/// <summary>
/// Syncs the specified subscriptions. The frontier time used for synchronization is
/// managed internally and dependent upon previous synchronization operations.
/// </summary>
/// <param name="subscriptions">The subscriptions to sync</param>
public TimeSlice Sync(IEnumerable <Subscription> subscriptions)
{
var delayedSubscriptionFinished = false;
var changes = SecurityChanges.None;
var data = new List <DataFeedPacket>();
// NOTE: Tight coupling in UniverseSelection.ApplyUniverseSelection
var universeData = new Dictionary <Universe, BaseDataCollection>();
var universeDataForTimeSliceCreate = new Dictionary <Universe, BaseDataCollection>();
_frontierTimeProvider.SetCurrentTimeUtc(_timeProvider.GetUtcNow());
var frontierUtc = _frontierTimeProvider.GetUtcNow();
SecurityChanges newChanges;
do
{
newChanges = SecurityChanges.None;
foreach (var subscription in subscriptions)
{
if (subscription.EndOfStream)
{
OnSubscriptionFinished(subscription);
continue;
}
// prime if needed
if (subscription.Current == null)
{
if (!subscription.MoveNext())
{
OnSubscriptionFinished(subscription);
continue;
}
}
var packet = new DataFeedPacket(subscription.Security, subscription.Configuration, subscription.RemovedFromUniverse);
while (subscription.Current != null && subscription.Current.EmitTimeUtc <= frontierUtc)
{
packet.Add(subscription.Current.Data);
if (!subscription.MoveNext())
{
delayedSubscriptionFinished = true;
break;
}
}
if (packet.Count > 0)
{
// we have new universe data to select based on, store the subscription data until the end
if (!subscription.IsUniverseSelectionSubscription)
{
data.Add(packet);
}
else
{
// assume that if the first item is a base data collection then the enumerator handled the aggregation,
// otherwise, load all the the data into a new collection instance
var packetBaseDataCollection = packet.Data[0] as BaseDataCollection;
var packetData = packetBaseDataCollection == null
? packet.Data
: packetBaseDataCollection.Data;
BaseDataCollection collection;
if (universeData.TryGetValue(subscription.Universes.Single(), out collection))
{
collection.Data.AddRange(packetData);
}
else
{
if (packetBaseDataCollection is OptionChainUniverseDataCollection)
{
var current = packetBaseDataCollection as OptionChainUniverseDataCollection;
collection = new OptionChainUniverseDataCollection(frontierUtc, subscription.Configuration.Symbol, packetData, current?.Underlying);
}
else if (packetBaseDataCollection is FuturesChainUniverseDataCollection)
{
collection = new FuturesChainUniverseDataCollection(frontierUtc, subscription.Configuration.Symbol, packetData);
}
else
{
collection = new BaseDataCollection(frontierUtc, subscription.Configuration.Symbol, packetData);
}
universeData[subscription.Universes.Single()] = collection;
}
}
}
if (subscription.IsUniverseSelectionSubscription &&
subscription.Universes.Single().DisposeRequested ||
delayedSubscriptionFinished)
{
delayedSubscriptionFinished = false;
// we need to do this after all usages of subscription.Universes
OnSubscriptionFinished(subscription);
}
}
foreach (var kvp in universeData)
{
var universe = kvp.Key;
var baseDataCollection = kvp.Value;
universeDataForTimeSliceCreate[universe] = baseDataCollection;
newChanges += _universeSelection.ApplyUniverseSelection(universe, frontierUtc, baseDataCollection);
}
universeData.Clear();
changes += newChanges;
}while (newChanges != SecurityChanges.None);
var timeSlice = _timeSliceFactory.Create(frontierUtc, data, changes, universeDataForTimeSliceCreate);
return(timeSlice);
}
/// <summary>
/// Primary entry point.
/// </summary>
public void Run()
{
IsActive = true;
// we want to emit to the bridge minimally once a second since the data feed is
// the heartbeat of the application, so this value will contain a second after
// the last emit time, and if we pass this time, we'll emit even with no data
var nextEmit = DateTime.MinValue;
try
{
while (!_cancellationTokenSource.IsCancellationRequested)
{
// perform sleeps to wake up on the second?
_frontierUtc = _timeProvider.GetUtcNow();
_frontierTimeProvider.SetCurrentTime(_frontierUtc);
var data = new List <DataFeedPacket>();
foreach (var subscription in Subscriptions)
{
var packet = new DataFeedPacket(subscription.Security, subscription.Configuration);
// dequeue data that is time stamped at or before this frontier
while (subscription.MoveNext() && subscription.Current != null)
{
packet.Add(subscription.Current);
}
// if we have data, add it to be added to the bridge
if (packet.Count > 0)
{
data.Add(packet);
}
// we have new universe data to select based on
if (subscription.IsUniverseSelectionSubscription && packet.Count > 0)
{
var universe = subscription.Universe;
// always wait for other thread to sync up
if (!_bridge.WaitHandle.WaitOne(Timeout.Infinite, _cancellationTokenSource.Token))
{
break;
}
// assume that if the first item is a base data collection then the enumerator handled the aggregation,
// otherwise, load all the the data into a new collection instance
var collection = packet.Data[0] as BaseDataCollection ?? new BaseDataCollection(_frontierUtc, subscription.Configuration.Symbol, packet.Data);
_changes += _universeSelection.ApplyUniverseSelection(universe, _frontierUtc, collection);
}
}
// check for cancellation
if (_cancellationTokenSource.IsCancellationRequested)
{
return;
}
// emit on data or if we've elapsed a full second since last emit
if (data.Count != 0 || _frontierUtc >= nextEmit)
{
_bridge.Add(TimeSlice.Create(_frontierUtc, _algorithm.TimeZone, _algorithm.Portfolio.CashBook, data, _changes), _cancellationTokenSource.Token);
// force emitting every second
nextEmit = _frontierUtc.RoundDown(Time.OneSecond).Add(Time.OneSecond);
}
// reset our security changes
_changes = SecurityChanges.None;
// take a short nap
Thread.Sleep(1);
}
}
catch (Exception err)
{
Log.Error(err);
_algorithm.RunTimeError = err;
}
Log.Trace("LiveTradingDataFeed.Run(): Exited thread.");
IsActive = false;
}
/// <summary>
/// Syncs the specifies subscriptions at the frontier time
/// </summary>
/// <param name="frontier">The time used for syncing, data in the future won't be included in this time slice</param>
/// <param name="subscriptions">The subscriptions to sync</param>
/// <param name="sliceTimeZone">The time zone of the created slice object</param>
/// <param name="cashBook">The cash book, used for creating the cash book updates</param>
/// <param name="nextFrontier">The next frontier time as determined by the first piece of data in the future ahead of the frontier.
/// This value will equal DateTime.MaxValue when the subscriptions are all finished</param>
/// <returns>A time slice for the specified frontier time</returns>
public TimeSlice Sync(DateTime frontier, IEnumerable <Subscription> subscriptions, DateTimeZone sliceTimeZone, CashBook cashBook, out DateTime nextFrontier)
{
var changes = SecurityChanges.None;
nextFrontier = DateTime.MaxValue;
var earlyBirdTicks = nextFrontier.Ticks;
var data = new List <DataFeedPacket>();
var universeData = new Dictionary <Universe, BaseDataCollection>();
SecurityChanges newChanges;
do
{
universeData.Clear();
newChanges = SecurityChanges.None;
foreach (var subscription in subscriptions)
{
if (subscription.EndOfStream)
{
OnSubscriptionFinished(subscription);
continue;
}
// prime if needed
if (subscription.Current == null)
{
if (!subscription.MoveNext())
{
OnSubscriptionFinished(subscription);
continue;
}
}
var packet = new DataFeedPacket(subscription.Security, subscription.Configuration);
data.Add(packet);
var configuration = subscription.Configuration;
var offsetProvider = subscription.OffsetProvider;
var currentOffsetTicks = offsetProvider.GetOffsetTicks(frontier);
while (subscription.Current.EndTime.Ticks - currentOffsetTicks <= frontier.Ticks)
{
// we want bars rounded using their subscription times, we make a clone
// so we don't interfere with the enumerator's internal logic
var clone = subscription.Current.Clone(subscription.Current.IsFillForward);
clone.Time = clone.Time.ExchangeRoundDown(configuration.Increment, subscription.Security.Exchange.Hours, configuration.ExtendedMarketHours);
packet.Add(clone);
if (!subscription.MoveNext())
{
OnSubscriptionFinished(subscription);
break;
}
}
// we have new universe data to select based on, store the subscription data until the end
if (subscription.IsUniverseSelectionSubscription && packet.Count > 0)
{
// assume that if the first item is a base data collection then the enumerator handled the aggregation,
// otherwise, load all the the data into a new collection instance
var packetBaseDataCollection = packet.Data[0] as BaseDataCollection;
var packetData = packetBaseDataCollection == null
? packet.Data
: packetBaseDataCollection.Data;
BaseDataCollection collection;
if (!universeData.TryGetValue(subscription.Universe, out collection))
{
if (packetBaseDataCollection is OptionChainUniverseDataCollection)
{
var current = subscription.Current as OptionChainUniverseDataCollection;
var underlying = current != null ? current.Underlying : null;
collection = new OptionChainUniverseDataCollection(frontier, subscription.Configuration.Symbol, packetData, underlying);
}
else
{
collection = new BaseDataCollection(frontier, subscription.Configuration.Symbol, packetData);
}
universeData[subscription.Universe] = collection;
}
else
{
collection.Data.AddRange(packetData);
}
}
if (subscription.Current != null)
{
// take the earliest between the next piece of data or the next tz discontinuity
earlyBirdTicks = Math.Min(earlyBirdTicks, Math.Min(subscription.Current.EndTime.Ticks - currentOffsetTicks, offsetProvider.GetNextDiscontinuity()));
}
}
foreach (var kvp in universeData)
{
var universe = kvp.Key;
var baseDataCollection = kvp.Value;
newChanges += _universeSelection.ApplyUniverseSelection(universe, frontier, baseDataCollection);
}
changes += newChanges;
}while (newChanges != SecurityChanges.None);
nextFrontier = new DateTime(Math.Max(earlyBirdTicks, frontier.Ticks), DateTimeKind.Utc);
return(TimeSlice.Create(frontier, sliceTimeZone, cashBook, data, changes));
}
/// <summary>
/// Primary entry point.
/// </summary>
public void Run()
{
IsActive = true;
// we want to emit to the bridge minimally once a second since the data feed is
// the heartbeat of the application, so this value will contain a second after
// the last emit time, and if we pass this time, we'll emit even with no data
var nextEmit = DateTime.MinValue;
try
{
while (!_cancellationTokenSource.IsCancellationRequested)
{
// perform sleeps to wake up on the second?
_frontierUtc = _timeProvider.GetUtcNow();
_frontierTimeProvider.SetCurrentTime(_frontierUtc);
var data = new List<DataFeedPacket>();
foreach (var subscription in Subscriptions)
{
var packet = new DataFeedPacket(subscription.Security, subscription.Configuration);
// dequeue data that is time stamped at or before this frontier
while (subscription.MoveNext() && subscription.Current != null)
{
packet.Add(subscription.Current);
}
// if we have data, add it to be added to the bridge
if (packet.Count > 0) data.Add(packet);
// we have new universe data to select based on
if (subscription.IsUniverseSelectionSubscription && packet.Count > 0)
{
var universe = subscription.Universe;
// always wait for other thread to sync up
if (!_bridge.WaitHandle.WaitOne(Timeout.Infinite, _cancellationTokenSource.Token))
{
break;
}
// assume that if the first item is a base data collection then the enumerator handled the aggregation,
// otherwise, load all the the data into a new collection instance
var collection = packet.Data[0] as BaseDataCollection ?? new BaseDataCollection(_frontierUtc, subscription.Configuration.Symbol, packet.Data);
_changes += _universeSelection.ApplyUniverseSelection(universe, _frontierUtc, collection);
}
}
// check for cancellation
if (_cancellationTokenSource.IsCancellationRequested) return;
// emit on data or if we've elapsed a full second since last emit
if (data.Count != 0 || _frontierUtc >= nextEmit)
{
_bridge.Add(TimeSlice.Create(_frontierUtc, _algorithm.TimeZone, _algorithm.Portfolio.CashBook, data, _changes), _cancellationTokenSource.Token);
// force emitting every second
nextEmit = _frontierUtc.RoundDown(Time.OneSecond).Add(Time.OneSecond);
}
// reset our security changes
_changes = SecurityChanges.None;
// take a short nap
Thread.Sleep(1);
}
}
catch (Exception err)
{
Log.Error(err);
_algorithm.RunTimeError = err;
}
Log.Trace("LiveTradingDataFeed.Run(): Exited thread.");
IsActive = false;
}
/// <summary>
/// Syncs the specified subscriptions. The frontier time used for synchronization is
/// managed internally and dependent upon previous synchronization operations.
/// </summary>
/// <param name="subscriptions">The subscriptions to sync</param>
/// <param name="cancellationToken">The cancellation token to stop enumeration</param>
public IEnumerable <TimeSlice> Sync(IEnumerable <Subscription> subscriptions,
CancellationToken cancellationToken)
{
var delayedSubscriptionFinished = new Queue <Subscription>();
while (!cancellationToken.IsCancellationRequested)
{
var changes = SecurityChanges.None;
var data = new List <DataFeedPacket>(1);
// NOTE: Tight coupling in UniverseSelection.ApplyUniverseSelection
var universeData = new Dictionary <Universe, BaseDataCollection>();
var universeDataForTimeSliceCreate = new Dictionary <Universe, BaseDataCollection>();
_frontierTimeProvider.SetCurrentTimeUtc(_timeProvider.GetUtcNow());
var frontierUtc = _frontierTimeProvider.GetUtcNow();
SecurityChanges newChanges;
do
{
newChanges = SecurityChanges.None;
foreach (var subscription in subscriptions)
{
if (subscription.EndOfStream)
{
OnSubscriptionFinished(subscription);
continue;
}
// prime if needed
if (subscription.Current == null)
{
if (!subscription.MoveNext())
{
OnSubscriptionFinished(subscription);
continue;
}
}
DataFeedPacket packet = null;
while (subscription.Current != null && subscription.Current.EmitTimeUtc <= frontierUtc)
{
if (packet == null)
{
// for performance, lets be selfish about creating a new instance
packet = new DataFeedPacket(
subscription.Security,
subscription.Configuration,
subscription.RemovedFromUniverse
);
}
packet.Add(subscription.Current.Data);
if (!subscription.MoveNext())
{
delayedSubscriptionFinished.Enqueue(subscription);
break;
}
}
if (packet?.Count > 0)
{
// we have new universe data to select based on, store the subscription data until the end
if (!subscription.IsUniverseSelectionSubscription)
{
data.Add(packet);
}
else
{
// assume that if the first item is a base data collection then the enumerator handled the aggregation,
// otherwise, load all the the data into a new collection instance
var packetBaseDataCollection = packet.Data[0] as BaseDataCollection;
var packetData = packetBaseDataCollection == null
? packet.Data
: packetBaseDataCollection.Data;
BaseDataCollection collection;
if (universeData.TryGetValue(subscription.Universes.Single(), out collection))
{
collection.Data.AddRange(packetData);
}
else
{
if (packetBaseDataCollection is OptionChainUniverseDataCollection)
{
var current = packetBaseDataCollection as OptionChainUniverseDataCollection;
collection = new OptionChainUniverseDataCollection(frontierUtc, subscription.Configuration.Symbol, packetData, current?.Underlying);
}
else if (packetBaseDataCollection is FuturesChainUniverseDataCollection)
{
collection = new FuturesChainUniverseDataCollection(frontierUtc, subscription.Configuration.Symbol, packetData);
}
else
{
collection = new BaseDataCollection(frontierUtc, subscription.Configuration.Symbol, packetData);
}
universeData[subscription.Universes.Single()] = collection;
}
}
}
if (subscription.IsUniverseSelectionSubscription &&
subscription.Universes.Single().DisposeRequested)
{
// we need to do this after all usages of subscription.Universes
OnSubscriptionFinished(subscription);
}
}
if (universeData.Any())
{
// if we are going to perform universe selection we emit an empty
// time pulse to align algorithm time with current frontier
yield return(_timeSliceFactory.CreateTimePulse(frontierUtc));
}
foreach (var kvp in universeData)
{
var universe = kvp.Key;
var baseDataCollection = kvp.Value;
universeDataForTimeSliceCreate[universe] = baseDataCollection;
newChanges += _universeSelection.ApplyUniverseSelection(universe, frontierUtc, baseDataCollection);
}
universeData.Clear();
changes += newChanges;
}while (newChanges != SecurityChanges.None ||
_universeSelection.AddPendingInternalDataFeeds(frontierUtc));
var timeSlice = _timeSliceFactory.Create(frontierUtc, data, changes, universeDataForTimeSliceCreate);
while (delayedSubscriptionFinished.Count > 0)
{
// these subscriptions added valid data to the packet
// we need to trigger OnSubscriptionFinished after we create the TimeSlice
// else it will drop the data
var subscription = delayedSubscriptionFinished.Dequeue();
OnSubscriptionFinished(subscription);
}
yield return(timeSlice);
}
}
/// <summary>
/// Syncs the specified subscriptions. The frontier time used for synchronization is
/// managed internally and dependent upon previous synchronization operations.
/// </summary>
/// <param name="subscriptions">The subscriptions to sync</param>
public TimeSlice Sync(IEnumerable <Subscription> subscriptions)
{
long earlyBirdTicks;
var changes = SecurityChanges.None;
var data = new List <DataFeedPacket>();
// NOTE: Tight coupling in UniverseSelection.ApplyUniverseSelection
var universeData = new Dictionary <Universe, BaseDataCollection>();
var universeDataForTimeSliceCreate = new Dictionary <Universe, BaseDataCollection>();
SecurityChanges newChanges;
do
{
earlyBirdTicks = MaxDateTimeTicks;
newChanges = SecurityChanges.None;
foreach (var subscription in subscriptions)
{
if (subscription.EndOfStream)
{
OnSubscriptionFinished(subscription);
continue;
}
// prime if needed
if (subscription.Current == null)
{
if (!subscription.MoveNext())
{
OnSubscriptionFinished(subscription);
continue;
}
}
var packet = new DataFeedPacket(subscription.Security, subscription.Configuration);
while (subscription.Current.EmitTimeUtc <= _frontier)
{
packet.Add(subscription.Current.Data);
if (!subscription.MoveNext())
{
OnSubscriptionFinished(subscription);
break;
}
}
if (packet.Count > 0)
{
// we have new universe data to select based on, store the subscription data until the end
if (!subscription.IsUniverseSelectionSubscription)
{
data.Add(packet);
}
else
{
// assume that if the first item is a base data collection then the enumerator handled the aggregation,
// otherwise, load all the the data into a new collection instance
var packetBaseDataCollection = packet.Data[0] as BaseDataCollection;
var packetData = packetBaseDataCollection == null
? packet.Data
: packetBaseDataCollection.Data;
BaseDataCollection collection;
if (universeData.TryGetValue(subscription.Universe, out collection))
{
collection.Data.AddRange(packetData);
}
else
{
if (packetBaseDataCollection is OptionChainUniverseDataCollection)
{
var current = packetBaseDataCollection as OptionChainUniverseDataCollection;
collection = new OptionChainUniverseDataCollection(_frontier, subscription.Configuration.Symbol, packetData, current?.Underlying);
}
else if (packetBaseDataCollection is FuturesChainUniverseDataCollection)
{
collection = new FuturesChainUniverseDataCollection(_frontier, subscription.Configuration.Symbol, packetData);
}
else
{
collection = new BaseDataCollection(_frontier, subscription.Configuration.Symbol, packetData);
}
universeData[subscription.Universe] = collection;
}
}
}
if (subscription.Current != null)
{
if (earlyBirdTicks == MaxDateTimeTicks)
{
earlyBirdTicks = subscription.Current.EmitTimeUtc.Ticks;
}
else
{
// take the earliest between the next piece of data or the current earliest bird
earlyBirdTicks = Math.Min(earlyBirdTicks, subscription.Current.EmitTimeUtc.Ticks);
}
}
}
foreach (var kvp in universeData)
{
var universe = kvp.Key;
var baseDataCollection = kvp.Value;
universeDataForTimeSliceCreate[universe] = baseDataCollection;
newChanges += _universeSelection.ApplyUniverseSelection(universe, _frontier, baseDataCollection);
}
changes += newChanges;
}while (newChanges != SecurityChanges.None);
var timeSlice = TimeSlice.Create(_frontier, _sliceTimeZone, _cashBook, data, changes, universeDataForTimeSliceCreate);
// next frontier time
_frontier = new DateTime(Math.Max(earlyBirdTicks, _frontier.Ticks), DateTimeKind.Utc);
return(timeSlice);
}
/// <summary>
/// Primary entry point.
/// </summary>
public void Run()
{
IsActive = true;
// we want to emit to the bridge minimally once a second since the data feed is
// the heartbeat of the application, so this value will contain a second after
// the last emit time, and if we pass this time, we'll emit even with no data
var nextEmit = DateTime.MinValue;
try
{
while (!_cancellationTokenSource.IsCancellationRequested)
{
// perform sleeps to wake up on the second?
_frontierUtc = _timeProvider.GetUtcNow();
_frontierTimeProvider.SetCurrentTime(_frontierUtc);
var data = new List <DataFeedPacket>();
// NOTE: Tight coupling in UniverseSelection.ApplyUniverseSelection
var universeData = new Dictionary <Universe, BaseDataCollection>();
foreach (var subscription in Subscriptions)
{
var config = subscription.Configuration;
var packet = new DataFeedPacket(subscription.Security, config, subscription.RemovedFromUniverse);
// dequeue data that is time stamped at or before this frontier
while (subscription.MoveNext() && subscription.Current != null)
{
packet.Add(subscription.Current.Data);
}
// if we have data, add it to be added to the bridge
if (packet.Count > 0)
{
data.Add(packet);
}
// we have new universe data to select based on
if (subscription.IsUniverseSelectionSubscription)
{
if (packet.Count > 0)
{
var universe = subscription.Universe;
// always wait for other thread to sync up
if (!_bridge.WaitHandle.WaitOne(Timeout.Infinite, _cancellationTokenSource.Token))
{
break;
}
// assume that if the first item is a base data collection then the enumerator handled the aggregation,
// otherwise, load all the the data into a new collection instance
var collection = packet.Data[0] as BaseDataCollection ?? new BaseDataCollection(_frontierUtc, config.Symbol, packet.Data);
BaseDataCollection existingCollection;
if (universeData.TryGetValue(universe, out existingCollection))
{
existingCollection.Data.AddRange(collection.Data);
}
else
{
universeData[universe] = collection;
}
_changes += _universeSelection.ApplyUniverseSelection(universe, _frontierUtc, collection);
}
// remove subscription for universe data if disposal requested AFTER time sync
// this ensures we get any security changes from removing the universe and its children
if (subscription.Universe.DisposeRequested)
{
RemoveSubscription(subscription.Configuration);
}
}
}
// check for cancellation
if (_cancellationTokenSource.IsCancellationRequested)
{
return;
}
// emit on data or if we've elapsed a full second since last emit
if (data.Count != 0 || _frontierUtc >= nextEmit)
{
_bridge.Add(TimeSlice.Create(_frontierUtc, _algorithm.TimeZone, _algorithm.Portfolio.CashBook, data, _changes, universeData), _cancellationTokenSource.Token);
// force emitting every second
nextEmit = _frontierUtc.RoundDown(Time.OneSecond).Add(Time.OneSecond);
}
// reset our security changes
_changes = SecurityChanges.None;
// take a short nap
Thread.Sleep(1);
}
}
catch (Exception err)
{
Log.Error(err);
_algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
// send last empty packet list before terminating,
// so the algorithm manager has a chance to detect the runtime error
// and exit showing the correct error instead of a timeout
nextEmit = _frontierUtc.RoundDown(Time.OneSecond).Add(Time.OneSecond);
if (!_cancellationTokenSource.IsCancellationRequested)
{
_bridge.Add(
TimeSlice.Create(nextEmit, _algorithm.TimeZone, _algorithm.Portfolio.CashBook, new List <DataFeedPacket>(), SecurityChanges.None, new Dictionary <Universe, BaseDataCollection>()),
_cancellationTokenSource.Token);
}
}
Log.Trace("LiveTradingDataFeed.Run(): Exited thread.");
IsActive = false;
}
/// <summary>
/// Syncs the specifies subscriptions at the frontier time
/// </summary>
/// <param name="frontier">The time used for syncing, data in the future won't be included in this time slice</param>
/// <param name="subscriptions">The subscriptions to sync</param>
/// <param name="sliceTimeZone">The time zone of the created slice object</param>
/// <param name="cashBook">The cash book, used for creating the cash book updates</param>
/// <param name="nextFrontier">The next frontier time as determined by the first piece of data in the future ahead of the frontier.
/// This value will equal DateTime.MaxValue when the subscriptions are all finished</param>
/// <returns>A time slice for the specified frontier time</returns>
public TimeSlice Sync(DateTime frontier, IEnumerable<Subscription> subscriptions, DateTimeZone sliceTimeZone, CashBook cashBook, out DateTime nextFrontier)
{
var changes = SecurityChanges.None;
nextFrontier = DateTime.MaxValue;
var earlyBirdTicks = nextFrontier.Ticks;
var data = new List<DataFeedPacket>();
SecurityChanges newChanges;
do
{
newChanges = SecurityChanges.None;
foreach (var subscription in subscriptions)
{
if (subscription.EndOfStream)
{
OnSubscriptionFinished(subscription);
continue;
}
// prime if needed
if (subscription.Current == null)
{
if (!subscription.MoveNext())
{
OnSubscriptionFinished(subscription);
continue;
}
}
var packet = new DataFeedPacket(subscription.Security);
data.Add(packet);
var configuration = subscription.Configuration;
var offsetProvider = subscription.OffsetProvider;
var currentOffsetTicks = offsetProvider.GetOffsetTicks(frontier);
while (subscription.Current.EndTime.Ticks - currentOffsetTicks <= frontier.Ticks)
{
// we want bars rounded using their subscription times, we make a clone
// so we don't interfere with the enumerator's internal logic
var clone = subscription.Current.Clone(subscription.Current.IsFillForward);
clone.Time = clone.Time.ExchangeRoundDown(configuration.Increment, subscription.Security.Exchange.Hours, configuration.ExtendedMarketHours);
packet.Add(clone);
if (!subscription.MoveNext())
{
OnSubscriptionFinished(subscription);
break;
}
}
// we have new universe data to select based on
if (subscription.IsUniverseSelectionSubscription && packet.Count > 0)
{
// assume that if the first item is a base data collection then the enumerator handled the aggregation,
// otherwise, load all the the data into a new collection instance
var collection = packet.Data[0] as BaseDataCollection ?? new BaseDataCollection(frontier, subscription.Configuration.Symbol, packet.Data);
newChanges += _universeSelection.ApplyUniverseSelection(subscription.Universe, frontier, collection);
}
if (subscription.Current != null)
{
// take the earliest between the next piece of data or the next tz discontinuity
earlyBirdTicks = Math.Min(earlyBirdTicks, Math.Min(subscription.Current.EndTime.Ticks - currentOffsetTicks, offsetProvider.GetNextDiscontinuity()));
}
}
changes += newChanges;
}
while (newChanges != SecurityChanges.None);
nextFrontier = new DateTime(Math.Max(earlyBirdTicks, frontier.Ticks), DateTimeKind.Utc);
return TimeSlice.Create(frontier, sliceTimeZone, cashBook, data, changes);
}
/// <summary>
/// Syncs the specified subscriptions. The frontier time used for synchronization is
/// managed internally and dependent upon previous synchronization operations.
/// </summary>
/// <param name="subscriptions">The subscriptions to sync</param>
/// <param name="cancellationToken">The cancellation token to stop enumeration</param>
public IEnumerable <TimeSlice> Sync(IEnumerable <Subscription> subscriptions,
CancellationToken cancellationToken)
{
var delayedSubscriptionFinished = new Queue <Subscription>();
while (!cancellationToken.IsCancellationRequested)
{
var changes = SecurityChanges.None;
var data = new List <DataFeedPacket>(1);
// NOTE: Tight coupling in UniverseSelection.ApplyUniverseSelection
Dictionary <Universe, BaseDataCollection> universeData = null; // lazy construction for performance
var universeDataForTimeSliceCreate = new Dictionary <Universe, BaseDataCollection>();
var frontierUtc = _timeProvider.GetUtcNow();
_frontierTimeProvider.SetCurrentTimeUtc(frontierUtc);
SecurityChanges newChanges;
do
{
newChanges = SecurityChanges.None;
foreach (var subscription in subscriptions)
{
if (subscription.EndOfStream)
{
OnSubscriptionFinished(subscription);
continue;
}
// prime if needed
if (subscription.Current == null)
{
if (!subscription.MoveNext())
{
OnSubscriptionFinished(subscription);
continue;
}
}
DataFeedPacket packet = null;
while (subscription.Current != null && subscription.Current.EmitTimeUtc <= frontierUtc)
{
if (packet == null)
{
// for performance, lets be selfish about creating a new instance
packet = new DataFeedPacket(
subscription.Security,
subscription.Configuration,
subscription.RemovedFromUniverse
);
}
// If our subscription is a universe, and we get a delisting event emitted for it, then
// the universe itself should be unselected and removed, because the Symbol that the
// universe is based on has been delisted. Doing the disposal here allows us to
// process the delisting at this point in time before emitting out to the algorithm.
// This is very useful for universes that can be delisted, such as ETF constituent
// universes (e.g. for ETF constituent universes, since the ETF itself is used to create
// the universe Symbol (and set as its underlying), once the ETF is delisted, the
// universe should cease to exist, since there are no more constituents of that ETF).
if (subscription.IsUniverseSelectionSubscription && subscription.Current.Data is Delisting)
{
subscription.Universes.Single().Dispose();
}
packet.Add(subscription.Current.Data);
if (!subscription.MoveNext())
{
delayedSubscriptionFinished.Enqueue(subscription);
break;
}
}
if (packet?.Count > 0)
{
// we have new universe data to select based on, store the subscription data until the end
if (!subscription.IsUniverseSelectionSubscription)
{
data.Add(packet);
}
else
{
// assume that if the first item is a base data collection then the enumerator handled the aggregation,
// otherwise, load all the the data into a new collection instance
var packetBaseDataCollection = packet.Data[0] as BaseDataCollection;
var packetData = packetBaseDataCollection == null
? packet.Data
: packetBaseDataCollection.Data;
BaseDataCollection collection;
if (universeData != null &&
universeData.TryGetValue(subscription.Universes.Single(), out collection))
{
collection.AddRange(packetData);
}
else
{
if (packetBaseDataCollection is OptionChainUniverseDataCollection)
{
var current = packetBaseDataCollection as OptionChainUniverseDataCollection;
collection = new OptionChainUniverseDataCollection(frontierUtc, subscription.Configuration.Symbol, packetData, current?.Underlying);
}
else if (packetBaseDataCollection is FuturesChainUniverseDataCollection)
{
collection = new FuturesChainUniverseDataCollection(frontierUtc, subscription.Configuration.Symbol, packetData);
}
else
{
collection = new BaseDataCollection(frontierUtc, frontierUtc, subscription.Configuration.Symbol, packetData);
}
if (universeData == null)
{
universeData = new Dictionary <Universe, BaseDataCollection>();
}
universeData[subscription.Universes.Single()] = collection;
}
}
}
if (subscription.IsUniverseSelectionSubscription &&
subscription.Universes.Single().DisposeRequested)
{
var universe = subscription.Universes.Single();
// check if a universe selection isn't already scheduled for this disposed universe
if (universeData == null || !universeData.ContainsKey(universe))
{
if (universeData == null)
{
universeData = new Dictionary <Universe, BaseDataCollection>();
}
// we force trigger one last universe selection for this disposed universe, so it deselects all subscriptions it added
universeData[universe] = new BaseDataCollection(frontierUtc, subscription.Configuration.Symbol);
}
// we need to do this after all usages of subscription.Universes
OnSubscriptionFinished(subscription);
}
}
if (universeData != null && universeData.Count > 0)
{
// if we are going to perform universe selection we emit an empty
// time pulse to align algorithm time with current frontier
yield return(_timeSliceFactory.CreateTimePulse(frontierUtc));
foreach (var kvp in universeData)
{
var universe = kvp.Key;
var baseDataCollection = kvp.Value;
universeDataForTimeSliceCreate[universe] = baseDataCollection;
newChanges += _universeSelection.ApplyUniverseSelection(universe, frontierUtc, baseDataCollection);
}
universeData.Clear();
}
changes += newChanges;
}while (newChanges != SecurityChanges.None ||
_universeSelection.AddPendingInternalDataFeeds(frontierUtc));
var timeSlice = _timeSliceFactory.Create(frontierUtc, data, changes, universeDataForTimeSliceCreate);
while (delayedSubscriptionFinished.Count > 0)
{
// these subscriptions added valid data to the packet
// we need to trigger OnSubscriptionFinished after we create the TimeSlice
// else it will drop the data
var subscription = delayedSubscriptionFinished.Dequeue();
OnSubscriptionFinished(subscription);
}
yield return(timeSlice);
}
}
