public void YieldsFutureDataAtCorrectTime()
{
var currentTime = new DateTime(2015, 10, 13);
var timeProvider = new ManualTimeProvider(currentTime);
var underlying = new List<Tick>
{
new Tick {Time = currentTime.AddSeconds(10)}
};
var offsetProvider = new TimeZoneOffsetProvider(DateTimeZone.Utc, new DateTime(2015, 1, 1), new DateTime(2016, 1, 1));
var frontierAware = new FrontierAwareEnumerator(underlying.GetEnumerator(), timeProvider, offsetProvider);
for (int i = 0; i < 10; i++)
{
timeProvider.AdvanceSeconds(1);
Assert.IsTrue(frontierAware.MoveNext());
if (i < 9)
{
Assert.IsNull(frontierAware.Current);
}
else
{
Assert.IsNotNull(frontierAware.Current);
Assert.AreEqual(underlying[0], frontierAware.Current);
}
}
}
public void ReturnsTrueWhenNextDataIsAheadOfFrontier()
{
var currentTime = new DateTime(2015, 10, 13);
var timeProvider = new ManualTimeProvider(currentTime);
var underlying = new List<Tick>
{
new Tick {Time = currentTime.AddSeconds(1)}
};
var offsetProvider = new TimeZoneOffsetProvider(DateTimeZone.Utc, new DateTime(2015, 1, 1), new DateTime(2016, 1, 1));
var frontierAware = new FrontierAwareEnumerator(underlying.GetEnumerator(), timeProvider, offsetProvider);
Assert.IsTrue(frontierAware.MoveNext());
Assert.IsNull(frontierAware.Current);
}
public void AggregatesTicksIntoSecondBars()
{
var timeProvider = new ManualTimeProvider(TimeZones.NewYork);
var enumerator = new TradeBarBuilderEnumerator(Time.OneSecond, TimeZones.NewYork, timeProvider);
// noon new york time
var currentTime = new DateTime(2015, 10, 08, 12, 0, 0);
timeProvider.SetCurrentTime(currentTime);
// add some ticks
var ticks = new List<Tick>
{
new Tick(currentTime, "SPY", 199.55m, 199, 200) {Quantity = 10},
new Tick(currentTime, "SPY", 199.56m, 199.21m, 200.02m) {Quantity = 5},
new Tick(currentTime, "SPY", 199.53m, 198.77m, 199.75m) {Quantity = 20},
new Tick(currentTime, "SPY", 198.77m, 199.75m) {Quantity = 0},
new Tick(currentTime, "SPY", 199.73m, 198.77m, 199.75m) {Quantity = 20},
new Tick(currentTime, "SPY", 198.77m, 199.75m) {Quantity = 0},
};
foreach (var tick in ticks)
{
enumerator.ProcessData(tick);
}
// even though no data is here, it will still return true
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
// advance a second
currentTime = currentTime.AddSeconds(1);
timeProvider.SetCurrentTime(currentTime);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
// in the spirit of not duplicating the above code 5 times (OHLCV, we'll assert these ere as well)
var bar = (TradeBar)enumerator.Current;
Assert.AreEqual(currentTime.AddSeconds(-1), bar.Time);
Assert.AreEqual(currentTime, bar.EndTime);
Assert.AreEqual("SPY", bar.Symbol.Value);
Assert.AreEqual(ticks.First().LastPrice, bar.Open);
Assert.AreEqual(ticks.Max(x => x.LastPrice), bar.High);
Assert.AreEqual(ticks.Min(x => x.LastPrice), bar.Low);
Assert.AreEqual(ticks.Last().LastPrice, bar.Close);
Assert.AreEqual(ticks.Sum(x => x.Quantity), bar.Volume);
}
public void FastForwardsOldDataAllowsEquals()
{
var start = new DateTime(2015, 10, 10, 13, 0, 0);
var data = new List<Tick>
{
new Tick {Time = start.AddMinutes(-1)},
new Tick {Time = start.AddSeconds(-1)},
new Tick {Time = start.AddSeconds(0)},
new Tick {Time = start.AddSeconds(1)},
};
var timeProvider = new ManualTimeProvider(start, TimeZones.Utc);
var fastForward = new FastForwardEnumerator(data.GetEnumerator(), timeProvider, TimeZones.Utc, TimeSpan.FromSeconds(1));
Assert.IsTrue(fastForward.MoveNext());
Assert.AreEqual(start.AddSeconds(-1), fastForward.Current.Time);
}
public void YieldsDataWhenFrontierPasses()
{
var currentTime = new DateTime(2015, 10, 13);
var timeProvider = new ManualTimeProvider(currentTime);
var underlying = new List<Tick>
{
new Tick {Time = currentTime.AddSeconds(1)}
};
var offsetProvider = new TimeZoneOffsetProvider(DateTimeZone.Utc, new DateTime(2015, 1, 1), new DateTime(2016, 1, 1));
var frontierAware = new FrontierAwareEnumerator(underlying.GetEnumerator(), timeProvider, offsetProvider);
timeProvider.AdvanceSeconds(1);
Assert.IsTrue(frontierAware.MoveNext());
Assert.IsNotNull(frontierAware.Current);
Assert.AreEqual(underlying[0], frontierAware.Current);
}
public void LimitsBasedOnTimeBetweenCalls()
{
var currentTime = new DateTime(2015, 10, 10, 13, 6, 0);
var timeProvider = new ManualTimeProvider(currentTime, TimeZones.Utc);
var data = Enumerable.Range(0, 100).Select(x => new Tick {Symbol = CreateSymbol(x)}).GetEnumerator();
var rateLimit = new RateLimitEnumerator(data, timeProvider, Time.OneSecond);
Assert.IsTrue(rateLimit.MoveNext());
while (rateLimit.MoveNext() && rateLimit.Current == null)
{
timeProvider.AdvanceSeconds(0.1);
}
var delta = (timeProvider.GetUtcNow() - currentTime).TotalSeconds;
Assert.AreEqual(1, delta);
Assert.AreEqual("1", data.Current.Symbol.Value);
}
/// <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)
{
if (!(job is LiveNodePacket))
{
throw new ArgumentException("The LiveTradingDataFeed requires a LiveNodePacket.");
}
_cancellationTokenSource = new CancellationTokenSource();
_algorithm = algorithm;
_job = (LiveNodePacket) job;
_resultHandler = resultHandler;
_timeProvider = GetTimeProvider();
_dataQueueHandler = GetDataQueueHandler();
_frontierTimeProvider = new ManualTimeProvider(_timeProvider.GetUtcNow());
_customExchange = new BaseDataExchange("CustomDataExchange") {SleepInterval = 10};
// sleep is controlled on this exchange via the GetNextTicksEnumerator
_exchange = new BaseDataExchange("DataQueueExchange"){SleepInterval = 0};
_exchange.AddEnumerator(DataQueueHandlerSymbol, GetNextTicksEnumerator());
_subscriptions = new SubscriptionCollection();
_bridge = new BusyBlockingCollection<TimeSlice>();
_universeSelection = new UniverseSelection(this, algorithm, job.Controls);
// run the exchanges
Task.Run(() => _exchange.Start(_cancellationTokenSource.Token));
Task.Run(() => _customExchange.Start(_cancellationTokenSource.Token));
// this value will be modified via calls to AddSubscription/RemoveSubscription
var ffres = Time.OneMinute;
_fillForwardResolution = Ref.Create(() => ffres, v => ffres = v);
// wire ourselves up to receive notifications when universes are added/removed
var start = _timeProvider.GetUtcNow();
algorithm.UniverseManager.CollectionChanged += (sender, args) =>
{
switch (args.Action)
{
case NotifyCollectionChangedAction.Add:
foreach (var universe in args.NewItems.OfType<Universe>())
{
var config = universe.Configuration;
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var exchangeHours = marketHoursDatabase.GetExchangeHours(config);
Security security;
if (!_algorithm.Securities.TryGetValue(config.Symbol, out security))
{
// create a canonical security object
security = new Security(exchangeHours, config, _algorithm.Portfolio.CashBook[CashBook.AccountCurrency], SymbolProperties.GetDefault(CashBook.AccountCurrency));
}
AddSubscription(new SubscriptionRequest(true, universe, security, config, start, Time.EndOfTime));
// Not sure if this is needed but left here because of this:
// https://github.com/QuantConnect/Lean/commit/029d70bde6ca83a1eb0c667bb5cc4444bea05678
UpdateFillForwardResolution();
}
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);
}
};
}
public void HandlesRestApi()
{
var resolution = Resolution.Second;
var algorithm = new AlgorithmStub();
algorithm.AddData<RestApiBaseData>("RestApi", resolution);
var symbol = SymbolCache.GetSymbol("RestApi");
FuncDataQueueHandler dqgh;
var timeProvider = new ManualTimeProvider(new DateTime(2015, 10, 10, 16, 36, 0));
var feed = RunDataFeed(algorithm, out dqgh, null);
var count = 0;
var receivedData = false;
var timeZone = algorithm.Securities[symbol].Exchange.TimeZone;
RestApiBaseData last = null;
var timeout = new CancellationTokenSource(TimeSpan.FromSeconds(5));
foreach (var ts in feed)
{
//timeProvider.AdvanceSeconds(0.5);
if (!ts.Slice.ContainsKey(symbol)) return;
count++;
receivedData = true;
var data = (RestApiBaseData)ts.Slice[symbol];
var time = data.EndTime.ConvertToUtc(timeZone);
Console.WriteLine(DateTime.UtcNow + ": Data time: " + time.ConvertFromUtc(TimeZones.NewYork) + Environment.NewLine);
if (last != null)
{
Assert.AreEqual(last.EndTime, data.EndTime.Subtract(resolution.ToTimeSpan()));
}
last = data;
}
// even though we're doing 10 seconds, give a little
// leeway for slow internet traffic
Assert.That(count, Is.GreaterThanOrEqualTo(8));
Assert.IsTrue(receivedData);
Assert.That(RestApiBaseData.ReaderCount, Is.LessThanOrEqualTo(30)); // we poll at 10x frequency
Console.WriteLine("Count: " + count + " ReaderCount: " + RestApiBaseData.ReaderCount);
}
/// <summary>
/// Initializes the data feed for the specified job and algorithm
/// </summary>
public void Initialize(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler)
{
if (!(job is LiveNodePacket))
{
throw new ArgumentException("The LiveTradingDataFeed requires a LiveNodePacket.");
}
_cancellationTokenSource = new CancellationTokenSource();
_algorithm = algorithm;
_job = (LiveNodePacket) job;
_resultHandler = resultHandler;
_timeProvider = GetTimeProvider();
_dataQueueHandler = GetDataQueueHandler();
_frontierTimeProvider = new ManualTimeProvider(_timeProvider.GetUtcNow());
_customExchange = new BaseDataExchange("CustomDataExchange") {SleepInterval = 10};
// sleep is controlled on this exchange via the GetNextTicksEnumerator
_exchange = new BaseDataExchange("DataQueueExchange", GetNextTicksEnumerator()){SleepInterval = 0};
_subscriptions = new ConcurrentDictionary<SymbolSecurityType, Subscription>();
Bridge = new BusyBlockingCollection<TimeSlice>();
// run the exchanges
_exchange.Start();
_customExchange.Start();
// find the minimum resolution, ignoring ticks
_fillForwardResolution = algorithm.SubscriptionManager.Subscriptions
.Where(x => x.Resolution != Resolution.Tick)
.Select(x => x.Resolution)
.Union(algorithm.Universes.Select(x => x.SubscriptionSettings.Resolution))
.DefaultIfEmpty(algorithm.UniverseSettings.Resolution)
.Min();
// add user defined subscriptions
var start = _timeProvider.GetUtcNow();
foreach (var kvp in _algorithm.Securities.OrderBy(x => x.Key.ToString()))
{
var security = kvp.Value;
AddSubscription(security, start, Time.EndOfTime, true);
}
// add universe subscriptions
foreach (var universe in _algorithm.Universes)
{
var subscription = CreateUniverseSubscription(universe, start, Time.EndOfTime);
_subscriptions[new SymbolSecurityType(subscription)] = subscription;
}
}
/// <summary>
/// Initializes the data feed for the specified job and algorithm
/// </summary>
public void Initialize(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler, IMapFileProvider mapFileProvider)
{
if (!(job is LiveNodePacket))
{
throw new ArgumentException("The LiveTradingDataFeed requires a LiveNodePacket.");
}
if (algorithm.SubscriptionManager.Subscriptions.Count == 0 && algorithm.Universes.IsNullOrEmpty())
{
throw new Exception("No subscriptions registered and no universe defined.");
}
_cancellationTokenSource = new CancellationTokenSource();
_algorithm = algorithm;
_job = (LiveNodePacket) job;
_resultHandler = resultHandler;
_timeProvider = GetTimeProvider();
_dataQueueHandler = GetDataQueueHandler();
_frontierTimeProvider = new ManualTimeProvider(_timeProvider.GetUtcNow());
_customExchange = new BaseDataExchange("CustomDataExchange") {SleepInterval = 10};
// sleep is controlled on this exchange via the GetNextTicksEnumerator
_exchange = new BaseDataExchange("DataQueueExchange", GetNextTicksEnumerator()){SleepInterval = 0};
_subscriptions = new ConcurrentDictionary<Symbol, Subscription>();
Bridge = new BusyBlockingCollection<TimeSlice>();
// run the exchanges
_exchange.Start();
_customExchange.Start();
// this value will be modified via calls to AddSubscription/RemoveSubscription
var ffres = Time.OneSecond;
_fillForwardResolution = Ref.Create(() => ffres, v => ffres = v);
ffres = ResolveFillForwardResolution(algorithm);
// add subscriptions
var start = _timeProvider.GetUtcNow();
foreach (var universe in _algorithm.Universes)
{
var subscription = CreateUniverseSubscription(universe, start, Time.EndOfTime);
_subscriptions[subscription.Security.Symbol] = subscription;
}
}
/// <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)
{
if (!(job is LiveNodePacket))
{
throw new ArgumentException("The LiveTradingDataFeed requires a LiveNodePacket.");
}
_cancellationTokenSource = new CancellationTokenSource();
_algorithm = algorithm;
_job = (LiveNodePacket) job;
_resultHandler = resultHandler;
_timeProvider = GetTimeProvider();
_dataQueueHandler = GetDataQueueHandler();
_frontierTimeProvider = new ManualTimeProvider(_timeProvider.GetUtcNow());
_customExchange = new BaseDataExchange("CustomDataExchange") {SleepInterval = 10};
// sleep is controlled on this exchange via the GetNextTicksEnumerator
_exchange = new BaseDataExchange("DataQueueExchange"){SleepInterval = 0};
_exchange.AddEnumerator(DataQueueHandlerSymbol, GetNextTicksEnumerator());
_subscriptions = new ConcurrentDictionary<Symbol, List<Subscription>>();
_bridge = new BusyBlockingCollection<TimeSlice>();
_universeSelection = new UniverseSelection(this, algorithm, job.Controls);
// run the exchanges
Task.Run(() => _exchange.Start(_cancellationTokenSource.Token));
Task.Run(() => _customExchange.Start(_cancellationTokenSource.Token));
// this value will be modified via calls to AddSubscription/RemoveSubscription
var ffres = Time.OneMinute;
_fillForwardResolution = Ref.Create(() => ffres, v => ffres = v);
// wire ourselves up to receive notifications when universes are added/removed
var start = _timeProvider.GetUtcNow();
algorithm.UniverseManager.CollectionChanged += (sender, args) =>
{
switch (args.Action)
{
case NotifyCollectionChangedAction.Add:
foreach (var universe in args.NewItems.OfType<Universe>())
{
_subscriptions.Add(universe.Configuration.Symbol, CreateUniverseSubscription(universe, start, Time.EndOfTime));
UpdateFillForwardResolution();
}
break;
case NotifyCollectionChangedAction.Remove:
foreach (var universe in args.OldItems.OfType<Universe>())
{
RemoveSubscription(universe.Configuration.Symbol);
}
break;
default:
throw new NotImplementedException("The specified action is not implemented: " + args.Action);
}
};
}
public void FillsForwardOnNulls()
{
var reference = new DateTime(2015, 10, 08);
var period = Time.OneSecond;
var underlying = new List<BaseData>
{
// 0 seconds
new TradeBar(reference, Symbols.SPY, 10, 20, 5, 15, 123456, period),
// 1 seconds
null,
// 3 seconds
new TradeBar(reference.AddSeconds(2), Symbols.SPY, 100, 200, 50, 150, 1234560, period),
null,
null,
null,
null
};
var timeProvider = new ManualTimeProvider(TimeZones.NewYork);
timeProvider.SetCurrentTime(reference);
var exchange = new SecurityExchange(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork));
var fillForward = new LiveFillForwardEnumerator(timeProvider, underlying.GetEnumerator(), exchange, Ref.Create(Time.OneSecond), false, Time.EndOfTime, Time.OneSecond);
// first point is always emitted
Assert.IsTrue(fillForward.MoveNext());
Assert.AreEqual(underlying[0], fillForward.Current);
// stepping again without advancing time does nothing, but we'll still
// return true as per IEnumerator contract
Assert.IsTrue(fillForward.MoveNext());
Assert.IsNull(fillForward.Current);
timeProvider.SetCurrentTime(reference.AddSeconds(1));
// non-null next will fill forward in between
Assert.IsTrue(fillForward.MoveNext());
Assert.AreEqual(underlying[0].EndTime, fillForward.Current.Time);
Assert.AreEqual(underlying[0].Value, fillForward.Current.Value);
Assert.IsTrue(fillForward.Current.IsFillForward);
// even without stepping the time this will advance since non-null data is ready
Assert.IsTrue(fillForward.MoveNext());
Assert.AreEqual(underlying[2], fillForward.Current);
// step ahead into null data territory
timeProvider.SetCurrentTime(reference.AddSeconds(4));
Assert.IsTrue(fillForward.MoveNext());
Assert.AreEqual(underlying[2].Value, fillForward.Current.Value);
Assert.AreEqual(timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork), fillForward.Current.EndTime);
Assert.IsTrue(fillForward.Current.IsFillForward);
Assert.IsTrue(fillForward.MoveNext());
Assert.IsNull(fillForward.Current);
timeProvider.SetCurrentTime(reference.AddSeconds(5));
Assert.IsTrue(fillForward.MoveNext());
Assert.AreEqual(underlying[2].Value, fillForward.Current.Value);
Assert.AreEqual(timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork), fillForward.Current.EndTime);
Assert.IsTrue(fillForward.Current.IsFillForward);
timeProvider.SetCurrentTime(reference.AddSeconds(6));
Assert.IsTrue(fillForward.MoveNext());
Assert.AreEqual(underlying[2].Value, fillForward.Current.Value);
Assert.AreEqual(timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork), fillForward.Current.EndTime);
Assert.IsTrue(fillForward.Current.IsFillForward);
}
public void CreatesNewBarWhenBarSizeElapses()
{
var timeProvider = new ManualTimeProvider();
var enumerator = new TradeBarBuilderEnumerator(Time.OneSecond, TimeZones.Utc, timeProvider);
// noon new york time
var startTime = new DateTime(2015, 10, 08, 12, 0, 0);
timeProvider.SetCurrentTime(startTime);
enumerator.ProcessData(new Tick{Time = startTime});
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
timeProvider.AdvanceSeconds(0.99);
enumerator.ProcessData(new Tick {Time = timeProvider.GetUtcNow()});
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
timeProvider.SetCurrentTime(startTime.AddSeconds(1));
// the second just ticked over, so it shouldn't include this tick when we move next
enumerator.ProcessData(new Tick {Time = timeProvider.GetUtcNow(), Quantity = 1});
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
Assert.AreEqual(0, ((TradeBar)enumerator.Current).Volume);
}
/// <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, IDataProvider dataProvider)
{
if (!(job is LiveNodePacket))
{
throw new ArgumentException("The LiveTradingDataFeed requires a LiveNodePacket.");
}
_cancellationTokenSource = new CancellationTokenSource();
_algorithm = algorithm;
_job = (LiveNodePacket)job;
_resultHandler = resultHandler;
_timeProvider = GetTimeProvider();
_dataQueueHandler = GetDataQueueHandler();
_dataProvider = dataProvider;
_dataCacheProvider = new SingleEntryDataCacheProvider(dataProvider);
_frontierTimeProvider = new ManualTimeProvider(_timeProvider.GetUtcNow());
_customExchange = new BaseDataExchange("CustomDataExchange")
{
SleepInterval = 10
};
// sleep is controlled on this exchange via the GetNextTicksEnumerator
_exchange = new BaseDataExchange("DataQueueExchange")
{
SleepInterval = 0
};
_exchange.AddEnumerator(DataQueueHandlerSymbol, GetNextTicksEnumerator());
_subscriptions = new SubscriptionCollection();
_bridge = new BusyBlockingCollection <TimeSlice>();
_universeSelection = new UniverseSelection(this, algorithm, job.Controls);
// run the exchanges
Task.Run(() => _exchange.Start(_cancellationTokenSource.Token));
Task.Run(() => _customExchange.Start(_cancellationTokenSource.Token));
// this value will be modified via calls to AddSubscription/RemoveSubscription
var ffres = Time.OneMinute;
_fillForwardResolution = Ref.Create(() => ffres, v => ffres = v);
// wire ourselves up to receive notifications when universes are added/removed
var start = _timeProvider.GetUtcNow();
algorithm.UniverseManager.CollectionChanged += (sender, args) =>
{
switch (args.Action)
{
case NotifyCollectionChangedAction.Add:
foreach (var universe in args.NewItems.OfType <Universe>())
{
var config = universe.Configuration;
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var exchangeHours = marketHoursDatabase.GetExchangeHours(config);
Security security;
if (!_algorithm.Securities.TryGetValue(config.Symbol, out security))
{
// create a canonical security object
security = new Security(exchangeHours, config, _algorithm.Portfolio.CashBook[CashBook.AccountCurrency], SymbolProperties.GetDefault(CashBook.AccountCurrency));
}
AddSubscription(new SubscriptionRequest(true, universe, security, config, start, Time.EndOfTime));
// Not sure if this is needed but left here because of this:
// https://github.com/QuantConnect/Lean/commit/029d70bde6ca83a1eb0c667bb5cc4444bea05678
UpdateFillForwardResolution();
}
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)
{
if (!(job is LiveNodePacket))
{
throw new ArgumentException("The LiveTradingDataFeed requires a LiveNodePacket.");
}
_cancellationTokenSource = new CancellationTokenSource();
_algorithm = algorithm;
_job = (LiveNodePacket)job;
_resultHandler = resultHandler;
_timeProvider = GetTimeProvider();
_dataQueueHandler = GetDataQueueHandler();
_frontierTimeProvider = new ManualTimeProvider(_timeProvider.GetUtcNow());
_customExchange = new BaseDataExchange("CustomDataExchange")
{
SleepInterval = 10
};
// sleep is controlled on this exchange via the GetNextTicksEnumerator
_exchange = new BaseDataExchange("DataQueueExchange")
{
SleepInterval = 0
};
_exchange.AddEnumerator(DataQueueHandlerSymbol, GetNextTicksEnumerator());
_subscriptions = new ConcurrentDictionary <Symbol, Subscription>();
_bridge = new BusyBlockingCollection <TimeSlice>();
_universeSelection = new UniverseSelection(this, algorithm, job.Controls);
// run the exchanges
Task.Run(() => _exchange.Start(_cancellationTokenSource.Token));
Task.Run(() => _customExchange.Start(_cancellationTokenSource.Token));
// this value will be modified via calls to AddSubscription/RemoveSubscription
var ffres = Time.OneSecond;
_fillForwardResolution = Ref.Create(() => ffres, v => ffres = v);
ffres = ResolveFillForwardResolution(algorithm);
// wire ourselves up to receive notifications when universes are added/removed
var start = _timeProvider.GetUtcNow();
algorithm.UniverseManager.CollectionChanged += (sender, args) =>
{
switch (args.Action)
{
case NotifyCollectionChangedAction.Add:
foreach (var universe in args.NewItems.OfType <Universe>())
{
_subscriptions[universe.Configuration.Symbol] = CreateUniverseSubscription(universe, start, Time.EndOfTime);
}
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);
}
};
}