/*
* 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();
}
}
}
}