/// <summary>
/// Step through time and order events and calculate capacity based on the volumes in the minutes surrounding the order.
/// </summary>
/// <returns>Capacity in USD</returns>
private decimal AlgorithmCapacity(
IEnumerable <Order> orders,
IEnumerable <SubscriptionDataConfig> configs,
DateTime start,
DateTime end)
{
var orderSymbols = new HashSet <Symbol>(orders.Select(x => x.Symbol));
foreach (var date in Time.EachDay(start, end))
{
var readers = ReadData(orders, orderSymbols, configs, date);
var dataEnumerators = readers.ToArray();
var feed = new SynchronizingEnumerator(dataEnumerators);
while (feed.MoveNext() && feed.Current != null)
{
var data = feed.Current;
UpdateCurrencyConversionData(data);
DataToAccountCurrency(data);
OnData(data);
}
}
return(Capacity.LastOrDefault()?.y ?? -1);
}
public void WontRemoveEnumeratorsReturningTrueWithCurrentNull()
{
var time = new DateTime(2016, 03, 03, 12, 05, 00);
var stream1 = Enumerable.Range(0, 20)
// return null except the last value and check if its emitted
.Select(x => x == 19 ? new Tick {
Time = time.AddSeconds(x * 100), Quantity = 998877
} : null
).GetEnumerator();
var stream2 = Enumerable.Range(0, 5).Select(x => new Tick {
Time = time.AddSeconds(x * 2)
}).GetEnumerator();
var stream3 = Enumerable.Range(0, 20).Select(x => new Tick {
Time = time.AddSeconds(x * 0.5)
}).GetEnumerator();
var previous = new Tick {
Time = DateTime.MinValue
};
var synchronizer = new SynchronizingEnumerator(stream1, stream2, stream3);
while (synchronizer.MoveNext())
{
Assert.That(synchronizer.Current.EndTime, Is.GreaterThanOrEqualTo(previous.EndTime));
previous = synchronizer.Current as Tick;
}
Assert.AreEqual(998877, previous.Quantity);
}
public void WillStopIfAllEnumeratorsCurrentIsNullAndReturningFalse()
{
var stream1 = new TestEnumerator {
MoveNextReturnValue = false
};
var synchronizer = new SynchronizingEnumerator(stream1);
while (synchronizer.MoveNext())
{
Assert.Fail();
}
Assert.IsTrue(stream1.MoveNextWasCalled);
Assert.Pass();
}
public void SynchronizesData()
{
var time = new DateTime(2016, 03, 03, 12, 05, 00);
var stream1 = Enumerable.Range(0, 10).Select(x => new Tick {Time = time.AddSeconds(1)}).GetEnumerator();
var stream2 = Enumerable.Range(0, 5).Select(x => new Tick {Time = time.AddSeconds(2)}).GetEnumerator();
var stream3 = Enumerable.Range(0, 20).Select(x => new Tick {Time = time.AddSeconds(0.5)}).GetEnumerator();
var previous = DateTime.MinValue;
var synchronizer = new SynchronizingEnumerator(stream1, stream2, stream3);
while (synchronizer.MoveNext())
{
Assert.That(synchronizer.Current.EndTime, Is.GreaterThanOrEqualTo(previous));
previous = synchronizer.Current.EndTime;
}
}
public void WillRemoveEnumeratorsReturningFalse()
{
var time = new DateTime(2016, 03, 03, 12, 05, 00);
var stream1 = new TestEnumerator {
MoveNextReturnValue = false
};
var stream2 = Enumerable.Range(0, 10).Select(x => new Tick {
Time = time.AddSeconds(x * 2)
}).GetEnumerator();
var synchronizer = new SynchronizingEnumerator(stream1, stream2);
var emitted = false;
while (synchronizer.MoveNext())
{
emitted = true;
}
Assert.IsTrue(emitted);
Assert.IsTrue(stream1.MoveNextWasCalled);
Assert.AreEqual(1, stream1.MoveNextCallCount);
}
public void SynchronizesData()
{
var time = new DateTime(2016, 03, 03, 12, 05, 00);
var stream1 = Enumerable.Range(0, 10).Select(x => new Tick {
Time = time.AddSeconds(1)
}).GetEnumerator();
var stream2 = Enumerable.Range(0, 5).Select(x => new Tick {
Time = time.AddSeconds(2)
}).GetEnumerator();
var stream3 = Enumerable.Range(0, 20).Select(x => new Tick {
Time = time.AddSeconds(0.5)
}).GetEnumerator();
var previous = DateTime.MinValue;
var synchronizer = new SynchronizingEnumerator(stream1, stream2, stream3);
while (synchronizer.MoveNext())
{
Assert.That(synchronizer.Current.EndTime, Is.GreaterThanOrEqualTo(previous));
previous = synchronizer.Current.EndTime;
}
}
/// <summary>
/// Starts data generation
/// </summary>
public void Run()
{
var tickTypesPerSecurityType = SubscriptionManager.DefaultDataTypes();
// can specify a seed value in this ctor if determinism is desired
var random = new Random();
var randomValueGenerator = new RandomValueGenerator();
if (_settings.RandomSeedSet)
{
random = new Random(_settings.RandomSeed);
randomValueGenerator = new RandomValueGenerator(_settings.RandomSeed);
}
var symbolGenerator = BaseSymbolGenerator.Create(_settings, randomValueGenerator);
var maxSymbolCount = symbolGenerator.GetAvailableSymbolCount();
if (_settings.SymbolCount > maxSymbolCount)
{
Log.Error($"RandomDataGenerator.Run(): Limiting Symbol count to {maxSymbolCount}, we don't have more {_settings.SecurityType} tickers for {_settings.Market}");
_settings.SymbolCount = maxSymbolCount;
}
Log.Trace($"RandomDataGenerator.Run(): Begin data generation of {_settings.SymbolCount} randomly generated {_settings.SecurityType} assets...");
// iterate over our randomly generated symbols
var count = 0;
var progress = 0d;
var previousMonth = -1;
foreach (var(symbolRef, currentSymbolGroup) in symbolGenerator.GenerateRandomSymbols()
.GroupBy(s => s.HasUnderlying ? s.Underlying : s)
.Select(g => (g.Key, g.OrderBy(s => s.HasUnderlying).ToList())))
{
Log.Trace($"RandomDataGenerator.Run(): Symbol[{++count}]: {symbolRef} Progress: {progress:0.0}% - Generating data...");
var tickGenerators = new List <IEnumerator <Tick> >();
var tickHistories = new Dictionary <Symbol, List <Tick> >();
Security underlyingSecurity = null;
foreach (var currentSymbol in currentSymbolGroup)
{
if (!_securityManager.TryGetValue(currentSymbol, out var security))
{
security = _securityManager.CreateSecurity(
currentSymbol,
new List <SubscriptionDataConfig>(),
underlying: underlyingSecurity);
_securityManager.Add(security);
}
underlyingSecurity ??= security;
tickGenerators.Add(
new TickGenerator(_settings, tickTypesPerSecurityType[currentSymbol.SecurityType].ToArray(), security, randomValueGenerator)
.GenerateTicks()
.GetEnumerator());
tickHistories.Add(
currentSymbol,
new List <Tick>());
}
using var sync = new SynchronizingEnumerator(tickGenerators);
while (sync.MoveNext())
{
var dataPoint = sync.Current;
if (!_securityManager.TryGetValue(dataPoint.Symbol, out var security))
{
Log.Error($"RandomDataGenerator.Run(): Could not find security for symbol {sync.Current.Symbol}");
continue;
}
tickHistories[security.Symbol].Add(dataPoint as Tick);
security.Update(new List <BaseData> {
dataPoint
}, dataPoint.GetType(), false);
}
foreach (var(currentSymbol, tickHistory) in tickHistories)
{
var symbol = currentSymbol;
// This is done so that we can update the Symbol in the case of a rename event
var delistDate = GetDelistingDate(_settings.Start, _settings.End, randomValueGenerator);
var willBeDelisted = randomValueGenerator.NextBool(1.0);
// Companies rarely IPO then disappear within 6 months
if (willBeDelisted && tickHistory.Select(tick => tick.Time.Month).Distinct().Count() <= 6)
{
willBeDelisted = false;
}
var dividendsSplitsMaps = new DividendSplitMapGenerator(
symbol,
_settings,
randomValueGenerator,
symbolGenerator,
random,
delistDate,
willBeDelisted);
// Keep track of renamed symbols and the time they were renamed.
var renamedSymbols = new Dictionary <Symbol, DateTime>();
if (_settings.SecurityType == SecurityType.Equity)
{
dividendsSplitsMaps.GenerateSplitsDividends(tickHistory);
if (!willBeDelisted)
{
dividendsSplitsMaps.DividendsSplits.Add(new CorporateFactorRow(new DateTime(2050, 12, 31), 1m, 1m));
if (dividendsSplitsMaps.MapRows.Count > 1)
{
// Remove the last element if we're going to have a 20501231 entry
dividendsSplitsMaps.MapRows.RemoveAt(dividendsSplitsMaps.MapRows.Count - 1);
}
dividendsSplitsMaps.MapRows.Add(new MapFileRow(new DateTime(2050, 12, 31), dividendsSplitsMaps.CurrentSymbol.Value));
}
// If the Symbol value has changed, update the current Symbol
if (symbol != dividendsSplitsMaps.CurrentSymbol)
{
// Add all Symbol rename events to dictionary
// We skip the first row as it contains the listing event instead of a rename event
foreach (var renameEvent in dividendsSplitsMaps.MapRows.Skip(1))
{
// Symbol.UpdateMappedSymbol does not update the underlying security ID Symbol, which
// is used to create the hash code. Create a new equity Symbol from scratch instead.
symbol = Symbol.Create(renameEvent.MappedSymbol, SecurityType.Equity, _settings.Market);
renamedSymbols.Add(symbol, renameEvent.Date);
Log.Trace($"RandomDataGenerator.Run(): Symbol[{count}]: {symbol} will be renamed on {renameEvent.Date}");
}
}
else
{
// This ensures that ticks will be written for the current Symbol up until 9999-12-31
renamedSymbols.Add(symbol, new DateTime(9999, 12, 31));
}
symbol = dividendsSplitsMaps.CurrentSymbol;
// Write Splits and Dividend events to directory factor_files
var factorFile = new CorporateFactorProvider(symbol.Value, dividendsSplitsMaps.DividendsSplits, _settings.Start);
var mapFile = new MapFile(symbol.Value, dividendsSplitsMaps.MapRows);
factorFile.WriteToFile(symbol);
mapFile.WriteToCsv(_settings.Market, symbol.SecurityType);
Log.Trace($"RandomDataGenerator.Run(): Symbol[{count}]: {symbol} Dividends, splits, and map files have been written to disk.");
}
else
{
// This ensures that ticks will be written for the current Symbol up until 9999-12-31
renamedSymbols.Add(symbol, new DateTime(9999, 12, 31));
}
// define aggregators via settings
var aggregators = CreateAggregators(_settings, tickTypesPerSecurityType[currentSymbol.SecurityType].ToArray()).ToList();
Symbol previousSymbol = null;
var currentCount = 0;
var monthsTrading = 0;
foreach (var renamed in renamedSymbols)
{
var previousRenameDate = previousSymbol == null ? new DateTime(1, 1, 1) : renamedSymbols[previousSymbol];
var previousRenameDateDay = new DateTime(previousRenameDate.Year, previousRenameDate.Month, previousRenameDate.Day);
var renameDate = renamed.Value;
var renameDateDay = new DateTime(renameDate.Year, renameDate.Month, renameDate.Day);
foreach (var tick in tickHistory.Where(tick => tick.Time >= previousRenameDate && previousRenameDateDay != TickDay(tick)))
{
// Prevents the aggregator from being updated with ticks after the rename event
if (TickDay(tick) > renameDateDay)
{
break;
}
if (tick.Time.Month != previousMonth)
{
Log.Trace($"RandomDataGenerator.Run(): Symbol[{count}]: Month: {tick.Time:MMMM}");
previousMonth = tick.Time.Month;
monthsTrading++;
}
foreach (var item in aggregators)
{
tick.Value = tick.Value / dividendsSplitsMaps.FinalSplitFactor;
item.Consolidator.Update(tick);
}
if (monthsTrading >= 6 && willBeDelisted && tick.Time > delistDate)
{
Log.Trace($"RandomDataGenerator.Run(): Symbol[{count}]: {renamed.Key} delisted at {tick.Time:MMMM yyyy}");
break;
}
}
// count each stage as a point, so total points is 2*Symbol-count
// and the current progress is twice the current, but less one because we haven't finished writing data yet
progress = 100 * (2 * count - 1) / (2.0 * _settings.SymbolCount);
Log.Trace($"RandomDataGenerator.Run(): Symbol[{count}]: {renamed.Key} Progress: {progress:0.0}% - Saving data in LEAN format");
// persist consolidated data to disk
foreach (var item in aggregators)
{
var writer = new LeanDataWriter(item.Resolution, renamed.Key, Globals.DataFolder, item.TickType);
// send the flushed data into the writer. pulling the flushed list is very important,
// lest we likely wouldn't get the last piece of data stuck in the consolidator
// Filter out the data we're going to write here because filtering them in the consolidator update phase
// makes it write all dates for some unknown reason
writer.Write(item.Flush().Where(data => data.Time > previousRenameDate && previousRenameDateDay != DataDay(data)));
}
// update progress
progress = 100 * (2 * count) / (2.0 * _settings.SymbolCount);
Log.Trace($"RandomDataGenerator.Run(): Symbol[{count}]: {symbol} Progress: {progress:0.0}% - Symbol data generation and output completed");
previousSymbol = renamed.Key;
currentCount++;
}
}
}
Log.Trace("RandomDataGenerator.Run(): Random data generation has completed.");
DateTime TickDay(Tick tick) => new(tick.Time.Year, tick.Time.Month, tick.Time.Day);
DateTime DataDay(BaseData data) => new(data.Time.Year, data.Time.Month, data.Time.Day);
}
