/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * * Licensed under the Apache License, Version 2.0 (the "License"); * you may not use this file except in compliance with the License. * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 * * Unless required by applicable law or agreed to in writing, software * distributed under the License is distributed on an "AS IS" BASIS, * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. * See the License for the specific language governing permissions and * limitations under the License. */ using QuantConnect.Interfaces; using QuantConnect.Securities; using System; using System.Collections.Generic; using System.Linq; namespace QuantConnect { /// /// Provides utility methods for or related to algorithms /// public static class AlgorithmUtils { /// /// Seeds the provided securities with their last known prices from the algorithm /// /// The securities to seed /// The algorithm instance public static void SeedSecurities(IReadOnlyCollection securities, IAlgorithm algorithm) { var securitiesToSeed = securities.Where(x => x.Price == 0); var data = algorithm.GetLastKnownPrices(securitiesToSeed.Select(x => x.Symbol)); foreach (var security in securitiesToSeed) { if (data.TryGetValue(security.Symbol, out var seedData)) { foreach (var datum in seedData) { security.SetMarketPrice(datum); } } } } /// /// Seeds an initial conversion rate for the cashbook currencies that don't have one yet, so they are /// non-zero right away instead of waiting for the first conversion pair bar to arrive /// /// The algorithm instance /// /// If passed, only the currencies in the CashBook contained in this list will be updated. /// By default, if not passed (null), all currencies in the cashbook without a properly set up currency conversion will be updated. /// public static void SeedCurrencyConversionRates(IAlgorithm algorithm, IReadOnlyCollection currenciesToUpdateWhiteList = null) { Func cashToUpdateFilter = currenciesToUpdateWhiteList == null ? (x) => x.CurrencyConversion != null && x.ConversionRate == 0 : (x) => currenciesToUpdateWhiteList.Contains(x.Symbol); var cashToUpdate = algorithm.Portfolio.CashBook.Values.Where(cashToUpdateFilter).ToList(); if (cashToUpdate.Count == 0) { return; } var securitiesToUpdate = cashToUpdate .SelectMany(x => x.CurrencyConversion.ConversionRateSecurities) .Distinct() .ToList(); SeedSecurities(securitiesToUpdate, algorithm); foreach (var cash in cashToUpdate) { cash.Update(); } } } }