private void OnInsightsGeneratedVerifier(IAlgorithm algorithm,
GeneratedInsightsCollection insightsCollection)
{
if (insightsCollection.Insights.Count(insight => insight.Symbol == _fb) != 1 ||
insightsCollection.Insights.Count(insight => insight.Symbol == _spy) != 1 ||
insightsCollection.Insights.Count(insight => insight.Symbol == _ibm) != 1)
{
throw new Exception("Unexpected insights were emitted");
}
}
public void CheckCloneRespectsDerivedTypes()
{
var insights = new List <DerivedInsight>
{
new DerivedInsight(Symbol.Empty, TimeSpan.Zero, InsightType.Price, InsightDirection.Flat),
new DerivedInsight(Symbol.Empty, TimeSpan.Zero, InsightType.Price, InsightDirection.Flat),
new DerivedInsight(Symbol.Empty, TimeSpan.Zero, InsightType.Price, InsightDirection.Flat),
new DerivedInsight(Symbol.Empty, TimeSpan.Zero, InsightType.Price, InsightDirection.Flat),
};
var generatedInsightsCollection = new GeneratedInsightsCollection(DateTime.UtcNow, insights, clone: true);
Assert.True(generatedInsightsCollection.Insights.TrueForAll(x => x.GetType() == typeof(DerivedInsight)));
}
private void OnInsightsGeneratedVerifier(IAlgorithm algorithm,
GeneratedInsightsCollection insightsCollection)
{
_emitted = true;
var insight = insightsCollection.Insights.First();
if (Math.Abs(insight.Confidence.Value - _expectedConfidence) > 0.02)
{
throw new Exception($"Unexpected insight Confidence: {insight.Confidence.Value}." +
$" Expected: {_expectedConfidence}. Step {_step}");
}
if (insight.Direction != _expectedInsightDirection)
{
throw new Exception($"Unexpected insight Direction: {insight.Direction}." +
$" Expected: {_expectedInsightDirection}. Step {_step}");
}
_insights.Add(insight);
}
/// <summary>
/// Steps the manager forward in time, accepting new state information and potentialy newly generated insights
/// </summary>
/// <param name="frontierTimeUtc">The frontier time of the insight analysis</param>
/// <param name="securityValuesCollection">Snap shot of the securities at the frontier time</param>
/// <param name="generatedInsights">Any insight generated by the algorithm at the frontier time</param>
public void Step(DateTime frontierTimeUtc, ReadOnlySecurityValuesCollection securityValuesCollection, GeneratedInsightsCollection generatedInsights)
{
lock (_lock)
{
if (generatedInsights != null && generatedInsights.Insights.Count > 0)
{
foreach (var insight in generatedInsights.Insights)
{
// save initial security values and deterine analysis period
var initialValues = securityValuesCollection[insight.Symbol];
var analysisPeriod = insight.Period + TimeSpan.FromTicks((long)(_extraAnalysisPeriodRatio * insight.Period.Ticks));
// set this as an open analysis context
var context = new InsightAnalysisContext(insight, initialValues, analysisPeriod);
_openInsightContexts.Add(context);
// let everyone know we've received an insight
_extensions.ForEach(e => e.OnInsightGenerated(context));
}
}
UpdateScores(securityValuesCollection);
foreach (var extension in _extensions)
{
extension.Step(frontierTimeUtc);
}
}
}
private void OnInsightsGenerated(IAlgorithm algorithm, GeneratedInsightsCollection eventdata)
{
Log($"{Time}: {string.Join(", ", eventdata)}");
}
