chore: import upstream snapshot with attribution
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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.Collections.Generic;
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using System.Linq;
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using QuantConnect.Brokerages;
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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.Securities;
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namespace QuantConnect.Lean.Engine.DataFeeds
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{
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/// <summary>
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/// Helper class to keep track of required internal currency <see cref="SubscriptionDataConfig"/>.
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/// This class is used by the <see cref="UniverseSelection"/>
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/// </summary>
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public class CurrencySubscriptionDataConfigManager
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{
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private readonly HashSet<SubscriptionDataConfig> _toBeAddedCurrencySubscriptionDataConfigs;
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private readonly HashSet<SubscriptionDataConfig> _addedCurrencySubscriptionDataConfigs;
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private bool _ensureCurrencyDataFeeds;
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private bool _pendingSubscriptionDataConfigs;
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private readonly CashBook _cashBook;
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private readonly Resolution _defaultResolution;
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private readonly SecurityManager _securityManager;
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private readonly SubscriptionManager _subscriptionManager;
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private readonly ISecurityService _securityService;
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/// <summary>
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/// Creates a new instance
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/// </summary>
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/// <param name="cashBook">The cash book instance</param>
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/// <param name="securityManager">The SecurityManager, required by the cash book for creating new securities</param>
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/// <param name="subscriptionManager">The SubscriptionManager, required by the cash book for creating new subscription data configs</param>
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/// <param name="securityService">The SecurityService, required by the cash book for creating new securities</param>
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/// <param name="defaultResolution">The default resolution to use for the internal subscriptions</param>
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public CurrencySubscriptionDataConfigManager(CashBook cashBook,
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SecurityManager securityManager,
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SubscriptionManager subscriptionManager,
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ISecurityService securityService,
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Resolution defaultResolution)
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{
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cashBook.Updated += (sender, args) =>
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{
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if (args.UpdateType == CashBookUpdateType.Added)
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{
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_ensureCurrencyDataFeeds = true;
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}
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};
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_defaultResolution = defaultResolution;
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_pendingSubscriptionDataConfigs = false;
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_securityManager = securityManager;
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_subscriptionManager = subscriptionManager;
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_securityService = securityService;
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_cashBook = cashBook;
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_addedCurrencySubscriptionDataConfigs = new HashSet<SubscriptionDataConfig>();
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_toBeAddedCurrencySubscriptionDataConfigs = new HashSet<SubscriptionDataConfig>();
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}
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/// <summary>
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/// Will verify if there are any <see cref="SubscriptionDataConfig"/> to be removed
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/// for a given added <see cref="Symbol"/>.
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/// </summary>
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/// <param name="addedSymbol">The symbol that was added to the data feed system</param>
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/// <returns>The SubscriptionDataConfig to be removed, null if none</returns>
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public SubscriptionDataConfig GetSubscriptionDataConfigToRemove(Symbol addedSymbol)
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{
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if (addedSymbol.SecurityType == SecurityType.Crypto
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|| addedSymbol.SecurityType == SecurityType.CryptoFuture
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|| addedSymbol.SecurityType == SecurityType.Forex
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|| addedSymbol.SecurityType == SecurityType.Cfd)
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{
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var currencyDataFeed = _addedCurrencySubscriptionDataConfigs
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.FirstOrDefault(x => x.Symbol == addedSymbol);
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if (currencyDataFeed != null)
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{
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return currencyDataFeed;
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}
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}
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return null;
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}
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/// <summary>
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/// Will update pending currency <see cref="SubscriptionDataConfig"/>
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/// </summary>
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/// <returns>True when there are pending currency subscriptions <see cref="GetPendingSubscriptionDataConfigs"/></returns>
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public bool UpdatePendingSubscriptionDataConfigs(IBrokerageModel brokerageModel)
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{
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if (_ensureCurrencyDataFeeds)
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{
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// this allows us to handle the case where SetCash is called when no security has been really added
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EnsureCurrencySubscriptionDataConfigs(SecurityChanges.None, brokerageModel);
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}
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return _pendingSubscriptionDataConfigs;
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}
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/// <summary>
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/// Will return any pending internal currency <see cref="SubscriptionDataConfig"/> and remove them as pending.
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/// </summary>
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/// <returns>Will return the <see cref="SubscriptionDataConfig"/> to be added</returns>
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public IEnumerable<SubscriptionDataConfig> GetPendingSubscriptionDataConfigs()
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{
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var result = new List<SubscriptionDataConfig>();
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if (_pendingSubscriptionDataConfigs)
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{
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foreach (var subscriptionDataConfig in _toBeAddedCurrencySubscriptionDataConfigs)
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{
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_addedCurrencySubscriptionDataConfigs.Add(subscriptionDataConfig);
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result.Add(subscriptionDataConfig);
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}
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_toBeAddedCurrencySubscriptionDataConfigs.Clear();
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_pendingSubscriptionDataConfigs = false;
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}
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return result;
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}
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/// <summary>
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/// Checks the current <see cref="SubscriptionDataConfig"/> and adds new necessary currency pair feeds to provide real time conversion data
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/// </summary>
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/// <returns>True if a new currency was introduced, either as a new internal conversion feed or as a new cash
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/// entry added to the cashbook. Lets callers skip follow up work like seeding the new conversion rates when
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/// nothing was added</returns>
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public bool EnsureCurrencySubscriptionDataConfigs(SecurityChanges securityChanges, IBrokerageModel brokerageModel)
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{
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// a new cash added to the cashbook also needs its conversion rate seeded, even when its conversion
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// security is an already subscribed one and no new internal feed is introduced below
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var newCashAdded = _ensureCurrencyDataFeeds;
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_ensureCurrencyDataFeeds = false;
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// remove any 'to be added' if the security has already been added
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_toBeAddedCurrencySubscriptionDataConfigs.RemoveWhere(
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config => securityChanges.AddedSecurities.Any(x => x.Symbol == config.Symbol));
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var newConfigs = _cashBook.EnsureCurrencyDataFeeds(
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_securityManager,
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_subscriptionManager,
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brokerageModel.DefaultMarkets,
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securityChanges,
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_securityService,
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_defaultResolution);
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foreach (var config in newConfigs)
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{
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_toBeAddedCurrencySubscriptionDataConfigs.Add(config);
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}
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_pendingSubscriptionDataConfigs = _toBeAddedCurrencySubscriptionDataConfigs.Any();
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return newConfigs.Count > 0 || newCashAdded;
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}
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}
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}
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