Gerardo Salazar
653 lines
28 KiB
C#
653 lines
28 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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*/
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using System;
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using System.Collections.Concurrent;
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using System.Collections.Generic;
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using NodaTime;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Interfaces;
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using QuantConnect.Logging;
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namespace QuantConnect.Lean.Engine.DataFeeds
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{
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/// <summary>
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/// Instance base class that will provide methods for creating new <see cref="TimeSlice"/>
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/// </summary>
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public class TimeSliceFactory
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{
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private readonly DateTimeZone _timeZone;
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private static readonly ConcurrentDictionary<Symbol, Symbol> _canonicalSymbols = new ConcurrentDictionary<Symbol,Symbol>();
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// performance: these collections are not always used so keep a reference to an empty
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// instance to use and avoid unnecessary constructors and allocations
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private static List<UpdateData<ISecurityPrice>> _emptyCustom = new List<UpdateData<ISecurityPrice>>(0);
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private static TradeBars _emptyTradeBars = new TradeBars();
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private static QuoteBars _emptyQuoteBars = new QuoteBars();
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private static Ticks _emptyTicks = new Ticks();
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private static Splits _emptySplits = new Splits();
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private static Dividends _emptyDividends = new Dividends();
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private static Delistings _emptyDelistings = new Delistings();
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private static OptionChains _emptyOptionChains = new OptionChains();
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private static FuturesChains _emptyFuturesChains = new FuturesChains();
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private static SymbolChangedEvents _emptySymbolChangedEvents = new SymbolChangedEvents();
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/// <summary>
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/// Creates a new instance
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/// </summary>
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/// <param name="timeZone">The time zone required for computing algorithm and slice time</param>
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public TimeSliceFactory(DateTimeZone timeZone)
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{
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_timeZone = timeZone;
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}
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/// <summary>
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/// Creates a new empty <see cref="TimeSlice"/> to be used as a time pulse
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/// </summary>
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/// <remarks>The objective of this method is to standardize the time pulse creation</remarks>
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/// <param name="utcDateTime">The UTC frontier date time</param>
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/// <returns>A new <see cref="TimeSlice"/> time pulse</returns>
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public TimeSlice CreateTimePulse(DateTime utcDateTime)
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{
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// setting all data collections to null, this time slice shouldn't be used
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// for its data, we want to see fireworks it someone tries
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return new TimeSlice(utcDateTime,
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0,
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null,
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null,
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null,
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null,
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null,
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SecurityChanges.None,
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null,
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isTimePulse:true);
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}
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/// <summary>
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/// Creates a new <see cref="TimeSlice"/> for the specified time using the specified data
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/// </summary>
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/// <param name="utcDateTime">The UTC frontier date time</param>
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/// <param name="data">The data in this <see cref="TimeSlice"/></param>
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/// <param name="changes">The new changes that are seen in this time slice as a result of universe selection</param>
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/// <param name="universeData"></param>
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/// <returns>A new <see cref="TimeSlice"/> containing the specified data</returns>
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public TimeSlice Create(DateTime utcDateTime,
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List<DataFeedPacket> data,
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SecurityChanges changes,
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Dictionary<Universe, BaseDataCollection> universeData)
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{
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int count = 0;
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var security = new List<UpdateData<ISecurityPrice>>(data.Count);
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List<UpdateData<ISecurityPrice>> custom = null;
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var consolidator = new List<UpdateData<SubscriptionDataConfig>>(data.Count);
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var allDataForAlgorithm = new List<BaseData>(data.Count);
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var optionUnderlyingUpdates = new Dictionary<Symbol, BaseData>();
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Split split;
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Dividend dividend;
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Delisting delisting;
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SymbolChangedEvent symbolChange;
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// we need to be able to reference the slice being created in order to define the
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// evaluation of option price models, so we define a 'future' that can be referenced
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// in the option price model evaluation delegates for each contract
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Slice slice = null;
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var sliceFuture = new Lazy<Slice>(() => slice);
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var algorithmTime = utcDateTime.ConvertFromUtc(_timeZone);
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TradeBars tradeBars = null;
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QuoteBars quoteBars = null;
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Ticks ticks = null;
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Splits splits = null;
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Dividends dividends = null;
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Delistings delistings = null;
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OptionChains optionChains = null;
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FuturesChains futuresChains = null;
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SymbolChangedEvents symbolChanges = null;
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if (universeData.Count > 0)
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{
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// count universe data
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foreach (var kvp in universeData)
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{
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count += kvp.Value.Data.Count;
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}
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}
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// ensure we read equity data before option data, so we can set the current underlying price
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foreach (var packet in data)
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{
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// filter out packets for removed subscriptions
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if (packet.IsSubscriptionRemoved)
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{
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continue;
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}
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var list = packet.Data;
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var symbol = packet.Configuration.Symbol;
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if (list.Count == 0) continue;
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// keep count of all data points
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if (list.Count == 1 && list[0] is BaseDataCollection)
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{
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var baseDataCollectionCount = ((BaseDataCollection)list[0]).Data.Count;
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if (baseDataCollectionCount == 0)
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{
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continue;
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}
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count += baseDataCollectionCount;
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}
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else
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{
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count += list.Count;
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}
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if (!packet.Configuration.IsInternalFeed && packet.Configuration.IsCustomData)
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{
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if (custom == null)
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{
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custom = new List<UpdateData<ISecurityPrice>>(1);
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}
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// This is all the custom data
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custom.Add(new UpdateData<ISecurityPrice>(packet.Security, packet.Configuration.Type, list, packet.Configuration.IsInternalFeed));
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}
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var securityUpdate = new List<BaseData>(list.Count);
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var consolidatorUpdate = new List<BaseData>(list.Count);
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var containsFillForwardData = false;
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for (var i = 0; i < list.Count; i++)
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{
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var baseData = list[i];
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if (!packet.Configuration.IsInternalFeed)
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{
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// this is all the data that goes into the algorithm
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allDataForAlgorithm.Add(baseData);
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}
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containsFillForwardData |= baseData.IsFillForward;
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// don't add internal feed data to ticks/bars objects
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if (baseData.DataType != MarketDataType.Auxiliary)
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{
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var tick = baseData as Tick;
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if (!packet.Configuration.IsInternalFeed)
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{
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// populate data dictionaries
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switch (baseData.DataType)
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{
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case MarketDataType.Tick:
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if (ticks == null)
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{
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ticks = new Ticks(algorithmTime);
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}
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ticks.Add(baseData.Symbol, (Tick)baseData);
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break;
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case MarketDataType.TradeBar:
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if (tradeBars == null)
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{
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tradeBars = new TradeBars(algorithmTime);
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}
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var newTradeBar = (TradeBar)baseData;
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TradeBar existingTradeBar;
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// if we have an existing bar keep the highest resolution one
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// e.g Hour and Minute resolution subscriptions for the same symbol
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// see CustomUniverseWithBenchmarkRegressionAlgorithm
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if (!tradeBars.TryGetValue(baseData.Symbol, out existingTradeBar)
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|| existingTradeBar.Period > newTradeBar.Period)
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{
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tradeBars[baseData.Symbol] = newTradeBar;
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}
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break;
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case MarketDataType.QuoteBar:
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if (quoteBars == null)
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{
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quoteBars = new QuoteBars(algorithmTime);
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}
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var newQuoteBar = (QuoteBar)baseData;
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QuoteBar existingQuoteBar;
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// if we have an existing bar keep the highest resolution one
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// e.g Hour and Minute resolution subscriptions for the same symbol
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// see CustomUniverseWithBenchmarkRegressionAlgorithm
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if (!quoteBars.TryGetValue(baseData.Symbol, out existingQuoteBar)
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|| existingQuoteBar.Period > newQuoteBar.Period)
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{
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quoteBars[baseData.Symbol] = newQuoteBar;
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}
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break;
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case MarketDataType.OptionChain:
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if (optionChains == null)
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{
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optionChains = new OptionChains(algorithmTime);
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}
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optionChains[baseData.Symbol] = (OptionChain)baseData;
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break;
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case MarketDataType.FuturesChain:
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if (futuresChains == null)
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{
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futuresChains = new FuturesChains(algorithmTime);
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}
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futuresChains[baseData.Symbol] = (FuturesChain)baseData;
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break;
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}
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// special handling of options data to build the option chain
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if (symbol.SecurityType == SecurityType.Option || symbol.SecurityType == SecurityType.FutureOption)
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{
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if (optionChains == null)
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{
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optionChains = new OptionChains(algorithmTime);
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}
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if (baseData.DataType == MarketDataType.OptionChain)
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{
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optionChains[baseData.Symbol] = (OptionChain)baseData;
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}
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else if (!HandleOptionData(algorithmTime, baseData, optionChains, packet.Security, sliceFuture, optionUnderlyingUpdates))
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{
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continue;
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}
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}
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// special handling of futures data to build the futures chain
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if (symbol.SecurityType == SecurityType.Future)
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{
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if (futuresChains == null)
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{
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futuresChains = new FuturesChains(algorithmTime);
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}
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if (baseData.DataType == MarketDataType.FuturesChain)
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{
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futuresChains[baseData.Symbol] = (FuturesChain)baseData;
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}
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else if (!HandleFuturesData(algorithmTime, baseData, futuresChains, packet.Security))
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{
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continue;
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}
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}
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// this is data used to update consolidators
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// do not add it if it is a Suspicious tick
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if (tick == null || !tick.Suspicious)
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{
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consolidatorUpdate.Add(baseData);
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}
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}
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// this is the data used set market prices
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// do not add it if it is a Suspicious tick
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if (tick != null && tick.Suspicious) continue;
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securityUpdate.Add(baseData);
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// option underlying security update
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if (!packet.Configuration.IsInternalFeed)
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{
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optionUnderlyingUpdates[symbol] = baseData;
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}
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}
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else if (!packet.Configuration.IsInternalFeed)
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{
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// include checks for various aux types so we don't have to construct the dictionaries in Slice
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if ((delisting = baseData as Delisting) != null)
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{
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if (delistings == null)
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{
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delistings = new Delistings(algorithmTime);
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}
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delistings[symbol] = delisting;
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}
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else if ((dividend = baseData as Dividend) != null)
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{
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if (dividends == null)
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{
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dividends = new Dividends(algorithmTime);
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}
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dividends[symbol] = dividend;
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}
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else if ((split = baseData as Split) != null)
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{
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if (splits == null)
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{
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splits = new Splits(algorithmTime);
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}
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splits[symbol] = split;
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}
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else if ((symbolChange = baseData as SymbolChangedEvent) != null)
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{
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if (symbolChanges == null)
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{
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symbolChanges = new SymbolChangedEvents(algorithmTime);
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}
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// symbol changes is keyed by the requested symbol
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symbolChanges[packet.Configuration.Symbol] = symbolChange;
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}
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}
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}
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if (securityUpdate.Count > 0)
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{
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security.Add(new UpdateData<ISecurityPrice>(packet.Security, packet.Configuration.Type, securityUpdate, packet.Configuration.IsInternalFeed, containsFillForwardData));
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}
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if (consolidatorUpdate.Count > 0)
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{
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consolidator.Add(new UpdateData<SubscriptionDataConfig>(packet.Configuration, packet.Configuration.Type, consolidatorUpdate, packet.Configuration.IsInternalFeed, containsFillForwardData));
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}
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}
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slice = new Slice(algorithmTime, allDataForAlgorithm, tradeBars ?? _emptyTradeBars, quoteBars ?? _emptyQuoteBars, ticks ?? _emptyTicks, optionChains ?? _emptyOptionChains, futuresChains ?? _emptyFuturesChains, splits ?? _emptySplits, dividends ?? _emptyDividends, delistings ?? _emptyDelistings, symbolChanges ?? _emptySymbolChangedEvents, allDataForAlgorithm.Count > 0);
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return new TimeSlice(utcDateTime, count, slice, data, security, consolidator, custom ?? _emptyCustom, changes, universeData);
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}
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private bool HandleOptionData(DateTime algorithmTime, BaseData baseData, OptionChains optionChains, ISecurityPrice security, Lazy<Slice> sliceFuture, IReadOnlyDictionary<Symbol, BaseData> optionUnderlyingUpdates)
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{
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var symbol = baseData.Symbol;
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OptionChain chain;
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Symbol canonical;
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if (!_canonicalSymbols.TryGetValue(symbol, out canonical))
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{
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canonical = Symbol.CreateOption(symbol.Underlying, symbol.ID.Market, default(OptionStyle), default(OptionRight), 0, SecurityIdentifier.DefaultDate);
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_canonicalSymbols.TryAdd(symbol, canonical);
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}
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if (!optionChains.TryGetValue(canonical, out chain))
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{
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chain = new OptionChain(canonical, algorithmTime);
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optionChains[canonical] = chain;
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}
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// set the underlying current data point in the option chain
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var option = security as IOptionPrice;
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if (option != null)
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{
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if (option.Underlying == null)
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{
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Log.Error($"TimeSlice.HandleOptionData(): {algorithmTime}: Option underlying is null");
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return false;
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}
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BaseData underlyingData;
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if (!optionUnderlyingUpdates.TryGetValue(option.Underlying.Symbol, out underlyingData))
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{
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underlyingData = option.Underlying.GetLastData();
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}
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if (underlyingData == null)
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{
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Log.Error($"TimeSlice.HandleOptionData(): {algorithmTime}: Option underlying GetLastData returned null");
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return false;
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}
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chain.Underlying = underlyingData;
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}
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var universeData = baseData as OptionChainUniverseDataCollection;
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if (universeData != null)
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{
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if (universeData.Underlying != null)
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{
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foreach (var addedContract in chain.Contracts)
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{
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addedContract.Value.UnderlyingLastPrice = chain.Underlying.Price;
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}
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}
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foreach (var contractSymbol in universeData.FilteredContracts)
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{
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chain.FilteredContracts.Add(contractSymbol);
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}
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return false;
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}
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OptionContract contract;
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if (!chain.Contracts.TryGetValue(baseData.Symbol, out contract))
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{
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var underlyingSymbol = baseData.Symbol.Underlying;
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contract = new OptionContract(baseData.Symbol, underlyingSymbol)
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{
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Time = baseData.EndTime,
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LastPrice = security.Close,
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Volume = (long)security.Volume,
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BidPrice = security.BidPrice,
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BidSize = (long)security.BidSize,
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AskPrice = security.AskPrice,
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AskSize = (long)security.AskSize,
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OpenInterest = security.OpenInterest,
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UnderlyingLastPrice = chain.Underlying.Price
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};
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chain.Contracts[baseData.Symbol] = contract;
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if (option != null)
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{
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contract.SetOptionPriceModel(() => option.EvaluatePriceModel(sliceFuture.Value, contract));
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}
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}
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// populate ticks and tradebars dictionaries with no aux data
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switch (baseData.DataType)
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{
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case MarketDataType.Tick:
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var tick = (Tick)baseData;
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chain.Ticks.Add(tick.Symbol, tick);
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UpdateContract(contract, tick);
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break;
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case MarketDataType.TradeBar:
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var tradeBar = (TradeBar)baseData;
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chain.TradeBars[symbol] = tradeBar;
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UpdateContract(contract, tradeBar);
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break;
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case MarketDataType.QuoteBar:
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var quote = (QuoteBar)baseData;
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chain.QuoteBars[symbol] = quote;
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UpdateContract(contract, quote);
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break;
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case MarketDataType.Base:
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chain.AddAuxData(baseData);
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break;
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}
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return true;
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}
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private bool HandleFuturesData(DateTime algorithmTime, BaseData baseData, FuturesChains futuresChains, ISecurityPrice security)
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{
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var symbol = baseData.Symbol;
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FuturesChain chain;
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Symbol canonical;
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if (!_canonicalSymbols.TryGetValue(symbol, out canonical))
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{
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canonical = Symbol.Create(symbol.ID.Symbol, SecurityType.Future, symbol.ID.Market);
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_canonicalSymbols.TryAdd(symbol, canonical);
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}
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if (!futuresChains.TryGetValue(canonical, out chain))
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{
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chain = new FuturesChain(canonical, algorithmTime);
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futuresChains[canonical] = chain;
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}
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var universeData = baseData as FuturesChainUniverseDataCollection;
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if (universeData != null)
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{
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foreach (var contractSymbol in universeData.FilteredContracts)
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{
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chain.FilteredContracts.Add(contractSymbol);
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}
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return false;
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}
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FuturesContract contract;
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if (!chain.Contracts.TryGetValue(baseData.Symbol, out contract))
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{
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var underlyingSymbol = baseData.Symbol.Underlying;
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contract = new FuturesContract(baseData.Symbol, underlyingSymbol)
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{
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Time = baseData.EndTime,
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LastPrice = security.Close,
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Volume = (long)security.Volume,
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BidPrice = security.BidPrice,
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BidSize = (long)security.BidSize,
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AskPrice = security.AskPrice,
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AskSize = (long)security.AskSize,
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OpenInterest = security.OpenInterest
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};
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chain.Contracts[baseData.Symbol] = contract;
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}
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// populate ticks and tradebars dictionaries with no aux data
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switch (baseData.DataType)
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{
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case MarketDataType.Tick:
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var tick = (Tick)baseData;
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chain.Ticks.Add(tick.Symbol, tick);
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UpdateContract(contract, tick);
|
|
break;
|
|
|
|
case MarketDataType.TradeBar:
|
|
var tradeBar = (TradeBar)baseData;
|
|
chain.TradeBars[symbol] = tradeBar;
|
|
UpdateContract(contract, tradeBar);
|
|
break;
|
|
|
|
case MarketDataType.QuoteBar:
|
|
var quote = (QuoteBar)baseData;
|
|
chain.QuoteBars[symbol] = quote;
|
|
UpdateContract(contract, quote);
|
|
break;
|
|
|
|
case MarketDataType.Base:
|
|
chain.AddAuxData(baseData);
|
|
break;
|
|
}
|
|
return true;
|
|
}
|
|
|
|
private static void UpdateContract(OptionContract contract, QuoteBar quote)
|
|
{
|
|
if (quote.Ask != null && quote.Ask.Close != 0m)
|
|
{
|
|
contract.AskPrice = quote.Ask.Close;
|
|
contract.AskSize = (long)quote.LastAskSize;
|
|
}
|
|
if (quote.Bid != null && quote.Bid.Close != 0m)
|
|
{
|
|
contract.BidPrice = quote.Bid.Close;
|
|
contract.BidSize = (long)quote.LastBidSize;
|
|
}
|
|
}
|
|
|
|
private static void UpdateContract(OptionContract contract, Tick tick)
|
|
{
|
|
if (tick.TickType == TickType.Trade)
|
|
{
|
|
contract.LastPrice = tick.Price;
|
|
}
|
|
else if (tick.TickType == TickType.Quote)
|
|
{
|
|
if (tick.AskPrice != 0m)
|
|
{
|
|
contract.AskPrice = tick.AskPrice;
|
|
contract.AskSize = (long)tick.AskSize;
|
|
}
|
|
if (tick.BidPrice != 0m)
|
|
{
|
|
contract.BidPrice = tick.BidPrice;
|
|
contract.BidSize = (long)tick.BidSize;
|
|
}
|
|
}
|
|
else if (tick.TickType == TickType.OpenInterest)
|
|
{
|
|
if (tick.Value != 0m)
|
|
{
|
|
contract.OpenInterest = tick.Value;
|
|
}
|
|
}
|
|
}
|
|
|
|
private static void UpdateContract(OptionContract contract, TradeBar tradeBar)
|
|
{
|
|
if (tradeBar.Close == 0m) return;
|
|
contract.LastPrice = tradeBar.Close;
|
|
contract.Volume = (long)tradeBar.Volume;
|
|
}
|
|
|
|
private static void UpdateContract(FuturesContract contract, QuoteBar quote)
|
|
{
|
|
if (quote.Ask != null && quote.Ask.Close != 0m)
|
|
{
|
|
contract.AskPrice = quote.Ask.Close;
|
|
contract.AskSize = (long)quote.LastAskSize;
|
|
}
|
|
if (quote.Bid != null && quote.Bid.Close != 0m)
|
|
{
|
|
contract.BidPrice = quote.Bid.Close;
|
|
contract.BidSize = (long)quote.LastBidSize;
|
|
}
|
|
}
|
|
|
|
private static void UpdateContract(FuturesContract contract, Tick tick)
|
|
{
|
|
if (tick.TickType == TickType.Trade)
|
|
{
|
|
contract.LastPrice = tick.Price;
|
|
}
|
|
else if (tick.TickType == TickType.Quote)
|
|
{
|
|
if (tick.AskPrice != 0m)
|
|
{
|
|
contract.AskPrice = tick.AskPrice;
|
|
contract.AskSize = (long)tick.AskSize;
|
|
}
|
|
if (tick.BidPrice != 0m)
|
|
{
|
|
contract.BidPrice = tick.BidPrice;
|
|
contract.BidSize = (long)tick.BidSize;
|
|
}
|
|
}
|
|
else if (tick.TickType == TickType.OpenInterest)
|
|
{
|
|
if (tick.Value != 0m)
|
|
{
|
|
contract.OpenInterest = tick.Value;
|
|
}
|
|
}
|
|
}
|
|
|
|
private static void UpdateContract(FuturesContract contract, TradeBar tradeBar)
|
|
{
|
|
if (tradeBar.Close == 0m) return;
|
|
contract.LastPrice = tradeBar.Close;
|
|
contract.Volume = (long)tradeBar.Volume;
|
|
}
|
|
}
|
|
}
|