/// <summary>
/// Intializes the real time handler for the specified algorithm and job
/// </summary>
public void Setup(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler, IApi api)
{
//Initialize:
_algorithm = algorithm;
_resultHandler = resultHandler;
// create events for algorithm's end of tradeable dates
Add(ScheduledEventFactory.EveryAlgorithmEndOfDay(_algorithm, _resultHandler, _algorithm.StartDate, _algorithm.EndDate, ScheduledEvent.AlgorithmEndOfDayDelta));
// set up the events for each security to fire every tradeable date before market close
foreach (var kvp in _algorithm.Securities)
{
var security = kvp.Value;
if (!security.IsInternalFeed())
{
Add(ScheduledEventFactory.EverySecurityEndOfDay(_algorithm, _resultHandler, security, algorithm.StartDate, _algorithm.EndDate, ScheduledEvent.SecurityEndOfDayDelta));
}
}
foreach (var scheduledEvent in _scheduledEventsSortedByTime)
{
// zoom past old events
scheduledEvent.SkipEventsUntil(algorithm.UtcTime);
// set logging accordingly
scheduledEvent.IsLoggingEnabled = Log.DebuggingEnabled;
}
}
/// <summary>
/// Creates a new <see cref="ScheduledEvent"/> that will fire before market
/// close by the specified time for each provided securities.
/// </summary>
/// <param name="securities">The securities for which we want to add the OnEndOfDay event</param>
/// <param name="start">The date to start the events</param>
/// <param name="end">The date to end the events</param>
/// <param name="currentUtcTime">Specifies the current time in UTC, before which,
/// no events will be scheduled. Specify null to skip this filter.</param>
protected void AddSecurityDependentEndOfDayEvents(
IEnumerable <Security> securities,
DateTime start,
DateTime end,
DateTime?currentUtcTime = null)
{
if (_implementsOnEndOfDaySymbol)
{
// add end of trading day events for each security
foreach (var security in securities)
{
if (!security.IsInternalFeed())
{
var scheduledEvent = ScheduledEventFactory.EverySecurityEndOfDay(
Algorithm, ResultHandler, security, start, end, ScheduledEvent.SecurityEndOfDayDelta, currentUtcTime);
// we keep separate track so we can remove it later
_securityOnEndOfDay[security.Symbol] = scheduledEvent;
// assumes security.Exchange has been updated with today's hours via RefreshMarketHoursToday
Add(scheduledEvent);
}
}
}
}
/// <summary>
/// Intializes the real time handler for the specified algorithm and job
/// </summary>
public void Setup(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler, IApi api)
{
//Initialize:
_api = api;
_algorithm = algorithm;
_resultHandler = resultHandler;
_cancellationTokenSource = new CancellationTokenSource();
_marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var todayInAlgorithmTimeZone = DateTime.UtcNow.ConvertFromUtc(_algorithm.TimeZone).Date;
// refresh the market hours for today explicitly, and then set up an event to refresh them each day at midnight
RefreshMarketHoursToday(todayInAlgorithmTimeZone);
// every day at midnight from tomorrow until the end of time
var times =
from date in Time.EachDay(todayInAlgorithmTimeZone.AddDays(1), Time.EndOfTime)
select date.ConvertToUtc(_algorithm.TimeZone);
Add(new ScheduledEvent("RefreshMarketHours", times, (name, triggerTime) =>
{
// refresh market hours from api every day
RefreshMarketHoursToday(triggerTime.ConvertFromUtc(_algorithm.TimeZone).Date);
}));
// add end of day events for each tradeable day
Add(ScheduledEventFactory.EveryAlgorithmEndOfDay(_algorithm, _resultHandler, todayInAlgorithmTimeZone, Time.EndOfTime, ScheduledEvent.AlgorithmEndOfDayDelta, DateTime.UtcNow));
// add end of trading day events for each security
foreach (var kvp in _algorithm.Securities)
{
var security = kvp.Value;
if (!security.IsInternalFeed())
{
// assumes security.Exchange has been updated with today's hours via RefreshMarketHoursToday
Add(ScheduledEventFactory.EverySecurityEndOfDay(_algorithm, _resultHandler, security, todayInAlgorithmTimeZone, Time.EndOfTime, ScheduledEvent.SecurityEndOfDayDelta, DateTime.UtcNow));
}
}
foreach (var scheduledEvent in _scheduledEvents)
{
// zoom past old events
scheduledEvent.Value.SkipEventsUntil(algorithm.UtcTime);
// set logging accordingly
scheduledEvent.Value.IsLoggingEnabled = Log.DebuggingEnabled;
}
}
protected void AddAlgorithmEndOfDayEvent(DateTime start, DateTime end, DateTime?currentUtcTime = null)
{
if (_algorithmOnEndOfDay != null)
{
// if we already set it once we remove the previous and
// add a new one, we don't want to keep both
Remove(_algorithmOnEndOfDay);
}
// add end of day events for each tradeable day
_algorithmOnEndOfDay = ScheduledEventFactory.EveryAlgorithmEndOfDay(
Algorithm,
ResultHandler,
start,
end,
ScheduledEvent.AlgorithmEndOfDayDelta,
currentUtcTime);
Add(_algorithmOnEndOfDay);
}
