/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*
*/
using System;
using System.Collections.Concurrent;
using System.Collections.Generic;
using System.Linq;
using System.Threading;
using QuantConnect.Data;
using QuantConnect.Interfaces;
using QuantConnect.Logging;
namespace QuantConnect.Lean.Engine.DataFeeds
{
///
/// Provides a means of distributing output from enumerators from a dedicated separate thread
///
public class BaseDataExchange
{
private int _sleepInterval = 1;
private volatile bool _isStopping = false;
private Func _isFatalError;
private readonly string _name;
private readonly object _enumeratorsWriteLock = new object();
private readonly ConcurrentDictionary _dataHandlers;
private ConcurrentDictionary _enumerators;
///
/// Gets or sets how long this thread will sleep when no data is available
///
public int SleepInterval
{
get { return _sleepInterval; }
set { if (value > -1) _sleepInterval = value; }
}
///
/// Gets a name for this exchange
///
public string Name
{
get { return _name; }
}
///
/// Initializes a new instance of the
///
/// A name for this exchange
public BaseDataExchange(string name)
{
_name = name;
_isFatalError = x => false;
_dataHandlers = new ConcurrentDictionary();
_enumerators = new ConcurrentDictionary();
}
///
/// Adds the enumerator to this exchange. If it has already been added
/// then it will remain registered in the exchange only once
///
/// The handler to use when this symbol's data is encountered
public void AddEnumerator(EnumeratorHandler handler)
{
_enumerators[handler.Symbol] = handler;
}
///
/// Adds the enumerator to this exchange. If it has already been added
/// then it will remain registered in the exchange only once
///
/// A unique symbol used to identify this enumerator
/// The enumerator to be added
/// Function used to determine if move next should be called on this
/// enumerator, defaults to always returning true
/// Delegate called when the enumerator move next returns false
public void AddEnumerator(Symbol symbol, IEnumerator enumerator, Func shouldMoveNext = null, Action enumeratorFinished = null)
{
var enumeratorHandler = new EnumeratorHandler(symbol, enumerator, shouldMoveNext);
if (enumeratorFinished != null)
{
enumeratorHandler.EnumeratorFinished += (sender, args) => enumeratorFinished(args);
}
AddEnumerator(enumeratorHandler);
}
///
/// Sets the specified function as the error handler. This function
/// returns true if it is a fatal error and queue consumption should
/// cease.
///
/// The error handling function to use when an
/// error is encountered during queue consumption. Returns true if queue
/// consumption should be stopped, returns false if queue consumption should
/// continue
public void SetErrorHandler(Func isFatalError)
{
// default to false;
_isFatalError = isFatalError ?? (x => false);
}
///
/// Sets the specified hander function to handle data for the handler's symbol
///
/// The handler to use when this symbol's data is encountered
/// An identifier that can be used to remove this handler
public void SetDataHandler(DataHandler handler)
{
_dataHandlers[handler.Symbol] = handler;
}
///
/// Sets the specified hander function to handle data for the handler's symbol
///
/// The symbol whose data is to be handled
/// The handler to use when this symbol's data is encountered
/// An identifier that can be used to remove this handler
public void SetDataHandler(Symbol symbol, Action handler)
{
var dataHandler = new DataHandler(symbol);
dataHandler.DataEmitted += (sender, args) => handler(args);
SetDataHandler(dataHandler);
}
///
/// Adds the specified hander function to handle data for the handler's symbol
///
/// The symbol whose data is to be handled
/// The handler to use when this symbol's data is encountered
/// An identifier that can be used to remove this handler
public void AddDataHandler(Symbol symbol, Action handler)
{
_dataHandlers.AddOrUpdate(symbol,
x =>
{
var dataHandler = new DataHandler(symbol);
dataHandler.DataEmitted += (sender, args) => handler(args);
return dataHandler;
},
(x, existingHandler) =>
{
existingHandler.DataEmitted += (sender, args) => handler(args);
return existingHandler;
});
}
///
/// Removes the handler with the specified identifier
///
/// The symbol to remove handlers for
public bool RemoveDataHandler(Symbol symbol)
{
DataHandler handler;
return _dataHandlers.TryRemove(symbol, out handler);
}
///
/// Removes and returns enumerator handler with the specified symbol.
/// The removed handler is returned, null if not found
///
public EnumeratorHandler RemoveEnumerator(Symbol symbol)
{
EnumeratorHandler handler;
if (_enumerators.TryRemove(symbol, out handler))
{
handler.OnEnumeratorFinished();
handler.Enumerator.Dispose();
}
return handler;
}
///
/// Begins consumption of the wrapped on
/// a separate thread
///
/// A cancellation token used to signal to stop
public void Start(CancellationToken? token = null)
{
Log.Trace("BaseDataExchange({0}) Starting...", Name);
_isStopping = false;
ConsumeEnumerators(token ?? CancellationToken.None);
}
///
/// Ends consumption of the wrapped
///
public void Stop()
{
Log.Trace("BaseDataExchange({0}) Stopping...", Name);
_isStopping = true;
}
/// Entry point for queue consumption
/// A cancellation token used to signal to stop
/// This function only returns after is called or the token is cancelled
private void ConsumeEnumerators(CancellationToken token)
{
while (true)
{
if (_isStopping || token.IsCancellationRequested)
{
_isStopping = true;
var request = token.IsCancellationRequested ? "Cancellation requested" : "Stop requested";
Log.Trace("BaseDataExchange({0}).ConsumeQueue(): {1}. Exiting...", Name, request);
return;
}
try
{
// call move next each enumerator and invoke the appropriate handlers
var handled = false;
foreach (var kvp in _enumerators)
{
if (_isStopping)
{
break;
}
var enumeratorHandler = kvp.Value;
var enumerator = enumeratorHandler.Enumerator;
// check to see if we should advance this enumerator
if (!enumeratorHandler.ShouldMoveNext()) continue;
if (!enumerator.MoveNext())
{
enumeratorHandler.OnEnumeratorFinished();
enumeratorHandler.Enumerator.Dispose();
_enumerators.TryRemove(enumeratorHandler.Symbol, out enumeratorHandler);
continue;
}
if (enumerator.Current == null) continue;
// if the enumerator is configured to handle it, then do it, don't pass to data handlers
if (enumeratorHandler.HandlesData)
{
handled = true;
enumeratorHandler.HandleData(enumerator.Current);
continue;
}
// invoke the correct handler
DataHandler dataHandler;
if (_dataHandlers.TryGetValue(enumerator.Current.Symbol, out dataHandler))
{
handled = true;
dataHandler.OnDataEmitted(enumerator.Current);
}
}
// if we didn't handle anything on this past iteration, take a nap
if (!handled && _sleepInterval != 0)
{
Thread.Sleep(_sleepInterval);
}
}
catch (Exception err)
{
Log.Error(err);
if (_isFatalError(err))
{
Log.Trace("BaseDataExchange({0}).ConsumeQueue(): Fatal error encountered. Exiting...", Name);
return;
}
}
}
}
///
/// Handler used to handle data emitted from enumerators
///
public class DataHandler
{
///
/// Event fired when MoveNext returns true and Current is non-null
///
public event EventHandler DataEmitted;
///
/// The symbol this handler handles
///
public readonly Symbol Symbol;
///
/// Initializes a new instance of the class
///
/// The symbol whose data is to be handled
public DataHandler(Symbol symbol)
{
Symbol = symbol;
}
///
/// Event invocator for the event
///
/// The data being emitted
public void OnDataEmitted(BaseData data)
{
var handler = DataEmitted;
if (handler != null) handler(this, data);
}
}
///
/// Handler used to manage a single enumerator's move next/end of stream behavior
///
public class EnumeratorHandler
{
private readonly Func _shouldMoveNext;
private readonly Action _handleData;
///
/// Event fired when MoveNext returns false
///
public event EventHandler EnumeratorFinished;
///
/// A unique symbol used to identify this enumerator
///
public readonly Symbol Symbol;
///
/// The enumerator this handler handles
///
public readonly IEnumerator Enumerator;
///
/// Determines whether or not this handler is to be used for handling the
/// data emitted. This is useful when enumerators are not for a single symbol,
/// such is the case with universe subscriptions
///
public readonly bool HandlesData;
///
/// Initializes a new instance of the class
///
/// The symbol to identify this enumerator
/// The enumeator this handler handles
/// Predicate function used to determine if we should call move next
/// on the symbol's enumerator
/// Handler for data if HandlesData=true
public EnumeratorHandler(Symbol symbol, IEnumerator enumerator, Func shouldMoveNext = null, Action handleData = null)
{
Symbol = symbol;
Enumerator = enumerator;
HandlesData = handleData != null;
_handleData = handleData ?? (data => { });
_shouldMoveNext = shouldMoveNext ?? (() => true);
}
///
/// Initializes a new instance of the class
///
/// The symbol to identify this enumerator
/// The enumeator this handler handles
/// True if this handler will handle the data, false otherwise
protected EnumeratorHandler(Symbol symbol, IEnumerator enumerator, bool handlesData)
{
Symbol = symbol;
HandlesData = handlesData;
Enumerator = enumerator;
_handleData = data => { };
_shouldMoveNext = () => true;
}
///
/// Event invocator for the event
///
public virtual void OnEnumeratorFinished()
{
var handler = EnumeratorFinished;
if (handler != null) handler(this, this);
}
///
/// Returns true if this enumerator should move next
///
public virtual bool ShouldMoveNext()
{
return _shouldMoveNext();
}
///
/// Handles the specified data.
///
/// The data to be handled
public virtual void HandleData(BaseData data)
{
_handleData(data);
}
}
}
}