private IDataFeed RunDataFeed(out FuncDataQueueHandler dataQueueHandler, Func <FuncDataQueueHandler, IEnumerable <BaseData> > getNextTicksFunction = null,
Resolution resolution = Resolution.Second, List <string> equities = null, List <string> forex = null, List <string> crypto = null)
{
_algorithm.SetStartDate(_startDate);
var lastTime = _manualTimeProvider.GetUtcNow();
getNextTicksFunction = getNextTicksFunction ?? (fdqh =>
{
var time = _manualTimeProvider.GetUtcNow();
if (time == lastTime)
{
return(Enumerable.Empty <BaseData>());
}
lastTime = time;
var tickTime = lastTime.AddMinutes(-1).ConvertFromUtc(TimeZones.NewYork);
return(fdqh.Subscriptions.Where(symbol => !_algorithm.UniverseManager.ContainsKey(symbol)) // its not a universe
.Select(symbol => new Tick(tickTime, symbol, 1, 2)
{
Quantity = 1,
// Symbol could not be in the Securities collections for the custom Universe tests. AlgorithmManager is in charge of adding them, and we are not executing that code here.
TickType = _algorithm.Securities.ContainsKey(symbol) ? _algorithm.Securities[symbol].SubscriptionDataConfig.TickType : TickType.Trade
}).ToList());
});
// job is used to send into DataQueueHandler
var job = new LiveNodePacket();
// result handler is used due to dependency in SubscriptionDataReader
var resultHandler = new BacktestingResultHandler();
dataQueueHandler = new FuncDataQueueHandler(getNextTicksFunction);
var feed = new TestableLiveTradingDataFeed(dataQueueHandler);
var mapFileProvider = new LocalDiskMapFileProvider();
var fileProvider = new DefaultDataProvider();
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var symbolPropertiesDataBase = SymbolPropertiesDatabase.FromDataFolder();
var securityService = new SecurityService(_algorithm.Portfolio.CashBook, marketHoursDatabase, symbolPropertiesDataBase, _algorithm);
_algorithm.Securities.SetSecurityService(securityService);
_dataManager = new DataManager(feed,
new UniverseSelection(_algorithm, securityService),
_algorithm,
_algorithm.TimeKeeper,
marketHoursDatabase,
true);
_algorithm.SubscriptionManager.SetDataManager(_dataManager);
_algorithm.AddSecurities(resolution, equities, forex, crypto);
_synchronizer = new TestableLiveSynchronizer(_manualTimeProvider);
_synchronizer.Initialize(_algorithm, _dataManager);
feed.Initialize(_algorithm, job, resultHandler, mapFileProvider,
new LocalDiskFactorFileProvider(mapFileProvider), fileProvider, _dataManager, _synchronizer);
_algorithm.PostInitialize();
Thread.Sleep(150); // small handicap for the data to be pumped so TimeSlices have data of all subscriptions
return(feed);
}
public void Setup()
{
var sunday = new LocalMarketHours(DayOfWeek.Sunday, new TimeSpan(17, 0, 0), TimeSpan.FromTicks(Time.OneDay.Ticks - 1));
var monday = LocalMarketHours.OpenAllDay(DayOfWeek.Monday);
var tuesday = LocalMarketHours.OpenAllDay(DayOfWeek.Tuesday);
var wednesday = LocalMarketHours.OpenAllDay(DayOfWeek.Wednesday);
var thursday = LocalMarketHours.OpenAllDay(DayOfWeek.Thursday);
var friday = new LocalMarketHours(DayOfWeek.Friday, TimeSpan.Zero, new TimeSpan(17, 0, 0));
var earlyCloses = new Dictionary <DateTime, TimeSpan>();
var lateOpens = new Dictionary <DateTime, TimeSpan>();
_exchangeHours = new SecurityExchangeHours(TimeZones.NewYork, USHoliday.Dates.Select(x => x.Date), new[]
{
sunday, monday, tuesday, wednesday, thursday, friday
}.ToDictionary(x => x.DayOfWeek), earlyCloses, lateOpens);
_liveTradingDataFeed = new TestableLiveTradingDataFeed();
var jobPacket = new LiveNodePacket()
{
DeployId = "",
Brokerage = BrokerageName.OandaBrokerage.ToString(),
DataQueueHandler = "LiveDataQueue"
};
var algo = new TestAlgorithm();
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var symbolPropertiesDataBase = SymbolPropertiesDatabase.FromDataFolder();
var dataPermissionManager = new DataPermissionManager();
var dataProvider = new DefaultDataProvider();
var dataManager = new DataManager(_liveTradingDataFeed,
new UniverseSelection(
algo,
new SecurityService(algo.Portfolio.CashBook, marketHoursDatabase, symbolPropertiesDataBase, algo, RegisteredSecurityDataTypesProvider.Null, new SecurityCacheProvider(algo.Portfolio)),
dataPermissionManager,
dataProvider),
algo,
algo.TimeKeeper,
marketHoursDatabase,
true,
RegisteredSecurityDataTypesProvider.Null,
dataPermissionManager);
algo.SubscriptionManager.SetDataManager(dataManager);
_liveSynchronizer = new LiveSynchronizer();
_liveSynchronizer.Initialize(algo, dataManager);
_liveTradingDataFeed.Initialize(algo, jobPacket, new LiveTradingResultHandler(), new LocalDiskMapFileProvider(),
null, dataProvider, dataManager, _liveSynchronizer, new DataChannelProvider());
algo.Initialize();
_config = SecurityTests.CreateTradeBarConfig();
}
private void RunLiveDataFeed(
IAlgorithm algorithm,
DateTime startDate,
IEnumerable <Symbol> symbols,
ITimeProvider timeProvider,
DataManager dataManager)
{
_synchronizer = new TestableLiveSynchronizer(timeProvider);
_synchronizer.Initialize(algorithm, dataManager);
_feed.Initialize(algorithm, new LiveNodePacket(), new BacktestingResultHandler(),
TestGlobals.MapFileProvider, TestGlobals.FactorFileProvider, TestGlobals.DataProvider, dataManager, _synchronizer, new DataChannelProvider());
foreach (var symbol in symbols)
{
var config = algorithm.Securities[symbol].SubscriptionDataConfig;
var request = new SubscriptionRequest(false, null, algorithm.Securities[symbol], config, startDate, Time.EndOfTime);
dataManager.AddSubscription(request);
}
}
