Fixed universe subscriptions with Forex

Common/Securities/Cash.cs

@@ -120,20 +120,21 @@ public void SetAmount(decimal amount)
         }
 
         /// <summary>
-        /// Ensures that we have a data feed to conver this currency into the base currency.
+        /// Ensures that we have a data feed to convert this currency into the base currency.
         /// This will add a subscription at the lowest resolution if one is not found.
         /// </summary>
         /// <param name="securities">The security manager</param>
         /// <param name="subscriptions">The subscription manager used for searching and adding subscriptions</param>
         /// <param name="marketHoursDatabase">A security exchange hours provider instance used to resolve exchange hours for new subscriptions</param>
-        public void EnsureCurrencyDataFeed(SecurityManager securities, SubscriptionManager subscriptions, MarketHoursDatabase marketHoursDatabase)
+        /// <returns>Returns the added currency security if needed, otherwise null</returns>
+        public Security EnsureCurrencyDataFeed(SecurityManager securities, SubscriptionManager subscriptions, MarketHoursDatabase marketHoursDatabase)
         {
             if (Symbol == CashBook.AccountCurrency)
             {
                 SecuritySymbol = QuantConnect.Symbol.Empty;
                 _isBaseCurrency = true;
                 ConversionRate = 1.0m;
-                return;
+                return null;
             }
 
             if (subscriptions.Count == 0)
@@ -149,13 +150,13 @@ public void EnsureCurrencyDataFeed(SecurityManager securities, SubscriptionManag
                 if (config.Symbol.Value == normal)
                 {
                     SecuritySymbol = config.Symbol;
-                    return;
+                    return null;
                 }
                 if (config.Symbol.Value == invert)
                 {
                     SecuritySymbol = config.Symbol;
                     _invertRealTimePrice = true;
-                    return;
+                    return null;
                 }
             }
 
@@ -180,8 +181,8 @@ public void EnsureCurrencyDataFeed(SecurityManager securities, SubscriptionManag
                     var security = new Forex.Forex(exchangeHours, this, config, 1m);
                     SecuritySymbol = config.Symbol;
                     securities.Add(config.Symbol, security);
-                    Log.Trace("Cash.EnsureCurrencyDataFeed(): Adding " + symbol.ToString() + " for cash " + Symbol + " currency feed");
-                    return;
+                    Log.Trace("Cash.EnsureCurrencyDataFeed(): Adding " + symbol.Value + " for cash " + Symbol + " currency feed");
+                    return security;
                 }
             }
 

Common/Securities/CashBook.cs

@@ -72,12 +72,19 @@ public void Add(string symbol, decimal quantity, decimal conversionRate)
         /// <param name="securities">The SecurityManager for the algorithm</param>
         /// <param name="subscriptions">The SubscriptionManager for the algorithm</param>
         /// <param name="marketHoursDatabase">A security exchange hours provider instance used to resolve exchange hours for new subscriptions</param>
-        public void EnsureCurrencyDataFeeds(SecurityManager securities, SubscriptionManager subscriptions, MarketHoursDatabase marketHoursDatabase)
+        /// <returns>Returns a list of added currency securities</returns>
+        public List<Security> EnsureCurrencyDataFeeds(SecurityManager securities, SubscriptionManager subscriptions, MarketHoursDatabase marketHoursDatabase)
         {
+            var addedSecurities = new List<Security>();
             foreach (var cash in _currencies.Values)
             {
-                cash.EnsureCurrencyDataFeed(securities, subscriptions, marketHoursDatabase);
+                var security = cash.EnsureCurrencyDataFeed(securities, subscriptions, marketHoursDatabase);
+                if (security != null)
+                {
+                    addedSecurities.Add(security);
+                }
             }
+            return addedSecurities;
         }
 
         /// <summary>

Engine/DataFeeds/UniverseSelection.cs

@@ -156,6 +156,16 @@ public SecurityChanges ApplyUniverseSelection(Universe universe, DateTime dateTi
                 }
             }
 
+            // Add currency data feeds that weren't explicitly added in Initialize
+            if (additions.Count > 0)
+            {
+                var addedSecurities = _algorithm.Portfolio.CashBook.EnsureCurrencyDataFeeds(_algorithm.Securities, _algorithm.SubscriptionManager, MarketHoursDatabase.FromDataFolder());
+                foreach (var security in addedSecurities)
+                {
+                    _dataFeed.AddSubscription(universe, security, dateTimeUtc, _algorithm.EndDate.ConvertToUtc(_algorithm.TimeZone));
+                }
+            }
+
             // return None if there's no changes, otherwise return what we've modified
             return additions.Count + removals.Count != 0
                 ? new SecurityChanges(additions, removals)

Engine/Setup/BacktestingSetupHandler.cs

@@ -190,8 +190,6 @@ public bool Setup(IAlgorithm algorithm, IBrokerage brokerage, AlgorithmNodePacke
                     algorithm.Schedule.SetEventSchedule(realTimeHandler);
                     //Initialise the algorithm, get the required data:
                     algorithm.Initialize();
-                    //Add currency data feeds that weren't explicity added in Initialize
-                    algorithm.Portfolio.CashBook.EnsureCurrencyDataFeeds(algorithm.Securities, algorithm.SubscriptionManager, MarketHoursDatabase.FromDataFolder());
                 }
                 catch (Exception err)
                 {

Engine/Setup/BrokerageSetupHandler.cs

@@ -335,11 +335,6 @@ public bool Setup(IAlgorithm algorithm, IBrokerage brokerage, AlgorithmNodePacke
                     return false;
                 }
 
-                Log.Trace("BrokerageSetupHandler.Setup(): Ensuring currency data feeds present...");
-
-                // call this after we've initialized everything from the brokerage since we may have added some holdings/currencies
-                algorithm.Portfolio.CashBook.EnsureCurrencyDataFeeds(algorithm.Securities, algorithm.SubscriptionManager, MarketHoursDatabase.FromDataFolder());
-
                 //Set the starting portfolio value for the strategy to calculate performance:
                 StartingPortfolioValue = algorithm.Portfolio.TotalPortfolioValue;
                 StartingDate = DateTime.Now;

Engine/Setup/ConsoleSetupHandler.cs

@@ -140,8 +140,6 @@ public bool Setup(IAlgorithm algorithm, IBrokerage brokerage, AlgorithmNodePacke
                     algorithm.Initialize();
                     //Set the time frontier of the algorithm
                     algorithm.SetDateTime(algorithm.StartDate.ConvertToUtc(algorithm.TimeZone));
-                    //Add currency data feeds that weren't explicity added in Initialize
-                    algorithm.Portfolio.CashBook.EnsureCurrencyDataFeeds(algorithm.Securities, algorithm.SubscriptionManager, MarketHoursDatabase.FromDataFolder());
 
                     //Construct the backtest job packet:
                     backtestJob.PeriodStart = algorithm.StartDate;