public void Initialize(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler)
{
if (algorithm.SubscriptionManager.Subscriptions.Count == 0 && algorithm.Universe == null)
{
throw new Exception("No subscriptions registered and no universe defined.");
}
_algorithm = algorithm;
_resultHandler = resultHandler;
_subscriptions = new ConcurrentDictionary <SymbolSecurityType, Subscription>();
_cancellationTokenSource = new CancellationTokenSource();
IsActive = true;
Bridge = new BusyBlockingCollection <TimeSlice>(100);
// find the minimum resolution, ignoring ticks
_fillForwardResolution = algorithm.SubscriptionManager.Subscriptions
.Where(x => x.Resolution != Resolution.Tick)
.Select(x => x.Resolution)
.DefaultIfEmpty(algorithm.UniverseSettings.Resolution)
.Min();
// initialize the original user defined securities
foreach (var security in _algorithm.Securities.Values)
{
var subscription = CreateSubscription(resultHandler, security, algorithm.StartDate, algorithm.EndDate, _fillForwardResolution, true);
if (subscription != null)
{
_subscriptions.AddOrUpdate(new SymbolSecurityType(security), subscription);
// prime the pump, run method checks current before move next calls
PrimeSubscriptionPump(subscription, true);
}
}
}
public void Initialize(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler)
{
if (algorithm.SubscriptionManager.Subscriptions.Count == 0 && algorithm.Universes.IsNullOrEmpty())
{
throw new Exception("No subscriptions registered and no universe defined.");
}
_algorithm = algorithm;
_resultHandler = resultHandler;
_subscriptions = new ConcurrentDictionary <SymbolSecurityType, Subscription>();
_cancellationTokenSource = new CancellationTokenSource();
IsActive = true;
Bridge = new BusyBlockingCollection <TimeSlice>(100);
var ffres = Time.OneSecond;
_fillForwardResolution = Ref.Create(() => ffres, res => ffres = res);
// find the minimum resolution, ignoring ticks
ffres = ResolveFillForwardResolution(algorithm);
// add each universe selection subscription to the feed
foreach (var universe in _algorithm.Universes)
{
var startTimeUtc = _algorithm.StartDate.ConvertToUtc(_algorithm.TimeZone);
var endTimeUtc = _algorithm.EndDate.ConvertToUtc(_algorithm.TimeZone);
AddUniverseSubscription(universe, startTimeUtc, endTimeUtc);
}
}
public void IsBusyWithItemsWaiting()
{
var collection = new BusyBlockingCollection <int>();
collection.Add(1);
Assert.IsTrue(collection.IsBusy);
}
public void IsBusyWithItemsWaiting()
{
var collection = new BusyBlockingCollection <int>();
collection.Add(1);
Assert.IsFalse(collection.WaitHandle.WaitOne(0));
}
public void GetConsumingEnumerableReturnsItemsInOrder()
{
var collection = new BusyBlockingCollection<int>();
collection.Add(1);
collection.Add(2);
collection.Add(3);
collection.CompleteAdding();
CollectionAssert.AreEquivalent(new[]{1,2,3}, collection.GetConsumingEnumerable());
}
public void GetConsumingEnumerableReturnsItemsInOrder()
{
var collection = new BusyBlockingCollection <int>();
collection.Add(1);
collection.Add(2);
collection.Add(3);
collection.CompleteAdding();
CollectionAssert.AreEquivalent(new[] { 1, 2, 3 }, collection.GetConsumingEnumerable());
}
/// <summary>
/// Initializes the data feed for the specified job and algorithm
/// </summary>
public void Initialize(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler)
{
if (!(job is LiveNodePacket))
{
throw new ArgumentException("The LiveTradingDataFeed requires a LiveNodePacket.");
}
if (algorithm.SubscriptionManager.Subscriptions.Count == 0 && algorithm.Universes.IsNullOrEmpty())
{
throw new Exception("No subscriptions registered and no universe defined.");
}
_cancellationTokenSource = new CancellationTokenSource();
_algorithm = algorithm;
_job = (LiveNodePacket)job;
_resultHandler = resultHandler;
_timeProvider = GetTimeProvider();
_dataQueueHandler = GetDataQueueHandler();
_frontierTimeProvider = new ManualTimeProvider(_timeProvider.GetUtcNow());
_customExchange = new BaseDataExchange("CustomDataExchange")
{
SleepInterval = 10
};
// sleep is controlled on this exchange via the GetNextTicksEnumerator
_exchange = new BaseDataExchange("DataQueueExchange", GetNextTicksEnumerator())
{
SleepInterval = 0
};
_subscriptions = new ConcurrentDictionary <SymbolSecurityType, Subscription>();
Bridge = new BusyBlockingCollection <TimeSlice>();
// run the exchanges
_exchange.Start();
_customExchange.Start();
// this value will be modified via calls to AddSubscription/RemoveSubscription
var ffres = Time.OneSecond;
_fillForwardResolution = Ref.Create(() => ffres, v => ffres = v);
ffres = ResolveFillForwardResolution(algorithm);
// add subscriptions
var start = _timeProvider.GetUtcNow();
foreach (var universe in _algorithm.Universes)
{
var subscription = CreateUniverseSubscription(universe, start, Time.EndOfTime);
_subscriptions[new SymbolSecurityType(subscription)] = subscription;
}
}
public void WaitForProcessingCompletedDuringGetConsumingEnumerable()
{
var collection = new BusyBlockingCollection<int>();
collection.Add(1);
collection.Add(2);
collection.Add(3);
collection.CompleteAdding();
Assert.IsFalse(collection.WaitHandle.WaitOne(0));
foreach (var item in collection.GetConsumingEnumerable())
{
Assert.IsFalse(collection.WaitHandle.WaitOne(0));
}
Assert.IsTrue(collection.WaitHandle.WaitOne(0));
}
public void WaitForProcessingCompletedDuringGetConsumingEnumerable()
{
var collection = new BusyBlockingCollection <int>();
collection.Add(1);
collection.Add(2);
collection.Add(3);
collection.CompleteAdding();
Assert.IsFalse(collection.WaitHandle.WaitOne(0));
foreach (var item in collection.GetConsumingEnumerable())
{
Assert.IsFalse(collection.WaitHandle.WaitOne(0));
}
Assert.IsTrue(collection.WaitHandle.WaitOne(0));
}
/// <summary>
/// Live trading datafeed handler provides a base implementation of a live trading datafeed. Derived types
/// need only implement the GetNextTicks() function to return unprocessed ticks from a data source.
/// This creates a new data feed with a DataFeedEndpoint of LiveTrading.
/// </summary>
public void Initialize(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler)
{
if (!(job is LiveNodePacket))
{
throw new ArgumentException("The LiveTradingDataFeed requires a LiveNodePacket.");
}
_job = (LiveNodePacket)job;
_isActive = true;
_algorithm = algorithm;
_resultHandler = resultHandler;
_cancellationTokenSource = new CancellationTokenSource();
_universeSelection = new UniverseSelection(this, algorithm, true);
_dataQueue = Composer.Instance.GetExportedValueByTypeName <IDataQueueHandler>(Configuration.Config.Get("data-queue-handler", "LiveDataQueue"));
Bridge = new BusyBlockingCollection <TimeSlice>();
_subscriptions = new ConcurrentDictionary <SymbolSecurityType, LiveSubscription>();
var periodStart = DateTime.UtcNow.ConvertFromUtc(algorithm.TimeZone).AddDays(-7);
var periodEnd = Time.EndOfTime;
foreach (var security in algorithm.Securities.Values)
{
var subscription = CreateSubscription(algorithm, resultHandler, security, periodStart, periodEnd);
_subscriptions.AddOrUpdate(new SymbolSecurityType(subscription), subscription);
}
// request for data from these symbols
var symbols = BuildTypeSymbolList(algorithm.Securities.Values);
if (symbols.Any())
{
// don't subscribe if there's nothing there, this allows custom data to
// work without an IDataQueueHandler implementation by specifying LiveDataQueue
// in the configuration, that implementation throws on every method, but we actually
// don't need it if we're only doing custom data
_dataQueue.Subscribe(_job, symbols);
}
}
/// <summary>
/// Initializes the data feed for the specified job and algorithm
/// </summary>
public void Initialize(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler)
{
if (!(job is LiveNodePacket))
{
throw new ArgumentException("The LiveTradingDataFeed requires a LiveNodePacket.");
}
_cancellationTokenSource = new CancellationTokenSource();
_algorithm = algorithm;
_job = (LiveNodePacket) job;
_resultHandler = resultHandler;
_timeProvider = GetTimeProvider();
_dataQueueHandler = GetDataQueueHandler();
_frontierTimeProvider = new ManualTimeProvider(_timeProvider.GetUtcNow());
_customExchange = new BaseDataExchange("CustomDataExchange") {SleepInterval = 10};
// sleep is controlled on this exchange via the GetNextTicksEnumerator
_exchange = new BaseDataExchange("DataQueueExchange", GetNextTicksEnumerator()){SleepInterval = 0};
_subscriptions = new ConcurrentDictionary<SymbolSecurityType, Subscription>();
Bridge = new BusyBlockingCollection<TimeSlice>();
// run the exchanges
_exchange.Start();
_customExchange.Start();
// find the minimum resolution, ignoring ticks
_fillForwardResolution = algorithm.SubscriptionManager.Subscriptions
.Where(x => x.Resolution != Resolution.Tick)
.Select(x => x.Resolution)
.Union(algorithm.Universes.Select(x => x.SubscriptionSettings.Resolution))
.DefaultIfEmpty(algorithm.UniverseSettings.Resolution)
.Min();
// add user defined subscriptions
var start = _timeProvider.GetUtcNow();
foreach (var kvp in _algorithm.Securities.OrderBy(x => x.Key.ToString()))
{
var security = kvp.Value;
AddSubscription(security, start, Time.EndOfTime, true);
}
// add universe subscriptions
foreach (var universe in _algorithm.Universes)
{
var subscription = CreateUniverseSubscription(universe, start, Time.EndOfTime);
_subscriptions[new SymbolSecurityType(subscription)] = subscription;
}
}
/// <summary>
/// Initializes the data feed for the specified job and algorithm
/// </summary>
public void Initialize(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler,
IMapFileProvider mapFileProvider, IFactorFileProvider factorFileProvider,
IDataProvider dataProvider, IDataFeedSubscriptionManager subscriptionManager)
{
if (!(job is LiveNodePacket))
{
throw new ArgumentException("The LiveTradingDataFeed requires a LiveNodePacket.");
}
_cancellationTokenSource = new CancellationTokenSource();
_algorithm = algorithm;
_job = (LiveNodePacket)job;
_resultHandler = resultHandler;
_timeProvider = GetTimeProvider();
_dataQueueHandler = GetDataQueueHandler();
_dataProvider = dataProvider;
_dataCacheProvider = new SingleEntryDataCacheProvider(dataProvider);
_frontierTimeProvider = new ManualTimeProvider(_timeProvider.GetUtcNow());
_customExchange = new BaseDataExchange("CustomDataExchange")
{
SleepInterval = 10
};
// sleep is controlled on this exchange via the GetNextTicksEnumerator
_exchange = new BaseDataExchange("DataQueueExchange")
{
SleepInterval = 0
};
_exchange.AddEnumerator(DataQueueHandlerSymbol, GetNextTicksEnumerator());
_subscriptions = subscriptionManager.DataFeedSubscriptions;
_bridge = new BusyBlockingCollection <TimeSlice>();
_universeSelection = subscriptionManager.UniverseSelection;
// run the exchanges
Task.Run(() => _exchange.Start(_cancellationTokenSource.Token));
Task.Run(() => _customExchange.Start(_cancellationTokenSource.Token));
// wire ourselves up to receive notifications when universes are added/removed
var start = _timeProvider.GetUtcNow();
algorithm.UniverseManager.CollectionChanged += (sender, args) =>
{
switch (args.Action)
{
case NotifyCollectionChangedAction.Add:
foreach (var universe in args.NewItems.OfType <Universe>())
{
var config = universe.Configuration;
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var exchangeHours = marketHoursDatabase.GetExchangeHours(config);
Security security;
if (!_algorithm.Securities.TryGetValue(config.Symbol, out security))
{
// create a canonical security object
security = new Security(exchangeHours, config, _algorithm.Portfolio.CashBook[CashBook.AccountCurrency], SymbolProperties.GetDefault(CashBook.AccountCurrency));
}
AddSubscription(new SubscriptionRequest(true, universe, security, config, start, Time.EndOfTime));
}
break;
case NotifyCollectionChangedAction.Remove:
foreach (var universe in args.OldItems.OfType <Universe>())
{
RemoveSubscription(universe.Configuration);
}
break;
default:
throw new NotImplementedException("The specified action is not implemented: " + args.Action);
}
};
}
public void IsNotBusyWithZeroItemsWaiting()
{
var collection = new BusyBlockingCollection <int>();
Assert.IsFalse(collection.IsBusy);
}
public void IsBusyWithItemsWaiting()
{
var collection = new BusyBlockingCollection<int>();
collection.Add(1);
Assert.IsTrue(collection.IsBusy);
}
public void IsNotBusyWithZeroItemsWaiting()
{
var collection = new BusyBlockingCollection<int>();
Assert.IsFalse(collection.IsBusy);
}
/// <summary>
/// Initializes the data feed for the specified job and algorithm
/// </summary>
public void Initialize(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler, IMapFileProvider mapFileProvider)
{
if (!(job is LiveNodePacket))
{
throw new ArgumentException("The LiveTradingDataFeed requires a LiveNodePacket.");
}
if (algorithm.SubscriptionManager.Subscriptions.Count == 0 && algorithm.Universes.IsNullOrEmpty())
{
throw new Exception("No subscriptions registered and no universe defined.");
}
_cancellationTokenSource = new CancellationTokenSource();
_algorithm = algorithm;
_job = (LiveNodePacket) job;
_resultHandler = resultHandler;
_timeProvider = GetTimeProvider();
_dataQueueHandler = GetDataQueueHandler();
_frontierTimeProvider = new ManualTimeProvider(_timeProvider.GetUtcNow());
_customExchange = new BaseDataExchange("CustomDataExchange") {SleepInterval = 10};
// sleep is controlled on this exchange via the GetNextTicksEnumerator
_exchange = new BaseDataExchange("DataQueueExchange", GetNextTicksEnumerator()){SleepInterval = 0};
_subscriptions = new ConcurrentDictionary<Symbol, Subscription>();
Bridge = new BusyBlockingCollection<TimeSlice>();
// run the exchanges
_exchange.Start();
_customExchange.Start();
// this value will be modified via calls to AddSubscription/RemoveSubscription
var ffres = Time.OneSecond;
_fillForwardResolution = Ref.Create(() => ffres, v => ffres = v);
ffres = ResolveFillForwardResolution(algorithm);
// add subscriptions
var start = _timeProvider.GetUtcNow();
foreach (var universe in _algorithm.Universes)
{
var subscription = CreateUniverseSubscription(universe, start, Time.EndOfTime);
_subscriptions[subscription.Security.Symbol] = subscription;
}
}
public void Initialize(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler)
{
if (algorithm.SubscriptionManager.Subscriptions.Count == 0 && algorithm.Universe == null)
{
throw new Exception("No subscriptions registered and no universe defined.");
}
_algorithm = algorithm;
_resultHandler = resultHandler;
_subscriptions = new ConcurrentDictionary<SymbolSecurityType, Subscription>();
_cancellationTokenSource = new CancellationTokenSource();
_universeSelection = new UniverseSelection(this, algorithm, false);
IsActive = true;
Bridge = new BusyBlockingCollection<TimeSlice>(100);
// find the minimum resolution, ignoring ticks
_fillForwardResolution = algorithm.SubscriptionManager.Subscriptions
.Where(x => x.Resolution != Resolution.Tick)
.Select(x => x.Resolution)
.DefaultIfEmpty(algorithm.UniverseSettings.Resolution)
.Min();
// initialize the original user defined securities
foreach (var security in _algorithm.Securities.Values)
{
var subscription = CreateSubscription(resultHandler, security, algorithm.StartDate, algorithm.EndDate, _fillForwardResolution, true);
if (subscription != null)
{
_subscriptions.AddOrUpdate(new SymbolSecurityType(security), subscription);
// prime the pump, run method checks current before move next calls
PrimeSubscriptionPump(subscription, true);
}
}
}
/// <summary>
/// Initializes the data feed for the specified job and algorithm
/// </summary>
public void Initialize(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler, IMapFileProvider mapFileProvider, IFactorFileProvider factorFileProvider)
{
if (!(job is LiveNodePacket))
{
throw new ArgumentException("The LiveTradingDataFeed requires a LiveNodePacket.");
}
_cancellationTokenSource = new CancellationTokenSource();
_algorithm = algorithm;
_job = (LiveNodePacket)job;
_resultHandler = resultHandler;
_timeProvider = GetTimeProvider();
_dataQueueHandler = GetDataQueueHandler();
_frontierTimeProvider = new ManualTimeProvider(_timeProvider.GetUtcNow());
_customExchange = new BaseDataExchange("CustomDataExchange")
{
SleepInterval = 10
};
// sleep is controlled on this exchange via the GetNextTicksEnumerator
_exchange = new BaseDataExchange("DataQueueExchange")
{
SleepInterval = 0
};
_exchange.AddEnumerator(DataQueueHandlerSymbol, GetNextTicksEnumerator());
_subscriptions = new SubscriptionCollection();
_bridge = new BusyBlockingCollection <TimeSlice>();
_universeSelection = new UniverseSelection(this, algorithm, job.Controls);
// run the exchanges
Task.Run(() => _exchange.Start(_cancellationTokenSource.Token));
Task.Run(() => _customExchange.Start(_cancellationTokenSource.Token));
// this value will be modified via calls to AddSubscription/RemoveSubscription
var ffres = Time.OneMinute;
_fillForwardResolution = Ref.Create(() => ffres, v => ffres = v);
// wire ourselves up to receive notifications when universes are added/removed
var start = _timeProvider.GetUtcNow();
algorithm.UniverseManager.CollectionChanged += (sender, args) =>
{
switch (args.Action)
{
case NotifyCollectionChangedAction.Add:
foreach (var universe in args.NewItems.OfType <Universe>())
{
if (!_subscriptions.Contains(universe.Configuration))
{
_subscriptions.TryAdd(CreateUniverseSubscription(universe, start, Time.EndOfTime));
}
// Not sure if this is needed but left here because of this:
// https://github.com/VigiothCapital.QuantTrader.commit/029d70bde6ca83a1eb0c667bb5cc4444bea05678
UpdateFillForwardResolution();
}
break;
case NotifyCollectionChangedAction.Remove:
foreach (var universe in args.OldItems.OfType <Universe>())
{
RemoveSubscription(universe.Configuration);
}
break;
default:
throw new NotImplementedException("The specified action is not implemented: " + args.Action);
}
};
}
public void IsBusyWithItemsWaiting()
{
var collection = new BusyBlockingCollection<int>();
collection.Add(1);
Assert.IsFalse(collection.WaitHandle.WaitOne(0));
}
/// <summary>
/// Initializes the data feed for the specified job and algorithm
/// </summary>
public void Initialize(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler, IMapFileProvider mapFileProvider, IFactorFileProvider factorFileProvider)
{
if (!(job is LiveNodePacket))
{
throw new ArgumentException("The LiveTradingDataFeed requires a LiveNodePacket.");
}
_cancellationTokenSource = new CancellationTokenSource();
_algorithm = algorithm;
_job = (LiveNodePacket) job;
_resultHandler = resultHandler;
_timeProvider = GetTimeProvider();
_dataQueueHandler = GetDataQueueHandler();
_frontierTimeProvider = new ManualTimeProvider(_timeProvider.GetUtcNow());
_customExchange = new BaseDataExchange("CustomDataExchange") {SleepInterval = 10};
// sleep is controlled on this exchange via the GetNextTicksEnumerator
_exchange = new BaseDataExchange("DataQueueExchange"){SleepInterval = 0};
_exchange.AddEnumerator(DataQueueHandlerSymbol, GetNextTicksEnumerator());
_subscriptions = new SubscriptionCollection();
_bridge = new BusyBlockingCollection<TimeSlice>();
_universeSelection = new UniverseSelection(this, algorithm, job.Controls);
// run the exchanges
Task.Run(() => _exchange.Start(_cancellationTokenSource.Token));
Task.Run(() => _customExchange.Start(_cancellationTokenSource.Token));
// this value will be modified via calls to AddSubscription/RemoveSubscription
var ffres = Time.OneMinute;
_fillForwardResolution = Ref.Create(() => ffres, v => ffres = v);
// wire ourselves up to receive notifications when universes are added/removed
var start = _timeProvider.GetUtcNow();
algorithm.UniverseManager.CollectionChanged += (sender, args) =>
{
switch (args.Action)
{
case NotifyCollectionChangedAction.Add:
foreach (var universe in args.NewItems.OfType<Universe>())
{
var config = universe.Configuration;
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var exchangeHours = marketHoursDatabase.GetExchangeHours(config);
Security security;
if (!_algorithm.Securities.TryGetValue(config.Symbol, out security))
{
// create a canonical security object
security = new Security(exchangeHours, config, _algorithm.Portfolio.CashBook[CashBook.AccountCurrency], SymbolProperties.GetDefault(CashBook.AccountCurrency));
}
AddSubscription(new SubscriptionRequest(true, universe, security, config, start, Time.EndOfTime));
// Not sure if this is needed but left here because of this:
// https://github.com/QuantConnect/Lean/commit/029d70bde6ca83a1eb0c667bb5cc4444bea05678
UpdateFillForwardResolution();
}
break;
case NotifyCollectionChangedAction.Remove:
foreach (var universe in args.OldItems.OfType<Universe>())
{
RemoveSubscription(universe.Configuration);
}
break;
default:
throw new NotImplementedException("The specified action is not implemented: " + args.Action);
}
};
}
public void IsNotBusyWithZeroItemsWaiting()
{
var collection = new BusyBlockingCollection <int>();
Assert.IsTrue(collection.WaitHandle.WaitOne(0));
}
/// <summary>
/// Live trading datafeed handler provides a base implementation of a live trading datafeed. Derived types
/// need only implement the GetNextTicks() function to return unprocessed ticks from a data source.
/// This creates a new data feed with a DataFeedEndpoint of LiveTrading.
/// </summary>
public void Initialize(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler)
{
if (!(job is LiveNodePacket))
{
throw new ArgumentException("The LiveTradingDataFeed requires a LiveNodePacket.");
}
_job = (LiveNodePacket)job;
_isActive = true;
_algorithm = algorithm;
_resultHandler = resultHandler;
_cancellationTokenSource = new CancellationTokenSource();
_universeSelection = new UniverseSelection(this, algorithm, true);
_dataQueue = Composer.Instance.GetExportedValueByTypeName<IDataQueueHandler>(Configuration.Config.Get("data-queue-handler", "LiveDataQueue"));
Bridge = new BusyBlockingCollection<TimeSlice>();
_subscriptions = new ConcurrentDictionary<SymbolSecurityType, LiveSubscription>();
var periodStart = DateTime.UtcNow.ConvertFromUtc(algorithm.TimeZone).AddDays(-7);
var periodEnd = Time.EndOfTime;
foreach (var security in algorithm.Securities.Values)
{
var subscription = CreateSubscription(algorithm, resultHandler, security, periodStart, periodEnd);
_subscriptions.AddOrUpdate(new SymbolSecurityType(subscription), subscription);
}
// request for data from these symbols
var symbols = BuildTypeSymbolList(algorithm.Securities.Values);
if (symbols.Any())
{
// don't subscribe if there's nothing there, this allows custom data to
// work without an IDataQueueHandler implementation by specifying LiveDataQueue
// in the configuration, that implementation throws on every method, but we actually
// don't need it if we're only doing custom data
_dataQueue.Subscribe(_job, symbols);
}
}
public void Initialize(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler, IMapFileProvider mapFileProvider)
{
if (algorithm.SubscriptionManager.Subscriptions.Count == 0 && algorithm.Universes.IsNullOrEmpty())
{
throw new Exception("No subscriptions registered and no universe defined.");
}
_algorithm = algorithm;
_resultHandler = resultHandler;
_mapFileProvider = mapFileProvider;
_subscriptions = new ConcurrentDictionary<Symbol, Subscription>();
_cancellationTokenSource = new CancellationTokenSource();
IsActive = true;
Bridge = new BusyBlockingCollection<TimeSlice>(100);
var ffres = Time.OneSecond;
_fillForwardResolution = Ref.Create(() => ffres, res => ffres = res);
// find the minimum resolution, ignoring ticks
ffres = ResolveFillForwardResolution(algorithm);
// add each universe selection subscription to the feed
foreach (var universe in _algorithm.Universes)
{
var startTimeUtc = _algorithm.StartDate.ConvertToUtc(_algorithm.TimeZone);
var endTimeUtc = _algorithm.EndDate.ConvertToUtc(_algorithm.TimeZone);
AddUniverseSubscription(universe, startTimeUtc, endTimeUtc);
}
}
/// <summary>
/// Initializes the data feed for the specified job and algorithm
/// </summary>
public void Initialize(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler, IMapFileProvider mapFileProvider, IFactorFileProvider factorFileProvider)
{
if (!(job is LiveNodePacket))
{
throw new ArgumentException("The LiveTradingDataFeed requires a LiveNodePacket.");
}
_cancellationTokenSource = new CancellationTokenSource();
_algorithm = algorithm;
_job = (LiveNodePacket) job;
_resultHandler = resultHandler;
_timeProvider = GetTimeProvider();
_dataQueueHandler = GetDataQueueHandler();
_frontierTimeProvider = new ManualTimeProvider(_timeProvider.GetUtcNow());
_customExchange = new BaseDataExchange("CustomDataExchange") {SleepInterval = 10};
// sleep is controlled on this exchange via the GetNextTicksEnumerator
_exchange = new BaseDataExchange("DataQueueExchange"){SleepInterval = 0};
_exchange.AddEnumerator(DataQueueHandlerSymbol, GetNextTicksEnumerator());
_subscriptions = new ConcurrentDictionary<Symbol, List<Subscription>>();
_bridge = new BusyBlockingCollection<TimeSlice>();
_universeSelection = new UniverseSelection(this, algorithm, job.Controls);
// run the exchanges
Task.Run(() => _exchange.Start(_cancellationTokenSource.Token));
Task.Run(() => _customExchange.Start(_cancellationTokenSource.Token));
// this value will be modified via calls to AddSubscription/RemoveSubscription
var ffres = Time.OneMinute;
_fillForwardResolution = Ref.Create(() => ffres, v => ffres = v);
// wire ourselves up to receive notifications when universes are added/removed
var start = _timeProvider.GetUtcNow();
algorithm.UniverseManager.CollectionChanged += (sender, args) =>
{
switch (args.Action)
{
case NotifyCollectionChangedAction.Add:
foreach (var universe in args.NewItems.OfType<Universe>())
{
_subscriptions.Add(universe.Configuration.Symbol, CreateUniverseSubscription(universe, start, Time.EndOfTime));
UpdateFillForwardResolution();
}
break;
case NotifyCollectionChangedAction.Remove:
foreach (var universe in args.OldItems.OfType<Universe>())
{
RemoveSubscription(universe.Configuration.Symbol);
}
break;
default:
throw new NotImplementedException("The specified action is not implemented: " + args.Action);
}
};
}
/// <summary>
/// Initializes the data feed for the specified job and algorithm
/// </summary>
public void Initialize(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler, IMapFileProvider mapFileProvider, IFactorFileProvider factorFileProvider)
{
if (!(job is LiveNodePacket))
{
throw new ArgumentException("The LiveTradingDataFeed requires a LiveNodePacket.");
}
_cancellationTokenSource = new CancellationTokenSource();
_algorithm = algorithm;
_job = (LiveNodePacket)job;
_resultHandler = resultHandler;
_timeProvider = GetTimeProvider();
_dataQueueHandler = GetDataQueueHandler();
_frontierTimeProvider = new ManualTimeProvider(_timeProvider.GetUtcNow());
_customExchange = new BaseDataExchange("CustomDataExchange")
{
SleepInterval = 10
};
// sleep is controlled on this exchange via the GetNextTicksEnumerator
_exchange = new BaseDataExchange("DataQueueExchange")
{
SleepInterval = 0
};
_exchange.AddEnumerator(DataQueueHandlerSymbol, GetNextTicksEnumerator());
_subscriptions = new ConcurrentDictionary <Symbol, Subscription>();
_bridge = new BusyBlockingCollection <TimeSlice>();
_universeSelection = new UniverseSelection(this, algorithm, job.Controls);
// run the exchanges
Task.Run(() => _exchange.Start(_cancellationTokenSource.Token));
Task.Run(() => _customExchange.Start(_cancellationTokenSource.Token));
// this value will be modified via calls to AddSubscription/RemoveSubscription
var ffres = Time.OneSecond;
_fillForwardResolution = Ref.Create(() => ffres, v => ffres = v);
ffres = ResolveFillForwardResolution(algorithm);
// wire ourselves up to receive notifications when universes are added/removed
var start = _timeProvider.GetUtcNow();
algorithm.UniverseManager.CollectionChanged += (sender, args) =>
{
switch (args.Action)
{
case NotifyCollectionChangedAction.Add:
foreach (var universe in args.NewItems.OfType <Universe>())
{
_subscriptions[universe.Configuration.Symbol] = CreateUniverseSubscription(universe, start, Time.EndOfTime);
}
break;
case NotifyCollectionChangedAction.Remove:
foreach (var universe in args.OldItems.OfType <Universe>())
{
Subscription subscription;
if (_subscriptions.TryGetValue(universe.Configuration.Symbol, out subscription))
{
RemoveSubscription(subscription);
}
}
break;
default:
throw new NotImplementedException("The specified action is not implemented: " + args.Action);
}
};
}
/// <summary>
/// Initializes the data feed for the specified job and algorithm
/// </summary>
public void Initialize(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler, IMapFileProvider mapFileProvider, IFactorFileProvider factorFileProvider, IDataFileProvider dataFileProvider)
{
if (!(job is LiveNodePacket))
{
throw new ArgumentException("The LiveTradingDataFeed requires a LiveNodePacket.");
}
_cancellationTokenSource = new CancellationTokenSource();
_algorithm = algorithm;
_job = (LiveNodePacket)job;
_resultHandler = resultHandler;
_timeProvider = GetTimeProvider();
_dataQueueHandler = GetDataQueueHandler();
_dataFileProvider = dataFileProvider;
_frontierTimeProvider = new ManualTimeProvider(_timeProvider.GetUtcNow());
_customExchange = new BaseDataExchange("CustomDataExchange")
{
SleepInterval = 10
};
// sleep is controlled on this exchange via the GetNextTicksEnumerator
_exchange = new BaseDataExchange("DataQueueExchange")
{
SleepInterval = 0
};
_exchange.AddEnumerator(DataQueueHandlerSymbol, GetNextTicksEnumerator());
_subscriptions = new SubscriptionCollection();
_bridge = new BusyBlockingCollection <TimeSlice>();
_universeSelection = new UniverseSelection(this, algorithm, job.Controls);
// run the exchanges
Task.Run(() => _exchange.Start(_cancellationTokenSource.Token));
Task.Run(() => _customExchange.Start(_cancellationTokenSource.Token));
// this value will be modified via calls to AddSubscription/RemoveSubscription
var ffres = Time.OneMinute;
_fillForwardResolution = Ref.Create(() => ffres, v => ffres = v);
// wire ourselves up to receive notifications when universes are added/removed
var start = _timeProvider.GetUtcNow();
algorithm.UniverseManager.CollectionChanged += (sender, args) =>
{
switch (args.Action)
{
case NotifyCollectionChangedAction.Add:
foreach (var universe in args.NewItems.OfType <Universe>())
{
var config = universe.Configuration;
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var exchangeHours = marketHoursDatabase.GetExchangeHours(config);
Security security;
if (!_algorithm.Securities.TryGetValue(config.Symbol, out security))
{
// create a canonical security object
security = new Security(exchangeHours, config, _algorithm.Portfolio.CashBook[CashBook.AccountCurrency], SymbolProperties.GetDefault(CashBook.AccountCurrency));
}
AddSubscription(new SubscriptionRequest(true, universe, security, config, start, Time.EndOfTime));
// Not sure if this is needed but left here because of this:
// https://github.com/QuantConnect/Lean/commit/029d70bde6ca83a1eb0c667bb5cc4444bea05678
UpdateFillForwardResolution();
}
break;
case NotifyCollectionChangedAction.Remove:
foreach (var universe in args.OldItems.OfType <Universe>())
{
RemoveSubscription(universe.Configuration);
}
break;
default:
throw new NotImplementedException("The specified action is not implemented: " + args.Action);
}
};
}
public void IsNotBusyWithZeroItemsWaiting()
{
var collection = new BusyBlockingCollection<int>();
Assert.IsTrue(collection.WaitHandle.WaitOne(0));
}
