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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*/
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Data.UniverseSelection;
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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 used to managed pending security removals <see cref="UniverseSelection"/>
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/// </summary>
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public class PendingRemovalsManager
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{
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private readonly Dictionary<Universe, List<Universe.Member>> _pendingRemovals;
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private readonly IOrderProvider _orderProvider;
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/// <summary>
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/// Current pending removals
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/// </summary>
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public IReadOnlyDictionary<Universe, List<Universe.Member>> PendingRemovals => _pendingRemovals;
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/// <summary>
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/// Create a new instance
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/// </summary>
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/// <param name="orderProvider">The order provider used to determine if it is safe to remove a security</param>
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public PendingRemovalsManager(IOrderProvider orderProvider)
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{
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_orderProvider = orderProvider;
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_pendingRemovals = new Dictionary<Universe, List<Universe.Member>>();
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}
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/// <summary>
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/// Determines if we can safely remove the security member from a universe.
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/// We must ensure that we have zero holdings, no open orders, and no existing portfolio targets
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/// </summary>
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private bool IsSafeToRemove(Universe.Member member, Universe universe)
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{
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var security = member.Security;
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// but don't physically remove it from the algorithm if we hold stock or have open orders against it or an open target
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var openOrders = _orderProvider.GetOpenOrders(x => x.Symbol == security.Symbol);
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if (!security.HoldStock && !openOrders.Any() && (security.Holdings.Target == null || security.Holdings.Target.Quantity == 0))
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{
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if (universe.Securities.Any(pair =>
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pair.Key.Underlying == security.Symbol && !IsSafeToRemove(pair.Value, universe)))
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{
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// don't remove if any member in the universe which uses this 'member' as underlying can't be removed
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// covers the options use case
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return false;
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}
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// don't remove if there are unsettled positions
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var unsettledCash = security.SettlementModel.GetUnsettledCash();
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if (unsettledCash != default && unsettledCash.Amount > 0)
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{
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return false;
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}
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return true;
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}
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return false;
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}
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/// <summary>
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/// Will determine if the <see cref="Security"/> can be removed.
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/// If it can be removed will add it to <see cref="PendingRemovals"/>
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/// </summary>
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/// <param name="member">The security to remove</param>
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/// <param name="universe">The universe which the security is a member of</param>
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/// <returns>The member to remove</returns>
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public List<RemovedMember> TryRemoveMember(Universe.Member member, Universe universe)
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{
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if (IsSafeToRemove(member, universe))
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{
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return new List<RemovedMember> {new RemovedMember(universe, member.Security)};
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}
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if (_pendingRemovals.ContainsKey(universe))
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{
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if (!_pendingRemovals[universe].Contains(member))
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{
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_pendingRemovals[universe].Add(member);
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}
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}
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else
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{
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_pendingRemovals.Add(universe, new List<Universe.Member> { member });
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}
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return null;
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}
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/// <summary>
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/// Will check if the security is pending for removal
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/// </summary>
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/// <param name="security">The security</param>
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/// <param name="isInternal">Whether it's an internal subscription</param>
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/// <returns>Whether the security is pending for removal</returns>
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public bool IsPendingForRemoval(Security security, bool isInternal)
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{
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return _pendingRemovals.Values.Any(x => x.Any(y => y.IsInternal == isInternal && y.Security.Symbol == security.Symbol));
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}
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/// <summary>
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/// Will check if the member is pending for removal
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/// </summary>
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/// <param name="member">The universe member</param>
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/// <returns>Whether the security is pending for removal</returns>
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public bool IsPendingForRemoval(Universe.Member member)
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{
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return IsPendingForRemoval(member.Security, member.IsInternal);
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}
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/// <summary>
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/// Will check pending security removals
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/// </summary>
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/// <param name="selectedSymbols">Currently selected symbols</param>
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/// <param name="currentUniverse">Current universe</param>
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/// <returns>The members to be removed</returns>
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public List<RemovedMember> CheckPendingRemovals(
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HashSet<Symbol> selectedSymbols,
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Universe currentUniverse)
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{
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var result = new List<RemovedMember>();
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// remove previously deselected members which were kept in the universe because of holdings or open orders
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foreach (var kvp in _pendingRemovals.ToList())
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{
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var universeRemoving = kvp.Key;
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foreach (var member in kvp.Value.ToList())
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{
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var isSafeToRemove = IsSafeToRemove(member, universeRemoving);
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if (isSafeToRemove
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||
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// if we are re selecting it we remove it as a pending removal
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// else we might remove it when we do not want to do so
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universeRemoving == currentUniverse
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&& selectedSymbols.Contains(member.Security.Symbol))
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{
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if (isSafeToRemove)
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{
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result.Add(new RemovedMember(universeRemoving, member.Security));
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}
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_pendingRemovals[universeRemoving].Remove(member);
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// if there are no more pending removals for this universe lets remove it
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if (!_pendingRemovals[universeRemoving].Any())
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{
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_pendingRemovals.Remove(universeRemoving);
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}
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}
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}
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}
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return result;
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}
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/// <summary>
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/// Helper class used to report removed universe members
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/// </summary>
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public class RemovedMember
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{
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/// <summary>
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/// Universe the security was removed from
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/// </summary>
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public Universe Universe { get; }
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/// <summary>
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/// Security that is removed
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/// </summary>
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public Security Security { get; }
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/// <summary>
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/// Initialize a new instance of <see cref="RemovedMember"/>
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/// </summary>
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/// <param name="universe"><see cref="Universe"/> the security was removed from</param>
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/// <param name="security"><see cref="Security"/> that is removed</param>
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public RemovedMember(Universe universe, Security security)
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{
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Universe = universe;
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Security = security;
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}
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}
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}
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}
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