TickDataFilteringAlgorithm.fs

namespace System
namespace System.Collections.Generic
namespace QuantConnnect
namespace QuantConnect.Orders
namespace QuantConnect.Algorithm
namespace QuantConnect.Interfaces
namespace QuantConnect.Securities
namespace QuantConnect.Securities.Interfaces
namespace QuantConnect.Algorithm.FSharp

open System
open System.Collections.Generic
open QuantConnect
open QuantConnect.Data.Market
open QuantConnect.Algorithm
open QuantConnect.Orders
open QuantConnect.Securities.Interfaces

// Declare algorithm name
type TickDataFilteringAlgorithm() = 

    //Reuse all the base class of QCAlgorithm
    inherit QCAlgorithm()

    let AllowedExchanges = [ "P" ]

    let ExchangeDataFilter() = 
        {
            new ISecurityDataFilter with
                member this.Filter(vehicle, data) =
                    match data with
                    | :? Tick as tick -> List.exists ((=)tick.Exchange) AllowedExchanges
                    | _ -> false
        }
    
    //Implement core methods:
    override this.Initialize() = 
        this.SetCash(100000)
        this.SetStartDate(2013, 10, 07)
        this.SetEndDate(2013, 10, 11)
        this.AddSecurity(SecurityType.Equity, "SPY", Resolution.Second)
        this.Securities.["SPY"].DataFilter <- ExchangeDataFilter()
       

    //TradeBars Data Event
    member this.OnData(data:Ticks) = 
        match data.["SPY"] with
            | null -> ()
            | _ as spyTickList -> 
                spyTickList.ForEach(fun tick -> this.Log(tick.Exchange))
                match this.Portfolio.Invested with
                | true -> this.SetHoldings("SPY", 1)
                | false -> ()

               
module MarketCodes =          
    let US = dict [ 
                ("A", "American Stock Exchange");
                ("B", "Boston Stock Exchange");
                ("C", "National Stock Exchange");
                ("D", "FINRA ADF");
                ("I", "International Securities Exchange");
                ("J", "Direct Edge A");
                ("K", "Direct Edge X");
                ("M", "Chicago Stock Exchange");
                ("N", "New York Stock Exchange");
                ("P", "Nyse Arca Exchange");
                ("Q", "NASDAQ OMX");
                ("T", "NASDAQ OMX");
                ("U", "OTC Bulletin Board");
                ("u", "Over-the-Counter trade in Non-NASDAQ issue");
                ("W", "Chicago Board Options Exchange");
                ("X", "Philadelphia Stock Exchange");
                ("Y", "BATS Y-Exchange; Inc");
                ("Z", "BATS Exchange; Inc")
    ]

    let Canada = dict [ 
                    ("T", "Toronto"); 
                    ("V", "Venture") 
    ]