/// <summary>
/// Initialize the API using the config.json file.
/// </summary>
public virtual void Initialize(int userId, string token)
{
_connection = new ApiConnection(userId, token);
_marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
//Allow proper decoding of orders from the API.
JsonConvert.DefaultSettings = () => new JsonSerializerSettings
{
Converters = { new OrderJsonConverter() }
};
}
/// <summary>
/// Initializes a new instance of the <see cref="UserDefinedUniverseSubscriptionEnumeratorFactory"/> class
/// </summary>
/// <param name="universe">The user defined universe</param>
/// <param name="marketHoursDatabase">The market hours database</param>
public UserDefinedUniverseSubscriptionEnumeratorFactory(UserDefinedUniverse universe, MarketHoursDatabase marketHoursDatabase)
{
_universe = universe;
_marketHoursDatabase = marketHoursDatabase;
}
/// <summary>
/// Ensures that we have a data feed to convert this currency into the base currency.
/// This will add a subscription at the lowest resolution if one is not found.
/// </summary>
/// <param name="securities">The security manager</param>
/// <param name="subscriptions">The subscription manager used for searching and adding subscriptions</param>
/// <param name="marketHoursDatabase">A security exchange hours provider instance used to resolve exchange hours for new subscriptions</param>
/// <returns>Returns the added currency security if needed, otherwise null</returns>
public Security EnsureCurrencyDataFeed(SecurityManager securities, SubscriptionManager subscriptions, MarketHoursDatabase marketHoursDatabase)
{
if (Symbol == CashBook.AccountCurrency)
{
SecuritySymbol = QuantConnect.Symbol.Empty;
_isBaseCurrency = true;
ConversionRate = 1.0m;
return null;
}
if (subscriptions.Count == 0)
{
throw new InvalidOperationException("Unable to add cash when no subscriptions are present. Please add subscriptions in the Initialize() method.");
}
// we require a subscription that converts this into the base currency
string normal = Symbol + CashBook.AccountCurrency;
string invert = CashBook.AccountCurrency + Symbol;
foreach (var config in subscriptions.Subscriptions.Where(config => config.SecurityType == SecurityType.Forex))
{
if (config.Symbol.Value == normal)
{
SecuritySymbol = config.Symbol;
return null;
}
if (config.Symbol.Value == invert)
{
SecuritySymbol = config.Symbol;
_invertRealTimePrice = true;
return null;
}
}
// get the market from the first Forex subscription
string market = (from config in subscriptions.Subscriptions
where config.SecurityType == SecurityType.Forex
select config.Market).FirstOrDefault() ?? Market.FXCM;
// if we've made it here we didn't find a subscription, so we'll need to add one
var currencyPairs = Forex.Forex.CurrencyPairs.Select(x => QuantConnect.Symbol.Create(x, SecurityType.Forex, market));
var minimumResolution = subscriptions.Subscriptions.Select(x => x.Resolution).DefaultIfEmpty(Resolution.Minute).Min();
var objectType = minimumResolution == Resolution.Tick ? typeof (Tick) : typeof (TradeBar);
foreach (var symbol in currencyPairs)
{
if (symbol.Value == normal || symbol.Value == invert)
{
_invertRealTimePrice = symbol.Value == invert;
var marketHoursDbEntry = marketHoursDatabase.GetEntry(market, symbol.Value, SecurityType.Forex);
var exchangeHours = marketHoursDbEntry.ExchangeHours;
// set this as an internal feed so that the data doesn't get sent into the algorithm's OnData events
var config = subscriptions.Add(objectType, symbol, minimumResolution, marketHoursDbEntry.DataTimeZone, exchangeHours.TimeZone, false, true, false, true);
var security = new Forex.Forex(exchangeHours, this, config);
SecuritySymbol = config.Symbol;
securities.Add(config.Symbol, security);
Log.Trace("Cash.EnsureCurrencyDataFeed(): Adding " + symbol.Value + " for cash " + Symbol + " currency feed");
return security;
}
}
// if this still hasn't been set then it's an error condition
throw new ArgumentException(string.Format("In order to maintain cash in {0} you are required to add a subscription for Forex pair {0}{1} or {1}{0}", Symbol, CashBook.AccountCurrency));
}
/// <summary>
/// Returns an enumerator that defines when this user defined universe will be invoked
/// </summary>
/// <returns>An enumerator of DateTime that defines when this universe will be invoked</returns>
public virtual IEnumerable<DateTime> GetTriggerTimes(DateTime startTimeUtc, DateTime endTimeUtc, MarketHoursDatabase marketHoursDatabase)
{
var exchangeHours = marketHoursDatabase.GetExchangeHours(Configuration);
var localStartTime = startTimeUtc.ConvertFromUtc(exchangeHours.TimeZone);
var localEndTime = endTimeUtc.ConvertFromUtc(exchangeHours.TimeZone);
var first = true;
foreach (var dateTime in LinqExtensions.Range(localStartTime, localEndTime, dt => dt + Interval))
{
if (first)
{
yield return dateTime;
first = false;
}
if (exchangeHours.IsOpen(dateTime, dateTime + Interval, Configuration.ExtendedMarketHours))
{
yield return dateTime;
}
}
}
/// <summary>
/// Ensures that we have a data feed to convert this currency into the base currency.
/// This will add a subscription at the lowest resolution if one is not found.
/// </summary>
/// <param name="securities">The security manager</param>
/// <param name="subscriptions">The subscription manager used for searching and adding subscriptions</param>
/// <param name="marketHoursDatabase">A security exchange hours provider instance used to resolve exchange hours for new subscriptions</param>
/// <param name="symbolPropertiesDatabase">A symbol properties database instance</param>
/// <param name="marketMap">The market map that decides which market the new security should be in</param>
/// <param name="cashBook">The cash book - used for resolving quote currencies for created conversion securities</param>
/// <returns>Returns the added currency security if needed, otherwise null</returns>
public Security EnsureCurrencyDataFeed(SecurityManager securities, SubscriptionManager subscriptions, MarketHoursDatabase marketHoursDatabase, SymbolPropertiesDatabase symbolPropertiesDatabase, IReadOnlyDictionary<SecurityType, string> marketMap, CashBook cashBook)
{
if (Symbol == CashBook.AccountCurrency)
{
SecuritySymbol = QuantConnect.Symbol.Empty;
_isBaseCurrency = true;
ConversionRate = 1.0m;
return null;
}
if (subscriptions.Count == 0)
{
throw new InvalidOperationException("Unable to add cash when no subscriptions are present. Please add subscriptions in the Initialize() method.");
}
// we require a subscription that converts this into the base currency
string normal = Symbol + CashBook.AccountCurrency;
string invert = CashBook.AccountCurrency + Symbol;
foreach (var config in subscriptions.Subscriptions.Where(config => config.SecurityType == SecurityType.Forex || config.SecurityType == SecurityType.Cfd))
{
if (config.Symbol.Value == normal)
{
SecuritySymbol = config.Symbol;
return null;
}
if (config.Symbol.Value == invert)
{
SecuritySymbol = config.Symbol;
_invertRealTimePrice = true;
return null;
}
}
// if we've made it here we didn't find a subscription, so we'll need to add one
var currencyPairs = Currencies.CurrencyPairs.Select(x =>
{
// allow XAU or XAG to be used as quote currencies, but pairs including them are CFDs
var securityType = Symbol.StartsWith("X") ? SecurityType.Cfd : SecurityType.Forex;
var market = marketMap[securityType];
return QuantConnect.Symbol.Create(x, securityType, market);
});
var minimumResolution = subscriptions.Subscriptions.Select(x => x.Resolution).DefaultIfEmpty(Resolution.Minute).Min();
var objectType = minimumResolution == Resolution.Tick ? typeof (Tick) : typeof (TradeBar);
foreach (var symbol in currencyPairs)
{
if (symbol.Value == normal || symbol.Value == invert)
{
_invertRealTimePrice = symbol.Value == invert;
var marketHoursDbEntry = marketHoursDatabase.GetEntry(symbol.ID.Market, symbol.Value, symbol.ID.SecurityType);
var exchangeHours = marketHoursDbEntry.ExchangeHours;
// set this as an internal feed so that the data doesn't get sent into the algorithm's OnData events
var config = subscriptions.Add(objectType, symbol, minimumResolution, marketHoursDbEntry.DataTimeZone, exchangeHours.TimeZone, false, true, false, true);
SecuritySymbol = config.Symbol;
var securityType = symbol.ID.SecurityType;
Security security;
if (securityType == SecurityType.Cfd)
{
var symbolProperties = symbolPropertiesDatabase.GetSymbolProperties(symbol.ID.Market, symbol.Value, securityType);
Cash quoteCash;
if (!cashBook.TryGetValue(symbolProperties.QuoteCurrency, out quoteCash))
{
throw new Exception("Unable to resolve quote cash: " + symbolProperties.QuoteCurrency + ". This is required to add conversion feed: " + symbol.ToString());
}
security = new Cfd.Cfd(exchangeHours, quoteCash, config, symbolProperties);
}
else
{
security = new Forex.Forex(exchangeHours, this, config);
}
securities.Add(config.Symbol, security);
Log.Trace("Cash.EnsureCurrencyDataFeed(): Adding " + symbol.Value + " for cash " + Symbol + " currency feed");
return security;
}
}
// if this still hasn't been set then it's an error condition
throw new ArgumentException(string.Format("In order to maintain cash in {0} you are required to add a subscription for Forex pair {0}{1} or {1}{0}", Symbol, CashBook.AccountCurrency));
}
/// <summary>
/// Creates and configures a security for the specified symbol
/// </summary>
/// <param name="symbol">The symbol of the security to be created</param>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="marketHoursDatabase">The market hours database</param>
/// <param name="symbolPropertiesDatabase">The symbol properties database</param>
/// <returns>The newly initialized security object</returns>
public override Security CreateSecurity(Symbol symbol, IAlgorithm algorithm, MarketHoursDatabase marketHoursDatabase, SymbolPropertiesDatabase symbolPropertiesDatabase)
{
return Universe.CreateSecurity(symbol, algorithm, marketHoursDatabase, symbolPropertiesDatabase);
}
/// <summary>
/// Creates and configures a security for the specified symbol
/// </summary>
/// <param name="symbol">The symbol of the security to be created</param>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="marketHoursDatabase">The market hours database</param>
/// <param name="symbolPropertiesDatabase">The symbol properties database</param>
/// <returns>The newly initialized security object</returns>
public override Security CreateSecurity(Symbol symbol, IAlgorithm algorithm, MarketHoursDatabase marketHoursDatabase, SymbolPropertiesDatabase symbolPropertiesDatabase)
{
// set the underlying security and pricing model from the canonical security
var option = (Option)base.CreateSecurity(symbol, algorithm, marketHoursDatabase, symbolPropertiesDatabase);
option.Underlying = _option.Underlying;
option.PriceModel = _option.PriceModel;
return option;
}
/// <summary>
/// Gets the instance of the <see cref="MarketHoursDatabase"/> class produced by reading in the market hours
/// data found in /Data/market-hours/
/// </summary>
/// <returns>A <see cref="MarketHoursDatabase"/> class that represents the data in the market-hours folder</returns>
public static MarketHoursDatabase FromDataFolder()
{
lock (DataFolderMarketHoursDatabaseLock)
{
if (_dataFolderMarketHoursDatabase == null)
{
var path = Path.Combine(Constants.DataFolder, "market-hours", "market-hours-database.json");
_dataFolderMarketHoursDatabase = FromFile(path);
}
}
return _dataFolderMarketHoursDatabase;
}
/// <summary>
/// Checks the current subscriptions and adds necessary currency pair feeds to provide real time conversion data
/// </summary>
/// <param name="securities">The SecurityManager for the algorithm</param>
/// <param name="subscriptions">The SubscriptionManager for the algorithm</param>
/// <param name="marketHoursDatabase">A security exchange hours provider instance used to resolve exchange hours for new subscriptions</param>
/// <param name="symbolPropertiesDatabase">A symbol properties database instance</param>
/// <param name="marketMap">The market map that decides which market the new security should be in</param>
/// <returns>Returns a list of added currency securities</returns>
public List <Security> EnsureCurrencyDataFeeds(SecurityManager securities, SubscriptionManager subscriptions, MarketHoursDatabase marketHoursDatabase, SymbolPropertiesDatabase symbolPropertiesDatabase, IReadOnlyDictionary <SecurityType, string> marketMap, SecurityChanges changes)
{
var addedSecurities = new List <Security>();
foreach (var kvp in _currencies)
{
var cash = kvp.Value;
var security = cash.EnsureCurrencyDataFeed(securities, subscriptions, marketHoursDatabase, symbolPropertiesDatabase, marketMap, this, changes);
if (security != null)
{
addedSecurities.Add(security);
}
}
return(addedSecurities);
}
/// <summary>
/// Checks the current subscriptions and adds necessary currency pair feeds to provide real time conversion data
/// </summary>
/// <param name="securities">The SecurityManager for the algorithm</param>
/// <param name="subscriptions">The SubscriptionManager for the algorithm</param>
/// <param name="marketHoursDatabase">A security exchange hours provider instance used to resolve exchange hours for new subscriptions</param>
public void EnsureCurrencyDataFeeds(SecurityManager securities, SubscriptionManager subscriptions, MarketHoursDatabase marketHoursDatabase)
{
foreach (var cash in _currencies.Values)
{
cash.EnsureCurrencyDataFeed(securities, subscriptions, marketHoursDatabase);
}
}
/// <summary>
/// Ensures that we have a data feed to convert this currency into the base currency.
/// This will add a subscription at the lowest resolution if one is not found.
/// </summary>
/// <param name="securities">The security manager</param>
/// <param name="subscriptions">The subscription manager used for searching and adding subscriptions</param>
/// <param name="marketHoursDatabase">A security exchange hours provider instance used to resolve exchange hours for new subscriptions</param>
/// <param name="symbolPropertiesDatabase">A symbol properties database instance</param>
/// <param name="marketMap">The market map that decides which market the new security should be in</param>
/// <param name="cashBook">The cash book - used for resolving quote currencies for created conversion securities</param>
/// <returns>Returns the added currency security if needed, otherwise null</returns>
public Security EnsureCurrencyDataFeed(SecurityManager securities, SubscriptionManager subscriptions, MarketHoursDatabase marketHoursDatabase, SymbolPropertiesDatabase symbolPropertiesDatabase, IReadOnlyDictionary <SecurityType, string> marketMap, CashBook cashBook)
{
if (Symbol == CashBook.AccountCurrency)
{
SecuritySymbol = QuantConnect.Symbol.Empty;
_isBaseCurrency = true;
ConversionRate = 1.0m;
return(null);
}
if (subscriptions.Count == 0)
{
throw new InvalidOperationException("Unable to add cash when no subscriptions are present. Please add subscriptions in the Initialize() method.");
}
// we require a subscription that converts this into the base currency
string normal = Symbol + CashBook.AccountCurrency;
string invert = CashBook.AccountCurrency + Symbol;
foreach (var config in subscriptions.Subscriptions.Where(config => config.SecurityType == SecurityType.Forex || config.SecurityType == SecurityType.Cfd))
{
if (config.Symbol.Value == normal)
{
SecuritySymbol = config.Symbol;
return(null);
}
if (config.Symbol.Value == invert)
{
SecuritySymbol = config.Symbol;
_invertRealTimePrice = true;
return(null);
}
}
// if we've made it here we didn't find a subscription, so we'll need to add one
var currencyPairs = Currencies.CurrencyPairs.Select(x =>
{
// allow XAU or XAG to be used as quote currencies, but pairs including them are CFDs
var securityType = Symbol.StartsWith("X") ? SecurityType.Cfd : SecurityType.Forex;
var market = marketMap[securityType];
return(QuantConnect.Symbol.Create(x, securityType, market));
});
var minimumResolution = subscriptions.Subscriptions.Select(x => x.Resolution).DefaultIfEmpty(Resolution.Minute).Min();
var objectType = minimumResolution == Resolution.Tick ? typeof(Tick) : typeof(TradeBar);
foreach (var symbol in currencyPairs)
{
if (symbol.Value == normal || symbol.Value == invert)
{
_invertRealTimePrice = symbol.Value == invert;
var securityType = symbol.ID.SecurityType;
var symbolProperties = symbolPropertiesDatabase.GetSymbolProperties(symbol.ID.Market, symbol.Value, securityType, Symbol);
Cash quoteCash;
if (!cashBook.TryGetValue(symbolProperties.QuoteCurrency, out quoteCash))
{
throw new Exception("Unable to resolve quote cash: " + symbolProperties.QuoteCurrency + ". This is required to add conversion feed: " + symbol.ToString());
}
var marketHoursDbEntry = marketHoursDatabase.GetEntry(symbol.ID.Market, symbol.Value, symbol.ID.SecurityType);
var exchangeHours = marketHoursDbEntry.ExchangeHours;
// set this as an internal feed so that the data doesn't get sent into the algorithm's OnData events
var config = subscriptions.Add(objectType, symbol, minimumResolution, marketHoursDbEntry.DataTimeZone, exchangeHours.TimeZone, false, true, false, true);
SecuritySymbol = config.Symbol;
Security security;
if (securityType == SecurityType.Cfd)
{
security = new Cfd.Cfd(exchangeHours, quoteCash, config, symbolProperties);
}
else
{
security = new Forex.Forex(exchangeHours, this, config, symbolProperties);
}
securities.Add(config.Symbol, security);
Log.Trace("Cash.EnsureCurrencyDataFeed(): Adding " + symbol.Value + " for cash " + Symbol + " currency feed");
return(security);
}
}
// if this still hasn't been set then it's an error condition
throw new ArgumentException(string.Format("In order to maintain cash in {0} you are required to add a subscription for Forex pair {0}{1} or {1}{0}", Symbol, CashBook.AccountCurrency));
}
/// <summary>
/// Ensures that we have a data feed to convert this currency into the base currency.
/// This will add a subscription at the lowest resolution if one is not found.
/// </summary>
/// <param name="securities">The security manager</param>
/// <param name="subscriptions">The subscription manager used for searching and adding subscriptions</param>
/// <param name="marketHoursDatabase">A security exchange hours provider instance used to resolve exchange hours for new subscriptions</param>
/// <param name="symbolPropertiesDatabase">A symbol properties database instance</param>
/// <param name="marketMap">The market map that decides which market the new security should be in</param>
/// <param name="cashBook">The cash book - used for resolving quote currencies for created conversion securities</param>
/// <param name="changes"></param>
/// <returns>Returns the added currency security if needed, otherwise null</returns>
public Security EnsureCurrencyDataFeed(SecurityManager securities,
SubscriptionManager subscriptions,
MarketHoursDatabase marketHoursDatabase,
SymbolPropertiesDatabase symbolPropertiesDatabase,
IReadOnlyDictionary <SecurityType, string> marketMap,
CashBook cashBook,
SecurityChanges changes
)
{
// this gets called every time we add securities using universe selection,
// so must of the time we've already resolved the value and don't need to again
if (ConversionRateSecurity != null)
{
return(null);
}
if (Symbol == CashBook.AccountCurrency)
{
ConversionRateSecurity = null;
_isBaseCurrency = true;
ConversionRate = 1.0m;
return(null);
}
// we require a security that converts this into the base currency
string normal = Symbol + CashBook.AccountCurrency;
string invert = CashBook.AccountCurrency + Symbol;
var securitiesToSearch = securities.Select(kvp => kvp.Value)
.Concat(changes.AddedSecurities)
.Where(s => s.Type == SecurityType.Forex || s.Type == SecurityType.Cfd || s.Type == SecurityType.Crypto);
foreach (var security in securitiesToSearch)
{
if (security.Symbol.Value == normal)
{
ConversionRateSecurity = security;
return(null);
}
if (security.Symbol.Value == invert)
{
ConversionRateSecurity = security;
_invertRealTimePrice = true;
return(null);
}
}
// if we've made it here we didn't find a security, so we'll need to add one
// Create a SecurityType to Market mapping with the markets from SecurityManager members
var markets = securities.Select(x => x.Key).GroupBy(x => x.SecurityType).ToDictionary(x => x.Key, y => y.First().ID.Market);
if (markets.ContainsKey(SecurityType.Cfd) && !markets.ContainsKey(SecurityType.Forex))
{
markets.Add(SecurityType.Forex, markets[SecurityType.Cfd]);
}
if (markets.ContainsKey(SecurityType.Forex) && !markets.ContainsKey(SecurityType.Cfd))
{
markets.Add(SecurityType.Cfd, markets[SecurityType.Forex]);
}
var potentials = Currencies.CurrencyPairs.Select(fx => CreateSymbol(marketMap, fx, markets, SecurityType.Forex))
.Concat(Currencies.CfdCurrencyPairs.Select(cfd => CreateSymbol(marketMap, cfd, markets, SecurityType.Cfd)))
.Concat(Currencies.CryptoCurrencyPairs.Select(crypto => CreateSymbol(marketMap, crypto, markets, SecurityType.Crypto)));
var minimumResolution = subscriptions.Subscriptions.Select(x => x.Resolution).DefaultIfEmpty(Resolution.Minute).Min();
foreach (var symbol in potentials)
{
if (symbol.Value == normal || symbol.Value == invert)
{
_invertRealTimePrice = symbol.Value == invert;
var securityType = symbol.ID.SecurityType;
var symbolProperties = symbolPropertiesDatabase.GetSymbolProperties(symbol.ID.Market, symbol.Value, securityType, Symbol);
Cash quoteCash;
if (!cashBook.TryGetValue(symbolProperties.QuoteCurrency, out quoteCash))
{
throw new Exception("Unable to resolve quote cash: " + symbolProperties.QuoteCurrency + ". This is required to add conversion feed: " + symbol.Value);
}
var marketHoursDbEntry = marketHoursDatabase.GetEntry(symbol.ID.Market, symbol.Value, symbol.ID.SecurityType);
var exchangeHours = marketHoursDbEntry.ExchangeHours;
// use the first subscription defined in the subscription manager
var type = subscriptions.LookupSubscriptionConfigDataTypes(securityType, minimumResolution, false).First();
var objectType = type.Item1;
var tickType = type.Item2;
// set this as an internal feed so that the data doesn't get sent into the algorithm's OnData events
var config = subscriptions.Add(objectType, tickType, symbol, minimumResolution, marketHoursDbEntry.DataTimeZone, exchangeHours.TimeZone, false, true, false, true);
Security security;
if (securityType == SecurityType.Cfd)
{
security = new Cfd.Cfd(exchangeHours, quoteCash, config, symbolProperties, cashBook);
}
else if (securityType == SecurityType.Crypto)
{
security = new Crypto.Crypto(exchangeHours, quoteCash, config, symbolProperties, cashBook);
}
else
{
security = new Forex.Forex(exchangeHours, quoteCash, config, symbolProperties, cashBook);
}
ConversionRateSecurity = security;
securities.Add(config.Symbol, security);
Log.Trace("Cash.EnsureCurrencyDataFeed(): Adding " + symbol.Value + " for cash " + Symbol + " currency feed");
return(security);
}
}
// if this still hasn't been set then it's an error condition
throw new ArgumentException(string.Format("In order to maintain cash in {0} you are required to add a subscription for Forex pair {0}{1} or {1}{0}", Symbol, CashBook.AccountCurrency));
}