Martin Molinero
9ec1a41235
- `PortfolioTargetCollection` avoid calling `Count` on ConcurrentDictionary directly -> has to take all locks - `SecurityChanges` change Union for Concat since constructor will call HashSet - Make `DynamicSecurityData` hold lazy data objects - `RegisteredSecurityDataTypesProvider` avoid looping over all registered types, adding `TryGetType` - `Security.Update()` will no call group by on data since this data is already grouped by type. Adding `ContainsFillForwardData` will allows to be lazy and not re loop through the data unless necessary - `DefaultAlphaHandler` will use the `static` `Enumerable.Empty<Insight>` instance when possible - `SubscriptionSynchronizer` will be lazy to construct the `universeData` dictionary which is not used in most of the times. Will use `Count` vs `Any` -> `Count` is known by the dictionary - For python algorithms `JobQueue` will respect `AlgorithmLocation`, was using unexisting `"algorithm-path-python"`
98 lines
3.2 KiB
C#
98 lines
3.2 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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*/
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using System;
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using System.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Securities;
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namespace QuantConnect.Interfaces
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{
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/// <summary>
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/// Reduced interface which allows setting and accessing
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/// price properties for a <see cref="Security"/>
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/// </summary>
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public interface ISecurityPrice
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{
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/// <summary>
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/// Get the current value of the security.
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/// </summary>
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decimal Price { get; }
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/// <summary>
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/// If this uses trade bar data, return the most recent close.
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/// </summary>
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decimal Close { get; }
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/// <summary>
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/// Access to the volume of the equity today
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/// </summary>
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decimal Volume { get; }
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/// <summary>
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/// Gets the most recent bid price if available
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/// </summary>
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decimal BidPrice { get; }
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/// <summary>
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/// Gets the most recent bid size if available
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/// </summary>
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decimal BidSize { get; }
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/// <summary>
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/// Gets the most recent ask price if available
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/// </summary>
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decimal AskPrice { get; }
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/// <summary>
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/// Gets the most recent ask size if available
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/// </summary>
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decimal AskSize { get; }
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/// <summary>
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/// Access to the open interest of the security today
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/// </summary>
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long OpenInterest { get; }
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/// <summary>
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/// <see cref="Symbol"/> for the asset.
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/// </summary>
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Symbol Symbol { get; }
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/// <summary>
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/// Update any security properties based on the latest market data and time
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/// </summary>
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/// <param name="data">New data packet from LEAN</param>
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void SetMarketPrice(BaseData data);
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/// <summary>
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/// Updates all of the security properties, such as price/OHLCV/bid/ask based
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/// on the data provided. Data is also stored into the security's data cache
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/// </summary>
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/// <param name="data">The security update data</param>
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/// <param name="dataType">The data type</param>
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/// <param name="containsFillForwardData">Flag indicating whether
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/// <paramref name="data"/> contains any fill forward bar or not</param>
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void Update(IReadOnlyList<BaseData> data, Type dataType, bool? containsFillForwardData);
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/// <summary>
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/// Get the last price update set to the security.
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/// </summary>
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/// <returns>BaseData object for this security</returns>
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BaseData GetLastData();
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}
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}
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