/* * 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. */ using QuantConnect.Interfaces; using QuantConnect.Util; using System; using System.Collections.Generic; using System.Net.Http; namespace QuantConnect.Algorithm.Framework.Portfolio.SignalExports { /// /// Base class to send signals to different 3rd party API's /// public abstract class BaseSignalExport : ISignalExportTarget { /// /// Lazy initialization of HttpClient to be used to sent signals to different 3rd party API's /// private Lazy _lazyClient = new Lazy(); /// /// List of all SecurityTypes present in LEAN /// private HashSet _defaultAllowedSecurityTypes = new HashSet { SecurityType.Equity, SecurityType.Forex, SecurityType.Option, SecurityType.Future, SecurityType.FutureOption, SecurityType.Crypto, SecurityType.CryptoFuture, SecurityType.Cfd, SecurityType.IndexOption, }; /// /// The name of this signal export /// protected abstract string Name { get; } /// /// Property to access a HttpClient /// protected HttpClient HttpClient => _lazyClient.Value; /// /// Default hashset of allowed Security types /// protected virtual HashSet AllowedSecurityTypes { get => _defaultAllowedSecurityTypes; } /// /// Sends positions to different 3rd party API's /// /// Holdings the user have defined to be sent to certain 3rd party API and the algorithm being ran /// True if the positions were sent correctly and the 3rd party API sent no errors. False, otherwise public virtual bool Send(SignalExportTargetParameters parameters) { if (parameters.Targets.Count == 0) { parameters.Algorithm.Debug("Portfolio target is empty"); return false; } return VerifyTargets(parameters); } /// /// Verifies the security type of every holding in the given list is allowed /// /// Holdings the user have defined to be sent to certain 3rd party API and the algorithm being ran /// True if all the targets were allowed, false otherwise private bool VerifyTargets(SignalExportTargetParameters parameters) { foreach (var signal in parameters.Targets) { if (!AllowedSecurityTypes.Contains(signal.Symbol.SecurityType)) { parameters.Algorithm.Debug($"{signal.Symbol.SecurityType} security type is not supported by {Name}. Allowed security types: [{string.Join(",", AllowedSecurityTypes)}]"); return false; } } return true; } /// /// If created, dispose of HttpClient we used for the requests to the different 3rd party API's /// public void Dispose() { if (_lazyClient.IsValueCreated) { _lazyClient.Value.DisposeSafely(); } } } }