CustomSecurityInitializerAlgorithm.cs

/*
 * 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.Brokerages;
using QuantConnect.Data.Market;
using QuantConnect.Securities;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// This algorithm shows how to set a custom security initializer.
    /// A security initializer is run immediately after a new security object
    /// has been created and can be used to security models and other settings,
    /// such as data normalization mode
    /// </summary>
    /// <meta name="tag" content="using data" />
    /// <meta name="tag" content="securities and portfolio" />
    /// <meta name="tag" content="trading and orders" />
    public class CustomSecurityInitializerAlgorithm : QCAlgorithm
    {
        public override void Initialize()
        {
            // set our initializer to our custom type
            SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage);
            SetSecurityInitializer(new CustomSecurityInitializer(BrokerageModel, SecuritySeeder.Null, DataNormalizationMode.Raw));

            SetStartDate(2013, 10, 01);
            SetEndDate(2013, 11, 01);

            AddSecurity(SecurityType.Equity, "SPY", Resolution.Hour);
        }

        public void OnData(TradeBars data)
        {
            if (!Portfolio.Invested)
            {
                SetHoldings("SPY", 1);
            }
        }

        /// <summary>
        /// Our custom initializer that will set the data normalization mode.
        /// We sub-class the <see cref="BrokerageModelSecurityInitializer"/>
        /// so we can also take advantage of the default model/leverage setting
        /// behaviors
        /// </summary>
        class CustomSecurityInitializer : BrokerageModelSecurityInitializer
        {
            private readonly DataNormalizationMode _dataNormalizationMode;

            /// <summary>
            /// Initializes a new instance of the <see cref="CustomSecurityInitializer"/> class
            /// with the specified normalization mode
            /// </summary>
            /// <param name="brokerageModel">The brokerage model used to get fill/fee/slippage/settlement models</param>
            /// <param name="securitySeeder">The security seeder to be used</param>
            /// <param name="dataNormalizationMode">The desired data normalization mode</param>
            public CustomSecurityInitializer(IBrokerageModel brokerageModel, ISecuritySeeder securitySeeder, DataNormalizationMode dataNormalizationMode)
                : base(brokerageModel, securitySeeder)
            {
                _dataNormalizationMode = dataNormalizationMode;
            }

            /// <summary>
            /// Initializes the specified security by setting up the models
            /// </summary>
            /// <param name="security">The security to be initialized</param>
            public override void Initialize(Security security)
            {
                // first call the default implementation
                base.Initialize(security);

                // now apply our data normalization mode
                security.SetDataNormalizationMode(_dataNormalizationMode);
            }
        }
    }
}