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Automatically deregister indicators and consolidators when a security is removed - #9673
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…removal - QCAlgorithm.DeregisterAll(symbol) disposes every indicator and consolidator created for the symbol through the algorithm helper methods in one call - Settings.AutomaticIndicatorDeregistration (default false) runs the same cleanup automatically when a security is completely removed from the algorithm, e.g. when it leaves the universe - Fix SubscriptionManager.RemoveConsolidator leaking the consolidator scan wrapper when the symbol's subscription configs were already removed: the wrapper stayed in the scan queue being re-enqueued forever
…lection - make the per-symbol cleanup private as DeregisterIndicatorsAndConsolidators, the setting is the only public surface - default Settings.AutomaticIndicatorDeregistration to true: kept indicators never update again after their security is removed, even when it's added back - add AutomaticIndicatorDeregistrationOnUniverseSelectionRegressionAlgorithm covering universe deselection and reselection - fold the DeregisterAll algorithms and tests into the automatic ones
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Description
When a security leaves the algorithm, the indicators and consolidators created for it through the helper methods (
SMA,RSI,Consolidate,RegisterIndicator, ...) are never cleaned up. Their scan wrappers stay in the consolidator scan queue forever, so algorithms with per-symbol indicators and universe churn leak until anOutOfMemoryException.The change:
QCAlgorithm.RegisterConsolidator, the choke point every helper funnels through, now tracks the indicators and consolidators it registers per symbol.Securities.CollectionChangedremovals, the new privateQCAlgorithm.DeregisterIndicatorsAndConsolidators(symbol)disposes everything tracked for that symbol through the existing paths.B(target, reference), are fully deregistered when any of their symbols is removed.SubscriptionManager.AddConsolidatorare not tracked and are kept.IAlgorithmSettings.AutomaticIndicatorDeregistration,trueby default, turns the cleanup off.SubscriptionManager.RemoveConsolidatornow disposes the scan wrapper even when the symbol has no subscription configs left.Related Issue
N/A
Motivation and Context
Keeping the removed security's indicators buys nothing: they never update again, even when the security is added back. Cleaning them up by default removes a leak that is invisible until the algorithm runs out of memory.
Requires Documentation Change
Yes:
Settings.AutomaticIndicatorDeregistration, next toDeregisterIndicatorand the universe selection examples.How Has This Been Tested?
AutomaticIndicatorDeregistrationTests(7 tests): removal disposes the symbol's helper indicators and consolidators, keeps raw ones, honors the setting.SubscriptionManagerTests.RemoveConsolidatorDisposesScanWrapperEvenWithoutSubscriptions: red before the wrapper fix, green after.AutomaticIndicatorDeregistrationRegressionAlgorithm(C# + Python): manual remove and re-add, indicators and consolidator stop updating on removal, fresh ones work after re-adding.AutomaticIndicatorDeregistrationOnUniverseSelectionRegressionAlgorithm: universe deselection and reselection, deregistered on removal, new ones get data after reselection.Tests.Algorithmnamespace with CI filters: 13232 passed, 0 failed.Types of changes
Checklist:
bug-<issue#>-<description>orfeature-<issue#>-<description>