void OnAlphaRemoved(AbstractAlpha alpha)
{
this.Dispatcher.Invoke(DispatcherPriority.Render, new Action
(
delegate()
{
AlphaCollection.Remove(alpha);
}));
}
/// <summary>
/// Add alphas to the manager from the collection
/// </summary>
/// <param name="collection">The alpha collection emitted from <see cref="IAlgorithm.AlphasGenerated"/></param>
public void AddAlphas(AlphaCollection collection)
{
foreach (var alpha in collection.Alphas)
{
var initialValues = _securityValuesProvider.GetValues(alpha.Symbol);
var analysisPeriod = alpha.Period + TimeSpan.FromTicks((long)(_extraAnalysisPeriodRatio * alpha.Period.Ticks));
_openAlphaContexts[alpha.Id] = new AlphaAnalysisContext(alpha, initialValues, analysisPeriod);
}
}
/// <summary>
/// Add alphas to the manager from the collection
/// </summary>
/// <param name="collection">The alpha collection emitted from <see cref="IAlgorithm.AlphasGenerated"/></param>
public void AddAlphas(AlphaCollection collection)
{
foreach (var alpha in collection.Alphas)
{
// save initial security values and deterine analysis period
var initialValues = _securityValuesProvider.GetValues(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[alpha.Id] = context;
// let everyone know we've received alpha
OnAlphaReceived(context);
}
}
void OnAlphaUpdated(AbstractAlpha alpha)
{
this.Dispatcher.Invoke(DispatcherPriority.Render, new Action
(
delegate()
{
if (AlphaCollection.Where(
c => c.SourceDataSet == alpha.SourceDataSet &&
c.AlphaFilter == alpha.AlphaFilter &&
c.Xaxis.BinWidth == alpha.Xaxis.BinWidth &&
c.Yaxis.BinWidth == alpha.Yaxis.BinWidth &&
c.Xaxis.AxisType == alpha.Xaxis.AxisType &&
c.Yaxis.AxisType == alpha.Yaxis.AxisType).Count() == 0)
{
AlphaCollection.Add(alpha);
}
}));
}
/// <summary>
/// Handles the algorithm's <see cref="IAlgorithm.AlphasGenerated"/> event
/// and broadcasts the new alpha using the messaging handler
/// </summary>
protected void OnAlphasGenerated(AlphaCollection collection)
{
// send message for newly created alphas
Packet packet = new AlphaPacket(AlgorithmId, collection.Alphas);
_messages.Enqueue(packet);
AlphaManager.AddAlphas(collection);
// aggregate alpha counts per symbol
foreach (var grouping in collection.Alphas.GroupBy(alpha => alpha.Symbol))
{
// predictions for this time step
var count = grouping.Count();
// track daily assets
_dailyAlphaCountPerSymbol.AddOrUpdate(grouping.Key, sym => count, (sym, cnt) => cnt + count);
// track total assets for life of backtest
_alphaCountPerSymbol.AddOrUpdate(grouping.Key, sym => count, (sym, cnt) => cnt + count);
}
}
public AlphaQueueItem(DateTime frontierTimeUtc, ReadOnlySecurityValuesCollection securityValues, AlphaCollection generatedAlphas = null)
{
FrontierTimeUtc = frontierTimeUtc;
SecurityValues = securityValues;
GeneratedAlphas = generatedAlphas ?? new AlphaCollection(frontierTimeUtc, Enumerable.Empty <Algorithm.Framework.Alphas.Alpha>());
}
/// <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);
}
}