/// <summary>
/// Add a subclassed algorithm to simulator. Child algorithms can be
/// used to create portfolios of portfolios. Note that a child algorithm
/// is different from an algorithm data source: child algorithms make
/// use of lazy execution. In turn, algorithm data sources run before
/// the algorithm that uses them.
/// </summary>
/// <param name="algo">subclassed algorithm</param>
/// <returns>newly created data source</returns>
protected DataSource AddChildAlgorithm(Algorithm algo)
{
DataSource newSource = DataSource.New(algo);
AddDataSource(newSource);
algo.ParentAlgorithm = this;
_childAlgorithms.Add(algo);
return(newSource);
}
/// <summary>
/// Create new data source and attach it to the simulator. If the
/// simulator already has a data source representing the given algo
/// attached, the call call is ignored.
/// </summary>
/// <param name="algo">algorithm to create data source for</param>
/// <returns>data source created and attached</returns>
protected DataSource AddDataSource(Algorithm algo)
{
foreach (DataSource source in _dataSources)
{
if (source.Algorithm == algo)
{
return(source);
}
}
DataSource newSource = DataSource.New(algo);
_dataSources.Add(newSource);
return(newSource);
}
/// <summary>
/// Create new data source and add to simulator. If the simulator
/// already has a data source with the given nickname, the call
/// is ignored.
/// </summary>
/// <param name="nickname">nickname of data source</param>
/// <returns>newly created data source</returns>
protected DataSource AddDataSource(string nickname)
{
string nickLower = nickname; //.ToLower();
foreach (DataSource source in _dataSources)
{
if (source.Info[DataSourceParam.nickName] == nickLower)
{
return(source);
}
}
DataSource newSource = DataSource.New(nickLower);
_dataSources.Add(newSource);
return(newSource);
}
/// <summary>
/// Create and initialize new splicing data source.
/// </summary>
/// <param name="info">info dictionary</param>
public DataSourceSplice(Dictionary <DataSourceParam, string> info) : base(info)
{
if (!Info.ContainsKey(DataSourceParam.symbolSplice))
{
throw new Exception(string.Format("{0}: {1} missing mandatory symbolSplice key", GetType().Name, info[DataSourceParam.nickName]));
}
_symbols = info[DataSourceParam.symbolSplice].Split(",").ToList();
#if true
string name = null;
string ticker = null;
foreach (var nick in _symbols)
{
var d = DataSource.New(nick);
name = name ?? d.Info[DataSourceParam.name];
ticker = ticker ?? d.Info[DataSourceParam.ticker] + "++";
}
Info[DataSourceParam.name] = name;
Info[DataSourceParam.ticker] = ticker;
#endif
}
/// <summary>
/// Load data into memory.
/// </summary>
/// <param name="startTime">start of load range</param>
/// <param name="endTime">end of load range</param>
override public void LoadData(DateTime startTime, DateTime endTime)
{
var cacheKey = new CacheId(null, "", 0,
Info[DataSourceParam.nickName].GetHashCode(),
startTime.GetHashCode(),
endTime.GetHashCode());
List <Bar> retrievalFunction()
{
DateTime t1 = DateTime.Now;
//Output.Write(string.Format("{0}: loading data for {1}...", GetType().Name, Info[DataSourceParam.nickName]));
// load data from specified data sources
// and save as list of bars, in reverse order
Dictionary <string, List <Bar> > dsBars = new Dictionary <string, List <Bar> >();
foreach (var nick in _symbols)
{
var d = DataSource.New(nick);
try
{
d.LoadData(startTime, endTime);
dsBars[nick] = d.Data.Reverse().ToList();
}
catch (Exception e)
{
Output.WriteLine("{0}: {1} failed to load {2}", this.GetType().Name, Info[DataSourceParam.nickName], nick);
// add an empty list, if need be
// this will be ignored further down during splicing
if (!dsBars.ContainsKey(nick))
{
dsBars[nick] = new List <Bar>();
}
}
//Output.WriteLine("{0}: {1} data range {2:MM/dd/yyyy}, {3:MM/dd/yyyy}", GetType().Name, nick, d.FirstTime, d.LastTime);
}
// create enumerators for all data sources
Dictionary <string, IEnumerator <Bar> > dsEnums = new Dictionary <string, IEnumerator <Bar> >();
Dictionary <string, bool> dsHasData = new Dictionary <string, bool>();
foreach (var nick in _symbols)
{
dsEnums[nick] = dsBars[nick].GetEnumerator();
dsHasData[nick] = dsEnums[nick].MoveNext();
}
// collect bars
List <Bar> bars = new List <Bar>();
Dictionary <string, double> dsScale = new Dictionary <string, double>();
_symbols.ForEach(n => dsScale[n] = 1.0);
while (dsHasData.Values.Aggregate((a, b) => a || b))
{
// find most-recent timestamp
DateTime ts = _symbols
.Where(n => dsHasData[n])
.Select(n => dsEnums[n].Current.Time)
.Max(t => t);
Bar bar = null;
foreach (var nick in _symbols)
{
// no data: continue
if (!dsHasData[nick])
{
continue;
}
// older bar: continue
if (dsEnums[nick].Current.Time < ts)
{
continue;
}
if (bar == null)
{
// highest priority bar
Bar rawBar = dsEnums[nick].Current;
double open = rawBar.Open * dsScale[nick];
double high = rawBar.High * dsScale[nick];
double low = rawBar.Low * dsScale[nick];
double close = rawBar.Close * dsScale[nick];
long volume = 0;
bar = Bar.NewOHLC(Info[DataSourceParam.ticker], ts, open, high, low, close, volume);
bars.Add(bar);
}
else
{
// lower priority bars
Bar rawBar = dsEnums[nick].Current;
List <double> scales = new List <double>
{
bar.Open / rawBar.Open,
bar.High / rawBar.High,
bar.Low / rawBar.Low,
bar.Close / rawBar.Close,
};
dsScale[nick] = scales.Average();
}
dsHasData[nick] = dsEnums[nick].MoveNext();
}
}
// reverse order of bars
bars.Reverse();
DateTime t2 = DateTime.Now;
//Output.WriteLine(string.Format(" finished after {0:F1} seconds", (t2 - t1).TotalSeconds));
return(bars);
};
List <Bar> data = Cache <List <Bar> > .GetData(cacheKey, retrievalFunction);
if (data.Count == 0)
{
throw new Exception(string.Format("{0}: no data for {1}", GetType().Name, Info[DataSourceParam.nickName]));
}
Data = data;
}
/// <summary>
/// Load data into memory.
/// </summary>
/// <param name="startTime">start of load range</param>
/// <param name="endTime">end of load range</param>
public override IEnumerable <Bar> LoadData(DateTime startTime, DateTime endTime)
{
var cacheKey = new CacheId(null, "", 0,
Info[DataSourceParam.nickName].GetHashCode(),
startTime.GetHashCode(),
endTime.GetHashCode());
List <Bar> retrievalFunction()
{
DateTime t1 = DateTime.Now;
//Output.Write(string.Format("{0}: loading data for {1}...", GetType().Name, Info[DataSourceParam.nickName]));
// load data from specified data sources
// and save as list of bars, in reverse order
Dictionary <string, List <Bar> > dsBars = new Dictionary <string, List <Bar> >();
foreach (var nick in _symbols)
{
var d = DataSource.New(nick);
try
{
var data = d.LoadData(startTime, endTime);
dsBars[nick] = data.Reverse().ToList();
}
catch (Exception /*e*/)
{
Output.WriteLine("{0}: {1} failed to load {2}", this.GetType().Name, Info[DataSourceParam.nickName], nick);
// add an empty list, if need be
// this will be ignored further down during splicing
if (!dsBars.ContainsKey(nick))
{
dsBars[nick] = new List <Bar>();
}
}
//Output.WriteLine("{0}: {1} data range {2:MM/dd/yyyy}, {3:MM/dd/yyyy}", GetType().Name, nick, d.FirstTime, d.LastTime);
}
// create enumerators for all data sources
Dictionary <string, IEnumerator <Bar> > dsEnums = new Dictionary <string, IEnumerator <Bar> >();
Dictionary <string, bool> dsHasData = new Dictionary <string, bool>();
foreach (var nick in _symbols)
{
dsEnums[nick] = dsBars[nick].GetEnumerator();
dsHasData[nick] = dsEnums[nick].MoveNext();
}
// skip bars from all proxy datasources, so that no proxy
// has bars after the primary datasource
// example: extending GLD w/ XAUUSD. because XAUUSD has
// a different trading calendar, XAUUSD might have bars
// after GLD, leading to faulty results
var lastPrimary = dsEnums[_symbols.First()].Current.Time;
foreach (var nick in _symbols)
{
while (dsHasData[nick] && dsEnums[nick].Current.Time > lastPrimary)
{
dsHasData[nick] = dsEnums[nick].MoveNext();
}
}
// collect bars
List <Bar> bars = new List <Bar>();
Dictionary <string, double?> dsScale = new Dictionary <string, double?>();
_symbols.ForEach(n => dsScale[n] = null);
dsScale[_symbols.First()] = 1.0;
while (dsHasData.Values.Aggregate((a, b) => a || b))
{
// find most-recent timestamp
DateTime ts = _symbols
.Where(n => dsHasData[n])
.Select(n => dsEnums[n].Current.Time)
.Max(t => t);
Bar bar = null;
foreach (var nick in _symbols)
{
// no data: continue
if (!dsHasData[nick])
{
continue;
}
// older bar: continue
if (dsEnums[nick].Current.Time < ts)
{
continue;
}
if (bar == null)
{
// highest priority bar
Bar rawBar = dsEnums[nick].Current;
// we might get here, with dsScale not set yet.
// this is the best we can do to fix things
if (dsScale[nick] == null)
{
dsScale[nick] = bars.Last().Open / rawBar.Close;
}
double open = rawBar.Open * (double)dsScale[nick];
double high = rawBar.High * (double)dsScale[nick];
double low = rawBar.Low * (double)dsScale[nick];
double close = rawBar.Close * (double)dsScale[nick];
long volume = 0;
bar = Bar.NewOHLC(Info[DataSourceParam.ticker], ts, open, high, low, close, volume);
bars.Add(bar);
}
else
{
// lower priority bars
Bar rawBar = dsEnums[nick].Current;
List <double> scales = new List <double>
{
bar.Open / rawBar.Open,
bar.High / rawBar.High,
bar.Low / rawBar.Low,
bar.Close / rawBar.Close,
};
dsScale[nick] = scales.Average();
}
dsHasData[nick] = dsEnums[nick].MoveNext();
}
}
// reverse order of bars
bars.Reverse();
DateTime t2 = DateTime.Now;
//Output.WriteLine(string.Format(" finished after {0:F1} seconds", (t2 - t1).TotalSeconds));
return(bars);
};
List <Bar> data = Cache <List <Bar> > .GetData(cacheKey, retrievalFunction, true);
if (data.Count == 0)
{
throw new Exception(string.Format("{0}: no data for {1}", GetType().Name, Info[DataSourceParam.nickName]));
}
CachedData = data;
return(data);
}
