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* Added new method for Symbol to allow creation with underlying
* Added new unit tests
* Alter SecurityIdentifier method signature for BaseData
* AddData changes to accept underlying Symbol
* Added AddDataImpl
This commit is contained in:
Gerardo Salazar
2019-09-19 09:05:02 -07:00
committed by Martin Molinero
parent 48e4d3660a
commit 9d052afcf3
6 changed files with 218 additions and 7 deletions
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Algorithm/QCAlgorithm.Python.cs
+63 -3
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@@ -60,6 +60,19 @@ namespace QuantConnect.Algorithm
return AddData(type, ticker, resolution, TimeZones.NewYork, false, 1m);
}
/// <summary>
/// AddData a new user defined data source, requiring only the minimum config options.
/// The data is added with a default time zone of NewYork (Eastern Daylight Savings Time)
/// </summary>
/// <param name="type">Data source type</param>
/// <param name="underlying">The underlying symbol for the custom data</param>
/// <param name="resolution">Resolution of the data</param>
/// <returns>The new <see cref="Security"/></returns>
public Security AddData(PyObject type, Symbol underlying, Resolution resolution = Resolution.Minute, object _ = null, object __ = null, object ___ = null)
{
return AddData(type, underlying, resolution, TimeZones.NewYork, false, 1m);
}
/// <summary>
/// AddData a new user defined data source, requiring only the minimum config options.
/// </summary>
@@ -75,6 +88,21 @@ namespace QuantConnect.Algorithm
return AddData(CreateType(type), ticker, resolution, timeZone, fillDataForward, leverage);
}
/// <summary>
/// AddData a new user defined data source, requiring only the minimum config options.
/// </summary>
/// <param name="type">Data source type</param>
/// <param name="underlying">The underlying symbol for the custom data</param>
/// <param name="resolution">Resolution of the Data Required</param>
/// <param name="timeZone">Specifies the time zone of the raw data</param>
/// <param name="fillDataForward">When no data available on a tradebar, return the last data that was generated</param>
/// <param name="leverage">Custom leverage per security</param>
/// <returns>The new <see cref="Security"/></returns>
public Security AddData(PyObject type, Symbol underlying, Resolution resolution, DateTimeZone timeZone, bool fillDataForward = false, decimal leverage = 1.0m)
{
return AddData(CreateType(type), underlying, resolution, timeZone, fillDataForward, leverage);
}
/// <summary>
/// AddData a new user defined data source, requiring only the minimum config options.
/// </summary>
@@ -87,9 +115,41 @@ namespace QuantConnect.Algorithm
/// <returns>The new <see cref="Security"/></returns>
public Security AddData(Type dataType, string ticker, Resolution resolution, DateTimeZone timeZone, bool fillDataForward = false, decimal leverage = 1.0m)
{
//Add this to the data-feed subscriptions
var symbol = new Symbol(SecurityIdentifier.GenerateBase(dataType, ticker, Market.USA, dataType.GetBaseDataInstance().RequiresMapping()), ticker);
Symbol underlying;
if (!SymbolCache.TryGetSymbol(ticker, out underlying))
{
var baseInstance = (BaseData)ObjectActivator.GetActivator(dataType).Invoke(new object[] { dataType });
if (baseInstance.RequiresMapping())
{
throw new InvalidOperationException("Requires mapping but passed ticker which is not in the cache");
}
var symbol = new Symbol(
SecurityIdentifier.GenerateBase(dataType, ticker, Market.USA, dataType.GetBaseDataInstance().RequiresMapping()),
ticker);
return AddDataImpl(dataType, symbol, resolution, timeZone, fillDataForward, leverage);
}
return AddData(dataType, underlying, resolution, timeZone, fillDataForward, leverage);
}
/// <summary>
/// AddData a new user defined data source, requiring only the minimum config options.
/// </summary>
/// <param name="dataType">Data source type</param>
/// <param name="underlying"></param>
/// <param name="resolution">Resolution of the Data Required</param>
/// <param name="timeZone">Specifies the time zone of the raw data</param>
/// <param name="fillDataForward">When no data available on a tradebar, return the last data that was generated</param>
/// <param name="leverage">Custom leverage per security</param>
/// <returns>The new <see cref="Security"/></returns>
public Security AddData(Type dataType, Symbol underlying, Resolution resolution, DateTimeZone timeZone, bool fillDataForward = false, decimal leverage = 1.0m)
{
var symbol = QuantConnect.Symbol.CreateBase(dataType, underlying, Market.USA);
return AddDataImpl(dataType, symbol, resolution, timeZone, fillDataForward, leverage);
}
private Security AddDataImpl(Type dataType, Symbol symbol, Resolution resolution, DateTimeZone timeZone, bool fillDataForward, decimal leverage)
{
var alias = symbol.ID.Symbol;
SymbolCache.Set(alias, symbol);
MarketHoursDatabase.SetEntryAlwaysOpen(Market.USA, alias, SecurityType.Base, timeZone);
@@ -104,7 +164,7 @@ namespace QuantConnect.Algorithm
extendedMarketHours: true);
var security = Securities.CreateSecurity(symbol, config, leverage, addToSymbolCache: false);
AddToUserDefinedUniverse(security, new List<SubscriptionDataConfig> {config});
AddToUserDefinedUniverse(security, new List<SubscriptionDataConfig> { config });
return security;
}