quantconnect--lean/Engine/DataFeeds/Enumerators/OpenInterestEnumerator.cs

/*
 * 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;
using System.Collections.Concurrent;
using System.Collections.Generic;
using NodaTime;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Util;

namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
{
    /// <summary>
    /// Aggregates open interest bars ready to be time synced
    /// </summary>
    public class OpenInterestEnumerator : IEnumerator<BaseData>
    {
        private readonly TimeSpan _barSize;
        private readonly DateTimeZone _timeZone;
        private readonly ITimeProvider _timeProvider;
        private readonly ConcurrentQueue<OpenInterest> _queue;
        private readonly bool _liveMode;
        private readonly RealTimeScheduleEventService _realTimeScheduleEventService;
        private readonly EventHandler _newDataAvailableHandler;

        /// <summary>
        /// Initializes a new instance of the <see cref="OpenInterestEnumerator"/> class
        /// </summary>
        /// <param name="barSize">The OI bar size to produce</param>
        /// <param name="timeZone">The time zone the raw data is time stamped in</param>
        /// <param name="timeProvider">The time provider instance used to determine when bars are completed and
        /// can be emitted</param>
        /// <param name="liveMode">True if we're running in live mode, false for backtest mode</param>
        /// <param name="newDataAvailableHandler">The event handler for a new available data point</param>
        public OpenInterestEnumerator(TimeSpan barSize, DateTimeZone timeZone, ITimeProvider timeProvider, bool liveMode, EventHandler newDataAvailableHandler = null)
        {
            _barSize = barSize;
            _timeZone = timeZone;
            _timeProvider = timeProvider;
            _queue = new ConcurrentQueue<OpenInterest>();
            _liveMode = liveMode;
            _newDataAvailableHandler = newDataAvailableHandler ?? ((s, e) => { });

            if (liveMode)
            {
                _realTimeScheduleEventService = new RealTimeScheduleEventService(timeProvider);
                _realTimeScheduleEventService.NewEvent += _newDataAvailableHandler;
            }
        }

        /// <summary>
        /// Pushes the tick into this enumerator. This tick will be aggregated into a OI bar
        /// and emitted after the alotted time has passed
        /// </summary>
        /// <param name="data">The new data to be aggregated</param>
        public void ProcessData(Tick data)
        {
            OpenInterest working;

            if (!_queue.TryPeek(out working))
            {
                // the consumer took the working bar, or time ticked over into next bar
                var utcNow = _timeProvider.GetUtcNow();
                var currentLocalTime = utcNow.ConvertFromUtc(_timeZone);
                var barStartTime = currentLocalTime.RoundDown(_barSize);
                working = new OpenInterest(barStartTime, data.Symbol, data.Value);
                working.EndTime = barStartTime + _barSize;
                _queue.Enqueue(working);

                if (_liveMode)
                {
                    _realTimeScheduleEventService.ScheduleEvent(_barSize.Subtract(currentLocalTime - barStartTime), utcNow);
                }
            }
            else
            {
                working.Value = data.Value;
            }
        }

        /// <summary>
        /// Advances the enumerator to the next element of the collection.
        /// </summary>
        /// <returns>
        /// true if the enumerator was successfully advanced to the next element; false if the enumerator has passed the end of the collection.
        /// </returns>
        public bool MoveNext()
        {
            OpenInterest working;

            // check if there's a bar there and if its time to pull it off (i.e, done aggregation)
            if (_queue.TryPeek(out working) && working.EndTime.ConvertToUtc(_timeZone) <= _timeProvider.GetUtcNow())
            {
                // working is good to go, set it to current
                Current = working;
                // remove working from the queue so we can start aggregating the next bar
                _queue.TryDequeue(out working);
            }
            else
            {
                Current = null;
            }

            // IEnumerator contract dictates that we return true unless we're actually
            // finished with the 'collection' and since this is live, we're never finished
            return true;
        }

        /// <summary>
        /// Sets the enumerator to its initial position, which is before the first element in the collection.
        /// </summary>
        public void Reset()
        {
            _queue.Clear();
        }

        /// <summary>
        /// Gets the element in the collection at the current position of the enumerator.
        /// </summary>
        /// <returns>
        /// The element in the collection at the current position of the enumerator.
        /// </returns>
        public BaseData Current
        {
            get; private set;
        }

        /// <summary>
        /// Gets the current element in the collection.
        /// </summary>
        /// <returns>
        /// The current element in the collection.
        /// </returns>
        /// <filterpriority>2</filterpriority>
        object IEnumerator.Current => Current;

        /// <summary>
        /// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
        /// </summary>
        /// <filterpriority>2</filterpriority>
        public void Dispose()
        {
            if (_liveMode)
            {
                _realTimeScheduleEventService.NewEvent -= _newDataAvailableHandler;
                _realTimeScheduleEventService.DisposeSafely();
            }
        }
    }
}