/// <summary>
/// Initializes a new instance of the <see cref="Portfolio"/> class.
/// </summary>
/// <param name="clock">The clock.</param>
/// <param name="actionscheduler">The actionscheduler.</param>
/// <param name="brokerconnection">The brokerconnection.</param>
/// <param name="brokermodel">The brokermodel.</param>
/// <param name="currency">The currency.</param>
/// <param name="eventrunner">The eventrunner.</param>
/// <param name="exceptionhandler">The exceptionhandler.</param>
/// <param name="orderTicketHandler">The order ticket handler.</param>
/// <param name="brokeraccount">The brokeraccount.</param>
/// <param name="cashmanager">The cashmanager.</param>
/// <param name="runmode">The runmode.</param>
/// <param name="datafeed">The datafeed.</param>
/// <param name="benchmark">The benchmark.</param>
/// <param name="id">The identifier.</param>
public Portfolio(WorldClock clock, ActionsScheduler actionscheduler, BrokerConnection brokerconnection, BrokerModel brokermodel,
Currency currency, EventRunner eventrunner, ExceptionHandler exceptionhandler, OrderTicketHandler orderTicketHandler,
BrokerAccount brokeraccount, CashManager cashmanager, RunMode runmode, DataFeed datafeed, Benchmark benchmark, string id = "")
{
//Set references
ActionsScheduler = actionscheduler;
BrokerAccount = brokeraccount;
BrokerConnection = brokerconnection;
BrokerModel = brokermodel;
Clock = clock;
Currency = currency;
EventRunner = eventrunner;
ExceptionHandler = exceptionhandler;
CashManager = cashmanager;
OrderTicketHandler = orderTicketHandler;
_porfolioBenchmark = benchmark;
//Set initial items
Id = id;
IsBacktesting = runmode == RunMode.Backtester;
OrderFactory = new OrderFactory(this, BrokerModel);
OrderTracker = new OrderTracker(this);
Subscription = new DataSubscriptionManager(datafeed, CashManager);
Results = new Result(0, _porfolioBenchmark);
//Portfolio benchmark is not used
benchmark.OnCalc(x => 0);
}
/// <summary>
/// Sets the dependencies.
/// </summary>
/// <param name="securities">The securities.</param>
/// <param name="datasubscriptionmanager">The data subscription manager.</param>
/// <param name="datafilter"></param>
public void SetDependencies(SecurityTracker securities, DataSubscriptionManager datasubscriptionmanager, DataFilter datafilter)
{
Securities = securities;
DataSubscriptionManager = datasubscriptionmanager;
DataFilter = datafilter;
}
/// <summary>
/// Get available ticks, base implementation
/// </summary>
/// <returns></returns>
public virtual IEnumerable <DataFeedPacket> GetAvailableDataPackets()
{
//Default values
DateTime time = DateTime.MinValue;
TimeSpan timespan = TimeSpan.FromMilliseconds(10); //Combine all data from the last 10 milliseconds
Dictionary <TickerSymbol, DataFeedPacket> datapackets = new Dictionary <TickerSymbol, DataFeedPacket>();
//Check for new data
while (CurrenDatapoints.Count > 0)
{
if (CurrenDatapoints.TryPeek(out DataPoint item))
{
//Get current moment in time
if (time == DateTime.MinValue)
{
time = item.OccuredUtc + timespan;
}
else if (time < item.OccuredUtc)
{
break; //Not the same timespan
}
//Get item
if (CurrenDatapoints.TryDequeue(out item))
{
//Get security
Security security;
if (Securities != null)
{
security = Securities[item.Ticker];
if (security is UnknownSecurity)
{
_log.Warn($"Received unknown security with ticker {security.Ticker}");
continue;
}
}
else
{
security = new UnknownSecurity(item.Ticker.Name);
}
//Check if we are allowed to accept this data point
if (!DataFilter.Accept(security, item))
{
continue;
}
//Get data
LastDataReceivedUtc = item.OccuredUtc;
if (datapackets.TryGetValue(item.Ticker, out DataFeedPacket packet))
{
packet.Add(item);
}
else
{
datapackets.Add(item.Ticker, new DataFeedPacket(security, DataSubscriptionManager?.GetDataSubscriptions(item.Ticker, item.DataType), item));
}
}
}
else
{
break; //No items
}
}
//Wait for new data if we do not have any
if (datapackets.Count == 0)
{
Thread.Sleep(_waittimeinms);
}
//Return what we have
return(datapackets.Values);
}
