private void TestSubscriptionSynchronizerSpeed(QCAlgorithm algorithm)
{
var feed = new MockDataFeed();
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var symbolPropertiesDataBase = SymbolPropertiesDatabase.FromDataFolder();
var securityService = new SecurityService(
algorithm.Portfolio.CashBook,
marketHoursDatabase,
symbolPropertiesDataBase,
algorithm,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCacheProvider(algorithm.Portfolio));
algorithm.Securities.SetSecurityService(securityService);
var dataPermissionManager = new DataPermissionManager();
var dataManager = new DataManager(feed,
new UniverseSelection(algorithm, securityService, dataPermissionManager, new DefaultDataProvider()),
algorithm,
algorithm.TimeKeeper,
marketHoursDatabase,
false,
RegisteredSecurityDataTypesProvider.Null,
dataPermissionManager);
algorithm.SubscriptionManager.SetDataManager(dataManager);
algorithm.Initialize();
algorithm.PostInitialize();
// set exchanges to be always open
foreach (var kvp in algorithm.Securities)
{
var security = kvp.Value;
security.Exchange = new SecurityExchange(SecurityExchangeHours.AlwaysOpen(security.Exchange.TimeZone));
}
var endTimeUtc = algorithm.EndDate.ConvertToUtc(TimeZones.NewYork);
var startTimeUtc = algorithm.StartDate.ConvertToUtc(TimeZones.NewYork);
var subscriptionBasedTimeProvider = new SubscriptionFrontierTimeProvider(startTimeUtc, dataManager);
var timeSliceFactory = new TimeSliceFactory(algorithm.TimeZone);
var synchronizer = new SubscriptionSynchronizer(dataManager.UniverseSelection);
synchronizer.SetTimeProvider(subscriptionBasedTimeProvider);
synchronizer.SetTimeSliceFactory(timeSliceFactory);
var totalDataPoints = 0;
var subscriptions = dataManager.DataFeedSubscriptions;
foreach (var kvp in algorithm.Securities)
{
int dataPointCount;
subscriptions.TryAdd(CreateSubscription(algorithm, kvp.Value, startTimeUtc, endTimeUtc, out dataPointCount));
totalDataPoints += dataPointCount;
}
// log what we're doing
Console.WriteLine($"Running {subscriptions.Count()} subscriptions with a total of {totalDataPoints} data points. Start: {algorithm.StartDate:yyyy-MM-dd} End: {algorithm.EndDate:yyyy-MM-dd}");
var count = 0;
DateTime currentTime = DateTime.MaxValue;
DateTime previousValue;
var stopwatch = Stopwatch.StartNew();
var enumerator = synchronizer.Sync(subscriptions, CancellationToken.None).GetEnumerator();
do
{
previousValue = currentTime;
enumerator.MoveNext();
var timeSlice = enumerator.Current;
currentTime = timeSlice.Time;
count += timeSlice.DataPointCount;
}while (currentTime != previousValue);
stopwatch.Stop();
enumerator.DisposeSafely();
var kps = count / 1000d / stopwatch.Elapsed.TotalSeconds;
Console.WriteLine($"Current Time: {currentTime:u} Elapsed time: {(int)stopwatch.Elapsed.TotalSeconds,4}s KPS: {kps,7:.00} COUNT: {count,10}");
Assert.GreaterOrEqual(count, 100); // this assert is for sanity purpose
dataManager.RemoveAllSubscriptions();
}
