/// <summary>
/// Creates the universes for this algorithm.
/// Called at algorithm start.
/// </summary>
/// <returns>The universes defined by this model</returns>
public override IEnumerable <Universe> CreateUniverses(QCAlgorithmFramework algorithm)
{
var universeSettings = _universeSettings ?? algorithm.UniverseSettings;
var securityInitializer = _securityInitializer ?? algorithm.SecurityInitializer;
var resolution = universeSettings.Resolution;
var type = resolution == Resolution.Tick ? typeof(Tick) : typeof(TradeBar);
// universe per security type/market
foreach (var grp in _symbols.GroupBy(s => new { s.ID.Market, s.SecurityType }))
{
MarketHoursDatabase.Entry entry;
var market = grp.Key.Market;
var securityType = grp.Key.SecurityType;
var universeSymbol = Symbol.Create($"manual-universe-selection-model-{securityType}-{market}", securityType, market);
if (securityType == SecurityType.Base)
{
// add an entry for this custom universe symbol -- we don't really know the time zone for sure,
// but we set it to TimeZones.NewYork in AddData, also, since this is a manual universe, the time
// zone doesn't actually matter since this universe specifically doesn't do anything with data.
var symbolString = MarketHoursDatabase.GetDatabaseSymbolKey(universeSymbol);
var alwaysOpen = SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork);
entry = MarketHours.SetEntry(market, symbolString, securityType, alwaysOpen, TimeZones.NewYork);
}
else
{
entry = MarketHours.GetEntry(market, (string)null, securityType);
}
var config = new SubscriptionDataConfig(type, universeSymbol, resolution, entry.DataTimeZone, entry.ExchangeHours.TimeZone, false, false, true);
yield return(new ManualUniverse(config, universeSettings, grp));
}
}
/// <summary>
/// Adds the security to the user defined universe for the specified
/// </summary>
private void AddToUserDefinedUniverse(Security security)
{
// if we are adding a non-internal security which already has an internal feed, we remove it first
Security existingSecurity;
if (Securities.TryGetValue(security.Symbol, out existingSecurity))
{
if (!security.IsInternalFeed() && existingSecurity.IsInternalFeed())
{
var securityUniverse = UniverseManager.Select(x => x.Value).OfType <UserDefinedUniverse>().FirstOrDefault(x => x.Members.ContainsKey(security.Symbol));
securityUniverse?.Remove(security.Symbol);
Securities.Remove(security.Symbol);
}
}
Securities.Add(security);
// add this security to the user defined universe
Universe universe;
var subscription = security.Subscriptions.First();
var universeSymbol = UserDefinedUniverse.CreateSymbol(subscription.SecurityType, subscription.Market);
if (!UniverseManager.TryGetValue(universeSymbol, out universe))
{
// create a new universe, these subscription settings don't currently get used
// since universe selection proper is never invoked on this type of universe
var uconfig = new SubscriptionDataConfig(subscription, symbol: universeSymbol, isInternalFeed: true, fillForward: false);
if (security.Type == SecurityType.Base)
{
// set entry in market hours database for the universe subscription to match the custom data
var symbolString = MarketHoursDatabase.GetDatabaseSymbolKey(uconfig.Symbol);
MarketHoursDatabase.SetEntry(uconfig.Market, symbolString, uconfig.SecurityType, security.Exchange.Hours, uconfig.DataTimeZone);
}
universe = new UserDefinedUniverse(uconfig,
new UniverseSettings(security.Resolution, security.Leverage, security.IsFillDataForward, security.IsExtendedMarketHours, TimeSpan.Zero),
SecurityInitializer,
QuantConnect.Time.MaxTimeSpan,
new List <Symbol> {
security.Symbol
}
);
UniverseManager.Add(universeSymbol, universe);
}
var userDefinedUniverse = universe as UserDefinedUniverse;
if (userDefinedUniverse != null)
{
userDefinedUniverse.Add(security.Symbol);
}
else
{
// should never happen, someone would need to add a non-user defined universe with this symbol
throw new Exception("Expected universe with symbol '" + universeSymbol.Value + "' to be of type UserDefinedUniverse.");
}
}
public void FuturesOptionsGetDatabaseSymbolKey(string ticker, string market, string expected)
{
var future = Symbol.Create(ticker, SecurityType.Future, market);
var option = Symbol.CreateOption(
future,
market,
default(OptionStyle),
default(OptionRight),
default(decimal),
SecurityIdentifier.DefaultDate);
Assert.AreEqual(expected, MarketHoursDatabase.GetDatabaseSymbolKey(option));
}
/// <summary>
/// Adds the security to the user defined universe
/// </summary>
/// <param name="security">The security to add</param>
/// <param name="configurations">The <see cref="SubscriptionDataConfig"/> instances we want to add</param>
private Security AddToUserDefinedUniverse(
Security security,
List <SubscriptionDataConfig> configurations)
{
var subscription = configurations.First();
// if we are adding a non-internal security which already has an internal feed, we remove it first
if (Securities.TryGetValue(security.Symbol, out var existingSecurity))
{
if (!subscription.IsInternalFeed && existingSecurity.IsInternalFeed())
{
var securityUniverse = UniverseManager.Select(x => x.Value).OfType <UserDefinedUniverse>().FirstOrDefault(x => x.Members.ContainsKey(security.Symbol));
securityUniverse?.Remove(security.Symbol);
Securities.Remove(security.Symbol);
Securities.Add(security);
}
else
{
var isTradable = security.IsTradable;
// We will reuse existing so we return it to the user.
// We will use the IsTradable flag of the new security, since existing could of been set to false when removed
security = existingSecurity;
security.IsTradable = isTradable;
}
}
else
{
Securities.Add(security);
}
// add this security to the user defined universe
Universe universe;
var universeSymbol = UserDefinedUniverse.CreateSymbol(security.Type, security.Symbol.ID.Market);
lock (_pendingUniverseAdditionsLock)
{
if (!UniverseManager.TryGetValue(universeSymbol, out universe))
{
universe = _pendingUniverseAdditions.FirstOrDefault(x => x.Configuration.Symbol == universeSymbol);
if (universe == null)
{
// create a new universe, these subscription settings don't currently get used
// since universe selection proper is never invoked on this type of universe
var uconfig = new SubscriptionDataConfig(subscription, symbol: universeSymbol, isInternalFeed: true, fillForward: false,
exchangeTimeZone: DateTimeZone.Utc,
dataTimeZone: DateTimeZone.Utc);
// this is the universe symbol, has no real entry in the mhdb, will default to market and security type
// set entry in market hours database for the universe subscription to match the config
var symbolString = MarketHoursDatabase.GetDatabaseSymbolKey(uconfig.Symbol);
MarketHoursDatabase.SetEntry(uconfig.Market, symbolString, uconfig.SecurityType,
SecurityExchangeHours.AlwaysOpen(uconfig.ExchangeTimeZone), uconfig.DataTimeZone);
universe = new UserDefinedUniverse(uconfig,
new UniverseSettings(
subscription.Resolution,
security.Leverage,
subscription.FillDataForward,
subscription.ExtendedMarketHours,
TimeSpan.Zero),
QuantConnect.Time.MaxTimeSpan,
new List <Symbol>());
AddUniverse(universe);
}
}
}
var userDefinedUniverse = universe as UserDefinedUniverse;
if (userDefinedUniverse != null)
{
lock (_pendingUniverseAdditionsLock)
{
_pendingUserDefinedUniverseSecurityAdditions.Add(
new UserDefinedUniverseAddition(userDefinedUniverse, configurations, security));
}
}
else
{
// should never happen, someone would need to add a non-user defined universe with this symbol
throw new Exception($"Expected universe with symbol '{universeSymbol.Value}' to be of type {nameof(UserDefinedUniverse)} but was {universe.GetType().Name}.");
}
return(security);
}
public override void OnEndOfAlgorithm()
{
// Reset our Symbol property value, for testing purposes.
SymbolPropertiesDatabase.SetEntry(Market.USA, MarketHoursDatabase.GetDatabaseSymbolKey(_bitcoin.Symbol), SecurityType.Base,
SymbolProperties.GetDefault("USD"));
}