/// <summary>
/// Cleans out old security data and initializes the RSI for any newly added securities.
/// This functional also seeds any new indicators using a history request.
/// </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)
{
// clean up data for removed securities
if (changes.RemovedSecurities.Count > 0)
{
var removed = changes.RemovedSecurities.ToHashSet(x => x.Symbol);
foreach (var subscription in algorithm.SubscriptionManager.Subscriptions)
{
if (removed.Contains(subscription.Symbol))
{
_symbolDataBySymbol.Remove(subscription.Symbol);
subscription.Consolidators.Clear();
}
}
}
// initialize data for added securities
var addedSymbols = new List <Symbol>();
foreach (var added in changes.AddedSecurities)
{
if (!_symbolDataBySymbol.ContainsKey(added.Symbol))
{
Differential indicator = algorithm.DIFF(added.Symbol, _window_size, _window_timeframe, algorithm.SubscriptionManager, _resolution);
//var rsi = algorithm.RSI(added.Symbol, _period, MovingAverageType.Wilders, _resolution);
var symbolData = new SymbolData(added.Symbol, indicator);
_symbolDataBySymbol[added.Symbol] = symbolData;
addedSymbols.Add(symbolData.Symbol);
}
}
if (addedSymbols.Count > 0)
{
// warmup our indicators by pushing history through the consolidators
algorithm.History(addedSymbols, _window_size, _resolution)
.PushThrough(data =>
{
SymbolData symbolData;
if (_symbolDataBySymbol.TryGetValue(data.Symbol, out symbolData))
{
symbolData.DIFF.Update(data.EndTime, data.Value);
}
});
}
}
