Auto-subscribe symbols when registering indicators and consolidators

Algorithm.CSharp/RegisterIndicatorAndConsolidatorWithoutSubscriptionRegressionAlgorithm.cs

@@ -0,0 +1,197 @@
+/*
+ * 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 System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Indicators;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting that a symbol can be used without the user having subscribed to it first.
+    /// Lean auto-subscribes the symbol on the user's behalf when:
+    ///  - registering an indicator or a consolidator for it (<see cref="_spy"/>), and
+    ///  - submitting an order for it (<see cref="_aig"/>, see <see cref="QCAlgorithm.MarketOrder"/>).
+    /// </summary>
+    public class RegisterIndicatorAndConsolidatorWithoutSubscriptionRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        // used without subscription to register an indicator and a consolidator
+        private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
+        // used without subscription to submit an order, exercising the auto-add done by order submission
+        private Symbol _aig = QuantConnect.Symbol.Create("AIG", SecurityType.Equity, Market.USA);
+
+        private SimpleMovingAverage _sma;
+        private int _consolidatedBarCount;
+
+        private OrderTicket _orderTicket;
+        private bool _orderFilled;
+
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 07);
+            SetEndDate(2013, 10, 11);
+            SetCash(100000);
+
+            // Note: we never call AddEquity/AddSecurity. Registering an indicator or a consolidator
+            // for a symbol that hasn't been subscribed to used to throw. It now auto-subscribes the symbol,
+            // mirroring what order submission does.
+
+            _sma = new SimpleMovingAverage(10);
+            try
+            {
+                RegisterIndicator(_spy, _sma, Resolution.Minute);
+            }
+            catch (Exception ex) 
+            { 
+                throw new RegressionTestException($"Expected RegisterIndicator to auto-subscribe {_spy}, but it threw: {ex.Message}");
+            }
+
+            try
+            {
+                Consolidate(_spy, TimeSpan.FromMinutes(30), (TradeBar bar) => _consolidatedBarCount++);
+            }
+            catch (Exception ex)
+            {
+                throw new RegressionTestException($"Expected Consolidate to auto-subscribe {_spy}, but it threw: {ex.Message}");
+            }
+
+            if (!Securities.ContainsKey(_spy))
+            {
+                throw new RegressionTestException($"Expected {_spy} to have been automatically subscribed to after registering an indicator/consolidator for it.");
+            }
+        }
+
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                // AIG was never subscribed to: order submission will auto-subscribe it before placing the order
+                _orderTicket = MarketOrder(_aig, 100);
+
+                if (!Securities.ContainsKey(_aig))
+                {
+                    throw new RegressionTestException($"Expected {_aig} to have been automatically subscribed to after submitting an order for it.");
+                }
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            if (orderEvent.Status == OrderStatus.Filled)
+            {
+                _orderFilled = true;
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_sma.IsReady || _sma.Samples == 0)
+            {
+                throw new RegressionTestException($"Expected the SMA indicator to have received data through its auto-subscription, but Samples={_sma.Samples}.");
+            }
+
+            if (_consolidatedBarCount == 0)
+            {
+                throw new RegressionTestException("Expected the consolidator to have produced bars through its auto-subscription, but it produced none.");
+            }
+
+            if (_orderTicket == null)
+            {
+                throw new RegressionTestException("Expected an order to have been placed for the auto-subscribed symbol, but none was.");
+            }
+
+            if (_orderTicket.Status != OrderStatus.Filled || !_orderFilled)
+            {
+                throw new RegressionTestException($"Expected the order for {_aig} to have been filled, but its status was {_orderTicket.Status}.");
+            }
+
+            if (!Portfolio[_aig].Invested)
+            {
+                throw new RegressionTestException($"Expected to be invested in {_aig} after the order was filled.");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 7842;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 10;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "1"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "6.467%"},
+            {"Drawdown", "0.200%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100080.15"},
+            {"Net Profit", "0.080%"},
+            {"Sharpe Ratio", "3.91"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "64.635%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "-0.079"},
+            {"Beta", "0.072"},
+            {"Annual Standard Deviation", "0.016"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-9.261"},
+            {"Tracking Error", "0.207"},
+            {"Treynor Ratio", "0.871"},
+            {"Total Fees", "$1.00"},
+            {"Estimated Strategy Capacity", "$11000000.00"},
+            {"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
+            {"Portfolio Turnover", "0.83%"},
+            {"Drawdown Recovery", "3"},
+            {"OrderListHash", "5bb87da5d4faaf7c85a9e263890c3d64"}
+        };
+    }
+}

Algorithm/QCAlgorithm.Indicators.cs

@@ -3160,33 +3160,47 @@ public string CreateIndicatorName(Symbol symbol, string type, Resolution? resolu
         /// <returns>The SubscriptionDataConfig for the specified symbol</returns>
         private SubscriptionDataConfig GetSubscription(Symbol symbol, TickType? tickType = null)
         {
-            SubscriptionDataConfig subscription;
-            try
+            if (!TryGetSubscription(symbol, tickType, out var subscription))
             {
-                // deterministic ordering is required here
-                var subscriptions = SubscriptionManager.SubscriptionDataConfigService
-                    .GetSubscriptionDataConfigs(symbol)
-                    // make sure common lean data types are at the bottom
-                    .OrderByDescending(x => LeanData.IsCommonLeanDataType(x.Type))
-                    .ThenBy(x => x.TickType)
-                    .ToList();
-
-                // find our subscription
-                subscription = subscriptions.FirstOrDefault(x => tickType == null || tickType == x.TickType);
+                // The symbol was not manually subscribed to. Mirror the behavior of order submission
+                // (see GetSecurityForOrder): add the security automatically so users can register
+                // indicators and consolidators without a prior AddSecurity()/AddEquity() call.
+                if (CanAutoAddSecurity(symbol))
+                {
+                    AddSecurity(symbol);
+                    TryGetSubscription(symbol, tickType, out subscription);
+                }
+
                 if (subscription == null)
                 {
-                    // if we can't locate the exact subscription by tick type just grab the first one we find
-                    subscription = subscriptions.First();
+                    // this will happen if we did not find the subscription, let's give the user a decent error message
+                    throw new Exception($"Please register to receive data for symbol \'{symbol}\' using the AddSecurity() function.");
                 }
             }
-            catch (InvalidOperationException)
-            {
-                // this will happen if we did not find the subscription, let's give the user a decent error message
-                throw new Exception($"Please register to receive data for symbol \'{symbol}\' using the AddSecurity() function.");
-            }
             return subscription;
         }
 
+        /// <summary>
+        /// Gets the subscription for the given symbol and optional tick type
+        /// </summary>
+        /// <returns>True if a subscription was found for the symbol; false otherwise</returns>
+        private bool TryGetSubscription(Symbol symbol, TickType? tickType, out SubscriptionDataConfig subscription)
+        {
+            // deterministic ordering is required here
+            var subscriptions = SubscriptionManager.SubscriptionDataConfigService
+                .GetSubscriptionDataConfigs(symbol)
+                // make sure common lean data types are at the bottom
+                .OrderByDescending(x => LeanData.IsCommonLeanDataType(x.Type))
+                .ThenBy(x => x.TickType)
+                .ToList();
+
+            // find our subscription
+            subscription = subscriptions.FirstOrDefault(x => tickType == null || tickType == x.TickType)
+                // if we can't locate the exact subscription by tick type just grab the first one we find
+                ?? subscriptions.FirstOrDefault();
+            return subscription != null;
+        }
+
         /// <summary>
         /// Creates and registers a new consolidator to receive automatic updates at the specified resolution as well as configures
         /// the indicator to receive updates from the consolidator.

Algorithm/QCAlgorithm.Trading.cs

@@ -1278,12 +1278,9 @@ private Security GetSecurityForOrder(Symbol symbol)
             if (security == null || !security.IsTradable)
             {
                 // Try to add and seed the security, but don't is it's a canonical symbol
-                if (!isCanonical &&
+                if (CanAutoAddSecurity(symbol) &&
                     // Indexes are not tradable by default
-                    symbol.SecurityType != SecurityType.Index &&
-                    (!symbol.HasUnderlying ||
-                     (symbol.SecurityType.IsOption() && !OptionSymbol.IsOptionContractExpired(symbol, UtcTime)) ||
-                     (symbol.SecurityType == SecurityType.Future && !FuturesExpiryUtilityFunctions.IsFutureContractExpired(symbol, UtcTime, MarketHoursDatabase))))
+                    symbol.SecurityType != SecurityType.Index)
                 {
                     // Send one time warning
                     security = AddSecurity(symbol);
@@ -1301,6 +1298,21 @@ private Security GetSecurityForOrder(Symbol symbol)
                     "and cannot be re-added due to it being delisted or no longer tradable.");
         }
 
+        /// <summary>
+        /// Determines whether the given symbol can be automatically added to the algorithm on the user's behalf,
+        /// so that it does not need to be explicitly subscribed to before being used. This is the case both when
+        /// submitting an order (see <see cref="GetSecurityForOrder"/>) and when registering an indicator or
+        /// consolidator for a symbol the user has not subscribed to. Canonical symbols (universes) and expired
+        /// option/future contracts are excluded.
+        /// </summary>
+        private bool CanAutoAddSecurity(Symbol symbol)
+        {
+            return !symbol.IsCanonical() &&
+                (!symbol.HasUnderlying ||
+                 (symbol.SecurityType.IsOption() && !OptionSymbol.IsOptionContractExpired(symbol, UtcTime)) ||
+                 (symbol.SecurityType == SecurityType.Future && !FuturesExpiryUtilityFunctions.IsFutureContractExpired(symbol, UtcTime, MarketHoursDatabase)));
+        }
+
         /// <summary>
         /// Liquidate your portfolio holdings
         /// </summary>