/// <summary>
/// Scan for past events that didn't fire because there was no data at the scheduled time.
/// </summary>
/// <param name="time">Current time.</param>
public void ScanPastEvents(DateTime time)
{
foreach (var scheduledEvent in GetScheduledEventsSortedByTime())
{
while (scheduledEvent.NextEventUtcTime < time)
{
Algorithm.SetDateTime(scheduledEvent.NextEventUtcTime);
try
{
scheduledEvent.Scan(scheduledEvent.NextEventUtcTime);
}
catch (ScheduledEventException scheduledEventException)
{
var errorMessage = $"BacktestingRealTimeHandler.Run(): There was an error in a scheduled event {scheduledEvent.Name}. The error was {scheduledEventException.Message}";
Log.Error(scheduledEventException, errorMessage);
ResultHandler.RuntimeError(errorMessage);
// Errors in scheduled event should be treated as runtime error
// Runtime errors should end Lean execution
Algorithm.RunTimeError = scheduledEventException;
}
}
}
}
/// <summary>
/// Scan for past events that didn't fire because there was no data at the scheduled time.
/// </summary>
/// <param name="time">Current time.</param>
public void ScanPastEvents(DateTime time)
{
var scheduledEvents = GetScheduledEventsSortedByTime();
// the first element is always the next
while (scheduledEvents.Count > 0 && scheduledEvents[0].NextEventUtcTime < time)
{
var scheduledEvent = scheduledEvents[0];
var nextEventUtcTime = scheduledEvent.NextEventUtcTime;
Algorithm.SetDateTime(nextEventUtcTime);
try
{
_isolatorLimitProvider.Consume(scheduledEvent, nextEventUtcTime, _timeMonitor);
}
catch (ScheduledEventException scheduledEventException)
{
var errorMessage = $"BacktestingRealTimeHandler.Run(): There was an error in a scheduled event {scheduledEvent.Name}. The error was {scheduledEventException.Message}";
Log.Error(scheduledEventException, errorMessage);
ResultHandler.RuntimeError(errorMessage);
// Errors in scheduled event should be treated as runtime error
// Runtime errors should end Lean execution
Algorithm.RunTimeError = scheduledEventException;
}
SortFirstElement(scheduledEvents);
}
}
/// <summary>
/// Execute the live realtime event thread montioring.
/// It scans every second monitoring for an event trigger.
/// </summary>
public void Run()
{
IsActive = true;
// continue thread until cancellation is requested
while (!_cancellationTokenSource.IsCancellationRequested)
{
var time = DateTime.UtcNow;
// pause until the next second
var nextSecond = time.RoundUp(TimeSpan.FromSeconds(1));
var delay = Convert.ToInt32((nextSecond - time).TotalMilliseconds);
Thread.Sleep(delay < 0 ? 1 : delay);
// poke each event to see if it should fire, we order by unique id to be deterministic
foreach (var kvp in ScheduledEvents.OrderBy(pair => pair.Value))
{
var scheduledEvent = kvp.Key;
try
{
_isolatorLimitProvider.Consume(scheduledEvent, time);
}
catch (ScheduledEventException scheduledEventException)
{
var errorMessage = "LiveTradingRealTimeHandler.Run(): There was an error in a scheduled " +
$"event {scheduledEvent.Name}. The error was {scheduledEventException.Message}";
Log.Error(scheduledEventException, errorMessage);
ResultHandler.RuntimeError(errorMessage);
// Errors in scheduled event should be treated as runtime error
// Runtime errors should end Lean execution
Algorithm.RunTimeError = new Exception(errorMessage);
}
}
}
IsActive = false;
Log.Trace("LiveTradingRealTimeHandler.Run(): Exiting thread... Exit triggered: " + _cancellationTokenSource.IsCancellationRequested);
}