Michael Handschuh
362826988f
Adds IRegisteredSecurityDataTypesProvider to track all the data types registered in the algorithm. Using this data, we can detect if it's possible that we'll eventually have a property of a certain type name. For example, consider I wish to use security.Data.TradeBar but we haven't received any trade bars yet. Before this change a KeyNotFoundException would be raised, but since we can determine that we expect to have trade bars, we can detect this and return an empty list when we haven't received any data yet. This also removes the need to constantly do a HasData<T>() check before accessing the dynamic members. Closes #3620
72 lines
2.8 KiB
C#
72 lines
2.8 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.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Data.Custom.SEC;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Provides an example algorithm showcasing the <see cref="Security.Data"/> features
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/// </summary>
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public class DynamicSecurityDataAlgorithm : QCAlgorithm
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{
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private Security GOOGL;
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private const string Ticker = "GOOGL";
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public override void Initialize()
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{
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SetStartDate(2015, 10, 22);
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SetEndDate(2015, 10, 30);
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GOOGL = AddEquity(Ticker, Resolution.Daily);
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AddData<SECReport8K>(Ticker, Resolution.Daily);
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AddData<SECReport10K>(Ticker, Resolution.Daily);
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AddData<SECReport10Q>(Ticker, Resolution.Daily);
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}
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public override void OnData(Slice slice)
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{
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// The Security object's Data property provides convenient access
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// to the various types of data related to that security. You can
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// access not only the security's price data, but also any custom
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// data that is mapped to the security, such as our SEC reports.
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// 1. Get the most recent data point of a particular type:
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// 1.a Using the C# generic method, Get<T>:
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SECReport8K googlSec8kReport = GOOGL.Data.Get<SECReport8K>();
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SECReport10K googlSec10kReport = GOOGL.Data.Get<SECReport10K>();
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Log($"{Time:o}: 8K: {googlSec8kReport}");
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Log($"{Time:o}: 10K: {googlSec10kReport}");
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// 2. Get the list of data points of a particular type for the most recent time step:
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// 2.a Using the C# generic method, GetAll<T>:
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List<SECReport8K> googlSec8kReports = GOOGL.Data.GetAll<SECReport8K>();
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List<SECReport10K> googlSec10kReports = GOOGL.Data.GetAll<SECReport10K>();
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Log($"{Time:o}: List: 8K: {googlSec8kReports.Count}");
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Log($"{Time:o}: List: 10K: {googlSec10kReports.Count}");
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if (!Portfolio.Invested)
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{
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Buy(GOOGL.Symbol, 10);
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}
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}
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}
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}
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