Stefano Raggi
c6693cb237
In this PR we are disabling the default security seeding (automatically getting the last price for a security when added to the algorithm) for a couple reasons, both when using large universes: - In live trading, these history requests are sent to a history server, potentially causing timeouts - In backtesting, depending on the algorithm this could also cause slowdowns up to 30%
48 lines
1.8 KiB
C#
48 lines
1.8 KiB
C#
/*
|
|
* 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.
|
|
*
|
|
*/
|
|
|
|
namespace QuantConnect.Securities
|
|
{
|
|
/// <summary>
|
|
/// Provides an implementation of <see cref="ISecurityInitializer"/> that executes
|
|
/// each initializer in order
|
|
/// </summary>
|
|
public class CompositeSecurityInitializer : ISecurityInitializer
|
|
{
|
|
private readonly ISecurityInitializer[] _initializers;
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the <see cref="CompositeSecurityInitializer"/> class
|
|
/// </summary>
|
|
/// <param name="initializers">The initializers to execute in order</param>
|
|
public CompositeSecurityInitializer(params ISecurityInitializer[] initializers)
|
|
{
|
|
_initializers = initializers;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Execute each of the internally held initializers in sequence
|
|
/// </summary>
|
|
/// <param name="security">The security to be initialized</param>
|
|
public void Initialize(Security security)
|
|
{
|
|
foreach (var initializer in _initializers)
|
|
{
|
|
initializer.Initialize(security);
|
|
}
|
|
}
|
|
}
|
|
} |