LEAN Exits Gracefully If The Algorithm Adds Invalid Symbol (#13)

* LEAN Exits Gracefully If The Algorithm Adds Invalid Symbol If the algorithm adds an invalid symbol, e.g. GPBEUR, an exception is raised. However, LEAN doesn't exit because the operation is not done in the main thread, but stops getting data if there are valid symbols. We added a brokerage error message to exit LEAN. * Fixes Existing Unit Test API change from QuantConnect/Lean#7493
QuantConnect · Oct 12, 2023 · 14ea8aa · 14ea8aa
1 parent 2c22c61
commit 14ea8aa
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Showing 2 changed files with 13 additions and 4 deletions.
diff --git a/QuantConnect.OandaBrokerage.Tests/OandaBrokerageHistoryProviderTests.cs b/QuantConnect.OandaBrokerage.Tests/OandaBrokerageHistoryProviderTests.cs
@@ -73,7 +73,7 @@ public void GetsHistory(Symbol symbol, Resolution resolution, TimeSpan period, b
 
                 var historyProvider = new BrokerageHistoryProvider();
                 historyProvider.SetBrokerage(brokerage);
-                historyProvider.Initialize(new HistoryProviderInitializeParameters(null, null, null, null, null, null, null, false, new DataPermissionManager()));
+                historyProvider.Initialize(new HistoryProviderInitializeParameters(null, null, null, null, null, null, null, false, new DataPermissionManager(), null));
 
                 var now = DateTime.UtcNow;
 

diff --git a/QuantConnect.OandaBrokerage/OandaRestApiBase.cs b/QuantConnect.OandaBrokerage/OandaRestApiBase.cs
@@ -419,9 +419,18 @@ private bool Refresh()
         /// <param name="symbolsToSubscribe">The list of symbols to subscribe</param>
         protected void SubscribeSymbols(IEnumerable<Symbol> symbolsToSubscribe)
         {
-            var instruments = symbolsToSubscribe
-                .Select(symbol => SymbolMapper.GetBrokerageSymbol(symbol))
-                .ToList();
+            var instruments = new List<string>();
+
+            try
+            {
+                instruments.AddRange(symbolsToSubscribe
+                    .Select(SymbolMapper.GetBrokerageSymbol));
+            }
+            catch (Exception e)
+            {
+                // GetBrokerageSymbol will raise an exception if at least one invalid symbol, e.g. GPBEUR, is requested
+                OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Error, -1, e.Message));
+            }
 
             PricingConnectionHandler.EnableMonitoring(false);