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); }
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(); }
/// <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); } }; }