/// <summary>
/// Steps the manager forward in time, accepting new state information and potentialy newly generated insights
/// </summary>
/// <param name="frontierTimeUtc">The frontier time of the insight analysis</param>
/// <param name="securityValuesCollection">Snap shot of the securities at the frontier time</param>
/// <param name="generatedInsights">Any insight generated by the algorithm at the frontier time</param>
public void Step(DateTime frontierTimeUtc, ReadOnlySecurityValuesCollection securityValuesCollection, GeneratedInsightsCollection generatedInsights)
{
lock (_lock)
{
if (generatedInsights != null && generatedInsights.Insights.Count > 0)
{
foreach (var insight in generatedInsights.Insights)
{
// save initial security values and deterine analysis period
var initialValues = securityValuesCollection[insight.Symbol];
var analysisPeriod = insight.Period + TimeSpan.FromTicks((long)(_extraAnalysisPeriodRatio * insight.Period.Ticks));
// set this as an open analysis context
var context = new InsightAnalysisContext(insight, initialValues, analysisPeriod);
_openInsightContexts.Add(context);
// let everyone know we've received an insight
_extensions.ForEach(e => e.OnInsightGenerated(context));
}
}
UpdateScores(securityValuesCollection);
foreach (var extension in _extensions)
{
extension.Step(frontierTimeUtc);
}
}
}
/// <summary>
/// Steps the manager forward in time, accepting new state information and potentialy newly generated alphas
/// </summary>
/// <param name="frontierTimeUtc">The frontier time of the alpha analysis</param>
/// <param name="securityValuesCollection">Snap shot of the securities at the frontier time</param>
/// <param name="generatedAlphas">Any alpha generated by the algorithm at the frontier time</param>
public void Step(DateTime frontierTimeUtc, ReadOnlySecurityValuesCollection securityValuesCollection, AlphaCollection generatedAlphas)
{
if (generatedAlphas != null && generatedAlphas.Alphas.Count > 0)
{
foreach (var alpha in generatedAlphas.Alphas)
{
// save initial security values and deterine analysis period
var initialValues = securityValuesCollection[alpha.Symbol];
var analysisPeriod = alpha.Period + TimeSpan.FromTicks((long)(_extraAnalysisPeriodRatio * alpha.Period.Ticks));
// set this as an open analysis context
var context = new AlphaAnalysisContext(alpha, initialValues, analysisPeriod);
_openAlphaContexts.Add(context);
// let everyone know we've received alpha
OnAlphaReceived(context);
}
}
UpdateScores(securityValuesCollection);
foreach (var extension in _extensions)
{
extension.Step(frontierTimeUtc);
}
}
/// <summary>
/// Updates all open insight scores
/// </summary>
private void UpdateScores(ReadOnlySecurityValuesCollection securityValuesCollection)
{
var removals = new List <InsightAnalysisContext>();
foreach (var context in _openInsightContexts)
{
// was this insight period closed before we update the times?
var previouslyClosed = context.InsightPeriodClosed;
// update the security values: price/volatility
context.SetCurrentValues(securityValuesCollection[context.Symbol]);
// update scores for each score type
var currentTimeUtc = context.CurrentValues.TimeUtc;
foreach (var scoreType in ScoreTypes)
{
if (!context.ShouldAnalyze(scoreType))
{
// not all insights can receive every score type, for example, insight.Magnitude==null, not point in doing magnitude scoring
continue;
}
// resolve and evaluate the scoring function, storing the result in the context
var function = _scoreFunctionProvider.GetScoreFunction(context.Insight.Type, scoreType);
var score = function.Evaluate(context, scoreType);
context.Score.SetScore(scoreType, score, currentTimeUtc);
}
// it wasn't closed and now it is closed, fire the event.
if (!previouslyClosed && context.InsightPeriodClosed)
{
_extensions.ForEach(e => e.OnInsightClosed(context));
}
// if this score has been finalized, remove it from the open set
if (currentTimeUtc >= context.AnalysisEndTimeUtc)
{
context.Score.Finalize(currentTimeUtc);
// set the last value used for scoring
context.Insight.ReferenceValueFinal = context.CurrentValues.Get(context.Insight.Type);
_extensions.ForEach(e => e.OnInsightAnalysisCompleted(context));
var id = context.Insight.Id;
_closedInsightContexts[id] = context;
removals.Add(context);
}
// mark the context as having been updated
_updatedInsightContexts.Add(context);
}
_openInsightContexts.RemoveWhere(removals.Contains);
}