/// <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 void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
{
changes.FilterCustomSecurities = false;
foreach (var security in changes.RemovedSecurities)
{
if (security.Type != SecurityType.Base)
{
_removedSymbols.Enqueue(security.Symbol);
}
else if (security.Symbol.IsCustomDataType <AlphaStreamsPortfolioState>())
{
_rebalance = true;
_targetsPerSymbolPerAlpha.Remove(security.Symbol);
LastPortfolioPerAlpha.Remove(security.Symbol);
}
}
foreach (var security in changes.AddedSecurities)
{
if (security.Symbol.IsCustomDataType <AlphaStreamsPortfolioState>())
{
_rebalance = true;
_targetsPerSymbolPerAlpha[security.Symbol] = new Dictionary <Symbol, PortfolioTarget>();
var lastState = security.Cache.GetData <AlphaStreamsPortfolioState>();
lastState ??= algorithm.GetLastKnownPrices(security).OfType <AlphaStreamsPortfolioState>().LastOrDefault();
if (lastState != null)
{
// keep the last state per alpha
LastPortfolioPerAlpha[security.Symbol] = lastState;
if (!algorithm.Portfolio.CashBook.ContainsKey(lastState.AccountCurrency))
{
// ensure we have conversion rates if the alpha has another account currency
algorithm.SetCash(lastState.AccountCurrency, 0);
}
}
}
}
}