/// <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)
{
_algorithm = algorithm;
_resultHandler = resultHandler;
_mapFileProvider = mapFileProvider;
_factorFileProvider = factorFileProvider;
_subscriptions = new SubscriptionCollection();
_universeSelection = new UniverseSelection(this, algorithm, job.Controls);
_cancellationTokenSource = new CancellationTokenSource();
IsActive = true;
var threadCount = Math.Max(1, Math.Min(4, Environment.ProcessorCount - 3));
_controller = new ParallelRunnerController(threadCount);
_controller.Start(_cancellationTokenSource.Token);
var ffres = Time.OneMinute;
_fillForwardResolution = Ref.Create(() => ffres, res => ffres = res);
// wire ourselves up to receive notifications when universes are added/removed
algorithm.UniverseManager.CollectionChanged += (sender, args) =>
{
switch (args.Action)
{
case NotifyCollectionChangedAction.Add:
foreach (var universe in args.NewItems.OfType<Universe>())
{
var config = universe.Configuration;
var start = _frontierUtc != DateTime.MinValue ? _frontierUtc : _algorithm.StartDate.ConvertToUtc(_algorithm.TimeZone);
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var exchangeHours = marketHoursDatabase.GetExchangeHours(config);
Security security;
if (!_algorithm.Securities.TryGetValue(config.Symbol, out security))
{
// create a canonical security object if it doesn't exist
security = new Security(exchangeHours, config, _algorithm.Portfolio.CashBook[CashBook.AccountCurrency], SymbolProperties.GetDefault(CashBook.AccountCurrency));
}
var end = _algorithm.EndDate.ConvertToUtc(_algorithm.TimeZone);
AddSubscription(new SubscriptionRequest(true, universe, security, config, start, end));
}
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);
}
};
}
/// <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)
{
_algorithm = algorithm;
_resultHandler = resultHandler;
_mapFileProvider = mapFileProvider;
_factorFileProvider = factorFileProvider;
_subscriptions = new ConcurrentDictionary<Symbol, Subscription>();
_universeSelection = new UniverseSelection(this, algorithm, job.Controls);
_cancellationTokenSource = new CancellationTokenSource();
IsActive = true;
var threadCount = Math.Max(1, Math.Min(4, Environment.ProcessorCount - 3));
_controller = new ParallelRunnerController(threadCount);
_controller.Start(_cancellationTokenSource.Token);
var ffres = Time.OneSecond;
_fillForwardResolution = Ref.Create(() => ffres, res => ffres = res);
// find the minimum resolution, ignoring ticks
ffres = ResolveFillForwardResolution(algorithm);
// wire ourselves up to receive notifications when universes are added/removed
algorithm.UniverseManager.CollectionChanged += (sender, args) =>
{
switch (args.Action)
{
case NotifyCollectionChangedAction.Add:
foreach (var universe in args.NewItems.OfType<Universe>())
{
var start = _frontierUtc != DateTime.MinValue ? _frontierUtc : _algorithm.StartDate.ConvertToUtc(_algorithm.TimeZone);
AddUniverseSubscription(universe, start, _algorithm.EndDate.ConvertToUtc(_algorithm.TimeZone));
}
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);
}
};
}