/// <summary>
/// Sets the <see cref="TimeSliceFactory"/> instance to use
/// </summary>
/// <param name="timeSliceFactory">Used to create the new <see cref="TimeSlice"/></param>
public void SetTimeSliceFactory(TimeSliceFactory timeSliceFactory)
{
if (_timeSliceFactory != null)
{
throw new Exception("SubscriptionSynchronizer.SetTimeSliceFactory(): can only be called once");
}
_timeSliceFactory = timeSliceFactory;
}
/// <summary>
/// Performs additional initialization steps after algorithm initialization
/// </summary>
protected virtual void PostInitialize()
{
SubscriptionSynchronizer.SubscriptionFinished += (sender, subscription) =>
{
SubscriptionManager.RemoveSubscription(subscription.Configuration);
Log.Debug("Synchronizer.SubscriptionFinished(): Finished subscription:" +
$"{subscription.Configuration} at {FrontierTimeProvider.GetUtcNow()} UTC");
};
// this is set after the algorithm initializes
_dateTimeZone = Algorithm.TimeZone;
TimeSliceFactory = new TimeSliceFactory(_dateTimeZone);
SubscriptionSynchronizer.SetTimeSliceFactory(TimeSliceFactory);
}
private void PostInitialize()
{
_subscriptionSynchronizer.SubscriptionFinished += (sender, subscription) =>
{
_subscriptionManager.RemoveSubscription(subscription.Configuration);
Log.Debug("Synchronizer.SubscriptionFinished(): Finished subscription:" +
$"{subscription.Configuration} at {FrontierTimeProvider.GetUtcNow()} UTC");
};
// this is set after the algorithm initializes
_dateTimeZone = _algorithm.TimeZone;
_timeSliceFactory = new TimeSliceFactory(_dateTimeZone);
_subscriptionSynchronizer.SetTimeSliceFactory(_timeSliceFactory);
if (!_liveMode)
{
// GetTimeProvider() will call GetInitialFrontierTime() which
// will consume added subscriptions so we need to do this after initialization
TimeProvider = GetTimeProvider();
_subscriptionSynchronizer.SetTimeProvider(TimeProvider);
}
}
/// <summary>
/// Returns an enumerable which provides the data to stream to the algorithm
/// </summary>
public override IEnumerable <TimeSlice> StreamData(CancellationToken cancellationToken)
{
PostInitialize();
var shouldSendExtraEmptyPacket = false;
var nextEmit = DateTime.MinValue;
var lastLoopStart = DateTime.UtcNow;
var enumerator = SubscriptionSynchronizer
.Sync(SubscriptionManager.DataFeedSubscriptions, cancellationToken)
.GetEnumerator();
var previousWasTimePulse = false;
while (!cancellationToken.IsCancellationRequested)
{
var now = DateTime.UtcNow;
if (!previousWasTimePulse)
{
if (!_newLiveDataEmitted.IsSet)
{
// if we just crossed into the next second let's loop again, we will flush any consolidator bar
// else we will wait to be notified by the subscriptions or our scheduled event service every second
if (lastLoopStart.Second == now.Second)
{
_realTimeScheduleEventService.ScheduleEvent(TimeSpan.FromMilliseconds(GetPulseDueTime(now)), now);
_newLiveDataEmitted.Wait();
}
}
_newLiveDataEmitted.Reset();
}
lastLoopStart = now;
TimeSlice timeSlice;
try
{
if (!enumerator.MoveNext())
{
// the enumerator ended
break;
}
timeSlice = enumerator.Current;
}
catch (Exception err)
{
Log.Error(err);
// notify the algorithm about the error, so it can be reported to the user
Algorithm.RunTimeError = err;
Algorithm.Status = AlgorithmStatus.RuntimeError;
shouldSendExtraEmptyPacket = true;
break;
}
// check for cancellation
if (timeSlice == null || cancellationToken.IsCancellationRequested)
{
break;
}
var frontierUtc = FrontierTimeProvider.GetUtcNow();
// emit on data or if we've elapsed a full second since last emit or there are security changes
if (timeSlice.SecurityChanges != SecurityChanges.None ||
timeSlice.IsTimePulse ||
timeSlice.Data.Count != 0 ||
frontierUtc >= nextEmit)
{
previousWasTimePulse = timeSlice.IsTimePulse;
yield return(timeSlice);
// force emitting every second since the data feed is
// the heartbeat of the application
nextEmit = frontierUtc.RoundDown(Time.OneSecond).Add(Time.OneSecond);
}
}
if (shouldSendExtraEmptyPacket)
{
// send last empty packet list before terminating,
// so the algorithm manager has a chance to detect the runtime error
// and exit showing the correct error instead of a timeout
nextEmit = FrontierTimeProvider.GetUtcNow().RoundDown(Time.OneSecond);
if (!cancellationToken.IsCancellationRequested)
{
var timeSlice = TimeSliceFactory.Create(
nextEmit,
new List <DataFeedPacket>(),
SecurityChanges.None,
new Dictionary <Universe, BaseDataCollection>());
yield return(timeSlice);
}
}
enumerator.DisposeSafely();
Log.Trace("LiveSynchronizer.GetEnumerator(): Exited thread.");
}
/// <summary>
/// Returns an enumerable which provides the data to stream to the algorithm
/// </summary>
public override IEnumerable <TimeSlice> StreamData(CancellationToken cancellationToken)
{
PostInitialize();
var shouldSendExtraEmptyPacket = false;
var nextEmit = DateTime.MinValue;
while (!cancellationToken.IsCancellationRequested)
{
_newLiveDataEmitted.WaitOne(TimeSpan.FromMilliseconds(500));
TimeSlice timeSlice;
try
{
timeSlice = SubscriptionSynchronizer.Sync(SubscriptionManager.DataFeedSubscriptions);
}
catch (Exception err)
{
Log.Error(err);
// notify the algorithm about the error, so it can be reported to the user
Algorithm.RunTimeError = err;
Algorithm.Status = AlgorithmStatus.RuntimeError;
shouldSendExtraEmptyPacket = true;
break;
}
// check for cancellation
if (cancellationToken.IsCancellationRequested)
{
break;
}
var frontierUtc = FrontierTimeProvider.GetUtcNow();
// emit on data or if we've elapsed a full second since last emit or there are security changes
if (timeSlice.SecurityChanges != SecurityChanges.None ||
timeSlice.Data.Count != 0 ||
frontierUtc >= nextEmit)
{
yield return(timeSlice);
// force emitting every second since the data feed is
// the heartbeat of the application
nextEmit = frontierUtc.RoundDown(Time.OneSecond).Add(Time.OneSecond);
}
}
if (shouldSendExtraEmptyPacket)
{
// send last empty packet list before terminating,
// so the algorithm manager has a chance to detect the runtime error
// and exit showing the correct error instead of a timeout
nextEmit = FrontierTimeProvider.GetUtcNow().RoundDown(Time.OneSecond);
if (!cancellationToken.IsCancellationRequested)
{
var timeSlice = TimeSliceFactory.Create(
nextEmit,
new List <DataFeedPacket>(),
SecurityChanges.None,
new Dictionary <Universe, BaseDataCollection>());
yield return(timeSlice);
}
}
Log.Trace("LiveSynchronizer.GetEnumerator(): Exited thread.");
}