public void DoesNotUpdateFillForwardResolutionWhenAddingBiggerResolution()
{
var subscriptionColletion = new SubscriptionCollection();
var subscription = CreateSubscription(Resolution.Second);
var subscription2 = CreateSubscription(Resolution.Minute);
subscriptionColletion.TryAdd(subscription);
Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(0, 0, 1));
subscriptionColletion.TryAdd(subscription2);
Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(0, 0, 1));
}
public void UpdatesFillForwardResolutionWhenRemoving()
{
var subscriptionColletion = new SubscriptionCollection();
var subscription = CreateSubscription(Resolution.Second);
var subscription2 = CreateSubscription(Resolution.Daily);
subscriptionColletion.TryAdd(subscription);
subscriptionColletion.TryAdd(subscription2);
Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(0, 0, 1));
subscriptionColletion.TryRemove(subscription.Configuration, out subscription);
Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(1, 0, 0, 0));
subscriptionColletion.TryRemove(subscription2.Configuration, out subscription2);
Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(0, 1, 0));
}
public void DoesNotUpdateFillForwardResolutionWhenRemovingDuplicateResolution()
{
var subscriptionColletion = new SubscriptionCollection();
var subscription = CreateSubscription(Resolution.Second);
var subscription2 = CreateSubscription(Resolution.Second, "SPY");
subscriptionColletion.TryAdd(subscription);
Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(0, 0, 1));
subscriptionColletion.TryAdd(subscription2);
Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(0, 0, 1));
subscriptionColletion.TryRemove(subscription.Configuration, out subscription);
Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(0, 0, 1));
subscriptionColletion.TryRemove(subscription2.Configuration, out subscription2);
Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(0, 1, 0));
subscription.Dispose();
subscription2.Dispose();
}
public void UpdatesFillForwardResolutionSuccessfullyWhenAdding()
{
var subscriptionColletion = new SubscriptionCollection();
var subscription = CreateSubscription(Resolution.Second);
subscriptionColletion.TryAdd(subscription);
Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(0, 0, 1));
}
public void UpdatesFillForwardResolutionSuccessfullyOverridesDefaultWhenAdding()
{
var subscriptionColletion = new SubscriptionCollection();
var subscription = CreateSubscription(Resolution.Daily);
subscriptionColletion.TryAdd(subscription);
Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(1, 0, 0, 0));
}
public void SubscriptionsAreSortedWhenAdding2()
{
var subscriptionColletion = new SubscriptionCollection();
var subscription = CreateSubscription(Resolution.Second, "GC", false, SecurityType.Future);
var subscription2 = CreateSubscription(Resolution.Second, "SPY");
var subscription3 = CreateSubscription(Resolution.Second, "AAPL", false, SecurityType.Option);
var subscription4 = CreateSubscription(Resolution.Second, "EURGBP");
subscriptionColletion.TryAdd(subscription);
Assert.AreEqual(subscriptionColletion.ToList(), new[] { subscription });
subscriptionColletion.TryAdd(subscription2);
Assert.AreEqual(subscriptionColletion.ToList(), new[] { subscription2, subscription });
subscriptionColletion.TryAdd(subscription3);
Assert.AreEqual(subscriptionColletion.ToList(), new[] { subscription2, subscription3, subscription });
subscriptionColletion.TryAdd(subscription4);
Assert.AreEqual(subscriptionColletion.ToList(), new[] { subscription4, subscription2, subscription3, subscription });
Assert.AreEqual(subscriptionColletion.Select(x => x.Security.Type).ToList(), new[] { SecurityType.Equity, SecurityType.Equity, SecurityType.Option, SecurityType.Future });
}
public void FillForwardResolutionIgnoresInternalFeed()
{
var subscriptionColletion = new SubscriptionCollection();
var subscription = CreateSubscription(Resolution.Second, "AAPL", true);
subscriptionColletion.TryAdd(subscription);
Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(0, 1, 0));
subscriptionColletion.TryRemove(subscription.Configuration, out subscription);
Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(0, 1, 0));
}
public void FillForwardResolutionIgnoresTick()
{
var subscriptionColletion = new SubscriptionCollection();
var subscription = CreateSubscription(Resolution.Tick);
subscriptionColletion.TryAdd(subscription);
Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(0, 1, 0));
subscriptionColletion.TryRemove(subscription.Configuration, out subscription);
Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(0, 1, 0));
subscription.Dispose();
}
public void SubscriptionsAreSortedWhenAdding()
{
var subscriptionColletion = new SubscriptionCollection();
var subscription = CreateSubscription(Resolution.Second, Futures.Metals.Gold, false, SecurityType.Future);
var subscription2 = CreateSubscription(Resolution.Second, "SPY");
var subscription3 = CreateSubscription(Resolution.Second, "AAPL", false, SecurityType.Option);
var subscription4 = CreateSubscription(Resolution.Second, "EURGBP");
var subscription5 = CreateSubscription(Resolution.Second, "AAPL", false, SecurityType.Option, TickType.OpenInterest);
var subscription6 = CreateSubscription(Resolution.Second, "AAPL", false, SecurityType.Option, TickType.Quote);
subscriptionColletion.TryAdd(subscription);
Assert.AreEqual(subscriptionColletion.ToList(), new[] { subscription });
subscriptionColletion.TryAdd(subscription2);
Assert.AreEqual(subscriptionColletion.ToList(), new[] { subscription2, subscription });
subscriptionColletion.TryAdd(subscription3);
Assert.AreEqual(subscriptionColletion.ToList(), new[] { subscription2, subscription3, subscription });
subscriptionColletion.TryAdd(subscription4);
Assert.AreEqual(subscriptionColletion.ToList(), new[] { subscription4, subscription2, subscription3, subscription });
subscriptionColletion.TryAdd(subscription5);
Assert.AreEqual(subscriptionColletion.ToList(), new[] { subscription4, subscription2, subscription3, subscription5, subscription });
subscriptionColletion.TryAdd(subscription6);
Assert.AreEqual(subscriptionColletion.ToList(), new[] { subscription4, subscription2, subscription3, subscription6, subscription5, subscription });
Assert.AreEqual(subscriptionColletion.Select(x => x.Configuration.SecurityType).ToList(), new[] { SecurityType.Equity, SecurityType.Equity, SecurityType.Option,
SecurityType.Option, SecurityType.Option, SecurityType.Future });
subscription.Dispose();
subscription2.Dispose();
subscription3.Dispose();
subscription4.Dispose();
subscription5.Dispose();
subscription6.Dispose();
}
public void SubscriptionsAreSortedWhenRemoving()
{
var subscriptionColletion = new SubscriptionCollection();
var subscription = CreateSubscription(Resolution.Second, "BTCEUR", false, SecurityType.Future);
var subscription2 = CreateSubscription(Resolution.Second, "SPY");
var subscription3 = CreateSubscription(Resolution.Second, "AAPL", false, SecurityType.Option);
var subscription4 = CreateSubscription(Resolution.Second, "EURGBP");
var subscription5 = CreateSubscription(Resolution.Second, "AAPL", false, SecurityType.Option, TickType.OpenInterest);
var subscription6 = CreateSubscription(Resolution.Second, "AAPL", false, SecurityType.Option, TickType.Quote);
subscriptionColletion.TryAdd(subscription);
subscriptionColletion.TryAdd(subscription2);
subscriptionColletion.TryAdd(subscription3);
subscriptionColletion.TryAdd(subscription4);
subscriptionColletion.TryAdd(subscription5);
subscriptionColletion.TryAdd(subscription6);
Assert.AreEqual(subscriptionColletion.ToList(), new[] { subscription4, subscription2, subscription3, subscription6, subscription5, subscription });
subscriptionColletion.TryRemove(subscription2.Configuration, out subscription2);
Assert.AreEqual(subscriptionColletion.Select(x => x.Configuration.SecurityType).ToList(), new[] { SecurityType.Equity, SecurityType.Option,
SecurityType.Option, SecurityType.Option, SecurityType.Future });
subscriptionColletion.TryRemove(subscription3.Configuration, out subscription3);
Assert.AreEqual(subscriptionColletion.Select(x => x.Configuration.SecurityType).ToList(), new[] { SecurityType.Equity, SecurityType.Option, SecurityType.Option, SecurityType.Future });
subscriptionColletion.TryRemove(subscription.Configuration, out subscription);
Assert.AreEqual(subscriptionColletion.Select(x => x.Configuration.SecurityType).ToList(), new[] { SecurityType.Equity, SecurityType.Option, SecurityType.Option });
Assert.AreEqual(subscriptionColletion.ToList(), new[] { subscription4, subscription6, subscription5 });
subscriptionColletion.TryRemove(subscription6.Configuration, out subscription6);
Assert.AreEqual(subscriptionColletion.Select(x => x.Configuration.SecurityType).ToList(), new[] { SecurityType.Equity, SecurityType.Option });
Assert.AreEqual(subscriptionColletion.ToList(), new[] { subscription4, subscription5 });
subscriptionColletion.TryRemove(subscription5.Configuration, out subscription5);
Assert.AreEqual(subscriptionColletion.Select(x => x.Configuration.SecurityType).ToList(), new[] { SecurityType.Equity });
subscriptionColletion.TryRemove(subscription4.Configuration, out subscription4);
Assert.IsTrue(subscriptionColletion.Select(x => x.Configuration.SecurityType).ToList().IsNullOrEmpty());
subscription.Dispose();
subscription2.Dispose();
subscription3.Dispose();
subscription4.Dispose();
subscription5.Dispose();
subscription6.Dispose();
}
public void EnumerationWhileUpdatingDoesNotThrow()
{
var cts = new CancellationTokenSource();
var subscriptions = new SubscriptionCollection();
var start = DateTime.UtcNow;
var end = start.AddSeconds(10);
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, DateTimeZone.Utc, DateTimeZone.Utc, true, false, false);
var security = new Equity(
Symbols.SPY,
SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
new Cash(Currencies.USD, 0, 1),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
var timeZoneOffsetProvider = new TimeZoneOffsetProvider(DateTimeZone.Utc, start, end);
var enumerator = new EnqueueableEnumerator <BaseData>();
var subscriptionDataEnumerator = new SubscriptionDataEnumerator(config, security.Exchange.Hours, timeZoneOffsetProvider, enumerator, false);
var subscriptionRequest = new SubscriptionRequest(false, null, security, config, start, end);
var subscription = new Subscription(subscriptionRequest, subscriptionDataEnumerator, timeZoneOffsetProvider);
var addTask = Task.Factory.StartNew(() =>
{
Log.Trace("Add task started");
while (DateTime.UtcNow < end)
{
if (!subscriptions.Contains(config))
{
subscriptions.TryAdd(subscription);
}
Thread.Sleep(1);
}
Log.Trace("Add task ended");
}, cts.Token);
var removeTask = Task.Factory.StartNew(() =>
{
Log.Trace("Remove task started");
while (DateTime.UtcNow < end)
{
Subscription removed;
subscriptions.TryRemove(config, out removed);
Thread.Sleep(1);
}
Log.Trace("Remove task ended");
}, cts.Token);
var readTask = Task.Factory.StartNew(() =>
{
Log.Trace("Read task started");
while (DateTime.UtcNow < end)
{
foreach (var sub in subscriptions)
{
}
Thread.Sleep(1);
}
Log.Trace("Read task ended");
}, cts.Token);
Task.WaitAll(addTask, removeTask, readTask);
subscription.Dispose();
}
public void EnumerationWhileUpdatingDoesNotThrow()
{
var cts = new CancellationTokenSource();
var subscriptions = new SubscriptionCollection();
var start = DateTime.UtcNow;
var end = start.AddSeconds(10);
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, DateTimeZone.Utc, DateTimeZone.Utc, true, false, false);
var security = new Equity(Symbols.SPY, SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc), new Cash("USD", 0, 1), SymbolProperties.GetDefault("USD"));
var timeZoneOffsetProvider = new TimeZoneOffsetProvider(DateTimeZone.Utc, start, end);
var enumerator = new EnqueueableEnumerator <BaseData>();
var subscriptionDataEnumerator = SubscriptionData.Enumerator(config, security, timeZoneOffsetProvider, enumerator);
var subscription = new Subscription(null, security, config, subscriptionDataEnumerator, timeZoneOffsetProvider, start, end, false);
var addTask = new TaskFactory().StartNew(() =>
{
Console.WriteLine("Add task started");
while (DateTime.UtcNow < end)
{
if (!subscriptions.Contains(config))
{
subscriptions.TryAdd(subscription);
}
Thread.Sleep(1);
}
Console.WriteLine("Add task ended");
}, cts.Token);
var removeTask = new TaskFactory().StartNew(() =>
{
Console.WriteLine("Remove task started");
while (DateTime.UtcNow < end)
{
Subscription removed;
subscriptions.TryRemove(config, out removed);
Thread.Sleep(1);
}
Console.WriteLine("Remove task ended");
}, cts.Token);
var readTask = new TaskFactory().StartNew(() =>
{
Console.WriteLine("Read task started");
while (DateTime.UtcNow < end)
{
foreach (var sub in subscriptions)
{
}
Thread.Sleep(1);
}
Console.WriteLine("Read task ended");
}, cts.Token);
Task.WaitAll(addTask, removeTask, readTask);
}
/// <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>())
{
if (!_subscriptions.Contains(universe.Configuration))
{
_subscriptions.TryAdd(CreateUniverseSubscription(universe, 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);
}
};
}
