chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using QuantConnect.Brokerages;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Securities;
+using System.Linq;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This algorithm shows how to set a custom security initializer.
+    /// A security initializer is run immediately after a new security object
+    /// has been created and can be used to security models and other settings,
+    /// such as data normalization mode
+    /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="securities and portfolio" />
+    /// <meta name="tag" content="trading and orders" />
+    public class CustomSecurityInitializerAlgorithm : QCAlgorithm
+    {
+        public override void Initialize()
+        {
+            // set our initializer to our custom type
+            SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage);
+            var funcSecuritySeeder = new FuncSecuritySeeder(CustomSeedFunction);
+            SetSecurityInitializer(new CustomSecurityInitializer(BrokerageModel, funcSecuritySeeder, DataNormalizationMode.Raw));
+
+            SetStartDate(2013, 10, 01);
+            SetEndDate(2013, 11, 01);
+
+            AddSecurity(SecurityType.Equity, "SPY", Resolution.Hour);
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                SetHoldings("SPY", 1);
+            }
+        }
+
+        private BaseData CustomSeedFunction(Security security)
+        {
+            var resolution = Resolution.Hour;
+            var history = History(new[] { security.Symbol }, 1, resolution);
+
+            if (history.Any() && history.First().Values.Any())
+            {
+                return history.First().Values.First();
+            }
+
+            return null;
+        }
+
+        /// <summary>
+        /// Our custom initializer that will set the data normalization mode.
+        /// We sub-class the <see cref="BrokerageModelSecurityInitializer"/>
+        /// so we can also take advantage of the default model/leverage setting
+        /// behaviors
+        /// </summary>
+        class CustomSecurityInitializer : BrokerageModelSecurityInitializer
+        {
+            private readonly DataNormalizationMode _dataNormalizationMode;
+
+            /// <summary>
+            /// Initializes a new instance of the <see cref="CustomSecurityInitializer"/> class
+            /// with the specified normalization mode
+            /// </summary>
+            /// <param name="brokerageModel">The brokerage model used to get fill/fee/slippage/settlement models</param>
+            /// <param name="securitySeeder">The security seeder to be used</param>
+            /// <param name="dataNormalizationMode">The desired data normalization mode</param>
+            public CustomSecurityInitializer(IBrokerageModel brokerageModel, ISecuritySeeder securitySeeder, DataNormalizationMode dataNormalizationMode)
+                : base(brokerageModel, securitySeeder)
+            {
+                _dataNormalizationMode = dataNormalizationMode;
+            }
+
+            /// <summary>
+            /// Initializes the specified security by setting up the models
+            /// </summary>
+            /// <param name="security">The security to be initialized</param>
+            public override void Initialize(Security security)
+            {
+                // first call the default implementation
+                base.Initialize(security);
+
+                // now apply our data normalization mode
+                security.SetDataNormalizationMode(_dataNormalizationMode);
+            }
+        }
+    }
+}