Martin Molinero
d3a2c7ff5a
- Moving InsightCollection into base `PortfolioConstructionModel` - Will call `InsightCollection.GetNextExpiryTime()` on each check, and for performance `InsightCollection` will keep track of next insight expiry time - Removing need for PCM base classes having to call `RefreshRebalance` - Some refactor clean up at base PortfolioConstructionModel.IsRebalanceDue()
272 lines
12 KiB
C#
272 lines
12 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.Linq;
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namespace QuantConnect.Algorithm.Framework.Alphas
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{
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/// <summary>
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/// Provides a collection for managing insights. This type provides collection access semantics
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/// as well as dictionary access semantics through TryGetValue, ContainsKey, and this[symbol]
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/// </summary>
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public class InsightCollection : ICollection<Insight>
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{
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// for performance lets keep the next insight expiration time
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private DateTime? _nextExpiryTime;
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private readonly ConcurrentDictionary<Symbol, List<Insight>> _insights = new ConcurrentDictionary<Symbol, List<Insight>>();
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/// <summary>Gets the number of elements contained in the <see cref="T:System.Collections.Generic.ICollection`1" />.</summary>
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/// <returns>The number of elements contained in the <see cref="T:System.Collections.Generic.ICollection`1" />.</returns>
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public int Count => _insights.Aggregate(0, (i, kvp) => i + kvp.Value.Count);
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/// <summary>Gets a value indicating whether the <see cref="T:System.Collections.Generic.ICollection`1" /> is read-only.</summary>
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/// <returns>true if the <see cref="T:System.Collections.Generic.ICollection`1" /> is read-only; otherwise, false.</returns>
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public bool IsReadOnly => false;
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/// <summary>Adds an item to the <see cref="T:System.Collections.Generic.ICollection`1" />.</summary>
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/// <param name="item">The object to add to the <see cref="T:System.Collections.Generic.ICollection`1" />.</param>
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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 Add(Insight item)
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{
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_nextExpiryTime = null;
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_insights.AddOrUpdate(item.Symbol, s => new List<Insight> {item}, (s, list) =>
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{
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list.Add(item);
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return list;
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});
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}
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/// <summary>
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/// Adds each item in the specified enumerable of insights to this collection
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/// </summary>
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/// <param name="insights">The insights to add to this collection</param>
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public void AddRange(IEnumerable<Insight> insights)
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{
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foreach (var insight in insights)
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{
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Add(insight);
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}
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}
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/// <summary>Removes all items from the <see cref="T:System.Collections.Generic.ICollection`1" />.</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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_nextExpiryTime = null;
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_insights.Clear();
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}
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/// <summary>Determines whether the <see cref="T:System.Collections.Generic.ICollection`1" /> contains a specific value.</summary>
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/// <returns>true if <paramref name="item" /> is found in the <see cref="T:System.Collections.Generic.ICollection`1" />; otherwise, false.</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(Insight item)
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{
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List<Insight> symbolInsights;
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if (_insights.TryGetValue(item.Symbol, out symbolInsights))
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{
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return symbolInsights.Contains(item);
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}
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return false;
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}
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/// <summary>
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/// Determines whether insights exist in this collection for the specified symbol
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/// </summary>
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/// <param name="symbol">The symbol key</param>
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/// <returns>True if there are insights for the symbol in this collection</returns>
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public bool ContainsKey(Symbol symbol)
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{
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List<Insight> insights;
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return _insights.TryGetValue(symbol, out insights) && insights.Count > 0;
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}
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/// <summary>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.</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>
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/// <param name="arrayIndex">The zero-based index in <paramref name="array" /> at which copying begins.</param>
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/// <exception cref="T:System.ArgumentNullException">
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/// <paramref name="array" /> is null.</exception>
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/// <exception cref="T:System.ArgumentOutOfRangeException">
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/// <paramref name="arrayIndex" /> is less than 0.</exception>
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/// <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(Insight[] array, int arrayIndex)
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{
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// Avoid calling `ToList` on insights to avoid potential infinite loop (issue #3168)
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Array.Copy(_insights.SelectMany(kvp => kvp.Value).ToArray(), 0, array, arrayIndex, Count);
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}
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/// <summary>Removes the first occurrence of a specific object from the <see cref="T:System.Collections.Generic.ICollection`1" />.</summary>
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/// <returns>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" />.</returns>
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/// <param name="item">The object to remove from the <see cref="T:System.Collections.Generic.ICollection`1" />.</param>
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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 bool Remove(Insight item)
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{
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List<Insight> symbolInsights;
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if (_insights.TryGetValue(item.Symbol, out symbolInsights))
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{
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_nextExpiryTime = null;
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if (symbolInsights.Remove(item))
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{
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// remove empty list from dictionary
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if (symbolInsights.Count == 0)
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{
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_insights.TryRemove(item.Symbol, out symbolInsights);
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}
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return true;
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}
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}
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return false;
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}
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/// <summary>
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/// Dictionary accessor returns a list of insights for the specified symbol
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/// </summary>
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/// <param name="symbol">The symbol key</param>
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/// <returns>List of insights for the symbol</returns>
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public List<Insight> this[Symbol symbol]
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{
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get { return _insights[symbol]; }
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set { _insights[symbol] = value; }
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}
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/// <summary>
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/// Attempts to get the list of insights with the specified symbol key
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/// </summary>
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/// <param name="symbol">The symbol key</param>
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/// <param name="insights">The insights for the specified symbol, or null if not found</param>
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/// <returns>True if insights for the specified symbol were found, false otherwise</returns>
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public bool TryGetValue(Symbol symbol, out List<Insight> insights)
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{
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return _insights.TryGetValue(symbol, out insights);
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}
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/// <summary>Returns an enumerator that iterates through the collection.</summary>
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/// <returns>A <see cref="T:System.Collections.Generic.IEnumerator`1" /> that can be used to iterate through the collection.</returns>
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/// <filterpriority>1</filterpriority>
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public IEnumerator<Insight> GetEnumerator()
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{
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return _insights.SelectMany(kvp => kvp.Value).GetEnumerator();
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}
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/// <summary>Returns an enumerator that iterates through a collection.</summary>
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/// <returns>An <see cref="T:System.Collections.IEnumerator" /> object that can be used to iterate through the collection.</returns>
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/// <filterpriority>2</filterpriority>
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IEnumerator IEnumerable.GetEnumerator()
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{
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return GetEnumerator();
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}
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/// <summary>
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/// Removes the symbol and its insights
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/// </summary>
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/// <param name="symbols">List of symbols that will be removed</param>
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public void Clear(Symbol[] symbols)
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{
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_nextExpiryTime = null;
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foreach (var symbol in symbols)
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{
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List<Insight> insights;
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_insights.TryRemove(symbol, out insights);
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}
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}
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/// <summary>
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/// Gets the next expiry time UTC
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/// </summary>
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public DateTime? GetNextExpiryTime()
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{
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if (Count == 0)
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{
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return null;
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}
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if (_nextExpiryTime != null)
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{
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return _nextExpiryTime;
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}
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_nextExpiryTime = _insights.Min(x => x.Value.Min(i => i.CloseTimeUtc));
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return _nextExpiryTime;
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}
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/// <summary>
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/// Gets the last generated active insight
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/// </summary>
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/// <returns>Collection of insights that are active</returns>
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public ICollection<Insight> GetActiveInsights(DateTime utcTime)
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{
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var activeInsights = new List<Insight>();
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foreach (var kvp in _insights)
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{
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foreach (var insight in kvp.Value)
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{
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if (insight.IsActive(utcTime))
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{
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activeInsights.Add(insight);
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}
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}
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}
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return activeInsights;
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}
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/// <summary>
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/// Returns true if there are active insights for a given symbol and time
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/// </summary>
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/// <param name="symbol">The symbol key</param>
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/// <param name="utcTime">Time that determines whether the insight has expired</param>
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/// <returns></returns>
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public bool HasActiveInsights(Symbol symbol, DateTime utcTime)
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{
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List<Insight> insights;
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if (TryGetValue(symbol, out insights))
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{
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return insights.Any(i => i.IsActive(utcTime));
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}
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return false;
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}
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/// <summary>
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/// Remove all expired insights from the collection and retuns them
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/// </summary>
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/// <param name="utcTime">Time that determines whether the insight has expired</param>
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/// <returns>Expired insights that were removed</returns>
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public ICollection<Insight> RemoveExpiredInsights(DateTime utcTime)
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{
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var removedInsights = new List<Insight>();
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foreach (var kvp in _insights)
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{
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foreach (var insight in kvp.Value)
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{
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if (insight.IsExpired(utcTime))
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{
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removedInsights.Add(insight);
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}
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}
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}
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foreach (var insight in removedInsights)
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{
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Remove(insight);
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}
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return removedInsights;
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}
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}
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} |