/// <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, _symbolPropertiesDatabase, _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, _symbolPropertiesDatabase, _algorithm.BrokerageModel.DefaultMarkets);
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);
}