/// <summary>
/// Event fired each time the we add/remove securities from the data feed
/// </summary>
/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
/// <param name="changes">The security additions and removals from the algorithm</param>
public override void OnSecuritiesChanged(QCAlgorithmFramework algorithm, SecurityChanges changes)
{
foreach (var added in changes.AddedSecurities)
{
if (added.Symbol.HasUnderlying)
{
continue;
}
SymbolData symbolData;
if (!_symbolDataBySymbol.TryGetValue(added.Symbol, out symbolData))
{
// create fast/slow EMAs
var bb = algorithm.BB(added.Symbol, _period, _threshold);
symbolData = _symbolDataBySymbol[added.Symbol] = new SymbolData
{
Security = added,
BB = bb,
LastDirection = InsightDirection.Flat,
Price = new Series("Price", SeriesType.Line),
Upper = new Series("Upper", SeriesType.Line),
Middle = new Series("Middle", SeriesType.Line),
Lower = new Series("Lower", SeriesType.Line),
};
var chart = new Chart(added.Symbol.Value + " - Bollinger Bands");
chart.AddSeries(symbolData.Price);
chart.AddSeries(symbolData.Upper);
chart.AddSeries(symbolData.Middle);
chart.AddSeries(symbolData.Lower);
algorithm.AddChart(chart);
}
else
{
// a security that was already initialized was re-added, reset the indicators
symbolData.BB.Reset();
}
}
}