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Simplify Setting Security Initializer #8945

@AlexCatarino

Description

@AlexCatarino

Expected Behavior

Be able to add a custom security Initializer while keeping the default behavior (BrokerageModelSecurityInitializer)

Actual Behavior

We need to either extend BrokerageModelSecurityInitializer:

class BrokerageModelExampleAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
       self.set_start_date(2025,8,19) 
        security_seeder = FuncSecuritySeeder(self.get_last_known_prices)
        self.set_security_initializer(MySecurityInitializer(self.brokerage_model, security_seeder))
        self.add_equity("SPY")

# Outside of the algorithm class
class MySecurityInitializer(BrokerageModelSecurityInitializer):

    def __init__(self, brokerage_model: IBrokerageModel, security_seeder: ISecuritySeeder) -> None:
        super().__init__(brokerage_model, security_seeder)    
    def initialize(self, security: Security) -> None:
        super().initialize(security)
        security.set_fee_model(ConstantFeeModel(0, "USD"))

or use CompositeSecurityInitializer:

class BrokerageModelExampleAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self.set_start_date(2025,8,19)
        seeder = FuncSecuritySeeder(self.get_last_known_prices)
        self.set_security_initializer(CompositeSecurityInitializer(
            self.security_initializer, 
            FuncSecurityInitializer(lambda security: seeder.seed_security(security)),
            FuncSecurityInitializer(self.custom_security_initializer)))
        self.add_equity("SPY")

    def custom_security_initializer(self, security):
        security.set_fee_model(ConstantFeeModel(0, "USD"))

Potential Solution

We could introduce the AddSecurityInitializer that would append to the initializer, resulting in:

class BrokerageModelExampleAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self.set_start_date(2025,8,19)
        seeder = FuncSecuritySeeder(self.get_last_known_prices)
        self.add_security_initializer(lambda security: seeder.seed_security(security))
        self.add_security_initializer(self.custom_security_initializer)
        self.add_equity("SPY")

    def custom_security_initializer(self, security):
        security.set_fee_model(ConstantFeeModel(0, "USD"))

Checklist

  • I have completely filled out this template
  • I have confirmed that this issue exists on the current master branch
  • I have confirmed that this is not a duplicate issue by searching issues

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