public void EmitsDailyQuandlFutureDataOverWeekends()
{
RemoteFileSubscriptionStreamReader.SetDownloadProvider(new Api.Api());
var tickers = new[] { "CHRIS/CME_ES1", "CHRIS/CME_ES2" };
var startDate = new DateTime(2018, 4, 1);
var endDate = new DateTime(2018, 4, 20);
// delete temp files
foreach (var ticker in tickers)
{
var fileName = TestableQuandlFuture.GetLocalFileName(ticker, "test");
File.Delete(fileName);
}
var algorithm = new QCAlgorithm();
CreateDataFeed();
var dataManager = new DataManagerStub(algorithm, _feed);
algorithm.SubscriptionManager.SetDataManager(dataManager);
var symbols = tickers.Select(ticker => algorithm.AddData <TestableQuandlFuture>(ticker, Resolution.Daily).Symbol).ToList();
var timeProvider = new ManualTimeProvider(TimeZones.NewYork);
timeProvider.SetCurrentTime(startDate);
var dataPointsEmitted = 0;
RunLiveDataFeed(algorithm, startDate, symbols, timeProvider, dataManager);
var cancellationTokenSource = new CancellationTokenSource();
var lastFileWriteDate = DateTime.MinValue;
// create a timer to advance time much faster than realtime and to simulate live Quandl data file updates
var timerInterval = TimeSpan.FromMilliseconds(20);
var timer = Ref.Create <Timer>(null);
timer.Value = new Timer(state =>
{
try
{
var currentTime = timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork);
if (currentTime.Date > endDate.Date)
{
Log.Trace($"Total data points emitted: {dataPointsEmitted}");
_feed.Exit();
cancellationTokenSource.Cancel();
return;
}
if (currentTime.Date > lastFileWriteDate.Date)
{
foreach (var ticker in tickers)
{
var source = TestableQuandlFuture.GetLocalFileName(ticker, "csv");
// write new local file including only rows up to current date
var outputFileName = TestableQuandlFuture.GetLocalFileName(ticker, "test");
var sb = new StringBuilder();
{
using (var reader = new StreamReader(source))
{
var firstLine = true;
string line;
while ((line = reader.ReadLine()) != null)
{
if (firstLine)
{
sb.AppendLine(line);
firstLine = false;
continue;
}
var csv = line.Split(',');
var time = DateTime.ParseExact(csv[0], "yyyy-MM-dd", CultureInfo.InvariantCulture);
if (time.Date >= currentTime.Date)
{
break;
}
sb.AppendLine(line);
}
}
}
if (currentTime.Date.DayOfWeek != DayOfWeek.Saturday && currentTime.Date.DayOfWeek != DayOfWeek.Sunday)
{
var fileContent = sb.ToString();
try
{
File.WriteAllText(outputFileName, fileContent);
}
catch (IOException)
{
Log.Error("IOException: will sleep 200ms and retry once more");
// lets sleep 200ms and retry once more, consumer could be reading the file
// this exception happens in travis intermittently, GH issue 3273
Thread.Sleep(200);
File.WriteAllText(outputFileName, fileContent);
}
Log.Trace($"Time:{currentTime} - Ticker:{ticker} - Files written:{++_countFilesWritten}");
}
}
lastFileWriteDate = currentTime;
}
// 30 minutes is the check interval for daily remote files, so we choose a smaller one to advance time
timeProvider.Advance(TimeSpan.FromMinutes(20));
//Log.Trace($"Time advanced to: {timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork)}");
// restart the timer
timer.Value.Change(timerInterval.Milliseconds, Timeout.Infinite);
}
catch (Exception exception)
{
Log.Error(exception);
_feed.Exit();
cancellationTokenSource.Cancel();
}
}, null, timerInterval.Milliseconds, Timeout.Infinite);
try
{
foreach (var timeSlice in _synchronizer.StreamData(cancellationTokenSource.Token))
{
foreach (var dataPoint in timeSlice.Slice.Values)
{
Log.Trace($"Data point emitted at {timeSlice.Slice.Time}: {dataPoint.Symbol.Value} {dataPoint.Value} {dataPoint.EndTime}");
dataPointsEmitted++;
}
}
}
catch (Exception exception)
{
Log.Trace($"Error: {exception}");
}
timer.Value.Dispose();
Assert.AreEqual(14 * tickers.Length, dataPointsEmitted);
}
public void RemoteDataDoesNotIncreaseNumberOfSlices()
{
Config.Set("quandl-auth-token", "QUANDL-TOKEN");
var startDate = new DateTime(2018, 4, 2);
var endDate = new DateTime(2018, 4, 19);
var algorithm = new QCAlgorithm();
var timeProvider = new ManualTimeProvider(TimeZones.NewYork);
timeProvider.SetCurrentTime(startDate);
var dataQueueHandler = new FuncDataQueueHandler(fdqh =>
{
var time = timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork);
var tick = new Tick(time, Symbols.SPY, 1.3m, 1.2m, 1.3m)
{
TickType = TickType.Trade
};
var tick2 = new Tick(time, Symbols.AAPL, 1.3m, 1.2m, 1.3m)
{
TickType = TickType.Trade
};
return(new[] { tick, tick2 });
});
CreateDataFeed(dataQueueHandler);
var dataManager = new DataManagerStub(algorithm, _feed);
algorithm.SubscriptionManager.SetDataManager(dataManager);
var symbols = new List <Symbol>
{
algorithm.AddData <Quandl>("CBOE/VXV", Resolution.Daily).Symbol,
algorithm.AddData <QuandlVix>("CBOE/VIX", Resolution.Daily).Symbol,
algorithm.AddEquity("SPY", Resolution.Daily).Symbol,
algorithm.AddEquity("AAPL", Resolution.Daily).Symbol
};
algorithm.PostInitialize();
var cancellationTokenSource = new CancellationTokenSource();
var dataPointsEmitted = 0;
var slicesEmitted = 0;
RunLiveDataFeed(algorithm, startDate, symbols, timeProvider, dataManager);
Thread.Sleep(5000); // Give remote sources a handicap, so the data is available in time
// create a timer to advance time much faster than realtime and to simulate live Quandl data file updates
var timerInterval = TimeSpan.FromMilliseconds(100);
var timer = Ref.Create <Timer>(null);
timer.Value = new Timer(state =>
{
// stop the timer to prevent reentrancy
timer.Value.Change(Timeout.Infinite, Timeout.Infinite);
var currentTime = timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork);
if (currentTime.Date > endDate.Date)
{
_feed.Exit();
cancellationTokenSource.Cancel();
return;
}
timeProvider.Advance(TimeSpan.FromHours(3));
// restart the timer
timer.Value.Change(timerInterval, timerInterval);
}, null, TimeSpan.FromSeconds(2), timerInterval);
try
{
foreach (var timeSlice in _synchronizer.StreamData(cancellationTokenSource.Token))
{
if (timeSlice.Slice.HasData)
{
slicesEmitted++;
dataPointsEmitted += timeSlice.Slice.Values.Count;
Assert.IsTrue(timeSlice.Slice.Values.Any(x => x.Symbol == symbols[0]), $"Slice doesn't contain {symbols[0]}");
Assert.IsTrue(timeSlice.Slice.Values.Any(x => x.Symbol == symbols[1]), $"Slice doesn't contain {symbols[1]}");
Assert.IsTrue(timeSlice.Slice.Values.Any(x => x.Symbol == symbols[2]), $"Slice doesn't contain {symbols[2]}");
Assert.IsTrue(timeSlice.Slice.Values.Any(x => x.Symbol == symbols[3]), $"Slice doesn't contain {symbols[3]}");
}
}
}
catch (Exception exception)
{
Log.Trace($"Error: {exception}");
}
timer.Value.Dispose();
Assert.AreEqual(14, slicesEmitted);
Assert.AreEqual(14 * symbols.Count, dataPointsEmitted);
}
public void CoarseUniverseRotatesActiveSecurity()
{
var startDate = new DateTime(2014, 3, 24);
var endDate = new DateTime(2014, 3, 28);
var timeProvider = new ManualTimeProvider(TimeZones.NewYork);
timeProvider.SetCurrentTime(startDate);
var coarseTimes = new List <DateTime>
{
new DateTime(2014, 3, 25),
new DateTime(2014, 3, 25, 23, 0, 0),
new DateTime(2014, 3, 27, 1, 0, 0)
}.ToHashSet();
var coarseSymbols = new List <Symbol> {
Symbols.SPY, Symbols.AAPL, Symbols.MSFT
};
var coarseUsaSymbol = CoarseFundamental.CreateUniverseSymbol(Market.USA, false);
var coarseDataEmittedCount = 0;
var lastTime = DateTime.MinValue;
var dataQueueHandler = new FuncDataQueueHandler(fdqh =>
{
var time = timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork);
if (time != lastTime)
{
lastTime = time;
if (coarseTimes.Contains(time))
{
// emit coarse data at selected times
var coarseData = new BaseDataCollection {
Symbol = coarseUsaSymbol
};
foreach (var symbol in coarseSymbols)
{
coarseData.Data.Add(
new CoarseFundamental
{
Symbol = symbol,
Time = time,
Market = Market.USA,
Value = 100
});
}
coarseDataEmittedCount++;
return(new List <BaseData> {
coarseData
});
}
}
return(Enumerable.Empty <BaseData>());
});
var feed = new TestableLiveTradingDataFeed(dataQueueHandler);
var algorithm = new AlgorithmStub(feed);
algorithm.SetLiveMode(true);
var mock = new Mock <ITransactionHandler>();
mock.Setup(m => m.GetOpenOrders(It.IsAny <Func <Order, bool> >())).Returns(new List <Order>());
algorithm.Transactions.SetOrderProcessor(mock.Object);
var synchronizer = new TestableLiveSynchronizer(timeProvider);
synchronizer.Initialize(algorithm, algorithm.DataManager);
var mapFileProvider = new LocalDiskMapFileProvider();
feed.Initialize(algorithm, new LiveNodePacket(), new BacktestingResultHandler(),
mapFileProvider, new LocalDiskFactorFileProvider(mapFileProvider), new DefaultDataProvider(), algorithm.DataManager, synchronizer);
var symbolIndex = 0;
var coarseUniverseSelectionCount = 0;
algorithm.AddUniverse(
coarse =>
{
coarseUniverseSelectionCount++;
// rotate single symbol in universe
if (symbolIndex == coarseSymbols.Count)
{
symbolIndex = 0;
}
return(new[] { coarseSymbols[symbolIndex++] });
});
algorithm.PostInitialize();
var cancellationTokenSource = new CancellationTokenSource();
Exception exceptionThrown = null;
// create a timer to advance time much faster than realtime
var timerInterval = TimeSpan.FromMilliseconds(50);
var timer = Ref.Create <Timer>(null);
timer.Value = new Timer(state =>
{
try
{
// stop the timer to prevent reentrancy
timer.Value.Change(Timeout.Infinite, Timeout.Infinite);
var currentTime = timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork);
if (currentTime.Date > endDate.Date)
{
feed.Exit();
cancellationTokenSource.Cancel();
return;
}
timeProvider.Advance(TimeSpan.FromHours(1));
var activeSecuritiesCount = algorithm.ActiveSecurities.Count;
Assert.That(activeSecuritiesCount <= 1);
// restart the timer
timer.Value.Change(timerInterval, timerInterval);
}
catch (Exception exception)
{
Log.Error(exception);
exceptionThrown = exception;
feed.Exit();
cancellationTokenSource.Cancel();
}
}, null, TimeSpan.FromSeconds(1), timerInterval);
foreach (var _ in synchronizer.StreamData(cancellationTokenSource.Token))
{
}
timer.Value.Dispose();
if (exceptionThrown != null)
{
throw new Exception("Exception in timer: ", exceptionThrown);
}
Assert.AreEqual(coarseTimes.Count, coarseDataEmittedCount);
Assert.AreEqual(coarseTimes.Count, coarseUniverseSelectionCount);
algorithm.DataManager.RemoveAllSubscriptions();
}
public void EmitsDailyQuandlFutureDataOverWeekends()
{
var tickers = new[] { "CHRIS/CME_ES1", "CHRIS/CME_ES2" };
var startDate = new DateTime(2018, 4, 1);
var endDate = new DateTime(2018, 4, 20);
// delete temp files
foreach (var ticker in tickers)
{
var fileName = TestableQuandlFuture.GetLocalFileName(ticker, "test");
File.Delete(fileName);
}
var algorithm = new QCAlgorithm();
var symbols = tickers.Select(ticker => algorithm.AddData <TestableQuandlFuture>(ticker, Resolution.Daily).Symbol).ToList();
algorithm.PostInitialize();
var timeProvider = new ManualTimeProvider(TimeZones.NewYork);
timeProvider.SetCurrentTime(startDate);
var dataPointsEmitted = 0;
var feed = RunLiveDataFeed <TestableQuandlFuture>(algorithm, startDate, symbols, timeProvider);
var lastFileWriteDate = DateTime.MinValue;
// create a timer to advance time much faster than realtime and to simulate live Quandl data file updates
var timerInterval = TimeSpan.FromMilliseconds(100);
var timer = Ref.Create <Timer>(null);
timer.Value = new Timer(state =>
{
// stop the timer to prevent reentrancy
timer.Value.Change(Timeout.Infinite, Timeout.Infinite);
var currentTime = timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork);
if (currentTime.Date > endDate.Date)
{
Log.Trace($"Total data points emitted: {dataPointsEmitted}");
feed.Exit();
return;
}
if (currentTime.Date > lastFileWriteDate.Date)
{
foreach (var ticker in tickers)
{
var source = TestableQuandlFuture.GetLocalFileName(ticker, "csv");
// write new local file including only rows up to current date
var outputFileName = TestableQuandlFuture.GetLocalFileName(ticker, "test");
var sb = new StringBuilder();
{
using (var reader = new StreamReader(source))
{
var firstLine = true;
string line;
while ((line = reader.ReadLine()) != null)
{
if (firstLine)
{
sb.AppendLine(line);
firstLine = false;
continue;
}
var csv = line.Split(',');
var time = DateTime.ParseExact(csv[0], "yyyy-MM-dd", CultureInfo.InvariantCulture);
if (time.Date >= currentTime.Date)
{
break;
}
sb.AppendLine(line);
}
}
}
if (currentTime.Date.DayOfWeek != DayOfWeek.Saturday && currentTime.Date.DayOfWeek != DayOfWeek.Sunday)
{
File.WriteAllText(outputFileName, sb.ToString());
Log.Trace($"Time:{currentTime} - Ticker:{ticker} - Files written:{++_countFilesWritten}");
}
}
lastFileWriteDate = currentTime;
}
// 30 minutes is the check interval for daily remote files, so we choose a smaller one to advance time
timeProvider.Advance(TimeSpan.FromMinutes(15));
//Log.Trace($"Time advanced to: {timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork)}");
// restart the timer
timer.Value.Change(timerInterval, timerInterval);
}, null, TimeSpan.FromSeconds(2), timerInterval);
try
{
foreach (var timeSlice in feed)
{
foreach (var dataPoint in timeSlice.Slice.Values)
{
Log.Trace($"Data point emitted at {timeSlice.Slice.Time}: {dataPoint.Symbol.Value} {dataPoint.Value} {dataPoint.EndTime}");
dataPointsEmitted++;
}
}
}
catch (Exception exception)
{
Log.Trace($"Error: {exception}");
}
Assert.AreEqual(14 * tickers.Length, dataPointsEmitted);
}
public void FillsForwardOnNulls()
{
var reference = new DateTime(2015, 10, 08);
var period = Time.OneSecond;
var underlying = new List <BaseData>
{
// 0 seconds
new TradeBar(reference, Symbols.SPY, 10, 20, 5, 15, 123456, period),
// 1 seconds
null,
// 3 seconds
new TradeBar(reference.AddSeconds(2), Symbols.SPY, 100, 200, 50, 150, 1234560, period),
null,
null,
null,
null
};
var timeProvider = new ManualTimeProvider(TimeZones.NewYork);
timeProvider.SetCurrentTime(reference);
var exchange = new SecurityExchange(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork));
var fillForward = new LiveFillForwardEnumerator(timeProvider, underlying.GetEnumerator(), exchange, Ref.Create(Time.OneSecond), false, Time.EndOfTime, Time.OneSecond, exchange.TimeZone);
// first point is always emitted
Assert.IsTrue(fillForward.MoveNext());
Assert.AreEqual(underlying[0], fillForward.Current);
// stepping again without advancing time does nothing, but we'll still
// return true as per IEnumerator contract
Assert.IsTrue(fillForward.MoveNext());
Assert.IsNull(fillForward.Current);
timeProvider.SetCurrentTime(reference.AddSeconds(1));
// non-null next will fill forward in between
Assert.IsTrue(fillForward.MoveNext());
Assert.AreEqual(underlying[0].EndTime, fillForward.Current.Time);
Assert.AreEqual(underlying[0].Value, fillForward.Current.Value);
Assert.IsTrue(fillForward.Current.IsFillForward);
// even without stepping the time this will advance since non-null data is ready
Assert.IsTrue(fillForward.MoveNext());
Assert.AreEqual(underlying[2], fillForward.Current);
// step ahead into null data territory
timeProvider.SetCurrentTime(reference.AddSeconds(4));
Assert.IsTrue(fillForward.MoveNext());
Assert.AreEqual(underlying[2].Value, fillForward.Current.Value);
Assert.AreEqual(timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork), fillForward.Current.EndTime);
Assert.IsTrue(fillForward.Current.IsFillForward);
Assert.IsTrue(fillForward.MoveNext());
Assert.IsNull(fillForward.Current);
timeProvider.SetCurrentTime(reference.AddSeconds(5));
Assert.IsTrue(fillForward.MoveNext());
Assert.AreEqual(underlying[2].Value, fillForward.Current.Value);
Assert.AreEqual(timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork), fillForward.Current.EndTime);
Assert.IsTrue(fillForward.Current.IsFillForward);
timeProvider.SetCurrentTime(reference.AddSeconds(6));
Assert.IsTrue(fillForward.MoveNext());
Assert.AreEqual(underlying[2].Value, fillForward.Current.Value);
Assert.AreEqual(timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork), fillForward.Current.EndTime);
Assert.IsTrue(fillForward.Current.IsFillForward);
}
public void CoarseUniverseRotatesActiveSecurity()
{
var startDate = new DateTime(2014, 3, 24);
var endDate = new DateTime(2014, 3, 29);
var timeProvider = new ManualTimeProvider(TimeZones.NewYork);
timeProvider.SetCurrentTime(startDate);
var coarseTimes = new List <DateTime>
{
new DateTime(2014, 3, 25, 5, 0, 0, 0),
new DateTime(2014, 3, 26, 5, 0, 0, 0),
new DateTime(2014, 3, 27, 5, 0, 0, 0),
new DateTime(2014, 3, 28, 5, 0, 0, 0),
new DateTime(2014, 3, 29, 5, 0, 0, 0)
}.ToHashSet();
var coarseSymbols = new List <Symbol> {
Symbols.SPY, Symbols.AAPL, Symbols.MSFT
};
var emitted = new AutoResetEvent(false);
var dataQueueHandler = new FuncDataQueueHandler(fdqh => Enumerable.Empty <BaseData>(), timeProvider);
var feed = new TestableLiveTradingDataFeed(dataQueueHandler);
var algorithm = new AlgorithmStub(feed);
algorithm.SetLiveMode(true);
var mock = new Mock <ITransactionHandler>();
mock.Setup(m => m.GetOpenOrders(It.IsAny <Func <Order, bool> >())).Returns(new List <Order>());
algorithm.Transactions.SetOrderProcessor(mock.Object);
var synchronizer = new TestableLiveSynchronizer(timeProvider);
synchronizer.Initialize(algorithm, algorithm.DataManager);
feed.Initialize(algorithm, new LiveNodePacket(), new BacktestingResultHandler(),
TestGlobals.MapFileProvider, TestGlobals.FactorFileProvider, TestGlobals.DataProvider, algorithm.DataManager, synchronizer, new DataChannelProvider());
var symbolIndex = 0;
var coarseUniverseSelectionCount = 0;
algorithm.AddUniverse(
coarse =>
{
Log.Trace($"Emitted at {algorithm.Time}. Coarse {coarse.First().Time} to {coarse.First().EndTime}");
Interlocked.Increment(ref coarseUniverseSelectionCount);
emitted.Set();
// rotate single symbol in universe
if (symbolIndex == coarseSymbols.Count)
{
symbolIndex = 0;
}
return(new[] { coarseSymbols[symbolIndex++] });
});
algorithm.PostInitialize();
var cancellationTokenSource = new CancellationTokenSource();
Exception exceptionThrown = null;
// create a timer to advance time much faster than realtime
var timerInterval = TimeSpan.FromMilliseconds(5);
var timer = Ref.Create <Timer>(null);
timer.Value = new Timer(state =>
{
try
{
var currentTime = timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork);
if (currentTime.Date > endDate.Date)
{
feed.Exit();
cancellationTokenSource.Cancel();
return;
}
timeProvider.Advance(TimeSpan.FromHours(1));
var time = timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork);
algorithm.SetDateTime(timeProvider.GetUtcNow());
if (coarseTimes.Contains(time))
{
// lets wait for coarse to emit
if (!emitted.WaitOne(TimeSpan.FromMilliseconds(15000)))
{
throw new TimeoutException($"Timeout waiting for coarse to emit at {time}");
}
}
var activeSecuritiesCount = algorithm.ActiveSecurities.Count;
Assert.That(activeSecuritiesCount <= 1);
// restart the timer
timer.Value.Change(timerInterval, Timeout.InfiniteTimeSpan);
}
catch (Exception exception)
{
Log.Error(exception);
exceptionThrown = exception;
feed.Exit();
cancellationTokenSource.Cancel();
}
}, null, timerInterval, Timeout.InfiniteTimeSpan);
foreach (var _ in synchronizer.StreamData(cancellationTokenSource.Token))
{
}
timer.Value.DisposeSafely();
algorithm.DataManager.RemoveAllSubscriptions();
dataQueueHandler.DisposeSafely();
synchronizer.DisposeSafely();
emitted.DisposeSafely();
if (exceptionThrown != null)
{
throw new Exception("Exception in timer: ", exceptionThrown);
}
Assert.AreEqual(coarseTimes.Count, coarseUniverseSelectionCount, message: "coarseUniverseSelectionCount");
}