chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using Newtonsoft.Json;
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using ProtoBuf;
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using QuantConnect.Data;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Interfaces;
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using QuantConnect.Logging;
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using QuantConnect.Securities.CurrencyConversion;
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namespace QuantConnect.Securities
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{
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/// <summary>
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/// Represents a holding of a currency in cash.
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/// </summary>
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[ProtoContract(SkipConstructor = true)]
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public class Cash
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{
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private ICurrencyConversion _currencyConversion;
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private readonly object _locker = new object();
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/// <summary>
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/// Event fired when this instance is updated
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/// <see cref="AddAmount"/>, <see cref="SetAmount"/>, <see cref="Update"/>
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/// </summary>
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public event EventHandler Updated;
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/// <summary>
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/// Event fired when this instance's <see cref="CurrencyConversion"/> is set/updated
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/// </summary>
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public event EventHandler CurrencyConversionUpdated;
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/// <summary>
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/// Gets the symbols of the securities required to provide conversion rates.
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/// If this cash represents the account currency, then an empty enumerable is returned.
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/// </summary>
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public IEnumerable<Symbol> SecuritySymbols => CurrencyConversion.ConversionRateSecurities.Any()
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? CurrencyConversion.ConversionRateSecurities.Select(x => x.Symbol)
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// we do this only because Newtonsoft.Json complains about empty enumerables
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: new List<Symbol>(0);
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/// <summary>
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/// Gets the object that calculates the conversion rate to account currency
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/// </summary>
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[JsonIgnore]
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public ICurrencyConversion CurrencyConversion
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{
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get
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{
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return _currencyConversion;
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}
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internal set
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{
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var lastConversionRate = 0m;
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if (_currencyConversion != null)
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{
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lastConversionRate = _currencyConversion.ConversionRate;
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_currencyConversion.ConversionRateUpdated -= OnConversionRateUpdated;
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}
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_currencyConversion = value;
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if (_currencyConversion != null)
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{
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if (lastConversionRate != 0m)
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{
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// If a user adds cash with an initial conversion rate and then this is overriden to a SecurityCurrencyConversion,
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// we want to keep the previous rate until the new one is updated.
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_currencyConversion.ConversionRate = lastConversionRate;
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}
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_currencyConversion.ConversionRateUpdated += OnConversionRateUpdated;
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}
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CurrencyConversionUpdated?.Invoke(this, EventArgs.Empty);
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}
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}
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private void OnConversionRateUpdated(object sender, decimal e)
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{
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OnUpdate();
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}
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/// <summary>
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/// Gets the symbol used to represent this cash
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/// </summary>
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[ProtoMember(1)]
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public string Symbol { get; }
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/// <summary>
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/// Gets or sets the amount of cash held
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/// </summary>
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[ProtoMember(2)]
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public decimal Amount { get; private set; }
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/// <summary>
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/// Gets the conversion rate into account currency
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/// </summary>
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[ProtoMember(3)]
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public decimal ConversionRate
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{
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get
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{
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return _currencyConversion.ConversionRate;
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}
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internal set
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{
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if (_currencyConversion == null)
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{
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CurrencyConversion = new ConstantCurrencyConversion(Symbol, null, value);
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}
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_currencyConversion.ConversionRate = value;
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}
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}
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/// <summary>
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/// The symbol of the currency, such as $
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/// </summary>
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[ProtoMember(4)]
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public string CurrencySymbol { get; }
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/// <summary>
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/// Gets the value of this cash in the account currency
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/// </summary>
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public decimal ValueInAccountCurrency => Amount * ConversionRate;
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/// <summary>
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/// Initializes a new instance of the <see cref="Cash"/> class
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/// </summary>
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/// <param name="symbol">The symbol used to represent this cash</param>
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/// <param name="amount">The amount of this currency held</param>
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/// <param name="conversionRate">The initial conversion rate of this currency into the <see cref="CashBook.AccountCurrency"/></param>
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public Cash(string symbol, decimal amount, decimal conversionRate)
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{
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if (string.IsNullOrEmpty(symbol))
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{
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throw new ArgumentException(Messages.Cash.NullOrEmptyCashSymbol);
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}
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Amount = amount;
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Symbol = symbol.LazyToUpper();
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CurrencySymbol = Currencies.GetCurrencySymbol(Symbol);
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CurrencyConversion = new ConstantCurrencyConversion(Symbol, null, conversionRate);
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}
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/// <summary>
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/// Marks this cash object's conversion rate as being potentially outdated
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/// </summary>
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public void Update()
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{
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_currencyConversion.Update();
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}
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/// <summary>
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/// Adds the specified amount of currency to this Cash instance and returns the new total.
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/// This operation is thread-safe
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/// </summary>
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/// <param name="amount">The amount of currency to be added</param>
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/// <returns>The amount of currency directly after the addition</returns>
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public decimal AddAmount(decimal amount)
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{
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lock (_locker)
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{
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Amount += amount;
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}
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OnUpdate();
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return Amount;
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}
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/// <summary>
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/// Sets the Quantity to the specified amount
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/// </summary>
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/// <param name="amount">The amount to set the quantity to</param>
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public void SetAmount(decimal amount)
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{
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var updated = false;
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// lock can be null when proto deserializing this instance
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lock (_locker ?? new object())
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{
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if (Amount != amount)
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{
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Amount = amount;
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// only update if there was actually one
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updated = true;
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}
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}
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if (updated)
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{
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OnUpdate();
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}
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}
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/// <summary>
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/// Ensures that we have a data feed to convert this currency into the base currency.
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/// This will add a <see cref="SubscriptionDataConfig"/> and create a <see cref="Security"/> at the lowest resolution if one is not found.
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/// </summary>
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/// <param name="securities">The security manager</param>
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/// <param name="subscriptions">The subscription manager used for searching and adding subscriptions</param>
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/// <param name="marketMap">The market map that decides which market the new security should be in</param>
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/// <param name="changes">Will be used to consume <see cref="SecurityChanges.AddedSecurities"/></param>
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/// <param name="securityService">Will be used to create required new <see cref="Security"/></param>
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/// <param name="accountCurrency">The account currency</param>
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/// <param name="defaultResolution">The default resolution to use for the internal subscriptions</param>
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/// <returns>Returns the added <see cref="SubscriptionDataConfig"/>, otherwise null</returns>
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public List<SubscriptionDataConfig> EnsureCurrencyDataFeed(SecurityManager securities,
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SubscriptionManager subscriptions,
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IReadOnlyDictionary<SecurityType, string> marketMap,
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SecurityChanges changes,
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ISecurityService securityService,
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string accountCurrency,
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Resolution defaultResolution = Resolution.Minute
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)
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{
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// this gets called every time we add securities using universe selection,
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// so must of the time we've already resolved the value and don't need to again
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if (CurrencyConversion.DestinationCurrency != null)
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{
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return null;
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}
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if (Symbol == accountCurrency)
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{
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CurrencyConversion = ConstantCurrencyConversion.Identity(accountCurrency);
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return null;
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}
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// existing securities
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var securitiesToSearch = securities.Select(kvp => kvp.Value)
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.Concat(changes.AddedSecurities)
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.Where(s => ProvidesConversionRate(s.Type));
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// Create a SecurityType to Market mapping with the markets from SecurityManager members
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var markets = securities.Select(x => x.Key)
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.GroupBy(x => x.SecurityType)
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.ToDictionary(x => x.Key, y => y.Select(symbol => symbol.ID.Market).ToHashSet());
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if (markets.ContainsKey(SecurityType.Cfd) && !markets.ContainsKey(SecurityType.Forex))
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{
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markets.Add(SecurityType.Forex, markets[SecurityType.Cfd]);
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}
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if (markets.ContainsKey(SecurityType.Forex) && !markets.ContainsKey(SecurityType.Cfd))
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{
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markets.Add(SecurityType.Cfd, markets[SecurityType.Forex]);
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}
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var forexEntries = GetAvailableSymbolPropertiesDatabaseEntries(SecurityType.Forex, marketMap, markets);
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var cfdEntries = GetAvailableSymbolPropertiesDatabaseEntries(SecurityType.Cfd, marketMap, markets);
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var cryptoEntries = GetAvailableSymbolPropertiesDatabaseEntries(SecurityType.Crypto, marketMap, markets);
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if (marketMap.TryGetValue(SecurityType.CryptoFuture, out var cryptoFutureMarket) && cryptoFutureMarket == Market.DYDX)
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{
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// Put additional logic for dYdX crypto futures as they don't have Crypto (Spot) market
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// Also need to add them first to give the priority
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// TODO: remove once dydx SPOT market will be imlemented
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cryptoEntries = GetAvailableSymbolPropertiesDatabaseEntries(SecurityType.CryptoFuture, marketMap, markets).Concat(cryptoEntries);
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}
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var potentialEntries = forexEntries
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.Concat(cfdEntries)
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.Concat(cryptoEntries)
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.ToList();
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// Special case for crypto markets without direct pairs (They wont be found by the above)
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// This allows us to add cash for "StableCoins" that are 1-1 with our account currency without needing a conversion security.
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// Check out the StableCoinsWithoutPairs static var for those that are missing their 1-1 conversion pairs
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if (marketMap.TryGetValue(SecurityType.Crypto, out var market) && Currencies.IsStableCoinWithoutPair(accountCurrency, Symbol, market))
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{
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CurrencyConversion = ConstantCurrencyConversion.Identity(accountCurrency, Symbol);
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return null;
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}
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if (!potentialEntries.Any(x =>
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Symbol == x.Key.Symbol.Substring(0, x.Key.Symbol.Length - x.Value.QuoteCurrency.Length) ||
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Symbol == x.Value.QuoteCurrency))
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{
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// currency not found in any tradeable pair
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Log.Error(Messages.Cash.NoTradablePairFoundForCurrencyConversion(Symbol, accountCurrency, marketMap.Where(kvp => ProvidesConversionRate(kvp.Key))));
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CurrencyConversion = ConstantCurrencyConversion.Null(accountCurrency, Symbol);
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return null;
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}
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var requiredSecurities = new List<SubscriptionDataConfig>();
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var potentials = potentialEntries
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.Select(x => QuantConnect.Symbol.Create(x.Key.Symbol, x.Key.SecurityType, x.Key.Market));
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var minimumResolution = subscriptions.Subscriptions.Select(x => x.Resolution).DefaultIfEmpty(defaultResolution).Min();
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var makeNewSecurity = new Func<Symbol, Security>(symbol =>
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{
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var securityType = symbol.ID.SecurityType;
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// use the first subscription defined in the subscription manager
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var type = subscriptions.LookupSubscriptionConfigDataTypes(securityType, minimumResolution, false).First();
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var objectType = type.Item1;
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var tickType = type.Item2;
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// set this as an internal feed so that the data doesn't get sent into the algorithm's OnData events
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var config = subscriptions.SubscriptionDataConfigService.Add(symbol,
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minimumResolution,
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fillForward: true,
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extendedMarketHours: false,
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isInternalFeed: true,
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subscriptionDataTypes: new List<Tuple<Type, TickType>>
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{new Tuple<Type, TickType>(objectType, tickType)}).First();
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var newSecurity = securityService.CreateSecurity(symbol,
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config,
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addToSymbolCache: false,
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// All securities added for currency conversion will be seeded in batch after all are created
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seedSecurity: false);
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Log.Trace("Cash.EnsureCurrencyDataFeed(): " + Messages.Cash.AddingSecuritySymbolForCashCurrencyFeed(symbol, Symbol));
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securities.Add(symbol, newSecurity);
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requiredSecurities.Add(config);
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return newSecurity;
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});
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CurrencyConversion = SecurityCurrencyConversion.LinearSearch(Symbol,
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accountCurrency,
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securitiesToSearch.ToList(),
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potentials,
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makeNewSecurity);
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return requiredSecurities;
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}
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/// <summary>
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/// Returns a <see cref="string"/> that represents the current <see cref="Cash"/>.
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/// </summary>
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/// <returns>A <see cref="string"/> that represents the current <see cref="Cash"/>.</returns>
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public override string ToString()
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{
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return ToString(Currencies.USD);
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}
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/// <summary>
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/// Returns a <see cref="string"/> that represents the current <see cref="Cash"/>.
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/// </summary>
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/// <returns>A <see cref="string"/> that represents the current <see cref="Cash"/>.</returns>
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public string ToString(string accountCurrency)
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{
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return Messages.Cash.ToString(this, accountCurrency);
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}
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private static IEnumerable<KeyValuePair<SecurityDatabaseKey, SymbolProperties>> GetAvailableSymbolPropertiesDatabaseEntries(
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SecurityType securityType,
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IReadOnlyDictionary<SecurityType, string> marketMap,
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IReadOnlyDictionary<SecurityType, HashSet<string>> markets
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)
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{
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var marketJoin = new HashSet<string>();
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{
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string market;
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if (marketMap.TryGetValue(securityType, out market))
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{
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marketJoin.Add(market);
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}
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HashSet<string> existingMarkets;
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if (markets.TryGetValue(securityType, out existingMarkets))
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{
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foreach (var existingMarket in existingMarkets)
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{
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marketJoin.Add(existingMarket);
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}
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}
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}
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return marketJoin.SelectMany(market => SymbolPropertiesDatabase.FromDataFolder()
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.GetSymbolPropertiesList(market, securityType));
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}
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private static bool ProvidesConversionRate(SecurityType securityType)
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{
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return securityType == SecurityType.Forex || securityType == SecurityType.Crypto || securityType == SecurityType.Cfd;
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}
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private void OnUpdate()
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{
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Updated?.Invoke(this, EventArgs.Empty);
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}
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}
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}
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Reference in New Issue
Block a user