Michael Handschuh
80e01e0d1f
Adds the concept of universe disposal which is requested by an algorithm through invocation of UniverseManager.Remove, which is invoked via algorithm.RemoveSecurity. This instructs the data feed that the algorithm has requested to completely remove the universe and any child subscriptions from the feed. Security changes are fired for all removed securities.
266 lines
14 KiB
C#
266 lines
14 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;
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using System.Collections.Concurrent;
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using System.Collections.Generic;
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using System.Collections.Specialized;
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using System.Linq;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Util;
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namespace QuantConnect.Securities
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{
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/// <summary>
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/// Manages the algorithm's collection of universes
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/// </summary>
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public class UniverseManager : IDictionary<Symbol, Universe>, INotifyCollectionChanged
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{
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private readonly ConcurrentDictionary<Symbol, Universe> _universes;
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/// <summary>
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/// Event fired when a universe is added or removed
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/// </summary>
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public event NotifyCollectionChangedEventHandler CollectionChanged;
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/// <summary>
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/// Read-only dictionary containing all active securities. An active security is
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/// a security that is currently selected by the universe or has holdings or open orders.
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/// </summary>
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public IReadOnlyDictionary<Symbol, Security> ActiveSecurities => this
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.SelectMany(ukvp => ukvp.Value.Members.Select(mkvp => mkvp.Value))
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.DistinctBy(s => s.Symbol).ToDictionary(s => s.Symbol);
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/// <summary>
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/// Initializes a new instance of the <see cref="UniverseManager"/> class
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/// </summary>
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public UniverseManager()
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{
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_universes = new ConcurrentDictionary<Symbol, Universe>();
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}
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#region IDictionary implementation
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/// <summary>
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/// Returns an enumerator that iterates through the collection.
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/// </summary>
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/// <returns>
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/// A <see cref="T:System.Collections.Generic.IEnumerator`1"/> that can be used to iterate through the collection.
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/// </returns>
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/// <filterpriority>1</filterpriority>
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public IEnumerator<KeyValuePair<Symbol, Universe>> GetEnumerator()
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{
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return _universes.GetEnumerator();
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}
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/// <summary>
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/// Returns an enumerator that iterates through a collection.
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/// </summary>
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/// <returns>
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/// An <see cref="T:System.Collections.IEnumerator"/> object that can be used to iterate through the collection.
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/// </returns>
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/// <filterpriority>2</filterpriority>
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IEnumerator IEnumerable.GetEnumerator()
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{
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return ((IEnumerable)_universes).GetEnumerator();
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}
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/// <summary>
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/// Adds an item to the <see cref="T:System.Collections.Generic.ICollection`1"/>.
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/// </summary>
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/// <param name="item">The object to add to the <see cref="T:System.Collections.Generic.ICollection`1"/>.</param><exception cref="T:System.NotSupportedException">The <see cref="T:System.Collections.Generic.ICollection`1"/> is read-only.</exception>
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public void Add(KeyValuePair<Symbol, Universe> item)
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{
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Add(item.Key, item.Value);
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}
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/// <summary>
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/// Removes all items from the <see cref="T:System.Collections.Generic.ICollection`1"/>.
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/// </summary>
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/// <exception cref="T:System.NotSupportedException">The <see cref="T:System.Collections.Generic.ICollection`1"/> is read-only. </exception>
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public void Clear()
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{
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_universes.Clear();
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}
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/// <summary>
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/// Determines whether the <see cref="T:System.Collections.Generic.ICollection`1"/> contains a specific value.
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/// </summary>
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/// <returns>
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/// true if <paramref name="item"/> is found in the <see cref="T:System.Collections.Generic.ICollection`1"/>; otherwise, false.
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/// </returns>
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/// <param name="item">The object to locate in the <see cref="T:System.Collections.Generic.ICollection`1"/>.</param>
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public bool Contains(KeyValuePair<Symbol, Universe> item)
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{
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return ContainsKey(item.Key);
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}
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/// <summary>
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/// Copies the elements of the <see cref="T:System.Collections.Generic.ICollection`1"/> to an <see cref="T:System.Array"/>, starting at a particular <see cref="T:System.Array"/> index.
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/// </summary>
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/// <param name="array">The one-dimensional <see cref="T:System.Array"/> that is the destination of the elements copied from <see cref="T:System.Collections.Generic.ICollection`1"/>. The <see cref="T:System.Array"/> must have zero-based indexing.</param><param name="arrayIndex">The zero-based index in <paramref name="array"/> at which copying begins.</param><exception cref="T:System.ArgumentNullException"><paramref name="array"/> is null.</exception><exception cref="T:System.ArgumentOutOfRangeException"><paramref name="arrayIndex"/> is less than 0.</exception><exception cref="T:System.ArgumentException">The number of elements in the source <see cref="T:System.Collections.Generic.ICollection`1"/> is greater than the available space from <paramref name="arrayIndex"/> to the end of the destination <paramref name="array"/>.</exception>
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public void CopyTo(KeyValuePair<Symbol, Universe>[] array, int arrayIndex)
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{
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((IDictionary<Symbol, Universe>)_universes).CopyTo(array, arrayIndex);
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}
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/// <summary>
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/// Removes the first occurrence of a specific object from the <see cref="T:System.Collections.Generic.ICollection`1"/>.
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/// </summary>
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/// <returns>
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/// true if <paramref name="item"/> was successfully removed from the <see cref="T:System.Collections.Generic.ICollection`1"/>; otherwise, false. This method also returns false if <paramref name="item"/> is not found in the original <see cref="T:System.Collections.Generic.ICollection`1"/>.
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/// </returns>
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/// <param name="item">The object to remove from the <see cref="T:System.Collections.Generic.ICollection`1"/>.</param><exception cref="T:System.NotSupportedException">The <see cref="T:System.Collections.Generic.ICollection`1"/> is read-only.</exception>
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public bool Remove(KeyValuePair<Symbol, Universe> item)
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{
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return Remove(item.Key);
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}
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/// <summary>
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/// Gets the number of elements contained in the <see cref="T:System.Collections.Generic.ICollection`1"/>.
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/// </summary>
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/// <returns>
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/// The number of elements contained in the <see cref="T:System.Collections.Generic.ICollection`1"/>.
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/// </returns>
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public int Count => _universes.Skip(0).Count();
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/// <summary>
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/// Gets a value indicating whether the <see cref="T:System.Collections.Generic.ICollection`1"/> is read-only.
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/// </summary>
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/// <returns>
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/// true if the <see cref="T:System.Collections.Generic.ICollection`1"/> is read-only; otherwise, false.
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/// </returns>
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public bool IsReadOnly
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{
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get { return false; }
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}
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/// <summary>
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/// Determines whether the <see cref="T:System.Collections.Generic.IDictionary`2"/> contains an element with the specified key.
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/// </summary>
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/// <returns>
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/// true if the <see cref="T:System.Collections.Generic.IDictionary`2"/> contains an element with the key; otherwise, false.
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/// </returns>
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/// <param name="key">The key to locate in the <see cref="T:System.Collections.Generic.IDictionary`2"/>.</param><exception cref="T:System.ArgumentNullException"><paramref name="key"/> is null.</exception>
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public bool ContainsKey(Symbol key)
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{
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return _universes.ContainsKey(key);
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}
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/// <summary>
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/// Adds an element with the provided key and value to the <see cref="T:System.Collections.Generic.IDictionary`2"/>.
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/// </summary>
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/// <param name="key">The object to use as the key of the element to add.</param><param name="universe">The object to use as the value of the element to add.</param><exception cref="T:System.ArgumentNullException"><paramref name="key"/> is null.</exception><exception cref="T:System.ArgumentException">An element with the same key already exists in the <see cref="T:System.Collections.Generic.IDictionary`2"/>.</exception><exception cref="T:System.NotSupportedException">The <see cref="T:System.Collections.Generic.IDictionary`2"/> is read-only.</exception>
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public void Add(Symbol key, Universe universe)
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{
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if (_universes.TryAdd(key, universe))
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{
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OnCollectionChanged(new NotifyCollectionChangedEventArgs(NotifyCollectionChangedAction.Add, universe));
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}
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}
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/// <summary>
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/// Removes the element with the specified key from the <see cref="T:System.Collections.Generic.IDictionary`2"/>.
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/// </summary>
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/// <returns>
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/// true if the element is successfully removed; otherwise, false. This method also returns false if <paramref name="key"/> was not found in the original <see cref="T:System.Collections.Generic.IDictionary`2"/>.
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/// </returns>
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/// <param name="key">The key of the element to remove.</param><exception cref="T:System.ArgumentNullException"><paramref name="key"/> is null.</exception><exception cref="T:System.NotSupportedException">The <see cref="T:System.Collections.Generic.IDictionary`2"/> is read-only.</exception>
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public bool Remove(Symbol key)
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{
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Universe universe;
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if (_universes.TryRemove(key, out universe))
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{
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universe.Dispose();
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OnCollectionChanged(new NotifyCollectionChangedEventArgs(NotifyCollectionChangedAction.Remove, universe));
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return true;
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}
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return false;
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}
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/// <summary>
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/// Gets the value associated with the specified key.
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/// </summary>
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/// <returns>
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/// true if the object that implements <see cref="T:System.Collections.Generic.IDictionary`2"/> contains an element with the specified key; otherwise, false.
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/// </returns>
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/// <param name="key">The key whose value to get.</param><param name="value">When this method returns, the value associated with the specified key, if the key is found; otherwise, the default value for the type of the <paramref name="value"/> parameter. This parameter is passed uninitialized.</param><exception cref="T:System.ArgumentNullException"><paramref name="key"/> is null.</exception>
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public bool TryGetValue(Symbol key, out Universe value)
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{
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return _universes.TryGetValue(key, out value);
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}
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/// <summary>
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/// Gets or sets the element with the specified key.
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/// </summary>
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/// <returns>
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/// The element with the specified key.
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/// </returns>
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/// <param name="symbol">The key of the element to get or set.</param><exception cref="T:System.ArgumentNullException"><paramref name="symbol"/> is null.</exception><exception cref="T:System.Collections.Generic.KeyNotFoundException">The property is retrieved and <paramref name="symbol"/> is not found.</exception><exception cref="T:System.NotSupportedException">The property is set and the <see cref="T:System.Collections.Generic.IDictionary`2"/> is read-only.</exception>
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public Universe this[Symbol symbol]
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{
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get
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{
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if (!_universes.ContainsKey(symbol))
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{
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throw new Exception(string.Format("This universe symbol ({0}) was not found in your universe list. Please add this security or check it exists before using it with 'Universes.ContainsKey(\"{1}\")'", symbol, SymbolCache.GetTicker(symbol)));
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}
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return _universes[symbol];
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}
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set
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{
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Universe existing;
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if (_universes.TryGetValue(symbol, out existing) && existing != value)
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{
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throw new ArgumentException("Unable to over write existing Universe: " + symbol.Value);
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}
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// no security exists for the specified symbol key, add it now
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if (existing == null)
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{
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Add(symbol, value);
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}
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}
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}
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/// <summary>
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/// Gets an <see cref="T:System.Collections.Generic.ICollection`1"/> containing the keys of the <see cref="T:System.Collections.Generic.IDictionary`2"/>.
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/// </summary>
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/// <returns>
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/// An <see cref="T:System.Collections.Generic.ICollection`1"/> containing the keys of the object that implements <see cref="T:System.Collections.Generic.IDictionary`2"/>.
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/// </returns>
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public ICollection<Symbol> Keys => _universes.Select(x => x.Key).ToList();
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/// <summary>
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/// Gets an <see cref="T:System.Collections.Generic.ICollection`1"/> containing the values in the <see cref="T:System.Collections.Generic.IDictionary`2"/>.
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/// </summary>
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/// <returns>
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/// An <see cref="T:System.Collections.Generic.ICollection`1"/> containing the values in the object that implements <see cref="T:System.Collections.Generic.IDictionary`2"/>.
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/// </returns>
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public ICollection<Universe> Values => _universes.Select(x => x.Value).ToList();
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#endregion
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/// <summary>
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/// Event invocator for the <see cref="CollectionChanged"/> event
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/// </summary>
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/// <param name="e"></param>
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protected virtual void OnCollectionChanged(NotifyCollectionChangedEventArgs e)
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{
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CollectionChanged?.Invoke(this, e);
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}
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}
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} |