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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*/
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using System;
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using System.Linq;
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using QuantConnect.Util;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using System.Collections.Generic;
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using QuantConnect.Data.Market;
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using QuantConnect.Securities.Option;
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namespace QuantConnect.Securities
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{
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/// <summary>
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/// This class implements interface <see cref="ISecurityService"/> providing methods for creating new <see cref="Security"/>
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/// </summary>
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public class SecurityService : ISecurityService
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{
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private readonly CashBook _cashBook;
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private readonly MarketHoursDatabase _marketHoursDatabase;
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private readonly SymbolPropertiesDatabase _symbolPropertiesDatabase;
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private readonly IRegisteredSecurityDataTypesProvider _registeredTypes;
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private readonly ISecurityInitializerProvider _securityInitializerProvider;
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private readonly SecurityCacheProvider _cacheProvider;
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private readonly IPrimaryExchangeProvider _primaryExchangeProvider;
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private readonly IOptionPriceModelProvider _optionPriceModelProvider;
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private readonly IAlgorithm _algorithm;
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private bool _isLiveMode;
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private bool _modelsMismatchWarningSent;
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/// <summary>
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/// Creates a new instance of the SecurityService class
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/// </summary>
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public SecurityService(CashBook cashBook,
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MarketHoursDatabase marketHoursDatabase,
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SymbolPropertiesDatabase symbolPropertiesDatabase,
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ISecurityInitializerProvider securityInitializerProvider,
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IRegisteredSecurityDataTypesProvider registeredTypes,
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SecurityCacheProvider cacheProvider,
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IPrimaryExchangeProvider primaryExchangeProvider = null,
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IAlgorithm algorithm = null,
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IOptionPriceModelProvider optionPriceModelProvider = null)
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{
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_cashBook = cashBook;
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_registeredTypes = registeredTypes;
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_marketHoursDatabase = marketHoursDatabase;
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_symbolPropertiesDatabase = symbolPropertiesDatabase;
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_securityInitializerProvider = securityInitializerProvider;
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_cacheProvider = cacheProvider;
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_primaryExchangeProvider = primaryExchangeProvider;
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_algorithm = algorithm;
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_optionPriceModelProvider = optionPriceModelProvider;
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OptionPriceModels.DefaultPriceModelProvider = _optionPriceModelProvider;
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}
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/// <summary>
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/// Creates a new security
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/// </summary>
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/// <remarks>Following the obsoletion of Security.Subscriptions,
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/// both overloads will be merged removing <see cref="SubscriptionDataConfig"/> arguments</remarks>
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private Security CreateSecurity(Symbol symbol,
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List<SubscriptionDataConfig> subscriptionDataConfigList,
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decimal leverage,
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bool addToSymbolCache,
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Security underlying,
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bool initializeSecurity,
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bool reCreateSecurity,
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bool seedSecurity)
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{
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var configList = new SubscriptionDataConfigList(symbol);
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if (subscriptionDataConfigList != null)
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{
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configList.AddRange(subscriptionDataConfigList);
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}
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if (!reCreateSecurity && _algorithm != null && _algorithm.Securities.TryGetValue(symbol, out var existingSecurity))
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{
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existingSecurity.AddData(configList);
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// If non-internal, mark as tradable if it was not already since this is an existing security but might include new subscriptions
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if (!configList.IsInternalFeed)
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{
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existingSecurity.MakeTradable();
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}
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InitializeSecurity(initializeSecurity, existingSecurity, seedSecurity);
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return existingSecurity;
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}
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var dataTypes = Enumerable.Empty<Type>();
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if (symbol.SecurityType == SecurityType.Base && SecurityIdentifier.TryGetCustomDataTypeInstance(symbol.ID.Symbol, out var type))
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{
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dataTypes = new[] { type };
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}
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var exchangeHours = _marketHoursDatabase.GetEntry(symbol, dataTypes).ExchangeHours;
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var defaultQuoteCurrency = _cashBook.AccountCurrency;
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if (symbol.ID.SecurityType == SecurityType.Forex)
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{
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defaultQuoteCurrency = symbol.Value.Substring(3);
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}
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if (symbol.ID.SecurityType == SecurityType.Crypto && !_symbolPropertiesDatabase.ContainsKey(symbol.ID.Market, symbol, symbol.ID.SecurityType))
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{
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throw new ArgumentException(Messages.SecurityService.SymbolNotFoundInSymbolPropertiesDatabase(symbol));
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}
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// For Futures Options that don't have a SPDB entry, the futures entry will be used instead.
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var symbolProperties = _symbolPropertiesDatabase.GetSymbolProperties(
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symbol.ID.Market,
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symbol,
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symbol.SecurityType,
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defaultQuoteCurrency);
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// add the symbol to our cache
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if (addToSymbolCache)
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{
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SymbolCache.Set(symbol.Value, symbol);
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}
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// verify the cash book is in a ready state
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var quoteCurrency = symbolProperties.QuoteCurrency;
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if (!_cashBook.TryGetValue(quoteCurrency, out var quoteCash))
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{
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// since we have none it's safe to say the conversion is zero
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quoteCash = _cashBook.Add(quoteCurrency, 0, 0);
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}
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Cash baseCash = null;
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// we skip cfd because we don't need to add the base cash
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if (symbol.SecurityType != SecurityType.Cfd)
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{
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if (CurrencyPairUtil.TryDecomposeCurrencyPair(symbol, out var baseCurrencySymbol, out _))
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{
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if (!_cashBook.TryGetValue(baseCurrencySymbol, out baseCash))
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{
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// since we have none it's safe to say the conversion is zero
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baseCash = _cashBook.Add(baseCurrencySymbol, 0, 0);
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}
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}
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else if (CurrencyPairUtil.IsValidSecurityType(symbol.SecurityType, false))
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{
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throw new ArgumentException($"Failed to resolve base currency for '{symbol.ID.Symbol}', it might be missing from the Symbol database or market '{symbol.ID.Market}' could be wrong");
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}
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}
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var cache = _cacheProvider.GetSecurityCache(symbol);
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List<TickType> sessionDataTypes = null;
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bool hasDataTypes = _algorithm != null && _algorithm.SubscriptionManager.AvailableDataTypes?.TryGetValue(symbol.SecurityType, out sessionDataTypes) == true;
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if (!hasDataTypes || sessionDataTypes.Count == 0)
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{
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sessionDataTypes = SubscriptionManager.DefaultDataTypes()[symbol.SecurityType];
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}
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cache.Session = new Session(sessionDataTypes.First(), exchangeHours, symbol);
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Security security;
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switch (symbol.ID.SecurityType)
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{
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case SecurityType.Equity:
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var primaryExchange =
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_primaryExchangeProvider?.GetPrimaryExchange(symbol.ID) ??
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Exchange.UNKNOWN;
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security = new Equity.Equity(symbol, exchangeHours, quoteCash, symbolProperties, _cashBook, _registeredTypes, cache, primaryExchange);
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break;
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case SecurityType.Option:
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if (addToSymbolCache) SymbolCache.Set(symbol.Underlying.Value, symbol.Underlying);
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security = new Option.Option(symbol, exchangeHours, quoteCash, new Option.OptionSymbolProperties(symbolProperties), _cashBook, _registeredTypes, cache, underlying, _optionPriceModelProvider);
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break;
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case SecurityType.IndexOption:
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if (addToSymbolCache) SymbolCache.Set(symbol.Underlying.Value, symbol.Underlying);
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security = new IndexOption.IndexOption(symbol, exchangeHours, quoteCash, new IndexOption.IndexOptionSymbolProperties(symbolProperties), _cashBook, _registeredTypes, cache, underlying, priceModelProvider: _optionPriceModelProvider);
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break;
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case SecurityType.FutureOption:
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if (addToSymbolCache) SymbolCache.Set(symbol.Underlying.Value, symbol.Underlying);
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var optionSymbolProperties = new Option.OptionSymbolProperties(symbolProperties);
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// Future options exercised only gives us one contract back, rather than the
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// 100x seen in equities.
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optionSymbolProperties.SetContractUnitOfTrade(1);
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security = new FutureOption.FutureOption(symbol, exchangeHours, quoteCash, optionSymbolProperties, _cashBook, _registeredTypes, cache, underlying);
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break;
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case SecurityType.Future:
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security = new Future.Future(symbol, exchangeHours, quoteCash, symbolProperties, _cashBook, _registeredTypes, cache);
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break;
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case SecurityType.Forex:
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security = new Forex.Forex(symbol, exchangeHours, quoteCash, baseCash, symbolProperties, _cashBook, _registeredTypes, cache);
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break;
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case SecurityType.Cfd:
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security = new Cfd.Cfd(symbol, exchangeHours, quoteCash, symbolProperties, _cashBook, _registeredTypes, cache);
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break;
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case SecurityType.Index:
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security = new Index.Index(symbol, exchangeHours, quoteCash, symbolProperties, _cashBook, _registeredTypes, cache);
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break;
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case SecurityType.Crypto:
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security = new Crypto.Crypto(symbol, exchangeHours, quoteCash, baseCash, symbolProperties, _cashBook, _registeredTypes, cache);
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break;
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case SecurityType.CryptoFuture:
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security = new CryptoFuture.CryptoFuture(symbol, exchangeHours, quoteCash, baseCash, symbolProperties, _cashBook, _registeredTypes, cache);
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break;
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default:
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case SecurityType.Base:
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security = new Security(symbol, exchangeHours, quoteCash, symbolProperties, _cashBook, _registeredTypes, cache);
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break;
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}
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// if we're just creating this security and it only has an internal
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// feed, mark it as non-tradable since the user didn't request this data
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if (security.IsTradable)
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{
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security.IsTradable = !configList.IsInternalFeed;
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}
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security.AddData(configList);
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// invoke the security initializer
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InitializeSecurity(initializeSecurity, security, seedSecurity);
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CheckCanonicalSecurityModels(security);
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// if leverage was specified then apply to security after the initializer has run, parameters of this
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// method take precedence over the intializer
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if (leverage != Security.NullLeverage)
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{
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security.SetLeverage(leverage);
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}
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var isNotNormalized = configList.DataNormalizationMode() == DataNormalizationMode.Raw;
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// In live mode and non normalized data, equity assumes specific price variation model
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if ((_isLiveMode || isNotNormalized) && security.Type == SecurityType.Equity)
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{
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security.PriceVariationModel = new EquityPriceVariationModel();
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}
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return security;
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}
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/// <summary>
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/// Creates a new security
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/// </summary>
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/// <remarks>Following the obsoletion of Security.Subscriptions,
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/// both overloads will be merged removing <see cref="SubscriptionDataConfig"/> arguments</remarks>
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public Security CreateSecurity(Symbol symbol,
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List<SubscriptionDataConfig> subscriptionDataConfigList,
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decimal leverage = 0,
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bool addToSymbolCache = true,
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Security underlying = null,
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bool seedSecurity = true)
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{
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return CreateSecurity(symbol, subscriptionDataConfigList, leverage, addToSymbolCache, underlying,
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initializeSecurity: true, reCreateSecurity: false, seedSecurity: seedSecurity);
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}
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/// <summary>
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/// Creates a new security
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/// </summary>
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/// <remarks>Following the obsoletion of Security.Subscriptions,
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/// both overloads will be merged removing <see cref="SubscriptionDataConfig"/> arguments</remarks>
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public Security CreateSecurity(Symbol symbol,
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SubscriptionDataConfig subscriptionDataConfig,
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decimal leverage = 0,
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bool addToSymbolCache = true,
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Security underlying = null,
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bool seedSecurity = true)
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{
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return CreateSecurity(symbol, new List<SubscriptionDataConfig> { subscriptionDataConfig }, leverage, addToSymbolCache, underlying, seedSecurity);
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}
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/// <summary>
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/// Creates a new security
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/// </summary>
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/// <remarks>Following the obsoletion of Security.Subscriptions,
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/// both overloads will be merged removing <see cref="SubscriptionDataConfig"/> arguments</remarks>
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public Security CreateBenchmarkSecurity(Symbol symbol)
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{
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return CreateSecurity(symbol,
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new List<SubscriptionDataConfig>(),
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leverage: 1,
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addToSymbolCache: false,
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underlying: null,
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initializeSecurity: false,
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reCreateSecurity: true,
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seedSecurity: false);
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}
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/// <summary>
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/// Set live mode state of the algorithm
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/// </summary>
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/// <param name="isLiveMode">True, live mode is enabled</param>
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public void SetLiveMode(bool isLiveMode)
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{
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_isLiveMode = isLiveMode;
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}
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/// <summary>
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/// Checks whether the created security has the same models as its canonical security (in case it has one)
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/// and sends a one-time warning if it doesn't.
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/// </summary>
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private void CheckCanonicalSecurityModels(Security security)
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{
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if (!_modelsMismatchWarningSent &&
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_algorithm != null &&
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security.Symbol.HasCanonical() &&
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_algorithm.Securities.TryGetValue(security.Symbol.Canonical, out var canonicalSecurity))
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{
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if (security.FillModel.GetType() != canonicalSecurity.FillModel.GetType() ||
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security.FeeModel.GetType() != canonicalSecurity.FeeModel.GetType() ||
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security.BuyingPowerModel.GetType() != canonicalSecurity.BuyingPowerModel.GetType() ||
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security.MarginInterestRateModel.GetType() != canonicalSecurity.MarginInterestRateModel.GetType() ||
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security.SlippageModel.GetType() != canonicalSecurity.SlippageModel.GetType() ||
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security.VolatilityModel.GetType() != canonicalSecurity.VolatilityModel.GetType() ||
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security.SettlementModel.GetType() != canonicalSecurity.SettlementModel.GetType())
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{
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_modelsMismatchWarningSent = true;
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_algorithm.Debug($"Warning: Security {security.Symbol} its canonical security {security.Symbol.Canonical} have at least one model of different types (fill, fee, buying power, margin interest rate, slippage, volatility, settlement). To avoid this, consider using a security initializer to set the right models to each security type according to your algorithm's requirements.");
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}
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}
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}
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private void InitializeSecurity(bool initializeSecurity, Security security, bool seedSecurity)
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{
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if (initializeSecurity && !security.IsInitialized)
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{
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if (seedSecurity && _algorithm != null && _algorithm.Settings.SeedInitialPrices)
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{
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AlgorithmUtils.SeedSecurities([security], _algorithm);
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}
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_securityInitializerProvider.SecurityInitializer.Initialize(security);
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security.IsInitialized = true;
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}
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}
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}
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}
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