/// <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(QCAlgorithm algorithm, SecurityChanges changes)
{
// Get removed symbol and invalidate them in the insight collection
_removedSymbols = changes.RemovedSecurities.Select(x => x.Symbol).ToList();
_insightCollection.Clear(_removedSymbols.ToArray());
foreach (var symbol in _removedSymbols)
{
if (_symbolDataDict.ContainsKey(symbol))
{
_symbolDataDict[symbol].Reset();
_symbolDataDict.Remove(symbol);
}
}
// initialize data for added securities
var addedSymbols = changes.AddedSecurities.Select(x => x.Symbol).ToList();
algorithm.History(addedSymbols, _lookback * _period, _resolution)
.PushThrough(bar =>
{
ReturnsSymbolData symbolData;
if (!_symbolDataDict.TryGetValue(bar.Symbol, out symbolData))
{
symbolData = new ReturnsSymbolData(bar.Symbol, _lookback, _period);
_symbolDataDict.Add(bar.Symbol, symbolData);
}
symbolData.Update(bar.EndTime, bar.Value);
});
}
/// <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(QCAlgorithm algorithm, SecurityChanges changes)
{
base.OnSecuritiesChanged(algorithm, changes);
foreach (var symbol in changes.RemovedSecurities.Select(x => x.Symbol))
{
if (_symbolDataDict.ContainsKey(symbol))
{
_symbolDataDict[symbol].Reset();
_symbolDataDict.Remove(symbol);
}
}
// initialize data for added securities
var addedSymbols = changes.AddedSecurities.ToDictionary(x => x.Symbol, x => x.Exchange.TimeZone);
algorithm.History(addedSymbols.Keys, _lookback * _period, _resolution)
.PushThrough(bar =>
{
ReturnsSymbolData symbolData;
if (!_symbolDataDict.TryGetValue(bar.Symbol, out symbolData))
{
symbolData = new ReturnsSymbolData(bar.Symbol, _lookback, _period);
_symbolDataDict.Add(bar.Symbol, symbolData);
}
// Convert the data timestamp to UTC
var utcTime = bar.EndTime.ConvertToUtc(addedSymbols[bar.Symbol]);
symbolData.Update(utcTime, bar.Value);
});
}
/// <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(QCAlgorithm algorithm, SecurityChanges changes)
{
base.OnSecuritiesChanged(algorithm, changes);
// clean up data for removed securities
foreach (var removed in changes.RemovedSecurities)
{
_pendingRemoval.Add(removed.Symbol);
ReturnsSymbolData data;
if (_symbolDataDict.TryGetValue(removed.Symbol, out data))
{
_symbolDataDict.Remove(removed.Symbol);
data.Reset();
}
}
// initialize data for added securities
var addedSymbols = new List <Symbol>();
foreach (var added in changes.AddedSecurities)
{
if (!_symbolDataDict.ContainsKey(added.Symbol))
{
var symbolData = new ReturnsSymbolData(added.Symbol, _lookback, _period);
_symbolDataDict[added.Symbol] = symbolData;
addedSymbols.Add(added.Symbol);
}
}
if (addedSymbols.Count == 0)
{
return;
}
// warmup our indicators by pushing history through the consolidators
algorithm.History(addedSymbols, _lookback * _period, _resolution)
.PushThrough(bar =>
{
ReturnsSymbolData symbolData;
if (_symbolDataDict.TryGetValue(bar.Symbol, out symbolData))
{
symbolData.Update(bar.EndTime, bar.Value);
}
});
}