BaseSignalExport.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.Interfaces;
using QuantConnect.Util;
using System;
using System.Collections.Generic;
using System.Net.Http;
 
namespace QuantConnect.Algorithm.Framework.Portfolio.SignalExports
{
    /// <summary>
    /// Base class to send signals to different 3rd party API's
    /// </summary>
    public abstract class BaseSignalExport : ISignalExportTarget
    {
        /// <summary>
        /// Lazy initialization of HttpClient to be used to sent signals to different 3rd party API's
        /// </summary>
        private Lazy<HttpClient> _lazyClient = new Lazy<HttpClient>();
 
        /// <summary>
        /// List of all SecurityTypes present in LEAN
        /// </summary>
        private HashSet<SecurityType> _defaultAllowedSecurityTypes = new HashSet<SecurityType>
        {
            SecurityType.Equity,
            SecurityType.Forex,
            SecurityType.Option,
            SecurityType.Future,
            SecurityType.FutureOption,
            SecurityType.Crypto,
            SecurityType.CryptoFuture,
            SecurityType.Cfd,
            SecurityType.IndexOption,
        };
 
        /// <summary>
        /// The name of this signal export
        /// </summary>
        protected abstract string Name { get; }
 
        /// <summary>
        /// Property to access a HttpClient
        /// </summary>
 
        protected HttpClient HttpClient => _lazyClient.Value;
 
        /// <summary>
        /// Default hashset of allowed Security types
        /// </summary>
        protected virtual HashSet<SecurityType> AllowedSecurityTypes
        {
            get => _defaultAllowedSecurityTypes;
        }
 
        /// <summary>
        /// Sends positions to different 3rd party API's
        /// </summary>
        /// <param name="parameters">Holdings the user have defined to be sent to certain 3rd party API and the algorithm being ran</param>
        /// <returns>True if the positions were sent correctly and the 3rd party API sent no errors. False, otherwise</returns>
        public virtual bool Send(SignalExportTargetParameters parameters)
        {
            if (parameters.Targets.Count == 0)
            {
                parameters.Algorithm.Debug("Portfolio target is empty");
                return false;
            }
 
            return VerifyTargets(parameters);
        }
 
        /// <summary>
        /// Verifies the security type of every holding in the given list is allowed
        /// </summary>
        /// <param name="parameters">Holdings the user have defined to be sent to certain 3rd party API and the algorithm being ran</param>
        /// <returns>True if all the targets were allowed, false otherwise</returns>
        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;
        }
 
        /// <summary>
        /// If created, dispose of HttpClient we used for the requests to the different 3rd party API's
        /// </summary>
        public void Dispose()
        {
            if (_lazyClient.IsValueCreated)
            {
                _lazyClient.Value.DisposeSafely();
            }
        }
    }
}