = algorithm.Portfolio.MarginCallModel.ExecuteMarginCall(marginCallOrders);
foreach (var ticket in executedTickets)
{
algorithm.Error(string.Format("{0} - Executed MarginCallOrder: {1} - Quantity: {2} @ {3}", algorithm.Time, ticket.Symbol, ticket.Quantity, ticket.AverageFillPrice));
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
var locator = executingMarginCall ? "Portfolio.MarginCallModel.ExecuteMarginCall" : "OnMarginCall";
Log.Error(string.Format("AlgorithmManager.Run(): RuntimeError: {0}: ", locator) + err);
return;
}
}
// we didn't perform a margin call, but got the warning flag back, so issue the warning to the algorithm
else if (issueMarginCallWarning)
{
try
{
algorithm.OnMarginCallWarning();
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: OnMarginCallWarning: " + err);
return;
}
}
nextMarginCallTime = time + marginCallFrequency;
}
// perform check for settlement of unsettled funds
if (time >= nextSettlementScanTime || (_liveMode && nextSettlementScanTime > DateTime.UtcNow))
{
algorithm.Portfolio.ScanForCashSettlement(algorithm.UtcTime);
nextSettlementScanTime = time + settlementScanFrequency;
}
// before we call any events, let the algorithm know about universe changes
if (timeSlice.SecurityChanges != SecurityChanges.None)
{
try
{
algorithm.OnSecuritiesChanged(timeSlice.SecurityChanges);
algorithm.OnFrameworkSecuritiesChanged(timeSlice.SecurityChanges);
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: OnSecuritiesChanged event: " + err);
return;
}
}
// apply dividends
foreach (var dividend in timeSlice.Slice.Dividends.Values)
{
Log.Debug($"AlgorithmManager.Run(): {algorithm.Time}: Applying Dividend for {dividend.Symbol}");
algorithm.Portfolio.ApplyDividend(dividend);
}
// apply splits
foreach (var split in timeSlice.Slice.Splits.Values)
{
try
{
Log.Debug($"AlgorithmManager.Run(): {algorithm.Time}: Applying Split for {split.Symbol}");
algorithm.Portfolio.ApplySplit(split);
// apply the split to open orders as well in raw mode, all other modes are split adjusted
if (_liveMode || algorithm.Securities[split.Symbol].DataNormalizationMode == DataNormalizationMode.Raw)
{
// in live mode we always want to have our order match the order at the brokerage, so apply the split to the orders
var openOrders = transactions.GetOrderTickets(ticket => ticket.Status.IsOpen() && ticket.Symbol == split.Symbol);
algorithm.BrokerageModel.ApplySplit(openOrders.ToList(), split);
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: Split event: " + err);
return;
}
}
//Update registered consolidators for this symbol index
try
{
foreach (var update in timeSlice.ConsolidatorUpdateData)
{
var consolidators = update.Target.Consolidators;
foreach (var consolidator in consolidators)
{
foreach (var dataPoint in update.Data)
{
// only push data into consolidators on the native, subscribed to resolution
if (EndTimeIsInNativeResolution(update.Target, dataPoint.EndTime))
{
consolidator.Update(dataPoint);
}
}
// scan for time after we've pumped all the data through for this consolidator
var localTime = time.ConvertFromUtc(update.Target.ExchangeTimeZone);
consolidator.Scan(localTime);
}
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: Consolidators update: " + err);
return;
}
// fire custom event handlers
foreach (var update in timeSlice.CustomData)
{
MethodInvoker methodInvoker;
if (!methodInvokers.TryGetValue(update.DataType, out methodInvoker))
{
continue;
}
try
{
foreach (var dataPoint in update.Data)
{
if (update.DataType.IsInstanceOfType(dataPoint))
{
methodInvoker(algorithm, dataPoint);
}
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: Custom Data: " + err);
return;
}
}
try
{
// fire off the dividend and split events before pricing events
if (hasOnDataDividends && timeSlice.Slice.Dividends.Count != 0)
{
methodInvokers[typeof(Dividends)](algorithm, timeSlice.Slice.Dividends);
}
if (hasOnDataSplits && timeSlice.Slice.Splits.Count != 0)
{
methodInvokers[typeof(Splits)](algorithm, timeSlice.Slice.Splits);
}
if (hasOnDataDelistings && timeSlice.Slice.Delistings.Count != 0)
{
methodInvokers[typeof(Delistings)](algorithm, timeSlice.Slice.Delistings);
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: Dividends/Splits/Delistings: " + err);
return;
}
// run the delisting logic after firing delisting events
HandleDelistedSymbols(algorithm, timeSlice.Slice.Delistings, delistings);
//After we've fired all other events in this second, fire the pricing events:
try
{
// TODO: For backwards compatibility only. Remove in 2017
// For compatibility with Forex Trade data, moving
if (timeSlice.Slice.QuoteBars.Count > 0)
{
foreach (var tradeBar in timeSlice.Slice.QuoteBars.Where(x => x.Key.ID.SecurityType == SecurityType.Forex))
{
timeSlice.Slice.Bars.Add(tradeBar.Value.Collapse());
}
}
if (hasOnDataTradeBars && timeSlice.Slice.Bars.Count > 0)
{
methodInvokers[typeof(TradeBars)](algorithm, timeSlice.Slice.Bars);
}
if (hasOnDataQuoteBars && timeSlice.Slice.QuoteBars.Count > 0)
{
methodInvokers[typeof(QuoteBars)](algorithm, timeSlice.Slice.QuoteBars);
}
if (hasOnDataOptionChains && timeSlice.Slice.OptionChains.Count > 0)
{
methodInvokers[typeof(OptionChains)](algorithm, timeSlice.Slice.OptionChains);
}
if (hasOnDataTicks && timeSlice.Slice.Ticks.Count > 0)
{
methodInvokers[typeof(Ticks)](algorithm, timeSlice.Slice.Ticks);
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: New Style Mode: " + err);
return;
}
try
{
if (timeSlice.Slice.HasData)
{
// EVENT HANDLER v3.0 -- all data in a single event
algorithm.OnData(timeSlice.Slice);
algorithm.OnFrameworkData(timeSlice.Slice);
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: Slice: " + err);
return;
}
//If its the historical/paper trading models, wait until market orders have been "filled"
// Manually trigger the event handler to prevent thread switch.
transactions.ProcessSynchronousEvents();
//Save the previous time for the sample calculations
_previousTime = time;
// send the alpha statistics to the result handler for storage/transmit with the result packets
results.SetAlphaRuntimeStatistics(alphas.RuntimeStatistics);
// Process any required events of the results handler such as sampling assets, equity, or stock prices.
results.ProcessSynchronousEvents();
} // End of ForEach feed.Bridge.GetConsumingEnumerable
// stop timing the loops
_currentTimeStepTime = DateTime.MinValue;
//Stream over:: Send the final packet and fire final events:
Log.Trace("AlgorithmManager.Run(): Firing On End Of Algorithm...");
try
{
algorithm.OnEndOfAlgorithm();
}
catch (Exception err)
{
_algorithm.Status = AlgorithmStatus.RuntimeError;
algorithm.RunTimeError = new Exception("Error running OnEndOfAlgorithm(): " + err.Message, err.InnerException);
Log.Error("AlgorithmManager.OnEndOfAlgorithm(): " + err);
return;
}
// final processing now that the algorithm has completed
alphas.ProcessSynchronousEvents();
// send the final alpha statistics to the result handler for storage/transmit with the result packets
results.SetAlphaRuntimeStatistics(alphas.RuntimeStatistics);
// Process any required events of the results handler such as sampling assets, equity, or stock prices.
results.ProcessSynchronousEvents(forceProcess: true);
//Liquidate Holdings for Calculations:
if (_algorithm.Status == AlgorithmStatus.Liquidated && _liveMode)
{
Log.Trace("AlgorithmManager.Run(): Liquidating algorithm holdings...");
algorithm.Liquidate();
results.LogMessage("Algorithm Liquidated");
results.SendStatusUpdate(AlgorithmStatus.Liquidated);
}
//Manually stopped the algorithm
if (_algorithm.Status == AlgorithmStatus.Stopped)
{
Log.Trace("AlgorithmManager.Run(): Stopping algorithm...");
results.LogMessage("Algorithm Stopped");
results.SendStatusUpdate(AlgorithmStatus.Stopped);
}
//Backtest deleted.
if (_algorithm.Status == AlgorithmStatus.Deleted)
{
Log.Trace("AlgorithmManager.Run(): Deleting algorithm...");
results.DebugMessage("Algorithm Id:(" + job.AlgorithmId + ") Deleted by request.");
results.SendStatusUpdate(AlgorithmStatus.Deleted);
}
//Algorithm finished, send regardless of commands:
results.SendStatusUpdate(AlgorithmStatus.Completed);
//Take final samples:
results.SampleRange(algorithm.GetChartUpdates());
results.SampleEquity(_previousTime, Math.Round(algorithm.Portfolio.TotalPortfolioValue, 4));
SampleBenchmark(algorithm, results, backtestMode ? _previousTime.Date : _previousTime);
//Check for divide by zero
if (portfolioValue == 0m)
{
results.SamplePerformance(backtestMode ? _previousTime.Date : _previousTime, 0m);
}
else
{
results.SamplePerformance(backtestMode ? _previousTime.Date : _previousTime,
Math.Round((algorithm.Portfolio.TotalPortfolioValue - portfolioValue) * 100 / portfolioValue, 10));
}
} // End of Run();
/// <summary>
/// Scans all the outstanding orders and applies the algorithm model fills to generate the order events
/// </summary>
public void Scan()
{
lock (_needsScanLock)
{
// there's usually nothing in here
if (!_needsScan)
{
return;
}
var stillNeedsScan = false;
// process each pending order to produce fills/fire events
foreach (var kvp in _pending.OrderBy(x => x.Key))
{
var order = kvp.Value;
if (order == null)
{
Log.Error("BacktestingBrokerage.Scan(): Null pending order found: " + kvp.Key);
_pending.TryRemove(kvp.Key, out order);
continue;
}
if (order.Status.IsClosed())
{
// this should never actually happen as we always remove closed orders as they happen
_pending.TryRemove(order.Id, out order);
continue;
}
// all order fills are processed on the next bar (except for market orders)
if (order.Time == Algorithm.UtcTime && order.Type != OrderType.Market)
{
stillNeedsScan = true;
continue;
}
var fills = new[] { new OrderEvent(order, Algorithm.UtcTime, 0) };
Security security;
if (!Algorithm.Securities.TryGetValue(order.Symbol, out security))
{
Log.Error("BacktestingBrokerage.Scan(): Unable to process order: " + order.Id + ". The security no longer exists.");
// invalidate the order in the algorithm before removing
OnOrderEvent(new OrderEvent(order, Algorithm.UtcTime, 0m)
{
Status = OrderStatus.Invalid
});
_pending.TryRemove(order.Id, out order);
continue;
}
// check if the time in force handler allows fills
if (order.TimeInForce.IsOrderExpired(security, order))
{
OnOrderEvent(new OrderEvent(order, Algorithm.UtcTime, 0m)
{
Status = OrderStatus.Canceled,
Message = "The order has expired."
});
_pending.TryRemove(order.Id, out order);
continue;
}
// check if we would actually be able to fill this
if (!Algorithm.BrokerageModel.CanExecuteOrder(security, order))
{
continue;
}
// verify sure we have enough cash to perform the fill
HasSufficientBuyingPowerForOrderResult hasSufficientBuyingPowerResult;
try
{
hasSufficientBuyingPowerResult = security.BuyingPowerModel.HasSufficientBuyingPowerForOrder(Algorithm.Portfolio, security, order);
}
catch (Exception err)
{
// if we threw an error just mark it as invalid and remove the order from our pending list
OnOrderEvent(new OrderEvent(order, Algorithm.UtcTime, 0m, err.Message)
{
Status = OrderStatus.Invalid
});
Order pending;
_pending.TryRemove(order.Id, out pending);
Log.Error(err);
Algorithm.Error($"Order Error: id: {order.Id}, Error executing margin models: {err.Message}");
continue;
}
//Before we check this queued order make sure we have buying power:
if (hasSufficientBuyingPowerResult.IsSufficient)
{
//Model:
var model = security.FillModel;
//Based on the order type: refresh its model to get fill price and quantity
try
{
switch (order.Type)
{
case OrderType.Limit:
fills = new[] { model.LimitFill(security, order as LimitOrder) };
break;
case OrderType.StopMarket:
fills = new[] { model.StopMarketFill(security, order as StopMarketOrder) };
break;
case OrderType.Market:
fills = new[] { model.MarketFill(security, order as MarketOrder) };
break;
case OrderType.StopLimit:
fills = new[] { model.StopLimitFill(security, order as StopLimitOrder) };
break;
case OrderType.MarketOnOpen:
fills = new[] { model.MarketOnOpenFill(security, order as MarketOnOpenOrder) };
break;
case OrderType.MarketOnClose:
fills = new[] { model.MarketOnCloseFill(security, order as MarketOnCloseOrder) };
break;
case OrderType.OptionExercise:
var option = (Option)security;
fills = option.OptionExerciseModel.OptionExercise(option, order as OptionExerciseOrder).ToArray();
break;
}
}
catch (Exception err)
{
Log.Error(err);
Algorithm.Error($"Order Error: id: {order.Id}, Transaction model failed to fill for order type: {order.Type} with error: {err.Message}");
}
}
else
{
// invalidate the order in the algorithm before removing
var message = $"Insufficient buying power to complete order (Value:{order.GetValue(security).SmartRounding()}), Reason: {hasSufficientBuyingPowerResult.Reason}.";
OnOrderEvent(new OrderEvent(order, Algorithm.UtcTime, 0m, message)
{
Status = OrderStatus.Invalid
});
Order pending;
_pending.TryRemove(order.Id, out pending);
Algorithm.Error($"Order Error: id: {order.Id}, {message}");
continue;
}
foreach (var fill in fills)
{
// check if the fill should be emitted
if (!order.TimeInForce.IsFillValid(security, order, fill))
{
break;
}
// change in status or a new fill
if (order.Status != fill.Status || fill.FillQuantity != 0)
{
//If the fill models come back suggesting filled, process the affects on portfolio
OnOrderEvent(fill);
}
if (order.Type == OrderType.OptionExercise)
{
fill.Message = order.Tag;
OnOptionPositionAssigned(fill);
}
}
if (fills.All(x => x.Status.IsClosed()))
{
_pending.TryRemove(order.Id, out order);
}
else
{
stillNeedsScan = true;
}
}
// if we didn't fill then we need to continue to scan
_needsScan = stillNeedsScan;
}
}
/********************************************************
* CLASS METHODS
*********************************************************/
/// <summary>
/// Launch the algorithm manager to run this strategy
/// </summary>
/// <param name="job">Algorithm job</param>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="feed">Datafeed object</param>
/// <param name="transactions">Transaction manager object</param>
/// <param name="results">Result handler object</param>
/// <param name="setup">Setup handler object</param>
/// <param name="realtime">Realtime processing object</param>
/// <remarks>Modify with caution</remarks>
public static void Run(AlgorithmNodePacket job, IAlgorithm algorithm, IDataFeed feed, ITransactionHandler transactions, IResultHandler results, ISetupHandler setup, IRealTimeHandler realtime)
{
//Initialize:
_dataPointCount = 0;
var startingPortfolioValue = setup.StartingPortfolioValue;
var backtestMode = (job.Type == PacketType.BacktestNode);
var methodInvokers = new Dictionary <Type, MethodInvoker>();
var marginCallFrequency = TimeSpan.FromMinutes(5);
var nextMarginCallTime = DateTime.MinValue;
//Initialize Properties:
_algorithmId = job.AlgorithmId;
_algorithmState = AlgorithmStatus.Running;
_previousTime = setup.StartingDate.Date;
//Create the method accessors to push generic types into algorithm: Find all OnData events:
// Algorithm 1.0 data accessors
var hasOnTradeBar = AddMethodInvoker <Dictionary <string, TradeBar> >(algorithm, methodInvokers, "OnTradeBar");
var hasOnTick = AddMethodInvoker <Dictionary <string, List <Tick> > >(algorithm, methodInvokers, "OnTick");
// Algorithm 2.0 data accessors
var hasOnDataTradeBars = AddMethodInvoker <TradeBars>(algorithm, methodInvokers);
var hasOnDataTicks = AddMethodInvoker <Ticks>(algorithm, methodInvokers);
// determine what mode we're in
var backwardsCompatibilityMode = !hasOnDataTradeBars && !hasOnDataTicks;
// dividend and split events
var hasOnDataDividends = AddMethodInvoker <Dividends>(algorithm, methodInvokers);
var hasOnDataSplits = AddMethodInvoker <Splits>(algorithm, methodInvokers);
//Go through the subscription types and create invokers to trigger the event handlers for each custom type:
foreach (var config in feed.Subscriptions)
{
//If type is a tradebar, combine tradebars and ticks into unified array:
if (config.Type.Name != "TradeBar" && config.Type.Name != "Tick")
{
//Get the matching method for this event handler - e.g. public void OnData(Quandl data) { .. }
var genericMethod = (algorithm.GetType()).GetMethod("OnData", new[] { config.Type });
//If we already have this Type-handler then don't add it to invokers again.
if (methodInvokers.ContainsKey(config.Type))
{
continue;
}
//If we couldnt find the event handler, let the user know we can't fire that event.
if (genericMethod == null)
{
algorithm.RunTimeError = new Exception("Data event handler not found, please create a function matching this template: public void OnData(" + config.Type.Name + " data) { }");
_algorithmState = AlgorithmStatus.RuntimeError;
return;
}
methodInvokers.Add(config.Type, genericMethod.DelegateForCallMethod());
}
}
//Loop over the queues: get a data collection, then pass them all into relevent methods in the algorithm.
Log.Debug("AlgorithmManager.Run(): Algorithm initialized, launching time loop.");
foreach (var newData in DataStream.GetData(feed, setup.StartingDate))
{
// reset our timer on each loop
_currentTimeStepStopwatch = Stopwatch.StartNew();
//Check this backtest is still running:
if (_algorithmState != AlgorithmStatus.Running)
{
break;
}
//Execute with TimeLimit Monitor:
if (Isolator.IsCancellationRequested)
{
return;
}
var time = DataStream.AlorithmTime;
//If we're in backtest mode we need to capture the daily performance. We do this here directly
//before updating the algorithm state with the new data from this time step, otherwise we'll
//produce incorrect samples (they'll take into account this time step's new price values)
if (backtestMode)
{
//Refresh the realtime event monitor:
//in backtest mode use the algorithms clock as realtime.
realtime.SetTime(time);
//On day-change sample equity and daily performance for statistics calculations
if (_previousTime.Date != time.Date)
{
//Sample the portfolio value over time for chart.
results.SampleEquity(_previousTime, Math.Round(algorithm.Portfolio.TotalPortfolioValue, 4));
//Check for divide by zero
if (startingPortfolioValue == 0m)
{
results.SamplePerformance(_previousTime.Date, 0);
}
else
{
results.SamplePerformance(_previousTime.Date, Math.Round((algorithm.Portfolio.TotalPortfolioValue - startingPortfolioValue) * 100 / startingPortfolioValue, 10));
}
startingPortfolioValue = algorithm.Portfolio.TotalPortfolioValue;
}
}
//Update algorithm state after capturing performance from previous day
//On each time step push the real time prices to the cashbook so we can have updated conversion rates
algorithm.Portfolio.CashBook.Update(newData);
//Update the securities properties: first before calling user code to avoid issues with data
algorithm.Securities.Update(time, newData);
// perform margin calls, in live mode we can also use realtime to emit these
if (time >= nextMarginCallTime || (Engine.LiveMode && nextMarginCallTime > DateTime.Now))
{
// determine if there are possible margin call orders to be executed
bool issueMarginCallWarning;
var marginCallOrders = algorithm.Portfolio.ScanForMarginCall(out issueMarginCallWarning);
if (marginCallOrders.Count != 0)
{
try
{
// tell the algorithm we're about to issue the margin call
algorithm.OnMarginCall(marginCallOrders);
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Debug("AlgorithmManager.Run(): RuntimeError: OnMarginCall: " + err.Message + " STACK >>> " + err.StackTrace);
return;
}
// execute the margin call orders
var executedOrders = algorithm.Portfolio.MarginCallModel.ExecuteMarginCall(marginCallOrders);
foreach (var order in executedOrders)
{
algorithm.Error(string.Format("{0} - Executed MarginCallOrder: {1} - Quantity: {2} @ {3}", algorithm.Time, order.Symbol, order.Quantity, order.Price));
}
}
// we didn't perform a margin call, but got the warning flag back, so issue the warning to the algorithm
else if (issueMarginCallWarning)
{
try
{
algorithm.OnMarginCallWarning();
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Debug("AlgorithmManager.Run(): RuntimeError: OnMarginCallWarning: " + err.Message + " STACK >>> " + err.StackTrace);
}
}
nextMarginCallTime = time + marginCallFrequency;
}
//Check if the user's signalled Quit: loop over data until day changes.
if (algorithm.GetQuit())
{
_algorithmState = AlgorithmStatus.Quit;
break;
}
if (algorithm.RunTimeError != null)
{
_algorithmState = AlgorithmStatus.RuntimeError;
break;
}
//Pass in the new time first:
algorithm.SetDateTime(time);
//Trigger the data events: Invoke the types we have data for:
var oldBars = new Dictionary <string, TradeBar>();
var oldTicks = new Dictionary <string, List <Tick> >();
var newBars = new TradeBars(time);
var newTicks = new Ticks(time);
var newDividends = new Dividends(time);
var newSplits = new Splits(time);
//Invoke all non-tradebars, non-ticks methods and build up the TradeBars and Ticks dictionaries
// --> i == Subscription Configuration Index, so we don't need to compare types.
foreach (var i in newData.Keys)
{
//Data point and config of this point:
var dataPoints = newData[i];
var config = feed.Subscriptions[i];
//Keep track of how many data points we've processed
_dataPointCount += dataPoints.Count;
//We don't want to pump data that we added just for currency conversions
if (config.IsInternalFeed)
{
continue;
}
//Create TradeBars Unified Data --> OR --> invoke generic data event. One loop.
// Aggregate Dividends and Splits -- invoke portfolio application methods
foreach (var dataPoint in dataPoints)
{
var dividend = dataPoint as Dividend;
if (dividend != null)
{
Log.Trace("AlgorithmManager.Run(): Applying Dividend for " + dividend.Symbol);
// if this is a dividend apply to portfolio
algorithm.Portfolio.ApplyDividend(dividend);
if (hasOnDataDividends)
{
// and add to our data dictionary to pump into OnData(Dividends data)
newDividends.Add(dividend);
}
continue;
}
var split = dataPoint as Split;
if (split != null)
{
Log.Trace("AlgorithmManager.Run(): Applying Split for " + split.Symbol);
// if this is a split apply to portfolio
algorithm.Portfolio.ApplySplit(split);
if (hasOnDataSplits)
{
// and add to our data dictionary to pump into OnData(Splits data)
newSplits.Add(split);
}
continue;
}
//Update registered consolidators for this symbol index
try
{
for (var j = 0; j < config.Consolidators.Count; j++)
{
config.Consolidators[j].Update(dataPoint);
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: Consolidators update: " + err.Message);
return;
}
// TRADEBAR -- add to our dictionary
var bar = dataPoint as TradeBar;
if (bar != null)
{
try
{
if (backwardsCompatibilityMode)
{
oldBars[bar.Symbol] = bar;
}
else
{
newBars[bar.Symbol] = bar;
}
}
catch (Exception err)
{
Log.Error(time.ToLongTimeString() + " >> " + bar.Time.ToLongTimeString() + " >> " + bar.Symbol + " >> "
+ bar.Value.ToString("C"));
Log.Error("AlgorithmManager.Run(): Failed to add TradeBar (" + bar.Symbol + ") Time: (" + time.ToLongTimeString()
+ ") Count:(" + newBars.Count + ") " + err.Message);
}
continue;
}
// TICK -- add to our dictionary
var tick = dataPoint as Tick;
if (tick != null)
{
if (backwardsCompatibilityMode)
{
List <Tick> ticks;
if (!oldTicks.TryGetValue(tick.Symbol, out ticks))
{
ticks = new List <Tick>(3);
oldTicks.Add(tick.Symbol, ticks);
}
ticks.Add(tick);
}
else
{
List <Tick> ticks;
if (!newTicks.TryGetValue(tick.Symbol, out ticks))
{
ticks = new List <Tick>(3);
newTicks.Add(tick.Symbol, ticks);
}
ticks.Add(tick);
}
continue;
}
// if it was nothing else then it must be custom data
// CUSTOM DATA -- invoke on data method
//Send data into the generic algorithm event handlers
try
{
methodInvokers[config.Type](algorithm, dataPoint);
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Debug("AlgorithmManager.Run(): RuntimeError: Custom Data: " + err.Message + " STACK >>> " + err.StackTrace);
return;
}
}
}
try
{
// fire off the dividend and split events before pricing events
if (hasOnDataDividends && newDividends.Count != 0)
{
methodInvokers[typeof(Dividends)](algorithm, newDividends);
}
if (hasOnDataSplits && newSplits.Count != 0)
{
methodInvokers[typeof(Splits)](algorithm, newSplits);
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Debug("AlgorithmManager.Run(): RuntimeError: Dividends/Splits: " + err.Message + " STACK >>> " + err.StackTrace);
return;
}
//After we've fired all other events in this second, fire the pricing events:
if (backwardsCompatibilityMode)
{
//Log.Debug("AlgorithmManager.Run(): Invoking v1.0 Event Handlers...");
try
{
if (hasOnTradeBar && oldBars.Count > 0)
{
methodInvokers[typeof(Dictionary <string, TradeBar>)](algorithm, oldBars);
}
if (hasOnTick && oldTicks.Count > 0)
{
methodInvokers[typeof(Dictionary <string, List <Tick> >)](algorithm, oldTicks);
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Debug("AlgorithmManager.Run(): RuntimeError: Backwards Compatibility Mode: " + err.Message + " STACK >>> " + err.StackTrace);
return;
}
}
else
{
//Log.Debug("AlgorithmManager.Run(): Invoking v2.0 Event Handlers...");
try
{
if (hasOnDataTradeBars && newBars.Count > 0)
{
methodInvokers[typeof(TradeBars)](algorithm, newBars);
}
if (hasOnDataTicks && newTicks.Count > 0)
{
methodInvokers[typeof(Ticks)](algorithm, newTicks);
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Debug("AlgorithmManager.Run(): RuntimeError: New Style Mode: " + err.Message + " STACK >>> " + err.StackTrace);
return;
}
}
//If its the historical/paper trading models, wait until market orders have been "filled"
// Manually trigger the event handler to prevent thread switch.
transactions.ProcessSynchronousEvents();
//Save the previous time for the sample calculations
_previousTime = time;
// Process any required events of the results handler such as sampling assets, equity, or stock prices.
results.ProcessSynchronousEvents();
} // End of ForEach DataStream
//Stream over:: Send the final packet and fire final events:
Log.Trace("AlgorithmManager.Run(): Firing On End Of Algorithm...");
try
{
algorithm.OnEndOfAlgorithm();
}
catch (Exception err)
{
_algorithmState = AlgorithmStatus.RuntimeError;
algorithm.RunTimeError = new Exception("Error running OnEndOfAlgorithm(): " + err.Message, err.InnerException);
Log.Debug("AlgorithmManager.OnEndOfAlgorithm(): " + err.Message + " STACK >>> " + err.StackTrace);
return;
}
// Process any required events of the results handler such as sampling assets, equity, or stock prices.
results.ProcessSynchronousEvents(forceProcess: true);
//Liquidate Holdings for Calculations:
if (_algorithmState == AlgorithmStatus.Liquidated || !Engine.LiveMode)
{
// without this we can't liquidate equities since the exchange is 'technically' closed
var hackedFrontier = algorithm.Time == DateTime.MinValue ? DateTime.MinValue : algorithm.Time.AddMilliseconds(-1);
algorithm.SetDateTime(hackedFrontier);
foreach (var security in algorithm.Securities)
{
security.Value.SetMarketPrice(hackedFrontier, null);
}
Log.Trace("AlgorithmManager.Run(): Liquidating algorithm holdings...");
algorithm.Liquidate();
results.LogMessage("Algorithm Liquidated");
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Liquidated);
}
//Manually stopped the algorithm
if (_algorithmState == AlgorithmStatus.Stopped)
{
Log.Trace("AlgorithmManager.Run(): Stopping algorithm...");
results.LogMessage("Algorithm Stopped");
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Stopped);
}
//Backtest deleted.
if (_algorithmState == AlgorithmStatus.Deleted)
{
Log.Trace("AlgorithmManager.Run(): Deleting algorithm...");
results.DebugMessage("Algorithm Id:(" + job.AlgorithmId + ") Deleted by request.");
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Deleted);
}
//Algorithm finished, send regardless of commands:
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Completed);
//Take final samples:
results.SampleRange(algorithm.GetChartUpdates());
results.SampleEquity(DataStream.AlorithmTime, Math.Round(algorithm.Portfolio.TotalPortfolioValue, 4));
results.SamplePerformance(DataStream.AlorithmTime, Math.Round((algorithm.Portfolio.TotalPortfolioValue - startingPortfolioValue) * 100 / startingPortfolioValue, 10));
} // End of Run();
/// <summary>
/// Handles the message
/// </summary>
/// <param name="message">The message to be handled</param>
public void Handle(BrokerageMessageEvent message)
{
// based on message type dispatch to result handler
switch (message.Type)
{
case BrokerageMessageType.Information:
_algorithm.Debug("Brokerage Info: " + message.Message);
break;
case BrokerageMessageType.Warning:
_algorithm.Error("Brokerage Warning: " + message.Message);
_api.SendUserEmail(_job.AlgorithmId, "Brokerage Warning", message.Message);
break;
case BrokerageMessageType.Error:
_algorithm.Error("Brokerage Error: " + message.Message);
_algorithm.RunTimeError = new Exception(message.Message);
break;
case BrokerageMessageType.Disconnect:
_connected = false;
Log.Trace("DefaultBrokerageMessageHandler.Handle(): Disconnected.");
// check to see if any non-custom security exchanges are open within the next x minutes
var open = (from kvp in _algorithm.Securities
let security = kvp.Value
where security.Type != SecurityType.Base
let exchange = security.Exchange
let localTime = _algorithm.UtcTime.ConvertFromUtc(exchange.TimeZone)
where exchange.IsOpenDuringBar(localTime, localTime + _openThreshold, security.IsExtendedMarketHours)
select security).Any();
// if any are open then we need to kill the algorithm
if (open)
{
// wait 15 minutes before killing algorithm
StartCheckReconnected(_initialDelay, message);
}
else
{
Log.Trace("DefaultBrokerageMessageHandler.Handle(): Disconnect when exchanges are closed, checking back before exchange open.");
// if they aren't open, we'll need to check again a little bit before markets open
DateTime nextMarketOpenUtc;
if (_algorithm.Securities.Count != 0)
{
nextMarketOpenUtc = (from kvp in _algorithm.Securities
let security = kvp.Value
where security.Type != SecurityType.Base
let exchange = security.Exchange
let localTime = _algorithm.UtcTime.ConvertFromUtc(exchange.TimeZone)
let marketOpen = exchange.Hours.GetNextMarketOpen(localTime, security.IsExtendedMarketHours)
let marketOpenUtc = marketOpen.ConvertToUtc(exchange.TimeZone)
select marketOpenUtc).Min();
}
else
{
// if we have no securities just make next market open an hour from now
nextMarketOpenUtc = DateTime.UtcNow.AddHours(1);
}
var timeUntilNextMarketOpen = nextMarketOpenUtc - DateTime.UtcNow - _openThreshold;
// wake up 5 minutes before market open and check if we've reconnected
StartCheckReconnected(timeUntilNextMarketOpen, message);
}
break;
case BrokerageMessageType.Reconnect:
_connected = true;
Log.Trace("DefaultBrokerageMessageHandler.Handle(): Reconnected.");
if (_cancellationTokenSource != null && !_cancellationTokenSource.IsCancellationRequested)
{
_cancellationTokenSource.Cancel();
}
break;
}
}
/// <summary>
/// Handles a request to submit a new order
/// </summary>
private OrderResponse HandleSubmitOrderRequest(SubmitOrderRequest request)
{
OrderTicket ticket;
var order = Order.CreateOrder(request);
// ensure the order is tagged with a currency
var security = _algorithm.Securities[order.Symbol];
order.PriceCurrency = security.SymbolProperties.QuoteCurrency;
// rounds off the order towards 0 to the nearest multiple of lot size
order.Quantity = RoundOffOrder(order, security);
if (!_orders.TryAdd(order.Id, order))
{
Log.Error("BrokerageTransactionHandler.HandleSubmitOrderRequest(): Unable to add new order, order not processed.");
return(OrderResponse.Error(request, OrderResponseErrorCode.OrderAlreadyExists, "Cannot process submit request because order with id {0} already exists"));
}
if (!_orderTickets.TryGetValue(order.Id, out ticket))
{
Log.Error("BrokerageTransactionHandler.HandleSubmitOrderRequest(): Unable to retrieve order ticket, order not processed.");
return(OrderResponse.UnableToFindOrder(request));
}
// rounds the order prices
RoundOrderPrices(order, security);
// update the ticket's internal storage with this new order reference
ticket.SetOrder(order);
if (order.Quantity == 0)
{
order.Status = OrderStatus.Invalid;
var response = OrderResponse.ZeroQuantity(request);
_algorithm.Error(response.ErrorMessage);
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "Unable to add order for zero quantity"));
return(response);
}
// check to see if we have enough money to place the order
bool sufficientCapitalForOrder;
try
{
sufficientCapitalForOrder = _algorithm.Transactions.GetSufficientCapitalForOrder(_algorithm.Portfolio, order);
}
catch (Exception err)
{
Log.Error(err);
_algorithm.Error(string.Format("Order Error: id: {0}, Error executing margin models: {1}", order.Id, err.Message));
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "Error executing margin models"));
return(OrderResponse.Error(request, OrderResponseErrorCode.ProcessingError, "Error in GetSufficientCapitalForOrder"));
}
if (!sufficientCapitalForOrder)
{
order.Status = OrderStatus.Invalid;
var response = OrderResponse.Error(request, OrderResponseErrorCode.InsufficientBuyingPower, string.Format("Order Error: id: {0}, Insufficient buying power to complete order (Value:{1}).", order.Id, order.GetValue(security).SmartRounding()));
_algorithm.Error(response.ErrorMessage);
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "Insufficient buying power to complete order"));
return(response);
}
// verify that our current brokerage can actually take the order
BrokerageMessageEvent message;
if (!_algorithm.BrokerageModel.CanSubmitOrder(security, order, out message))
{
// if we couldn't actually process the order, mark it as invalid and bail
order.Status = OrderStatus.Invalid;
if (message == null)
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "InvalidOrder", "BrokerageModel declared unable to submit order: " + order.Id);
}
var response = OrderResponse.Error(request, OrderResponseErrorCode.BrokerageModelRefusedToSubmitOrder, "OrderID: " + order.Id + " " + message);
_algorithm.Error(response.ErrorMessage);
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "BrokerageModel declared unable to submit order"));
return(response);
}
// set the order status based on whether or not we successfully submitted the order to the market
bool orderPlaced;
try
{
orderPlaced = _brokerage.PlaceOrder(order);
}
catch (Exception err)
{
Log.Error(err);
orderPlaced = false;
}
if (!orderPlaced)
{
// we failed to submit the order, invalidate it
order.Status = OrderStatus.Invalid;
var errorMessage = "Brokerage failed to place order: " + order.Id;
var response = OrderResponse.Error(request, OrderResponseErrorCode.BrokerageFailedToSubmitOrder, errorMessage);
_algorithm.Error(response.ErrorMessage);
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "Brokerage failed to place order"));
return(response);
}
order.Status = OrderStatus.Submitted;
return(OrderResponse.Success(request));
}
/// <summary> /// Send an error message for the algorithm /// </summary> /// <param name="message">String message</param> public void Error(string message) => _baseAlgorithm.Error(message);
/// <summary>
/// Applies universe selection the the data feed and algorithm
/// </summary>
/// <param name="universe">The universe to perform selection on</param>
/// <param name="dateTimeUtc">The current date time in utc</param>
/// <param name="universeData">The data provided to perform selection with</param>
public SecurityChanges ApplyUniverseSelection(Universe universe, DateTime dateTimeUtc, BaseDataCollection universeData)
{
IEnumerable <Symbol> selectSymbolsResult;
// check if this universe must be filtered with fine fundamental data
var fineFiltered = universe as FineFundamentalFilteredUniverse;
if (fineFiltered != null)
{
// perform initial filtering and limit the result
selectSymbolsResult = universe.SelectSymbols(dateTimeUtc, universeData);
// prepare a BaseDataCollection of FineFundamental instances
var fineCollection = new BaseDataCollection();
var dataFileProvider = new DefaultDataFileProvider();
foreach (var symbol in selectSymbolsResult)
{
var factory = new FineFundamentalSubscriptionEnumeratorFactory(_algorithm.LiveMode, x => new[] { dateTimeUtc });
var config = FineFundamentalUniverse.CreateConfiguration(symbol);
var security = universe.CreateSecurity(symbol, _algorithm, _marketHoursDatabase, _symbolPropertiesDatabase);
var request = new SubscriptionRequest(true, universe, security, config, dateTimeUtc, dateTimeUtc);
var enumerator = factory.CreateEnumerator(request, dataFileProvider);
if (enumerator.MoveNext())
{
fineCollection.Data.Add(enumerator.Current);
}
}
// perform the fine fundamental universe selection
selectSymbolsResult = fineFiltered.FineFundamentalUniverse.PerformSelection(dateTimeUtc, fineCollection);
}
else
{
// perform initial filtering and limit the result
selectSymbolsResult = universe.PerformSelection(dateTimeUtc, universeData);
}
// check for no changes first
if (ReferenceEquals(selectSymbolsResult, Universe.Unchanged))
{
return(SecurityChanges.None);
}
// materialize the enumerable into a set for processing
var selections = selectSymbolsResult.ToHashSet();
var additions = new List <Security>();
var removals = new List <Security>();
var algorithmEndDateUtc = _algorithm.EndDate.ConvertToUtc(_algorithm.TimeZone);
// remove previously deselected members which were kept in the universe because of holdings or open orders
foreach (var member in _pendingRemovals.ToList())
{
var openOrders = _algorithm.Transactions.GetOrders(x => x.Status.IsOpen() && x.Symbol == member.Symbol);
if (!member.HoldStock && !openOrders.Any())
{
RemoveSecurityFromUniverse(universe, member, removals, dateTimeUtc, algorithmEndDateUtc);
_pendingRemovals.Remove(member);
}
}
// determine which data subscriptions need to be removed from this universe
foreach (var member in universe.Members.Values)
{
// if we've selected this subscription again, keep it
if (selections.Contains(member.Symbol))
{
continue;
}
// don't remove if the universe wants to keep him in
if (!universe.CanRemoveMember(dateTimeUtc, member))
{
continue;
}
// remove the member - this marks this member as not being
// selected by the universe, but it may remain in the universe
// until open orders are closed and the security is liquidated
removals.Add(member);
// but don't physically remove it from the algorithm if we hold stock or have open orders against it
var openOrders = _algorithm.Transactions.GetOrders(x => x.Status.IsOpen() && x.Symbol == member.Symbol);
if (!member.HoldStock && !openOrders.Any())
{
RemoveSecurityFromUniverse(universe, member, removals, dateTimeUtc, algorithmEndDateUtc);
}
else
{
_pendingRemovals.Add(member);
}
}
// find new selections and add them to the algorithm
foreach (var symbol in selections)
{
// create the new security, the algorithm thread will add this at the appropriate time
Security security;
if (!_algorithm.Securities.TryGetValue(symbol, out security))
{
security = universe.CreateSecurity(symbol, _algorithm, _marketHoursDatabase, _symbolPropertiesDatabase);
}
var addedSubscription = false;
foreach (var request in universe.GetSubscriptionRequests(security, dateTimeUtc, algorithmEndDateUtc))
{
// ask the limiter if we can add another subscription at that resolution
string reason;
if (!_limiter.CanAddSubscription(request.Configuration.Resolution, out reason))
{
// should we be counting universe subscriptions against user subscriptions limits?
_algorithm.Error(reason);
Log.Trace("UniverseSelection.ApplyUniverseSelection(): Skipping adding subscription: " + request.Configuration.Symbol.ToString() + ": " + reason);
continue;
}
// add the new subscriptions to the data feed
_dataFeed.AddSubscription(request);
// only update our security changes if we actually added data
if (!request.IsUniverseSubscription)
{
addedSubscription = true;
}
}
if (addedSubscription)
{
var addedMember = universe.AddMember(dateTimeUtc, security);
if (addedMember)
{
additions.Add(security);
}
}
}
// Add currency data feeds that weren't explicitly added in Initialize
if (additions.Count > 0)
{
var addedSecurities = _algorithm.Portfolio.CashBook.EnsureCurrencyDataFeeds(_algorithm.Securities, _algorithm.SubscriptionManager, _marketHoursDatabase, _symbolPropertiesDatabase, _algorithm.BrokerageModel.DefaultMarkets);
foreach (var security in addedSecurities)
{
// assume currency feeds are always one subscription per, these are typically quote subscriptions
_dataFeed.AddSubscription(new SubscriptionRequest(false, universe, security, security.Subscriptions.First(), dateTimeUtc, algorithmEndDateUtc));
}
}
// return None if there's no changes, otherwise return what we've modified
var securityChanges = additions.Count + removals.Count != 0
? new SecurityChanges(additions, removals)
: SecurityChanges.None;
if (securityChanges != SecurityChanges.None)
{
Log.Debug("UniverseSelection.ApplyUniverseSelection(): " + dateTimeUtc + ": " + securityChanges);
}
return(securityChanges);
}
/// <summary>
/// Scans all the outstanding orders and applies the algorithm model fills to generate the order events
/// </summary>
public virtual void Scan()
{
lock (_needsScanLock)
{
// there's usually nothing in here
if (!_needsScan)
{
return;
}
var stillNeedsScan = false;
// process each pending order to produce fills/fire events
foreach (var kvp in _pending.OrderBy(x => x.Key))
{
var order = kvp.Value;
if (order == null)
{
Log.Error("BacktestingBrokerage.Scan(): Null pending order found: " + kvp.Key);
_pending.TryRemove(kvp.Key, out order);
continue;
}
if (order.Status.IsClosed())
{
// this should never actually happen as we always remove closed orders as they happen
_pending.TryRemove(order.Id, out order);
continue;
}
// all order fills are processed on the next bar (except for market orders)
if (order.Time == Algorithm.UtcTime && order.Type != OrderType.Market && order.Type != OrderType.OptionExercise)
{
stillNeedsScan = true;
continue;
}
var fills = new OrderEvent[0];
Security security;
if (!Algorithm.Securities.TryGetValue(order.Symbol, out security))
{
Log.Error("BacktestingBrokerage.Scan(): Unable to process order: " + order.Id + ". The security no longer exists.");
// invalidate the order in the algorithm before removing
OnOrderEvent(new OrderEvent(order,
Algorithm.UtcTime,
OrderFee.Zero)
{
Status = OrderStatus.Invalid
});
_pending.TryRemove(order.Id, out order);
continue;
}
if (order.Type == OrderType.MarketOnOpen)
{
// This is a performance improvement:
// Since MOO should never fill on the same bar or on stale data (see FillModel)
// the order can remain unfilled for multiple 'scans', so we want to avoid
// margin and portfolio calculations since they are expensive
var currentBar = security.GetLastData();
var localOrderTime = order.Time.ConvertFromUtc(security.Exchange.TimeZone);
if (currentBar == null || localOrderTime >= currentBar.EndTime)
{
stillNeedsScan = true;
continue;
}
}
// check if the time in force handler allows fills
if (order.TimeInForce.IsOrderExpired(security, order))
{
OnOrderEvent(new OrderEvent(order,
Algorithm.UtcTime,
OrderFee.Zero)
{
Status = OrderStatus.Canceled,
Message = "The order has expired."
});
_pending.TryRemove(order.Id, out order);
continue;
}
// check if we would actually be able to fill this
if (!Algorithm.BrokerageModel.CanExecuteOrder(security, order))
{
continue;
}
// verify sure we have enough cash to perform the fill
HasSufficientBuyingPowerForOrderResult hasSufficientBuyingPowerResult;
try
{
hasSufficientBuyingPowerResult = security.BuyingPowerModel.HasSufficientBuyingPowerForOrder(Algorithm.Portfolio, security, order);
}
catch (Exception err)
{
// if we threw an error just mark it as invalid and remove the order from our pending list
OnOrderEvent(new OrderEvent(order,
Algorithm.UtcTime,
OrderFee.Zero,
err.Message)
{
Status = OrderStatus.Invalid
});
Order pending;
_pending.TryRemove(order.Id, out pending);
Log.Error(err);
Algorithm.Error($"Order Error: id: {order.Id}, Error executing margin models: {err.Message}");
continue;
}
//Before we check this queued order make sure we have buying power:
if (hasSufficientBuyingPowerResult.IsSufficient)
{
//Model:
var model = security.FillModel;
//Based on the order type: refresh its model to get fill price and quantity
try
{
if (order.Type == OrderType.OptionExercise)
{
var option = (Option)security;
fills = option.OptionExerciseModel.OptionExercise(option, order as OptionExerciseOrder).ToArray();
}
else
{
var context = new FillModelParameters(
security,
order,
Algorithm.SubscriptionManager.SubscriptionDataConfigService,
Algorithm.Settings.StalePriceTimeSpan);
fills = new[] { model.Fill(context).OrderEvent };
}
// invoke fee models for completely filled order events
foreach (var fill in fills)
{
if (fill.Status == OrderStatus.Filled)
{
// this check is provided for backwards compatibility of older user-defined fill models
// that may be performing fee computation inside the fill model w/out invoking the fee model
// TODO : This check can be removed in April, 2019 -- a 6-month window to upgrade (also, suspect small % of users, if any are impacted)
if (fill.OrderFee.Value.Amount == 0m)
{
fill.OrderFee = security.FeeModel.GetOrderFee(
new OrderFeeParameters(security,
order));
}
}
}
}
catch (Exception err)
{
Log.Error(err);
Algorithm.Error($"Order Error: id: {order.Id}, Transaction model failed to fill for order type: {order.Type} with error: {err.Message}");
}
}
else
{
// invalidate the order in the algorithm before removing
var message = $"Insufficient buying power to complete order (Value:{order.GetValue(security).SmartRounding()}), Reason: {hasSufficientBuyingPowerResult.Reason}.";
OnOrderEvent(new OrderEvent(order,
Algorithm.UtcTime,
OrderFee.Zero,
message)
{
Status = OrderStatus.Invalid
});
Order pending;
_pending.TryRemove(order.Id, out pending);
Algorithm.Error($"Order Error: id: {order.Id}, {message}");
continue;
}
foreach (var fill in fills)
{
// check if the fill should be emitted
if (!order.TimeInForce.IsFillValid(security, order, fill))
{
break;
}
// change in status or a new fill
if (order.Status != fill.Status || fill.FillQuantity != 0)
{
// we update the order status so we do not re process it if we re enter
// because of the call to OnOrderEvent.
// Note: this is done by the transaction handler but we have a clone of the order
order.Status = fill.Status;
//If the fill models come back suggesting filled, process the affects on portfolio
OnOrderEvent(fill);
}
if (fill.IsAssignment)
{
fill.Message = order.Tag;
OnOptionPositionAssigned(fill);
}
}
if (fills.All(x => x.Status.IsClosed()))
{
_pending.TryRemove(order.Id, out order);
}
else
{
stillNeedsScan = true;
}
}
// if we didn't fill then we need to continue to scan or
// if there are still pending orders
_needsScan = stillNeedsScan || !_pending.IsEmpty;
}
}
/// <summary>
/// Applies universe selection the the data feed and algorithm
/// </summary>
/// <param name="universe">The universe to perform selection on</param>
/// <param name="dateTimeUtc">The current date time in utc</param>
/// <param name="universeData">The data provided to perform selection with</param>
public SecurityChanges ApplyUniverseSelection(Universe universe, DateTime dateTimeUtc, BaseDataCollection universeData)
{
var settings = universe.UniverseSettings;
// perform initial filtering and limit the result
var selectSymbolsResult = universe.SelectSymbols(dateTimeUtc, universeData.Data);
// check for no changes first
if (ReferenceEquals(selectSymbolsResult, Universe.Unchanged))
{
return(SecurityChanges.None);
}
// materialize the enumerable into a set for processing
var selections = selectSymbolsResult.ToHashSet();
// create a hash set of our existing subscriptions by sid
var existingSubscriptions = _dataFeed.Subscriptions.ToHashSet(x => x.Security.Symbol);
var additions = new List <Security>();
var removals = new List <Security>();
// determine which data subscriptions need to be removed for this market
foreach (var subscription in _dataFeed.Subscriptions)
{
// universes can only remove members of their own
if (!universe.ContainsMember(subscription.Security))
{
continue;
}
// never remove universe selection subscriptions
if (subscription.IsUniverseSelectionSubscription)
{
continue;
}
var config = subscription.Configuration;
// never remove internal feeds
if (config.IsInternalFeed)
{
continue;
}
// if we've selected this subscription again, keep it
if (selections.Contains(config.Symbol))
{
continue;
}
// don't remove if the universe wants to keep him in
if (!universe.CanRemoveMember(dateTimeUtc, subscription.Security))
{
continue;
}
// let the algorithm know this security has been removed from the universe
removals.Add(subscription.Security);
// but don't physically remove it from the algorithm if we hold stock or have open orders against it
var openOrders = _algorithm.Transactions.GetOrders(x => x.Status.IsOpen() && x.Symbol == config.Symbol);
if (!subscription.Security.HoldStock && !openOrders.Any())
{
// we need to mark this security as untradeable while it has no data subscription
// it is expected that this function is called while in sync with the algo thread,
// so we can make direct edits to the security here
subscription.Security.Cache.Reset();
if (_dataFeed.RemoveSubscription(subscription))
{
universe.RemoveMember(dateTimeUtc, subscription.Security);
}
}
}
// find new selections and add them to the algorithm
foreach (var symbol in selections)
{
// we already have a subscription for this symbol so don't re-add it
if (existingSubscriptions.Contains(symbol))
{
continue;
}
// ask the limiter if we can add another subscription at that resolution
string reason;
if (!_limiter.CanAddSubscription(settings.Resolution, out reason))
{
_algorithm.Error(reason);
Log.Trace("UniverseSelection.ApplyUniverseSelection(): Skipping adding subscriptions: " + reason);
break;
}
// create the new security, the algorithm thread will add this at the appropriate time
Security security;
if (!_algorithm.Securities.TryGetValue(symbol, out security))
{
security = SecurityManager.CreateSecurity(_algorithm.Portfolio, _algorithm.SubscriptionManager, _marketHoursDatabase, _algorithm.SecurityInitializer,
symbol,
settings.Resolution,
settings.FillForward,
settings.Leverage,
settings.ExtendedMarketHours,
false,
false,
false);
}
additions.Add(security);
// add the new subscriptions to the data feed
if (_dataFeed.AddSubscription(universe, security, dateTimeUtc, _algorithm.EndDate.ConvertToUtc(_algorithm.TimeZone)))
{
universe.AddMember(dateTimeUtc, security);
}
}
// Add currency data feeds that weren't explicitly added in Initialize
if (additions.Count > 0)
{
var addedSecurities = _algorithm.Portfolio.CashBook.EnsureCurrencyDataFeeds(_algorithm.Securities, _algorithm.SubscriptionManager, MarketHoursDatabase.FromDataFolder());
foreach (var security in addedSecurities)
{
_dataFeed.AddSubscription(universe, security, dateTimeUtc, _algorithm.EndDate.ConvertToUtc(_algorithm.TimeZone));
}
}
// return None if there's no changes, otherwise return what we've modified
return(additions.Count + removals.Count != 0
? new SecurityChanges(additions, removals)
: SecurityChanges.None);
}
/// <summary>
/// Scans all the outstanding orders and applies the algorithm model fills to generate the order events
/// </summary>
public void Scan()
{
//2. NOW ALL ORDERS IN ORDER DICTIONARY::>
// Scan through Orders: Process fills. Trigger Events.
// Refresh the order model: look at the orders for ones - process every time.
// find orders that still need to be processed, be sure to sort them by their id so we
// fill them in the proper order
var orders = (from order in _orders
where order.Value.Status != OrderStatus.Filled &&
order.Value.Status != OrderStatus.Canceled &&
order.Value.Status != OrderStatus.Invalid
orderby order.Value.Id ascending
select order.Value);
//Now we have the orders; re-apply the order models to each order.
foreach (var order in orders)
{
// verify sure we have enough cash to perform the fill
var sufficientBuyingPower = _algorithm.Transactions.GetSufficientCapitalForOrder(_algorithm.Portfolio, order);
var fill = new OrderEvent();
fill.Symbol = order.Symbol;
//Before we check this queued order make sure we have buying power:
if (sufficientBuyingPower)
{
//Model:
var model = _algorithm.Securities[order.Symbol].Model;
//Based on the order type: refresh its model to get fill price and quantity
try
{
switch (order.Type)
{
case OrderType.Limit:
fill = model.LimitFill(_algorithm.Securities[order.Symbol], order as LimitOrder);
break;
case OrderType.StopMarket:
fill = model.StopMarketFill(_algorithm.Securities[order.Symbol], order as StopMarketOrder);
break;
case OrderType.Market:
fill = model.MarketFill(_algorithm.Securities[order.Symbol], order as MarketOrder);
break;
case OrderType.StopLimit:
fill = model.StopLimitFill(_algorithm.Securities[order.Symbol], order as StopLimitOrder);
break;
}
}
catch (Exception err)
{
Log.Error("BacktestingBrokerage.Scan(): " + err.Message);
_algorithm.Error(string.Format("Order Error: id: {0}, Transaction model failed to fill for order type: {1} with error: {2}", order.Id, order.Type, err.Message));
}
}
else
{
//Flag order as invalid and push off queue:
order.Status = OrderStatus.Invalid;
_algorithm.Error(string.Format("Order Error: id: {0}, Insufficient buying power to complete order (Value:{1}).", order.Id, order.Value));
}
if (order.Status != OrderStatus.None)
{
//If the fill models come back suggesting filled, process the affects on portfolio
OnOrderEvent(fill);
}
}
}
/// <summary>
/// Scans all the outstanding orders and applies the algorithm model fills to generate the order events
/// </summary>
public void Scan()
{
lock (_needsScanLock)
{
// there's usually nothing in here
if (!_needsScan)
{
return;
}
var stillNeedsScan = false;
// process each pending order to produce fills/fire events
foreach (var kvp in _pending.OrderBy(x => x.Key))
{
var order = kvp.Value;
if (order.Status.IsClosed())
{
// this should never actually happen as we always remove closed orders as they happen
_pending.TryRemove(order.Id, out order);
continue;
}
// all order fills are processed on the next bar (except for market orders)
if (order.Time == Algorithm.UtcTime && order.Type != OrderType.Market)
{
stillNeedsScan = true;
continue;
}
var fill = new OrderEvent(order, Algorithm.UtcTime, 0);
Security security;
if (!Algorithm.Securities.TryGetValue(order.Symbol, out security))
{
Log.Error("BacktestingBrokerage.Scan(): Unable to process order: " + order.Id + ". The security no longer exists.");
// invalidate the order in the algorithm before removing
OnOrderEvent(new OrderEvent(order, Algorithm.UtcTime, 0m)
{
Status = OrderStatus.Invalid
});
_pending.TryRemove(order.Id, out order);
continue;
}
// check if we would actually be able to fill this
if (!Algorithm.BrokerageModel.CanExecuteOrder(security, order))
{
continue;
}
// verify sure we have enough cash to perform the fill
bool sufficientBuyingPower;
try
{
sufficientBuyingPower = Algorithm.Transactions.GetSufficientCapitalForOrder(Algorithm.Portfolio, order);
}
catch (Exception err)
{
// if we threw an error just mark it as invalid and remove the order from our pending list
Order pending;
_pending.TryRemove(order.Id, out pending);
order.Status = OrderStatus.Invalid;
OnOrderEvent(new OrderEvent(order, Algorithm.UtcTime, 0, "Error in GetSufficientCapitalForOrder"));
Log.Error(err);
Algorithm.Error(string.Format("Order Error: id: {0}, Error executing margin models: {1}", order.Id, err.Message));
continue;
}
//Before we check this queued order make sure we have buying power:
if (sufficientBuyingPower)
{
//Model:
var model = security.FillModel;
//Based on the order type: refresh its model to get fill price and quantity
try
{
switch (order.Type)
{
case OrderType.Limit:
fill = model.LimitFill(security, order as LimitOrder);
break;
case OrderType.StopMarket:
fill = model.StopMarketFill(security, order as StopMarketOrder);
break;
case OrderType.Market:
fill = model.MarketFill(security, order as MarketOrder);
break;
case OrderType.StopLimit:
fill = model.StopLimitFill(security, order as StopLimitOrder);
break;
case OrderType.MarketOnOpen:
fill = model.MarketOnOpenFill(security, order as MarketOnOpenOrder);
break;
case OrderType.MarketOnClose:
fill = model.MarketOnCloseFill(security, order as MarketOnCloseOrder);
break;
}
}
catch (Exception err)
{
Log.Error(err);
Algorithm.Error(string.Format("Order Error: id: {0}, Transaction model failed to fill for order type: {1} with error: {2}",
order.Id, order.Type, err.Message));
}
}
else
{
//Flag order as invalid and push off queue:
order.Status = OrderStatus.Invalid;
Algorithm.Error(string.Format("Order Error: id: {0}, Insufficient buying power to complete order (Value:{1}).", order.Id,
order.GetValue(security).SmartRounding()));
}
// change in status or a new fill
if (order.Status != fill.Status || fill.FillQuantity != 0)
{
//If the fill models come back suggesting filled, process the affects on portfolio
OnOrderEvent(fill);
}
if (fill.Status.IsClosed())
{
_pending.TryRemove(order.Id, out order);
}
else
{
stillNeedsScan = true;
}
}
// if we didn't fill then we need to continue to scan
_needsScan = stillNeedsScan;
}
}
/// <summary>
/// Applies universe selection the the data feed and algorithm
/// </summary>
/// <param name="args">The arguments from a universe selection event, containing the universe and
/// the data produced for selection</param>
public SecurityChanges ApplyUniverseSelection(UniverseSelectionEventArgs args)
{
var universe = args.Universe;
var settings = universe.SubscriptionSettings;
var limit = 1000; //daily/hourly limit
var resolution = settings.Resolution;
switch (resolution)
{
case Resolution.Tick:
limit = _algorithm.Securities.TickLimit;
break;
case Resolution.Second:
limit = _algorithm.Securities.SecondLimit;
break;
case Resolution.Minute:
limit = _algorithm.Securities.MinuteLimit;
break;
}
// subtract current subscriptions that can't be removed
limit -= _algorithm.Securities.Count(x => x.Value.Resolution == resolution && x.Value.HoldStock);
if (limit < 1)
{
// if we don't have room for more securities then we can't really do anything here.
_algorithm.Error("Unable to add more securities from universe selection due to holding stock.");
return(SecurityChanges.None);
}
// perform initial filtering and limit the result
var initialSelections = universe.SelectSymbols(args.Data).Take(limit).ToHashSet();
// create a hash set of our existing subscriptions by sid
var existingSubscriptions = _dataFeed.Subscriptions.ToHashSet(x => x.Security.Symbol);
// create a map of each selection to its 'unique' first symbol/date
var selectedSubscriptions = initialSelections.ToHashSet();
var additions = new List <Security>();
var removals = new List <Security>();
// determine which data subscriptions need to be removed for this market
foreach (var subscription in _dataFeed.Subscriptions)
{
// universes can only remove members of their own
if (!universe.ContainsMember(subscription.Security))
{
continue;
}
// never remove universe selection subscriptions
if (subscription.IsUniverseSelectionSubscription)
{
continue;
}
var config = subscription.Configuration;
// never remove internal feeds
if (config.IsInternalFeed)
{
continue;
}
// if we've selected this subscription again, keep it
if (selectedSubscriptions.Contains(config.Symbol))
{
continue;
}
// let the algorithm know this security has been removed from the universe
removals.Add(subscription.Security);
// but don't physically remove it from the algorithm if we hold stock or have open orders against it
var openOrders = _algorithm.Transactions.GetOrders(x => x.Status.IsOpen() && x.Symbol == config.Symbol);
if (!subscription.Security.HoldStock && !openOrders.Any())
{
// we need to mark this security as untradeable while it has no data subscription
// it is expected that this function is called while in sync with the algo thread,
// so we can make direct edits to the security here
subscription.Security.Cache.Reset();
if (_dataFeed.RemoveSubscription(subscription))
{
universe.RemoveMember(subscription.Security);
}
}
}
// find new selections and add them to the algorithm
foreach (var sid in selectedSubscriptions)
{
// we already have a subscription for this symbol so don't re-add it
if (existingSubscriptions.Contains(sid))
{
continue;
}
// create the new security, the algorithm thread will add this at the appropriate time
Security security;
if (!_algorithm.Securities.TryGetValue(sid, out security))
{
security = SecurityManager.CreateSecurity(_algorithm.Portfolio, _algorithm.SubscriptionManager, _hoursProvider,
universe.Configuration.SecurityType,
sid,
settings.Resolution,
universe.Configuration.Market,
settings.FillForward,
settings.Leverage,
settings.ExtendedMarketHours,
false,
false);
}
additions.Add(security);
// add the new subscriptions to the data feed
if (_dataFeed.AddSubscription(universe, security, args.DateTimeUtc, _algorithm.EndDate.ConvertToUtc(_algorithm.TimeZone)))
{
universe.AddMember(security);
}
}
// return None if there's no changes, otherwise return what we've modified
return(additions.Count + removals.Count != 0
? new SecurityChanges(additions, removals)
: SecurityChanges.None);
}