/*
* 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 System;
using QuantConnect.Data;
using QuantConnect.Brokerages;
using QuantConnect.Securities;
using QuantConnect.Data.Market;
using System.Collections.Generic;
namespace QuantConnect.Tests.Brokerages
{
///
/// Provides a test implementation of a security provider
///
public class SecurityProvider : ISecurityProvider
{
private readonly OrderProvider _orderProvider;
private readonly BrokerageName _brokerageName;
private readonly Dictionary _securities;
public SecurityProvider(Dictionary securities, BrokerageName brokerageName, OrderProvider orderProvider)
{
_orderProvider = orderProvider;
_brokerageName = brokerageName;
_securities = securities;
}
public SecurityProvider(Dictionary securities) : this(securities, BrokerageName.Default, null)
{
}
public SecurityProvider() : this(new Dictionary())
{
}
public Security this[Symbol symbol]
{
get { return GetSecurity(symbol); }
set { _securities[symbol] = value; }
}
public Security GetSecurity(Symbol symbol)
{
Security holding;
_securities.TryGetValue(symbol, out holding);
return holding ?? CreateSecurity(symbol);
}
public bool TryGetValue(Symbol symbol, out Security security)
{
return _securities.TryGetValue(symbol, out security);
}
private Security CreateSecurity(Symbol symbol)
{
var symbolProperties = SymbolProperties.GetDefault(Currencies.USD);
var quoteCurrency = new Cash(Currencies.USD, 0, 1m);
try
{
var spdb = SymbolPropertiesDatabase.FromDataFolder();
symbolProperties = spdb.GetSymbolProperties(symbol.ID.Market, symbol, symbol.SecurityType, Currencies.USD);
quoteCurrency = new Cash(symbolProperties.QuoteCurrency, 0, 1m);
}
catch (Exception ex)
{
// shouldn't happen
QuantConnect.Logging.Log.Error(ex);
}
var security = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new SubscriptionDataConfig(
typeof(TradeBar),
symbol,
Resolution.Minute,
TimeZones.NewYork,
TimeZones.NewYork,
false,
false,
false
),
quoteCurrency,
symbolProperties,
new CashBook(),
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
try
{
if (_orderProvider != null)
{
var brokerageModel = BrokerageModel.Create(_orderProvider, _brokerageName, AccountType.Margin);
security.FeeModel = brokerageModel.GetFeeModel(security);
}
}
catch (Exception ex)
{
// shouldn't happen
QuantConnect.Logging.Log.Error(ex);
}
_securities[symbol] = security;
return security;
}
}
}