Martin Molinero
ee4f8fee82
- `TimeSliceFactory` will avoid creating empty collections - `ExecutionModels` will check target collection count before trying to enumerate - Reduce calls to .`TotalPortfolioValue` - `SecurityValues` will only be created when required - `TimeKeeper` will use TimeZone unique Id as dictionary key. The TimeZone hash is expensive. - `AlgorithmManager` will avoid calling `DateTime.UtcNow`, `ConvertFromUtc()` and `RoundDownInTimeZone()`
84 lines
3.5 KiB
C#
84 lines
3.5 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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namespace QuantConnect.Algorithm.Framework.Alphas.Analysis
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{
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/// <summary>
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/// Defines the security values at a given instant. This is analagous
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/// to TimeSlice/Slice, but decoupled from the algorithm thread and is
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/// intended to contain all of the information necessary to score all
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/// insight at this particular time step
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/// </summary>
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public class ReadOnlySecurityValuesCollection
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{
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private Dictionary<Symbol, SecurityValues> _securityValuesBySymbol;
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private readonly Func<Symbol, SecurityValues> _securityValuesBySymbolFunc;
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/// <summary>
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/// Initializes a new instance of the <see cref="ReadOnlySecurityValuesCollection"/> class
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/// </summary>
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/// <param name="securityValuesBySymbol"></param>
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public ReadOnlySecurityValuesCollection(Dictionary<Symbol, SecurityValues> securityValuesBySymbol)
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{
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_securityValuesBySymbol = securityValuesBySymbol;
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_securityValuesBySymbolFunc = null;
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="ReadOnlySecurityValuesCollection"/> class
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/// </summary>
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/// <remarks>This constructor has performance in mind. Only create the <see cref="SecurityValues"/>
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/// for a <see cref="Symbol"/> if requested by a consumer.</remarks>
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/// <param name="securityValuesBySymbolFunc">Function used to get the
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/// <see cref="SecurityValues"/> for a specified <see cref="Symbol"/></param>
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public ReadOnlySecurityValuesCollection(Func<Symbol, SecurityValues> securityValuesBySymbolFunc)
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{
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_securityValuesBySymbolFunc = securityValuesBySymbolFunc;
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// lets be lazy for constructing the dictionary too!
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_securityValuesBySymbol = null;
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}
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/// <summary>
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/// Symbol indexer into security values collection.
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/// </summary>
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/// <param name="symbol">The symbol</param>
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/// <returns>The security values for the specified symbol</returns>
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public SecurityValues this[Symbol symbol]
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{
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get
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{
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if (_securityValuesBySymbol == null)
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{
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_securityValuesBySymbol = new Dictionary<Symbol, SecurityValues>();
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}
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SecurityValues result;
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if(!_securityValuesBySymbol.TryGetValue(symbol, out result))
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{
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if (_securityValuesBySymbolFunc == null)
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{
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throw new Exception($"SecurityValues for symbol {symbol} was not found");
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}
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result = _securityValuesBySymbolFunc(symbol);
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_securityValuesBySymbol[symbol] = result;
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}
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return result;
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}
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}
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}
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} |