/// <summary>
/// Initializes a new instance of the <see cref="InsightAnalysisContext"/> class
/// </summary>
/// <param name="insight">The insight to be analyzed</param>
/// <param name="initialValues">The initial security values from when the insight was generated</param>
/// <param name="analysisPeriod">The period over which to perform analysis of the insight. This should be
/// greater than or equal to <see cref="Alphas.Insight.Period"/>. Specify null for default, insight.Period</param>
public InsightAnalysisContext(Insight insight, SecurityValues initialValues, TimeSpan analysisPeriod)
{
Insight = insight;
_contextStorage = new Dictionary <string, object>();
CurrentValues = InitialValues = initialValues;
_previousEvaluationTimeUtc = CurrentValues.TimeUtc;
// this will always be equal when the InsightManager is initialized with extraAnalysisPeriodRatio == 0
// this is the way LEAN run in the cloud and locally, but support for non-zero ratios are left in for posterity
// by short-circuiting this here, we guarantee that analysis end time and close time are identical
if (analysisPeriod == insight.Period)
{
AnalysisEndTimeUtc = insight.CloseTimeUtc;
}
else
{
var barSize = Time.Max(analysisPeriod.ToHigherResolutionEquivalent(false).ToTimeSpan(), Time.OneMinute);
var barCount = (int)(insight.Period.Ticks / barSize.Ticks);
AnalysisEndTimeUtc = Time.GetEndTimeForTradeBars(initialValues.ExchangeHours, insight.CloseTimeUtc, analysisPeriod.ToHigherResolutionEquivalent(false).ToTimeSpan(), barCount, false);
}
_analysisPeriod = AnalysisEndTimeUtc - initialValues.TimeUtc;
}
/// <summary>
/// Sets the <see cref="CurrentValues"/>
/// </summary>
internal void SetCurrentValues(SecurityValues values)
{
_previousEvaluationTimeUtc = CurrentValues.TimeUtc;
if (values.TimeUtc >= InsightPeriodEndTimeUtc)
{
InsightPeriodClosed = true;
}
CurrentValues = values;
}
/// <summary>
/// Initializes a new instance of the <see cref="AlphaAnalysisContext"/> class
/// </summary>
/// <param name="alpha">The alpha to be analyzed</param>
/// <param name="initialValues">The initial security values from when the alpha was generated</param>
/// <param name="analysisPeriod">The period over which to perform analysis of the alpha. This should be
/// greater than or equal to <see cref="Alpha.Period"/>. Specify null for default, alpha.Period</param>
public AlphaAnalysisContext(Alpha alpha, SecurityValues initialValues, TimeSpan analysisPeriod)
{
Alpha = alpha;
AnalysisPeriod = analysisPeriod;
_contextStorage = new Dictionary <string, object>();
CurrentValues = InitialValues = initialValues;
_previousEvaluationTimeUtc = CurrentValues.TimeUtc;
AnalysisEndTimeUtc = Alpha.GeneratedTimeUtc + analysisPeriod;
}
/// <summary>
/// Initializes a new instance of the <see cref="InsightAnalysisContext"/> class
/// </summary>
/// <param name="insight">The insight to be analyzed</param>
/// <param name="initialValues">The initial security values from when the insight was generated</param>
/// <param name="analysisPeriod">The period over which to perform analysis of the insight. This should be
/// greater than or equal to <see cref="Alphas.Insight.Period"/>. Specify null for default, insight.Period</param>
public InsightAnalysisContext(Insight insight, SecurityValues initialValues, TimeSpan analysisPeriod)
{
Insight = insight;
_contextStorage = new Dictionary <string, object>();
CurrentValues = InitialValues = initialValues;
_previousEvaluationTimeUtc = CurrentValues.TimeUtc;
var barSize = Time.Max(analysisPeriod.ToHigherResolutionEquivalent(false).ToTimeSpan(), Time.OneMinute);
var barCount = (int)(insight.Period.Ticks / barSize.Ticks);
AnalysisEndTimeUtc = Time.GetEndTimeForTradeBars(initialValues.ExchangeHours, insight.CloseTimeUtc, analysisPeriod.ToHigherResolutionEquivalent(false).ToTimeSpan(), barCount, false);
_analysisPeriod = AnalysisEndTimeUtc - initialValues.TimeUtc;
}
/// <summary>
/// Initializes a new instance of the <see cref="AlphaAnalysisContext"/> class
/// </summary>
/// <param name="alpha">The alpha to be analyzed</param>
/// <param name="initialValues">The initial security values from when the alpha was generated</param>
/// <param name="analysisPeriod">The period over which to perform analysis of the alpha. This should be
/// greater than or equal to <see cref="Alphas.Alpha.Period"/>. Specify null for default, alpha.Period</param>
public AlphaAnalysisContext(Alpha alpha, SecurityValues initialValues, TimeSpan analysisPeriod)
{
Alpha = alpha;
_contextStorage = new Dictionary <string, object>();
CurrentValues = InitialValues = initialValues;
_previousEvaluationTimeUtc = CurrentValues.TimeUtc;
AlphaPeriodEndTimeUtc = alpha.GeneratedTimeUtc + alpha.Period;
var barSize = Time.Max(analysisPeriod.ToHigherResolutionEquivalent(false).ToTimeSpan(), Time.OneMinute);
var barCount = (int)(alpha.Period.Ticks / barSize.Ticks);
AnalysisEndTimeUtc = Time.GetEndTimeForTradeBars(initialValues.ExchangeHours, alpha.CloseTimeUtc, analysisPeriod.ToHigherResolutionEquivalent(false).ToTimeSpan(), barCount, false);
_analysisPeriod = AnalysisEndTimeUtc - initialValues.TimeUtc;
}
/// <summary>
/// Sets the <see cref="CurrentValues"/>
/// </summary>
internal void SetCurrentValues(SecurityValues values)
{
_previousEvaluationTimeUtc = CurrentValues.TimeUtc;
if (values.TimeUtc >= Insight.CloseTimeUtc)
{
InsightPeriodClosed = true;
if (Insight.Period == Time.EndOfTimeTimeSpan)
{
// Special case, see OrderBasedInsightGenerator
AnalysisEndTimeUtc = Insight.CloseTimeUtc;
Insight.Period = Insight.CloseTimeUtc - Insight.GeneratedTimeUtc;
}
}
CurrentValues = values;
}
/// <summary>
/// Sets the <see cref="CurrentValues"/>
/// </summary>
internal void SetCurrentValues(SecurityValues values)
{
_previousEvaluationTimeUtc = CurrentValues.TimeUtc;
CurrentValues = values;
}
