/// <summary>
/// Initializes the real time handler for the specified algorithm and job
/// </summary>
public void Setup(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler, IApi api, IIsolatorLimitResultProvider isolatorLimitProvider)
{
//Initialize:
Algorithm = algorithm;
ResultHandler = resultHandler;
_isolatorLimitProvider = isolatorLimitProvider;
_cancellationTokenSource = new CancellationTokenSource();
_marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var todayInAlgorithmTimeZone = DateTime.UtcNow.ConvertFromUtc(Algorithm.TimeZone).Date;
// refresh the market hours for today explicitly, and then set up an event to refresh them each day at midnight
RefreshMarketHoursToday(todayInAlgorithmTimeZone);
// every day at midnight from tomorrow until the end of time
var times =
from date in Time.EachDay(todayInAlgorithmTimeZone.AddDays(1), Time.EndOfTime)
select date.ConvertToUtc(Algorithm.TimeZone);
Add(new ScheduledEvent("RefreshMarketHours", times, (name, triggerTime) =>
{
// refresh market hours from api every day
RefreshMarketHoursToday(triggerTime.ConvertFromUtc(Algorithm.TimeZone).Date);
}));
base.Setup(todayInAlgorithmTimeZone, Time.EndOfTime, job.Language, DateTime.UtcNow);
foreach (var scheduledEvent in ScheduledEvents)
{
// zoom past old events
scheduledEvent.Key.SkipEventsUntil(algorithm.UtcTime);
// set logging accordingly
scheduledEvent.Key.IsLoggingEnabled = Log.DebuggingEnabled;
}
}
/// <summary>
/// Convenience method for invoking a scheduled event's Scan method inside the <see cref="IsolatorLimitResultProvider"/>
/// </summary>
public static void Consume(
this IIsolatorLimitResultProvider isolatorLimitProvider,
ScheduledEvent scheduledEvent,
DateTime scanTimeUtc
)
{
// perform initial filtering to prevent starting a task when not necessary
if (scheduledEvent.NextEventUtcTime > scanTimeUtc)
{
return;
}
var timeProvider = RealTimeProvider.Instance;
isolatorLimitProvider.Consume(timeProvider, () => scheduledEvent.Scan(scanTimeUtc));
}
/// <summary>
/// Executes the provided code block and while the code block is running, continually consume from
/// the limit result provided one token each minute. This function allows the code to run for the
/// first full minute without requesting additional time from the provider. Following that, every
/// minute an additional one minute will be requested from the provider.
/// </summary>
/// <remarks>
/// This method exists to support scheduled events, and as such, intercepts any errors raised via the
/// provided code and wraps them in a <see cref="ScheduledEventException"/>. If in the future this is
/// usable elsewhere, consider refactoring to handle the errors in a different fashion.
/// </remarks>
public static void Consume(
this IIsolatorLimitResultProvider isolatorLimitProvider,
ITimeProvider timeProvider,
Action code,
TimeMonitor timeMonitor
)
{
var consumer = new TimeConsumer
{
IsolatorLimitProvider = isolatorLimitProvider,
TimeProvider = timeProvider
};
timeMonitor.Add(consumer);
code();
consumer.Finished = true;
}
/// <summary>
/// Initializes the real time handler for the specified algorithm and job
/// </summary>
public void Setup(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler, IApi api, IIsolatorLimitResultProvider isolatorLimitProvider)
{
//Initialize:
Algorithm = algorithm;
ResultHandler = resultHandler;
_isolatorLimitProvider = isolatorLimitProvider;
// create events for algorithm's end of tradeable dates
// set up the events for each security to fire every tradeable date before market close
base.Setup(Algorithm.StartDate, Algorithm.EndDate);
foreach (var scheduledEvent in GetScheduledEventsSortedByTime())
{
// zoom past old events
scheduledEvent.SkipEventsUntil(algorithm.UtcTime);
// set logging accordingly
scheduledEvent.IsLoggingEnabled = Log.DebuggingEnabled;
}
}
/// <summary>
/// Executes the provided code block and while the code block is running, continually consume from
/// the limit result provided one token each minute. This function allows the code to run for the
/// first full minute without requesting additional time from the provider. Following that, every
/// minute an additional one minute will be requested from the provider.
/// </summary>
/// <remarks>
/// This method exists to support scheduled events, and as such, intercepts any errors raised via the
/// provided code and wraps them in a <see cref="ScheduledEventException"/>. If in the future this is
/// usable elsewhere, consider refactoring to handle the errors in a different fashion.
/// </remarks>
public static void Consume(
this IIsolatorLimitResultProvider isolatorLimitProvider,
ITimeProvider timeProvider,
Action code
)
{
var finished = 0L;
Task.Run(async() =>
{
if (Interlocked.Read(ref finished) != 0L)
{
// case when the code block has virtually no code in it and
// was able to complete faster than the task was able to start
return;
}
var next = timeProvider.GetUtcNow().AddMinutes(1);
while (Interlocked.Read(ref finished) == 0L)
{
if (timeProvider.GetUtcNow() >= next)
{
// each minute request additional time from the isolator
next = next.AddMinutes(1);
// this will throw and notify the isolator that we've exceed the limits
isolatorLimitProvider.RequestAdditionalTime(minutes: 1);
}
await Task.Delay(5).ConfigureAwait(false);
}
});
code();
Interlocked.Increment(ref finished);
}
public void Setup(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler, IApi api, IIsolatorLimitResultProvider isolatorLimitProvider)
{
}
/// <summary>
/// Initializes the real time handler for the specified algorithm and job
/// </summary>
public override void Setup(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler, IApi api, IIsolatorLimitResultProvider isolatorLimitProvider)
{
// create events for algorithm's end of tradeable dates
// set up the events for each security to fire every tradeable date before market close
base.Setup(algorithm, job, resultHandler, api, isolatorLimitProvider);
foreach (var scheduledEvent in GetScheduledEventsSortedByTime())
{
// zoom past old events
scheduledEvent.SkipEventsUntil(algorithm.UtcTime);
// set logging accordingly
scheduledEvent.IsLoggingEnabled = Log.DebuggingEnabled;
}
// after skipping events we should re order
_sortingScheduledEventsRequired = true;
}
