/// <summary>
/// Creates a new universe and adds it to the algorithm. This is for coarse and fine fundamental US Equity data and
/// will be executed on day changes in the NewYork time zone (<see cref="TimeZones.NewYork"/>
/// </summary>
/// <param name="coarseSelector">Defines an initial coarse selection</param>
/// <param name="fineSelector">Defines a more detailed selection with access to more data</param>
public void AddUniverse(Func <IEnumerable <CoarseFundamental>, IEnumerable <Symbol> > coarseSelector, Func <IEnumerable <FineFundamental>, IEnumerable <Symbol> > fineSelector)
{
// create a new universe for coarse fundamental data
var coarse = new CoarseFundamentalUniverse(UniverseSettings, SecurityInitializer, coarseSelector);
// create a new universe for fine fundamental data
var fine = new FineFundamentalUniverse(UniverseSettings, SecurityInitializer, fineSelector);
// wire them up such that the results from coarse will be piped into fine
var chained = coarse.ChainedTo(fine, configurationPerSymbol: true);
// finally add the chained universe
AddUniverse(chained);
}
public void ReturnsExpectedTimestamps()
{
var symbol = CoarseFundamental.CreateUniverseSymbol(Market.USA);
var config = new SubscriptionDataConfig(typeof(CoarseFundamental), symbol, Resolution.Daily, TimeZones.NewYork, TimeZones.NewYork, false, false, false, false, TickType.Trade, false);
var security = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
config,
new Cash(Currencies.USD, 0, 1),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
var universeSettings = new UniverseSettings(Resolution.Daily, 2m, true, false, TimeSpan.FromDays(1));
var securityInitializer = new BrokerageModelSecurityInitializer(new DefaultBrokerageModel(), SecuritySeeder.Null);
var universe = new CoarseFundamentalUniverse(universeSettings, securityInitializer, x => new List <Symbol> {
Symbols.AAPL
});
var fileProvider = new DefaultDataProvider();
var factory = new BaseDataCollectionSubscriptionEnumeratorFactory();
var dateStart = new DateTime(2014, 3, 26);
var dateEnd = new DateTime(2014, 3, 27);
var days = (dateEnd - dateStart).Days + 1;
var request = new SubscriptionRequest(true, universe, security, config, dateStart, dateEnd);
using (var enumerator = factory.CreateEnumerator(request, fileProvider))
{
dateStart = dateStart.AddDays(-1);
for (var i = 0; i <= days; i++)
{
Assert.IsTrue(enumerator.MoveNext());
var current = enumerator.Current as BaseDataCollection;
Assert.IsNotNull(current);
Assert.AreEqual(dateStart.AddDays(i), current.Time);
Assert.AreEqual(dateStart.AddDays(i), current.EndTime);
Assert.AreEqual(dateStart.AddDays(i - 1), current.Data[0].Time);
Assert.AreEqual(dateStart.AddDays(i), current.Data[0].EndTime);
}
Assert.IsFalse(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
}
}
public void DoesNotLeakMemory()
{
var symbol = CoarseFundamental.CreateUniverseSymbol(Market.USA);
var config = new SubscriptionDataConfig(typeof(CoarseFundamental), symbol, Resolution.Daily, TimeZones.NewYork, TimeZones.NewYork, false, false, false, false, TickType.Trade, false);
var security = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
config,
new Cash(Currencies.USD, 0, 1),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
var universeSettings = new UniverseSettings(Resolution.Daily, 2m, true, false, TimeSpan.FromDays(1));
var securityInitializer = new BrokerageModelSecurityInitializer(new DefaultBrokerageModel(), SecuritySeeder.Null);
var universe = new CoarseFundamentalUniverse(universeSettings, securityInitializer, x => new List <Symbol> {
Symbols.AAPL
});
var fileProvider = new DefaultDataProvider();
var factory = new BaseDataCollectionSubscriptionEnumeratorFactory();
GC.Collect();
var ramUsageBeforeLoop = OS.TotalPhysicalMemoryUsed;
var date = new DateTime(2014, 3, 25);
const int iterations = 1000;
for (var i = 0; i < iterations; i++)
{
var request = new SubscriptionRequest(true, universe, security, config, date, date);
using (var enumerator = factory.CreateEnumerator(request, fileProvider))
{
enumerator.MoveNext();
}
}
GC.Collect();
var ramUsageAfterLoop = OS.TotalPhysicalMemoryUsed;
Log.Trace($"RAM usage - before: {ramUsageBeforeLoop} MB, after: {ramUsageAfterLoop} MB");
Assert.IsTrue(ramUsageAfterLoop - ramUsageBeforeLoop < 10);
}
public Universe AddUniverse(Func <IEnumerable <CoarseFundamental>, IEnumerable <Symbol> > coarseSelector, Func <IEnumerable <FineFundamental>, IEnumerable <Symbol> > fineSelector)
{
var coarse = new CoarseFundamentalUniverse(UniverseSettings, coarseSelector);
return(AddUniverse(new FineFundamentalFilteredUniverse(coarse, fineSelector)));
}
/// <summary>
/// Creates a new universe and adds it to the algorithm. This is for coarse and fine fundamental US Equity data and
/// will be executed on day changes in the NewYork time zone (<see cref="TimeZones.NewYork"/>
/// </summary>
/// <param name="coarseSelector">Defines an initial coarse selection</param>
/// <param name="fineSelector">Defines a more detailed selection with access to more data</param>
public void AddUniverse(Func <IEnumerable <CoarseFundamental>, IEnumerable <Symbol> > coarseSelector, Func <IEnumerable <FineFundamental>, IEnumerable <Symbol> > fineSelector)
{
var coarse = new CoarseFundamentalUniverse(UniverseSettings, SecurityInitializer, coarseSelector);
AddUniverse(new FineFundamentalFilteredUniverse(coarse, fineSelector));
}
