wehub-resource-sync
86 lines
3.4 KiB
C#
86 lines
3.4 KiB
C#
/*
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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 QuantConnect.Interfaces;
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using QuantConnect.Securities;
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using System;
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using System.Collections.Generic;
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using System.Linq;
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namespace QuantConnect
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{
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/// <summary>
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/// Provides utility methods for or related to algorithms
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/// </summary>
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public static class AlgorithmUtils
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{
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/// <summary>
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/// Seeds the provided securities with their last known prices from the algorithm
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/// </summary>
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/// <param name="securities">The securities to seed</param>
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/// <param name="algorithm">The algorithm instance</param>
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public static void SeedSecurities(IReadOnlyCollection<Security> securities, IAlgorithm algorithm)
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{
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var securitiesToSeed = securities.Where(x => x.Price == 0);
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var data = algorithm.GetLastKnownPrices(securitiesToSeed.Select(x => x.Symbol));
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foreach (var security in securitiesToSeed)
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{
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if (data.TryGetValue(security.Symbol, out var seedData))
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{
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foreach (var datum in seedData)
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{
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security.SetMarketPrice(datum);
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}
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}
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}
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}
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/// <summary>
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/// Seeds an initial conversion rate for the cashbook currencies that don't have one yet, so they are
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/// non-zero right away instead of waiting for the first conversion pair bar to arrive
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="currenciesToUpdateWhiteList">
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/// If passed, only the currencies in the CashBook contained in this list will be updated.
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/// By default, if not passed (null), all currencies in the cashbook without a properly set up currency conversion will be updated.
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/// </param>
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public static void SeedCurrencyConversionRates(IAlgorithm algorithm, IReadOnlyCollection<string> currenciesToUpdateWhiteList = null)
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{
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Func<Cash, bool> cashToUpdateFilter = currenciesToUpdateWhiteList == null
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? (x) => x.CurrencyConversion != null && x.ConversionRate == 0
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: (x) => currenciesToUpdateWhiteList.Contains(x.Symbol);
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var cashToUpdate = algorithm.Portfolio.CashBook.Values.Where(cashToUpdateFilter).ToList();
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if (cashToUpdate.Count == 0)
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{
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return;
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}
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var securitiesToUpdate = cashToUpdate
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.SelectMany(x => x.CurrencyConversion.ConversionRateSecurities)
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.Distinct()
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.ToList();
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SeedSecurities(securitiesToUpdate, algorithm);
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foreach (var cash in cashToUpdate)
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{
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cash.Update();
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}
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}
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}
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}
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