wehub-resource-sync
123 lines
4.1 KiB
C#
123 lines
4.1 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 System;
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using QuantConnect.Data;
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using QuantConnect.Brokerages;
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using QuantConnect.Securities;
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using QuantConnect.Data.Market;
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using System.Collections.Generic;
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namespace QuantConnect.Tests.Brokerages
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{
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/// <summary>
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/// Provides a test implementation of a security provider
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/// </summary>
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public class SecurityProvider : ISecurityProvider
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{
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private readonly OrderProvider _orderProvider;
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private readonly BrokerageName _brokerageName;
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private readonly Dictionary<Symbol, Security> _securities;
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public SecurityProvider(Dictionary<Symbol, Security> securities, BrokerageName brokerageName, OrderProvider orderProvider)
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{
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_orderProvider = orderProvider;
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_brokerageName = brokerageName;
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_securities = securities;
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}
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public SecurityProvider(Dictionary<Symbol, Security> securities) : this(securities, BrokerageName.Default, null)
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{
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}
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public SecurityProvider() : this(new Dictionary<Symbol, Security>())
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{
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}
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public Security this[Symbol symbol]
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{
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get { return GetSecurity(symbol); }
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set { _securities[symbol] = value; }
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}
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public Security GetSecurity(Symbol symbol)
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{
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Security holding;
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_securities.TryGetValue(symbol, out holding);
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return holding ?? CreateSecurity(symbol);
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}
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public bool TryGetValue(Symbol symbol, out Security security)
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{
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return _securities.TryGetValue(symbol, out security);
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}
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private Security CreateSecurity(Symbol symbol)
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{
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var symbolProperties = SymbolProperties.GetDefault(Currencies.USD);
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var quoteCurrency = new Cash(Currencies.USD, 0, 1m);
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try
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{
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var spdb = SymbolPropertiesDatabase.FromDataFolder();
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symbolProperties = spdb.GetSymbolProperties(symbol.ID.Market, symbol, symbol.SecurityType, Currencies.USD);
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quoteCurrency = new Cash(symbolProperties.QuoteCurrency, 0, 1m);
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}
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catch (Exception ex)
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{
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// shouldn't happen
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QuantConnect.Logging.Log.Error(ex);
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}
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var security = new Security(
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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new SubscriptionDataConfig(
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typeof(TradeBar),
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symbol,
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Resolution.Minute,
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TimeZones.NewYork,
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TimeZones.NewYork,
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false,
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false,
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false
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),
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quoteCurrency,
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symbolProperties,
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new CashBook(),
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache()
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);
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try
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{
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if (_orderProvider != null)
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{
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var brokerageModel = BrokerageModel.Create(_orderProvider, _brokerageName, AccountType.Margin);
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security.FeeModel = brokerageModel.GetFeeModel(security);
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}
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}
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catch (Exception ex)
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{
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// shouldn't happen
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QuantConnect.Logging.Log.Error(ex);
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}
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_securities[symbol] = security;
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return security;
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}
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}
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}
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