Example #1
0
        /// <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);
            }
        }
Example #3
0
        /// <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);
        }