/// <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); // 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, IDataProvider dataProvider, IDataFeedSubscriptionManager subscriptionManager) { 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 = subscriptionManager.DataFeedSubscriptions; _universeSelection = subscriptionManager.UniverseSelection; // run the exchanges Task.Run(() => _exchange.Start(_cancellationTokenSource.Token)); Task.Run(() => _customExchange.Start(_cancellationTokenSource.Token)); IsActive = true; // 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), _algorithm.Portfolio.CashBook ); } AddSubscription(new SubscriptionRequest(true, universe, security, config, start, Time.EndOfTime)); } 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); } }; }