/// <summary> /// Initializes the data feed for the specified job and algorithm /// </summary> public void Initialize(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler, IMapFileProvider mapFileProvider, IFactorFileProvider factorFileProvider) { _algorithm = algorithm; _resultHandler = resultHandler; _mapFileProvider = mapFileProvider; _factorFileProvider = factorFileProvider; _subscriptions = new SubscriptionCollection(); _universeSelection = new UniverseSelection(this, algorithm, job.Controls); _cancellationTokenSource = new CancellationTokenSource(); IsActive = true; var threadCount = Math.Max(1, Math.Min(4, Environment.ProcessorCount - 3)); _controller = new ParallelRunnerController(threadCount); _controller.Start(_cancellationTokenSource.Token); var ffres = Time.OneMinute; _fillForwardResolution = Ref.Create(() => ffres, res => ffres = res); // wire ourselves up to receive notifications when universes are added/removed algorithm.UniverseManager.CollectionChanged += (sender, args) => { switch (args.Action) { case NotifyCollectionChangedAction.Add: foreach (var universe in args.NewItems.OfType<Universe>()) { var config = universe.Configuration; var start = _frontierUtc != DateTime.MinValue ? _frontierUtc : _algorithm.StartDate.ConvertToUtc(_algorithm.TimeZone); var marketHoursDatabase = MarketHoursDatabase.FromDataFolder(); var exchangeHours = marketHoursDatabase.GetExchangeHours(config); Security security; if (!_algorithm.Securities.TryGetValue(config.Symbol, out security)) { // create a canonical security object if it doesn't exist security = new Security(exchangeHours, config, _algorithm.Portfolio.CashBook[CashBook.AccountCurrency], SymbolProperties.GetDefault(CashBook.AccountCurrency)); } var end = _algorithm.EndDate.ConvertToUtc(_algorithm.TimeZone); AddSubscription(new SubscriptionRequest(true, universe, security, config, start, end)); } break; case NotifyCollectionChangedAction.Remove: foreach (var universe in args.OldItems.OfType<Universe>()) { RemoveSubscription(universe.Configuration); } break; default: throw new NotImplementedException("The specified action is not implemented: " + args.Action); } }; }
/// <summary> /// Initializes the data feed for the specified job and algorithm /// </summary> public void Initialize(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler, IMapFileProvider mapFileProvider, IFactorFileProvider factorFileProvider) { _algorithm = algorithm; _resultHandler = resultHandler; _mapFileProvider = mapFileProvider; _factorFileProvider = factorFileProvider; _subscriptions = new ConcurrentDictionary<Symbol, Subscription>(); _universeSelection = new UniverseSelection(this, algorithm, job.Controls); _cancellationTokenSource = new CancellationTokenSource(); IsActive = true; var threadCount = Math.Max(1, Math.Min(4, Environment.ProcessorCount - 3)); _controller = new ParallelRunnerController(threadCount); _controller.Start(_cancellationTokenSource.Token); var ffres = Time.OneSecond; _fillForwardResolution = Ref.Create(() => ffres, res => ffres = res); // find the minimum resolution, ignoring ticks ffres = ResolveFillForwardResolution(algorithm); // wire ourselves up to receive notifications when universes are added/removed algorithm.UniverseManager.CollectionChanged += (sender, args) => { switch (args.Action) { case NotifyCollectionChangedAction.Add: foreach (var universe in args.NewItems.OfType<Universe>()) { var start = _frontierUtc != DateTime.MinValue ? _frontierUtc : _algorithm.StartDate.ConvertToUtc(_algorithm.TimeZone); AddUniverseSubscription(universe, start, _algorithm.EndDate.ConvertToUtc(_algorithm.TimeZone)); } break; case NotifyCollectionChangedAction.Remove: foreach (var universe in args.OldItems.OfType<Universe>()) { Subscription subscription; if (_subscriptions.TryGetValue(universe.Configuration.Symbol, out subscription)) { RemoveSubscription(subscription); } } break; default: throw new NotImplementedException("The specified action is not implemented: " + args.Action); } }; }