private IEnumerable <TimeSlice> Stream(IAlgorithm algorithm, ISynchronizer synchronizer, IResultHandler results, CancellationToken cancellationToken)
{
var nextWarmupStatusTime = DateTime.MinValue;
var warmingUp = algorithm.IsWarmingUp;
var warmingUpPercent = 0;
if (warmingUp)
{
nextWarmupStatusTime = DateTime.UtcNow.AddSeconds(1);
algorithm.Debug("Algorithm starting warm up...");
results.SendStatusUpdate(AlgorithmStatus.History, $"{warmingUpPercent}");
}
else
{
results.SendStatusUpdate(AlgorithmStatus.Running);
// let's be polite, and call warmup finished even though there was no warmup period and avoid algorithms having to handle it instead.
// we trigger this callback here and not internally in the algorithm so that we can go through python if required
algorithm.OnWarmupFinished();
}
// bellow we compare with slice.Time which is in UTC
var startTimeTicks = algorithm.UtcTime.Ticks;
var warmupEndTicks = algorithm.StartDate.ConvertToUtc(algorithm.TimeZone).Ticks;
// fulfilling history requirements of volatility models in live mode
if (algorithm.LiveMode)
{
warmupEndTicks = DateTime.UtcNow.Ticks;
ProcessVolatilityHistoryRequirements(algorithm);
}
foreach (var timeSlice in synchronizer.StreamData(cancellationToken))
{
if (algorithm.IsWarmingUp)
{
var now = DateTime.UtcNow;
if (now > nextWarmupStatusTime)
{
// send some status to the user letting them know we're done history, but still warming up,
// catching up to real time data
nextWarmupStatusTime = now.AddSeconds(2);
var newPercent = (int)(100 * (timeSlice.Time.Ticks - startTimeTicks) / (double)(warmupEndTicks - startTimeTicks));
// if there isn't any progress don't send the same update many times
if (newPercent != warmingUpPercent)
{
warmingUpPercent = newPercent;
algorithm.Debug($"Processing algorithm warm-up request {warmingUpPercent}%...");
results.SendStatusUpdate(AlgorithmStatus.History, $"{warmingUpPercent}");
}
}
}
else if (warmingUp)
{
// warmup finished, send an update
warmingUp = false;
// we trigger this callback here and not internally in the algorithm so that we can go through python if required
algorithm.OnWarmupFinished();
algorithm.Debug("Algorithm finished warming up.");
results.SendStatusUpdate(AlgorithmStatus.Running, "100");
}
yield return(timeSlice);
}
}