/// <summary>
/// Steps the manager forward in time, accepting new state information and potentialy newly generated alphas
/// </summary>
/// <param name="frontierTimeUtc">The frontier time of the alpha analysis</param>
/// <param name="securityValuesCollection">Snap shot of the securities at the frontier time</param>
/// <param name="generatedAlphas">Any alpha generated by the algorithm at the frontier time</param>
public void Step(DateTime frontierTimeUtc, ReadOnlySecurityValuesCollection securityValuesCollection, AlphaCollection generatedAlphas)
{
if (generatedAlphas != null && generatedAlphas.Alphas.Count > 0)
{
foreach (var alpha in generatedAlphas.Alphas)
{
// save initial security values and deterine analysis period
var initialValues = securityValuesCollection[alpha.Symbol];
var analysisPeriod = alpha.Period + TimeSpan.FromTicks((long)(_extraAnalysisPeriodRatio * alpha.Period.Ticks));
// set this as an open analysis context
var context = new AlphaAnalysisContext(alpha, initialValues, analysisPeriod);
_openAlphaContexts.Add(context);
// let everyone know we've received alpha
OnAlphaReceived(context);
}
}
UpdateScores(securityValuesCollection);
foreach (var extension in _extensions)
{
extension.Step(frontierTimeUtc);
}
}
/// <summary>
/// Add alphas to the manager from the collection
/// </summary>
/// <param name="collection">The alpha collection emitted from <see cref="IAlgorithm.AlphasGenerated"/></param>
public void AddAlphas(AlphaCollection collection)
{
foreach (var alpha in collection.Alphas)
{
// save initial security values and deterine analysis period
var initialValues = _securityValuesProvider.GetValues(alpha.Symbol);
var analysisPeriod = alpha.Period + TimeSpan.FromTicks((long)(_extraAnalysisPeriodRatio * alpha.Period.Ticks));
// set this as an open analysis context
var context = new AlphaAnalysisContext(alpha, initialValues, analysisPeriod);
_openAlphaContexts[alpha.Id] = context;
// let everyone know we've received alpha
OnAlphaReceived(context);
}
}
/// <summary>
/// Event invocator for the <see cref="AlphaReceived"/> event
/// </summary>
/// <param name="context">The context whose alpha was generated this time step</param>
protected virtual void OnAlphaReceived(AlphaAnalysisContext context)
{
AlphaReceived?.Invoke(this, context);
}
/// <summary>
/// Event invocator for the <see cref="AlphaAnalysisCompleted"/> event
/// </summary>
/// <param name="context">The context whose analysis period and scoring has finalized</param>
protected virtual void OnAlphaScoringFinalzed(AlphaAnalysisContext context)
{
AlphaAnalysisCompleted?.Invoke(this, context);
}
/// <summary>
/// Event invocator for the <see cref="AlphaClosed"/> event
/// </summary>
/// <param name="context">The context whose alpha period has closed</param>
protected virtual void OnAlphaPeriodCompleted(AlphaAnalysisContext context)
{
AlphaClosed?.Invoke(this, context);
}
/// <summary>
/// Event invocator for the <see cref="AlphaReceived"/> event
/// </summary>
/// <param name="context">The context whose alpha was generated this time step</param>
protected virtual void OnAlphaReceived(AlphaAnalysisContext context)
{
_extensions.ForEach(e => e.OnAlphaGenerated(context));
}
/// <summary>
/// Event invocator for the <see cref="AlphaAnalysisCompleted"/> event
/// </summary>
/// <param name="context">The context whose analysis period and scoring has finalized</param>
protected virtual void OnAlphaAnalysisCompleted(AlphaAnalysisContext context)
{
_extensions.ForEach(e => e.OnAlphaAnalysisCompleted(context));
}
