Gerardo Salazar
dde3576161
* Fixes intraday delistings not occurring for Futures and FOPs
* Previously, we would wait until the next market open to
liquidate futures and futures options contracts. Since these
contracts can not be traded at the next market open and require
intraday delisting, changes were made to liquidate at the first
available place where we know the market is open. This means
we now liquidate futures and FOPs intraday as a market order.
* Maintains backwards compatability with equities and equity options
delisting behavior
* Addresses review: adds additional protections for ProcessDelistedSymbols
* We choose to adjust the delisting date to the next market open only
if the market is not open at the current time, otherwise the time
would have been adjusted to the market open of the next trading day
* Addresses review: reverts changes and fixes error message in regression algo
1233 lines
59 KiB
C#
1233 lines
59 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.Generic;
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using System.Linq;
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using System.Threading;
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using Fasterflect;
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using QuantConnect.Algorithm;
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using QuantConnect.Configuration;
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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.Lean.Engine.Alpha;
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using QuantConnect.Lean.Engine.DataFeeds;
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using QuantConnect.Lean.Engine.RealTime;
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using QuantConnect.Lean.Engine.Results;
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using QuantConnect.Lean.Engine.Server;
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using QuantConnect.Lean.Engine.TransactionHandlers;
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using QuantConnect.Logging;
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using QuantConnect.Orders;
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using QuantConnect.Packets;
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using QuantConnect.Securities;
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using QuantConnect.Util;
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using QuantConnect.Securities.Option;
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using QuantConnect.Securities.Volatility;
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using QuantConnect.Util.RateLimit;
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namespace QuantConnect.Lean.Engine
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{
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/// <summary>
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/// Algorithm manager class executes the algorithm and generates and passes through the algorithm events.
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/// </summary>
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public class AlgorithmManager
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{
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private IAlgorithm _algorithm;
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private readonly object _lock;
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private readonly bool _liveMode;
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/// <summary>
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/// Publicly accessible algorithm status
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/// </summary>
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public AlgorithmStatus State => _algorithm?.Status ?? AlgorithmStatus.Running;
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/// <summary>
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/// Public access to the currently running algorithm id.
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/// </summary>
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public string AlgorithmId { get; private set; }
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/// <summary>
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/// Provides the isolator with a function for verifying that we're not spending too much time in each
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/// algorithm manager time loop
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/// </summary>
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public AlgorithmTimeLimitManager TimeLimit { get; }
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/// <summary>
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/// Quit state flag for the running algorithm. When true the user has requested the backtest stops through a Quit() method.
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/// </summary>
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/// <seealso cref="QCAlgorithm.Quit(String)"/>
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public bool QuitState => State == AlgorithmStatus.Deleted;
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/// <summary>
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/// Gets the number of data points processed per second
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/// </summary>
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public long DataPoints { get; private set; }
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/// <summary>
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/// Initializes a new instance of the <see cref="AlgorithmManager"/> class
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/// </summary>
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/// <param name="liveMode">True if we're running in live mode, false for backtest mode</param>
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/// <param name="job">Provided by LEAN when creating a new algo manager. This is the job
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/// that the algo manager is about to execute. Research and other consumers can provide the
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/// default value of null</param>
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public AlgorithmManager(bool liveMode, AlgorithmNodePacket job = null)
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{
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AlgorithmId = "";
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_liveMode = liveMode;
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_lock = new object();
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// initialize the time limit manager
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TimeLimit = new AlgorithmTimeLimitManager(
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CreateTokenBucket(job?.Controls?.TrainingLimits),
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TimeSpan.FromMinutes(Config.GetDouble("algorithm-manager-time-loop-maximum", 20))
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);
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}
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/// <summary>
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/// Launch the algorithm manager to run this strategy
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/// </summary>
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/// <param name="job">Algorithm job</param>
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/// <param name="algorithm">Algorithm instance</param>
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/// <param name="synchronizer">Instance which implements <see cref="ISynchronizer"/>. Used to stream the data</param>
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/// <param name="transactions">Transaction manager object</param>
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/// <param name="results">Result handler object</param>
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/// <param name="realtime">Realtime processing object</param>
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/// <param name="leanManager">ILeanManager implementation that is updated periodically with the IAlgorithm instance</param>
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/// <param name="alphas">Alpha handler used to process algorithm generated insights</param>
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/// <param name="token">Cancellation token</param>
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/// <remarks>Modify with caution</remarks>
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public void Run(AlgorithmNodePacket job, IAlgorithm algorithm, ISynchronizer synchronizer, ITransactionHandler transactions, IResultHandler results, IRealTimeHandler realtime, ILeanManager leanManager, IAlphaHandler alphas, CancellationToken token)
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{
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//Initialize:
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DataPoints = 0;
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_algorithm = algorithm;
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var backtestMode = (job.Type == PacketType.BacktestNode);
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var methodInvokers = new Dictionary<Type, MethodInvoker>();
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var marginCallFrequency = TimeSpan.FromMinutes(5);
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var nextMarginCallTime = DateTime.MinValue;
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var settlementScanFrequency = TimeSpan.FromMinutes(30);
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var nextSettlementScanTime = DateTime.MinValue;
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var time = algorithm.StartDate.Date;
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var delistings = new List<Delisting>();
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var splitWarnings = new List<Split>();
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//Initialize Properties:
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AlgorithmId = job.AlgorithmId;
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_algorithm.Status = AlgorithmStatus.Running;
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//Create the method accessors to push generic types into algorithm: Find all OnData events:
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// Algorithm 2.0 data accessors
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var hasOnDataTradeBars = AddMethodInvoker<TradeBars>(algorithm, methodInvokers);
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var hasOnDataQuoteBars = AddMethodInvoker<QuoteBars>(algorithm, methodInvokers);
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var hasOnDataOptionChains = AddMethodInvoker<OptionChains>(algorithm, methodInvokers);
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var hasOnDataTicks = AddMethodInvoker<Ticks>(algorithm, methodInvokers);
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// dividend and split events
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var hasOnDataDividends = AddMethodInvoker<Dividends>(algorithm, methodInvokers);
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var hasOnDataSplits = AddMethodInvoker<Splits>(algorithm, methodInvokers);
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var hasOnDataDelistings = AddMethodInvoker<Delistings>(algorithm, methodInvokers);
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var hasOnDataSymbolChangedEvents = AddMethodInvoker<SymbolChangedEvents>(algorithm, methodInvokers);
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//Go through the subscription types and create invokers to trigger the event handlers for each custom type:
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foreach (var config in algorithm.SubscriptionManager.Subscriptions)
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{
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//If type is a custom feed, check for a dedicated event handler
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if (config.IsCustomData)
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{
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//Get the matching method for this event handler - e.g. public void OnData(Quandl data) { .. }
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var genericMethod = (algorithm.GetType()).GetMethod("OnData", new[] { config.Type });
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//If we already have this Type-handler then don't add it to invokers again.
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if (methodInvokers.ContainsKey(config.Type)) continue;
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if (genericMethod != null)
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{
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methodInvokers.Add(config.Type, genericMethod.DelegateForCallMethod());
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}
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}
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}
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//Loop over the queues: get a data collection, then pass them all into relevent methods in the algorithm.
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Log.Trace("AlgorithmManager.Run(): Begin DataStream - Start: " + algorithm.StartDate + " Stop: " + algorithm.EndDate);
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foreach (var timeSlice in Stream(algorithm, synchronizer, results, token))
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{
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// reset our timer on each loop
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TimeLimit.StartNewTimeStep();
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//Check this backtest is still running:
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if (_algorithm.Status != AlgorithmStatus.Running)
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{
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Log.Error($"AlgorithmManager.Run(): Algorithm state changed to {_algorithm.Status} at {timeSlice.Time.ToStringInvariant()}");
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break;
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}
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//Execute with TimeLimit Monitor:
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if (token.IsCancellationRequested)
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{
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Log.Error($"AlgorithmManager.Run(): CancellationRequestion at {timeSlice.Time.ToStringInvariant()}");
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return;
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}
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// Update the ILeanManager
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leanManager.Update();
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time = timeSlice.Time;
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DataPoints += timeSlice.DataPointCount;
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// We need to sample at the top of the loop in case we have a strategy
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// with no data added. Time pulses would be emitted between days, and
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// would cause us to skip sampling of the portfolio in those dead days.
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results.Sample(time);
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if (backtestMode)
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{
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if (algorithm.Portfolio.TotalPortfolioValue <= 0)
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{
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var logMessage = "AlgorithmManager.Run(): Portfolio value is less than or equal to zero, stopping algorithm.";
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Log.Error(logMessage);
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results.SystemDebugMessage(logMessage);
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break;
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}
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// If backtesting, we need to check if there are realtime events in the past
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// which didn't fire because at the scheduled times there was no data (i.e. markets closed)
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// and fire them with the correct date/time.
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realtime.ScanPastEvents(time);
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}
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//Set the algorithm and real time handler's time
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algorithm.SetDateTime(time);
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// the time pulse are just to advance algorithm time, lets shortcut the loop here
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if (timeSlice.IsTimePulse)
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{
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continue;
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}
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// Update the current slice before firing scheduled events or any other task
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algorithm.SetCurrentSlice(timeSlice.Slice);
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if (timeSlice.Slice.SymbolChangedEvents.Count != 0)
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{
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if (hasOnDataSymbolChangedEvents)
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{
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methodInvokers[typeof (SymbolChangedEvents)](algorithm, timeSlice.Slice.SymbolChangedEvents);
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}
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foreach (var symbol in timeSlice.Slice.SymbolChangedEvents.Keys)
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{
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// cancel all orders for the old symbol
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foreach (var ticket in transactions.GetOpenOrderTickets(x => x.Symbol == symbol))
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{
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ticket.Cancel("Open order cancelled on symbol changed event");
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}
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}
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}
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if (timeSlice.SecurityChanges != SecurityChanges.None)
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{
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foreach (var security in timeSlice.SecurityChanges.AddedSecurities)
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{
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security.IsTradable = true;
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// uses TryAdd, so don't need to worry about duplicates here
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algorithm.Securities.Add(security);
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}
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var activeSecurities = algorithm.UniverseManager.ActiveSecurities;
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foreach (var security in timeSlice.SecurityChanges.RemovedSecurities)
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{
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if (!activeSecurities.ContainsKey(security.Symbol))
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{
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security.IsTradable = false;
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}
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}
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realtime.OnSecuritiesChanged(timeSlice.SecurityChanges);
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results.OnSecuritiesChanged(timeSlice.SecurityChanges);
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}
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//Update the securities properties: first before calling user code to avoid issues with data
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foreach (var update in timeSlice.SecuritiesUpdateData)
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{
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var security = update.Target;
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security.Update(update.Data, update.DataType, update.ContainsFillForwardData);
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if (!update.IsInternalConfig)
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{
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// Send market price updates to the TradeBuilder
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algorithm.TradeBuilder.SetMarketPrice(security.Symbol, security.Price);
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}
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}
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//Update the securities properties with any universe data
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if (timeSlice.UniverseData.Count > 0)
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{
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foreach (var kvp in timeSlice.UniverseData)
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{
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foreach (var data in kvp.Value.Data)
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{
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Security security;
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if (algorithm.Securities.TryGetValue(data.Symbol, out security))
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{
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security.Cache.StoreData(new[] {data}, data.GetType());
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}
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}
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}
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}
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// poke each cash object to update from the recent security data
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foreach (var kvp in algorithm.Portfolio.CashBook)
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{
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var cash = kvp.Value;
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var updateData = cash.ConversionRateSecurity?.GetLastData();
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if (updateData != null)
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{
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cash.Update(updateData);
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}
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}
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// security prices got updated
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algorithm.Portfolio.InvalidateTotalPortfolioValue();
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// fire real time events after we've updated based on the new data
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realtime.SetTime(timeSlice.Time);
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// process fill models on the updated data before entering algorithm, applies to all non-market orders
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transactions.ProcessSynchronousEvents();
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// process end of day delistings
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ProcessDelistedSymbols(algorithm, delistings);
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// process split warnings for options
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ProcessSplitSymbols(algorithm, splitWarnings);
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//Check if the user's signalled Quit: loop over data until day changes.
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if (algorithm.Status == AlgorithmStatus.Stopped)
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{
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Log.Trace("AlgorithmManager.Run(): Algorithm quit requested.");
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break;
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}
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if (algorithm.RunTimeError != null)
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{
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_algorithm.Status = AlgorithmStatus.RuntimeError;
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Log.Trace($"AlgorithmManager.Run(): Algorithm encountered a runtime error at {timeSlice.Time.ToStringInvariant()}. Error: {algorithm.RunTimeError}");
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return;
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}
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// perform margin calls, in live mode we can also use realtime to emit these
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if (time >= nextMarginCallTime || (_liveMode && nextMarginCallTime > DateTime.UtcNow))
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{
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// determine if there are possible margin call orders to be executed
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bool issueMarginCallWarning;
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var marginCallOrders = algorithm.Portfolio.MarginCallModel.GetMarginCallOrders(out issueMarginCallWarning);
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if (marginCallOrders.Count != 0)
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{
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var executingMarginCall = false;
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try
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{
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// tell the algorithm we're about to issue the margin call
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algorithm.OnMarginCall(marginCallOrders);
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executingMarginCall = true;
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// execute the margin call orders
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var executedTickets = algorithm.Portfolio.MarginCallModel.ExecuteMarginCall(marginCallOrders);
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foreach (var ticket in executedTickets)
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{
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algorithm.Error($"{algorithm.Time.ToStringInvariant()} - Executed MarginCallOrder: {ticket.Symbol} - " +
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$"Quantity: {ticket.Quantity.ToStringInvariant()} @ {ticket.AverageFillPrice.ToStringInvariant()}"
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);
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}
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}
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catch (Exception err)
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{
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algorithm.RunTimeError = err;
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_algorithm.Status = AlgorithmStatus.RuntimeError;
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var locator = executingMarginCall ? "Portfolio.MarginCallModel.ExecuteMarginCall" : "OnMarginCall";
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Log.Error($"AlgorithmManager.Run(): RuntimeError: {locator}: {err}");
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return;
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}
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}
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// we didn't perform a margin call, but got the warning flag back, so issue the warning to the algorithm
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else if (issueMarginCallWarning)
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{
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try
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{
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algorithm.OnMarginCallWarning();
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}
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catch (Exception err)
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{
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algorithm.RunTimeError = err;
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_algorithm.Status = AlgorithmStatus.RuntimeError;
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Log.Error("AlgorithmManager.Run(): RuntimeError: OnMarginCallWarning: " + err);
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return;
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}
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}
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nextMarginCallTime = time + marginCallFrequency;
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}
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// perform check for settlement of unsettled funds
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if (time >= nextSettlementScanTime || (_liveMode && nextSettlementScanTime > DateTime.UtcNow))
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{
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algorithm.Portfolio.ScanForCashSettlement(algorithm.UtcTime);
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nextSettlementScanTime = time + settlementScanFrequency;
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}
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// before we call any events, let the algorithm know about universe changes
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if (timeSlice.SecurityChanges != SecurityChanges.None)
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{
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try
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{
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var algorithmSecurityChanges = new SecurityChanges(timeSlice.SecurityChanges)
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{
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// by default for user code we want to filter out custom securities
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FilterCustomSecurities = true
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};
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algorithm.OnSecuritiesChanged(algorithmSecurityChanges);
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algorithm.OnFrameworkSecuritiesChanged(algorithmSecurityChanges);
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}
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catch (Exception err)
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{
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algorithm.RunTimeError = err;
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_algorithm.Status = AlgorithmStatus.RuntimeError;
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Log.Error("AlgorithmManager.Run(): RuntimeError: OnSecuritiesChanged event: " + err);
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return;
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}
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}
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// apply dividends
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foreach (var dividend in timeSlice.Slice.Dividends.Values)
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{
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Log.Debug($"AlgorithmManager.Run(): {algorithm.Time}: Applying Dividend: {dividend}");
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Security security = null;
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if (_liveMode && algorithm.Securities.TryGetValue(dividend.Symbol, out security))
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{
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Log.Trace($"AlgorithmManager.Run(): {algorithm.Time}: Pre-Dividend: {dividend}. " +
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$"Security Holdings: {security.Holdings.Quantity} Account Currency Holdings: " +
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$"{algorithm.Portfolio.CashBook[algorithm.AccountCurrency].Amount}");
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}
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var mode = algorithm.SubscriptionManager.SubscriptionDataConfigService
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.GetSubscriptionDataConfigs(dividend.Symbol)
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.DataNormalizationMode();
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// apply the dividend event to the portfolio
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algorithm.Portfolio.ApplyDividend(dividend, _liveMode, mode);
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if (_liveMode && security != null)
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{
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Log.Trace($"AlgorithmManager.Run(): {algorithm.Time}: Post-Dividend: {dividend}. Security " +
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$"Holdings: {security.Holdings.Quantity} Account Currency Holdings: " +
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$"{algorithm.Portfolio.CashBook[algorithm.AccountCurrency].Amount}");
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}
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}
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// apply splits
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foreach (var split in timeSlice.Slice.Splits.Values)
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{
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try
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{
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// only process split occurred events (ignore warnings)
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if (split.Type != SplitType.SplitOccurred)
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{
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continue;
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}
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Log.Debug($"AlgorithmManager.Run(): {algorithm.Time}: Applying Split for {split.Symbol}");
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Security security = null;
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if (_liveMode && algorithm.Securities.TryGetValue(split.Symbol, out security))
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{
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Log.Trace($"AlgorithmManager.Run(): {algorithm.Time}: Pre-Split for {split}. Security Price: {security.Price} Holdings: {security.Holdings.Quantity}");
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}
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var mode = algorithm.SubscriptionManager.SubscriptionDataConfigService
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.GetSubscriptionDataConfigs(split.Symbol)
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.DataNormalizationMode();
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// apply the split event to the portfolio
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algorithm.Portfolio.ApplySplit(split, _liveMode, mode);
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if (_liveMode && security != null)
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{
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Log.Trace($"AlgorithmManager.Run(): {algorithm.Time}: Post-Split for {split}. Security Price: {security.Price} Holdings: {security.Holdings.Quantity}");
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}
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// apply the split to open orders as well in raw mode, all other modes are split adjusted
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if (_liveMode || mode == DataNormalizationMode.Raw)
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{
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// in live mode we always want to have our order match the order at the brokerage, so apply the split to the orders
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var openOrders = transactions.GetOpenOrderTickets(ticket => ticket.Symbol == split.Symbol);
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algorithm.BrokerageModel.ApplySplit(openOrders.ToList(), split);
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}
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}
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catch (Exception err)
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{
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algorithm.RunTimeError = err;
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_algorithm.Status = AlgorithmStatus.RuntimeError;
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Log.Error("AlgorithmManager.Run(): RuntimeError: Split event: " + err);
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return;
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}
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}
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//Update registered consolidators for this symbol index
|
|
try
|
|
{
|
|
if (timeSlice.ConsolidatorUpdateData.Count > 0)
|
|
{
|
|
var timeKeeper = algorithm.TimeKeeper;
|
|
foreach (var update in timeSlice.ConsolidatorUpdateData)
|
|
{
|
|
var localTime = timeKeeper.GetLocalTimeKeeper(update.Target.ExchangeTimeZone).LocalTime;
|
|
var consolidators = update.Target.Consolidators;
|
|
foreach (var consolidator in consolidators)
|
|
{
|
|
foreach (var dataPoint in update.Data)
|
|
{
|
|
// only push data into consolidators on the native, subscribed to resolution
|
|
if (EndTimeIsInNativeResolution(update.Target, dataPoint.EndTime))
|
|
{
|
|
consolidator.Update(dataPoint);
|
|
}
|
|
}
|
|
|
|
// scan for time after we've pumped all the data through for this consolidator
|
|
consolidator.Scan(localTime);
|
|
}
|
|
}
|
|
}
|
|
}
|
|
catch (Exception err)
|
|
{
|
|
algorithm.RunTimeError = err;
|
|
_algorithm.Status = AlgorithmStatus.RuntimeError;
|
|
Log.Error("AlgorithmManager.Run(): RuntimeError: Consolidators update: " + err);
|
|
return;
|
|
}
|
|
|
|
// fire custom event handlers
|
|
foreach (var update in timeSlice.CustomData)
|
|
{
|
|
MethodInvoker methodInvoker;
|
|
if (!methodInvokers.TryGetValue(update.DataType, out methodInvoker))
|
|
{
|
|
continue;
|
|
}
|
|
|
|
try
|
|
{
|
|
foreach (var dataPoint in update.Data)
|
|
{
|
|
if (update.DataType.IsInstanceOfType(dataPoint))
|
|
{
|
|
methodInvoker(algorithm, dataPoint);
|
|
}
|
|
}
|
|
}
|
|
catch (Exception err)
|
|
{
|
|
algorithm.RunTimeError = err;
|
|
_algorithm.Status = AlgorithmStatus.RuntimeError;
|
|
Log.Error("AlgorithmManager.Run(): RuntimeError: Custom Data: " + err);
|
|
return;
|
|
}
|
|
}
|
|
|
|
try
|
|
{
|
|
// fire off the dividend and split events before pricing events
|
|
if (hasOnDataDividends && timeSlice.Slice.Dividends.Count != 0)
|
|
{
|
|
methodInvokers[typeof(Dividends)](algorithm, timeSlice.Slice.Dividends);
|
|
}
|
|
if (hasOnDataSplits && timeSlice.Slice.Splits.Count != 0)
|
|
{
|
|
methodInvokers[typeof(Splits)](algorithm, timeSlice.Slice.Splits);
|
|
}
|
|
if (hasOnDataDelistings && timeSlice.Slice.Delistings.Count != 0)
|
|
{
|
|
methodInvokers[typeof(Delistings)](algorithm, timeSlice.Slice.Delistings);
|
|
}
|
|
}
|
|
catch (Exception err)
|
|
{
|
|
algorithm.RunTimeError = err;
|
|
_algorithm.Status = AlgorithmStatus.RuntimeError;
|
|
Log.Error("AlgorithmManager.Run(): RuntimeError: Dividends/Splits/Delistings: " + err);
|
|
return;
|
|
}
|
|
|
|
// run the delisting logic after firing delisting events
|
|
HandleDelistedSymbols(algorithm, timeSlice.Slice.Delistings, delistings);
|
|
|
|
// run split logic after firing split events
|
|
HandleSplitSymbols(timeSlice.Slice.Splits, splitWarnings);
|
|
|
|
//After we've fired all other events in this second, fire the pricing events:
|
|
try
|
|
{
|
|
if (hasOnDataTradeBars && timeSlice.Slice.Bars.Count > 0) methodInvokers[typeof(TradeBars)](algorithm, timeSlice.Slice.Bars);
|
|
if (hasOnDataQuoteBars && timeSlice.Slice.QuoteBars.Count > 0) methodInvokers[typeof(QuoteBars)](algorithm, timeSlice.Slice.QuoteBars);
|
|
if (hasOnDataOptionChains && timeSlice.Slice.OptionChains.Count > 0) methodInvokers[typeof(OptionChains)](algorithm, timeSlice.Slice.OptionChains);
|
|
if (hasOnDataTicks && timeSlice.Slice.Ticks.Count > 0) methodInvokers[typeof(Ticks)](algorithm, timeSlice.Slice.Ticks);
|
|
}
|
|
catch (Exception err)
|
|
{
|
|
algorithm.RunTimeError = err;
|
|
_algorithm.Status = AlgorithmStatus.RuntimeError;
|
|
Log.Error("AlgorithmManager.Run(): RuntimeError: New Style Mode: " + err);
|
|
return;
|
|
}
|
|
|
|
try
|
|
{
|
|
if (timeSlice.Slice.HasData)
|
|
{
|
|
// EVENT HANDLER v3.0 -- all data in a single event
|
|
algorithm.OnData(timeSlice.Slice);
|
|
}
|
|
|
|
// always turn the crank on this method to ensure universe selection models function properly on day changes w/out data
|
|
algorithm.OnFrameworkData(timeSlice.Slice);
|
|
}
|
|
catch (Exception err)
|
|
{
|
|
algorithm.RunTimeError = err;
|
|
_algorithm.Status = AlgorithmStatus.RuntimeError;
|
|
Log.Error("AlgorithmManager.Run(): RuntimeError: Slice: " + err);
|
|
return;
|
|
}
|
|
|
|
//If its the historical/paper trading models, wait until market orders have been "filled"
|
|
// Manually trigger the event handler to prevent thread switch.
|
|
transactions.ProcessSynchronousEvents();
|
|
|
|
// sample alpha charts now that we've updated time/price information and after transactions
|
|
// are processed so that insights closed because of new order based insights get updated
|
|
alphas.ProcessSynchronousEvents();
|
|
|
|
// send the alpha statistics to the result handler for storage/transmit with the result packets
|
|
results.SetAlphaRuntimeStatistics(alphas.RuntimeStatistics);
|
|
|
|
// Process any required events of the results handler such as sampling assets, equity, or stock prices.
|
|
results.ProcessSynchronousEvents();
|
|
|
|
// poke the algorithm at the end of each time step
|
|
algorithm.OnEndOfTimeStep();
|
|
|
|
} // End of ForEach feed.Bridge.GetConsumingEnumerable
|
|
|
|
// stop timing the loops
|
|
TimeLimit.StopEnforcingTimeLimit();
|
|
|
|
//Stream over:: Send the final packet and fire final events:
|
|
Log.Trace("AlgorithmManager.Run(): Firing On End Of Algorithm...");
|
|
try
|
|
{
|
|
algorithm.OnEndOfAlgorithm();
|
|
}
|
|
catch (Exception err)
|
|
{
|
|
_algorithm.Status = AlgorithmStatus.RuntimeError;
|
|
algorithm.RunTimeError = new Exception("Error running OnEndOfAlgorithm(): " + err.Message, err.InnerException);
|
|
Log.Error("AlgorithmManager.OnEndOfAlgorithm(): " + err);
|
|
return;
|
|
}
|
|
|
|
// final processing now that the algorithm has completed
|
|
alphas.ProcessSynchronousEvents();
|
|
|
|
// send the final alpha statistics to the result handler for storage/transmit with the result packets
|
|
results.SetAlphaRuntimeStatistics(alphas.RuntimeStatistics);
|
|
|
|
// Process any required events of the results handler such as sampling assets, equity, or stock prices.
|
|
results.ProcessSynchronousEvents(forceProcess: true);
|
|
|
|
//Liquidate Holdings for Calculations:
|
|
if (_algorithm.Status == AlgorithmStatus.Liquidated && _liveMode)
|
|
{
|
|
Log.Trace("AlgorithmManager.Run(): Liquidating algorithm holdings...");
|
|
algorithm.Liquidate();
|
|
results.LogMessage("Algorithm Liquidated");
|
|
results.SendStatusUpdate(AlgorithmStatus.Liquidated);
|
|
}
|
|
|
|
//Manually stopped the algorithm
|
|
if (_algorithm.Status == AlgorithmStatus.Stopped)
|
|
{
|
|
Log.Trace("AlgorithmManager.Run(): Stopping algorithm...");
|
|
results.LogMessage("Algorithm Stopped");
|
|
results.SendStatusUpdate(AlgorithmStatus.Stopped);
|
|
}
|
|
|
|
//Backtest deleted.
|
|
if (_algorithm.Status == AlgorithmStatus.Deleted)
|
|
{
|
|
Log.Trace("AlgorithmManager.Run(): Deleting algorithm...");
|
|
results.DebugMessage("Algorithm Id:(" + job.AlgorithmId + ") Deleted by request.");
|
|
results.SendStatusUpdate(AlgorithmStatus.Deleted);
|
|
}
|
|
|
|
//Algorithm finished, send regardless of commands:
|
|
results.SendStatusUpdate(AlgorithmStatus.Completed);
|
|
SetStatus(AlgorithmStatus.Completed);
|
|
|
|
//Take final samples:
|
|
results.Sample(time, force: true);
|
|
|
|
} // End of Run();
|
|
|
|
/// <summary>
|
|
/// Set the quit state.
|
|
/// </summary>
|
|
public void SetStatus(AlgorithmStatus state)
|
|
{
|
|
lock (_lock)
|
|
{
|
|
//We don't want anyone else to set our internal state to "Running".
|
|
//This is controlled by the algorithm private variable only.
|
|
//Algorithm could be null after it's initialized and they call Run on us
|
|
if (state != AlgorithmStatus.Running && _algorithm != null)
|
|
{
|
|
_algorithm.Status = state;
|
|
}
|
|
}
|
|
}
|
|
|
|
private IEnumerable<TimeSlice> Stream(IAlgorithm algorithm, ISynchronizer synchronizer, IResultHandler results, CancellationToken cancellationToken)
|
|
{
|
|
bool setStartTime = false;
|
|
var timeZone = algorithm.TimeZone;
|
|
var history = algorithm.HistoryProvider;
|
|
|
|
// fulfilling history requirements of volatility models in live mode
|
|
if (algorithm.LiveMode)
|
|
{
|
|
ProcessVolatilityHistoryRequirements(algorithm);
|
|
}
|
|
|
|
// get the required history job from the algorithm
|
|
DateTime? lastHistoryTimeUtc = null;
|
|
var historyRequests = algorithm.GetWarmupHistoryRequests().ToList();
|
|
|
|
// initialize variables for progress computation
|
|
var warmUpStartTicks = DateTime.UtcNow.Ticks;
|
|
var nextStatusTime = DateTime.UtcNow.AddSeconds(1);
|
|
var minimumIncrement = algorithm.UniverseManager
|
|
.Select(x => x.Value.UniverseSettings?.Resolution.ToTimeSpan() ?? algorithm.UniverseSettings.Resolution.ToTimeSpan())
|
|
.DefaultIfEmpty(Time.OneSecond)
|
|
.Min();
|
|
|
|
minimumIncrement = minimumIncrement == TimeSpan.Zero ? Time.OneSecond : minimumIncrement;
|
|
|
|
if (historyRequests.Count != 0)
|
|
{
|
|
// rewrite internal feed requests
|
|
var subscriptions = algorithm.SubscriptionManager.Subscriptions.Where(x => !x.IsInternalFeed).ToList();
|
|
var minResolution = subscriptions.Count > 0 ? subscriptions.Min(x => x.Resolution) : Resolution.Second;
|
|
foreach (var request in historyRequests)
|
|
{
|
|
Security security;
|
|
if (algorithm.Securities.TryGetValue(request.Symbol, out security) && security.IsInternalFeed())
|
|
{
|
|
if (request.Resolution < minResolution)
|
|
{
|
|
request.Resolution = minResolution;
|
|
request.FillForwardResolution = request.FillForwardResolution.HasValue ? minResolution : (Resolution?) null;
|
|
}
|
|
}
|
|
}
|
|
|
|
// rewrite all to share the same fill forward resolution
|
|
if (historyRequests.Any(x => x.FillForwardResolution.HasValue))
|
|
{
|
|
minResolution = historyRequests.Where(x => x.FillForwardResolution.HasValue).Min(x => x.FillForwardResolution.Value);
|
|
foreach (var request in historyRequests.Where(x => x.FillForwardResolution.HasValue))
|
|
{
|
|
request.FillForwardResolution = minResolution;
|
|
}
|
|
}
|
|
|
|
foreach (var request in historyRequests)
|
|
{
|
|
warmUpStartTicks = Math.Min(request.StartTimeUtc.Ticks, warmUpStartTicks);
|
|
Log.Trace($"AlgorithmManager.Stream(): WarmupHistoryRequest: {request.Symbol}: Start: {request.StartTimeUtc} End: {request.EndTimeUtc} Resolution: {request.Resolution}");
|
|
}
|
|
|
|
var timeSliceFactory = new TimeSliceFactory(timeZone);
|
|
// make the history request and build time slices
|
|
foreach (var slice in history.GetHistory(historyRequests, timeZone))
|
|
{
|
|
TimeSlice timeSlice;
|
|
try
|
|
{
|
|
// we need to recombine this slice into a time slice
|
|
var paired = new List<DataFeedPacket>();
|
|
foreach (var symbol in slice.Keys)
|
|
{
|
|
var security = algorithm.Securities[symbol];
|
|
var data = slice[symbol];
|
|
var list = new List<BaseData>();
|
|
Type dataType;
|
|
|
|
var ticks = data as List<Tick>;
|
|
if (ticks != null)
|
|
{
|
|
list.AddRange(ticks);
|
|
dataType = typeof(Tick);
|
|
}
|
|
else
|
|
{
|
|
list.Add(data);
|
|
dataType = data.GetType();
|
|
}
|
|
|
|
var config = algorithm.SubscriptionManager.SubscriptionDataConfigService
|
|
.GetSubscriptionDataConfigs(symbol, includeInternalConfigs: true)
|
|
.FirstOrDefault(subscription => dataType.IsAssignableFrom(subscription.Type));
|
|
|
|
if (config == null)
|
|
{
|
|
throw new Exception($"A data subscription for type '{dataType.Name}' was not found.");
|
|
}
|
|
paired.Add(new DataFeedPacket(security, config, list));
|
|
}
|
|
|
|
timeSlice = timeSliceFactory.Create(slice.Time.ConvertToUtc(timeZone), paired, SecurityChanges.None, new Dictionary<Universe, BaseDataCollection>());
|
|
}
|
|
catch (Exception err)
|
|
{
|
|
Log.Error(err);
|
|
algorithm.RunTimeError = err;
|
|
yield break;
|
|
}
|
|
|
|
if (timeSlice != null)
|
|
{
|
|
if (!setStartTime)
|
|
{
|
|
setStartTime = true;
|
|
algorithm.Debug("Algorithm warming up...");
|
|
}
|
|
if (DateTime.UtcNow > nextStatusTime)
|
|
{
|
|
// send some status to the user letting them know we're done history, but still warming up,
|
|
// catching up to real time data
|
|
nextStatusTime = DateTime.UtcNow.AddSeconds(1);
|
|
var percent = (int)(100 * (timeSlice.Time.Ticks - warmUpStartTicks) / (double)(DateTime.UtcNow.Ticks - warmUpStartTicks));
|
|
results.SendStatusUpdate(AlgorithmStatus.History, $"Catching up to realtime {percent}%...");
|
|
}
|
|
yield return timeSlice;
|
|
lastHistoryTimeUtc = timeSlice.Time;
|
|
}
|
|
}
|
|
}
|
|
|
|
// if we're not live or didn't event request warmup, then set us as not warming up
|
|
if (!algorithm.LiveMode || historyRequests.Count == 0)
|
|
{
|
|
algorithm.SetFinishedWarmingUp();
|
|
if (historyRequests.Count != 0)
|
|
{
|
|
algorithm.Debug("Algorithm finished warming up.");
|
|
Log.Trace("AlgorithmManager.Stream(): Finished warmup");
|
|
}
|
|
}
|
|
|
|
foreach (var timeSlice in synchronizer.StreamData(cancellationToken))
|
|
{
|
|
if (algorithm.LiveMode && algorithm.IsWarmingUp)
|
|
{
|
|
if (timeSlice.IsTimePulse)
|
|
{
|
|
continue;
|
|
}
|
|
|
|
// this is hand-over logic, we spin up the data feed first and then request
|
|
// the history for warmup, so there will be some overlap between the data
|
|
if (lastHistoryTimeUtc.HasValue)
|
|
{
|
|
// make sure there's no historical data, this only matters for the handover
|
|
var hasHistoricalData = false;
|
|
foreach (var data in timeSlice.Slice.Ticks.Values.SelectMany(x => x).Concat<BaseData>(timeSlice.Slice.Bars.Values))
|
|
{
|
|
// check if any ticks in the list are on or after our last warmup point, if so, skip this data
|
|
if (data.EndTime.ConvertToUtc(algorithm.Securities[data.Symbol].Exchange.TimeZone) >= lastHistoryTimeUtc)
|
|
{
|
|
hasHistoricalData = true;
|
|
break;
|
|
}
|
|
}
|
|
if (hasHistoricalData)
|
|
{
|
|
continue;
|
|
}
|
|
|
|
// prevent us from doing these checks every loop
|
|
lastHistoryTimeUtc = null;
|
|
}
|
|
|
|
// in live mode wait to mark us as finished warming up when
|
|
// the data feed has caught up to now within the min increment
|
|
if (timeSlice.Time > DateTime.UtcNow.Subtract(minimumIncrement))
|
|
{
|
|
algorithm.SetFinishedWarmingUp();
|
|
algorithm.Debug("Algorithm finished warming up.");
|
|
Log.Trace("AlgorithmManager.Stream(): Finished warmup");
|
|
}
|
|
else if (DateTime.UtcNow > nextStatusTime)
|
|
{
|
|
// send some status to the user letting them know we're done history, but still warming up,
|
|
// catching up to real time data
|
|
nextStatusTime = DateTime.UtcNow.AddSeconds(1);
|
|
var percent = (int) (100*(timeSlice.Time.Ticks - warmUpStartTicks)/(double) (DateTime.UtcNow.Ticks - warmUpStartTicks));
|
|
results.SendStatusUpdate(AlgorithmStatus.History, $"Catching up to realtime {percent}%...");
|
|
}
|
|
}
|
|
yield return timeSlice;
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Helper method used to process securities volatility history requirements
|
|
/// </summary>
|
|
/// <remarks>Implemented as static to facilitate testing</remarks>
|
|
/// <param name="algorithm">The algorithm instance</param>
|
|
public static void ProcessVolatilityHistoryRequirements(IAlgorithm algorithm)
|
|
{
|
|
Log.Trace("ProcessVolatilityHistoryRequirements(): Updating volatility models with historical data...");
|
|
|
|
foreach (var kvp in algorithm.Securities)
|
|
{
|
|
var security = kvp.Value;
|
|
|
|
if (security.VolatilityModel != VolatilityModel.Null)
|
|
{
|
|
// start: this is a work around to maintain retro compatibility
|
|
// did not want to add IVolatilityModel.SetSubscriptionDataConfigProvider
|
|
// to prevent breaking existing user models.
|
|
var baseType = security.VolatilityModel as BaseVolatilityModel;
|
|
baseType?.SetSubscriptionDataConfigProvider(
|
|
algorithm.SubscriptionManager.SubscriptionDataConfigService);
|
|
// end
|
|
|
|
var historyReq = security.VolatilityModel.GetHistoryRequirements(security, algorithm.UtcTime);
|
|
|
|
if (historyReq != null && algorithm.HistoryProvider != null)
|
|
{
|
|
var history = algorithm.HistoryProvider.GetHistory(historyReq, algorithm.TimeZone);
|
|
if (history != null)
|
|
{
|
|
foreach (var slice in history)
|
|
{
|
|
if (slice.Bars.ContainsKey(security.Symbol))
|
|
security.VolatilityModel.Update(security, slice.Bars[security.Symbol]);
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
Log.Trace("ProcessVolatilityHistoryRequirements(): finished.");
|
|
}
|
|
|
|
/// <summary>
|
|
/// Adds a method invoker if the method exists to the method invokers dictionary
|
|
/// </summary>
|
|
/// <typeparam name="T">The data type to check for 'OnData(T data)</typeparam>
|
|
/// <param name="algorithm">The algorithm instance</param>
|
|
/// <param name="methodInvokers">The dictionary of method invokers</param>
|
|
/// <param name="methodName">The name of the method to search for</param>
|
|
/// <returns>True if the method existed and was added to the collection</returns>
|
|
private bool AddMethodInvoker<T>(IAlgorithm algorithm, Dictionary<Type, MethodInvoker> methodInvokers, string methodName = "OnData")
|
|
{
|
|
var newSplitMethodInfo = algorithm.GetType().GetMethod(methodName, new[] {typeof (T)});
|
|
if (newSplitMethodInfo != null)
|
|
{
|
|
methodInvokers.Add(typeof(T), newSplitMethodInfo.DelegateForCallMethod());
|
|
return true;
|
|
}
|
|
return false;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Performs delisting logic for the securities specified in <paramref name="newDelistings"/> that are marked as <see cref="DelistingType.Delisted"/>.
|
|
/// </summary>
|
|
private static void HandleDelistedSymbols(IAlgorithm algorithm, Delistings newDelistings, List<Delisting> delistings)
|
|
{
|
|
foreach (var delisting in newDelistings.Values)
|
|
{
|
|
// submit an order to liquidate on market close
|
|
if (delisting.Type == DelistingType.Warning)
|
|
{
|
|
if (!delistings.Any(x => x.Symbol == delisting.Symbol && x.Type == delisting.Type))
|
|
{
|
|
delistings.Add(delisting);
|
|
Log.Trace($"AlgorithmManager.Run(): Security delisting warning: {delisting.Symbol.Value}, UtcTime: {algorithm.UtcTime}, DelistingTime: {delisting.Time}");
|
|
}
|
|
}
|
|
else
|
|
{
|
|
// mark security as no longer tradable
|
|
var security = algorithm.Securities[delisting.Symbol];
|
|
security.IsTradable = false;
|
|
security.IsDelisted = true;
|
|
|
|
// the subscription are getting removed from the data feed because they end
|
|
// remove security from all universes
|
|
foreach (var ukvp in algorithm.UniverseManager)
|
|
{
|
|
var universe = ukvp.Value;
|
|
if (universe.ContainsMember(security.Symbol))
|
|
{
|
|
var userUniverse = universe as UserDefinedUniverse;
|
|
if (userUniverse != null)
|
|
{
|
|
userUniverse.Remove(security.Symbol);
|
|
}
|
|
else
|
|
{
|
|
universe.RemoveMember(algorithm.UtcTime, security);
|
|
}
|
|
}
|
|
}
|
|
|
|
Log.Trace($"AlgorithmManager.Run(): Security delisted: {delisting.Symbol.Value}, UtcTime: {algorithm.UtcTime}, DelistingTime: {delisting.Time}");
|
|
var cancelledOrders = algorithm.Transactions.CancelOpenOrders(delisting.Symbol);
|
|
foreach (var cancelledOrder in cancelledOrders)
|
|
{
|
|
Log.Trace("AlgorithmManager.Run(): " + cancelledOrder);
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Performs actual delisting of the contracts in delistings collection
|
|
/// </summary>
|
|
private static void ProcessDelistedSymbols(IAlgorithm algorithm, List<Delisting> delistings)
|
|
{
|
|
for (var i = delistings.Count - 1; i >= 0; i--)
|
|
{
|
|
var delisting = delistings[i];
|
|
var security = algorithm.Securities[delisting.Symbol];
|
|
if (security.Holdings.Quantity == 0)
|
|
{
|
|
continue;
|
|
}
|
|
|
|
var delistingTime = delisting.Time;
|
|
if (!security.Exchange.Hours.IsOpen(delistingTime, false))
|
|
{
|
|
// This exists as a defensive measure to ensure that the delisting time
|
|
// does not get moved if the market is open. If the market is closed,
|
|
// we get the next market open, which will be on the same day if the delisting
|
|
// date is a trading day. If the delisting date is after market close, then
|
|
// the delisting will be adjusted to the next market open.
|
|
delistingTime = security.Exchange.Hours.GetNextMarketOpen(delistingTime, false);
|
|
delistingTime = security.Exchange.Hours.GetNextMarketClose(delistingTime, false);
|
|
}
|
|
|
|
if (security.LocalTime < delistingTime)
|
|
{
|
|
continue;
|
|
}
|
|
|
|
var orderType = OrderType.Market;
|
|
var tag = "Liquidate from delisting";
|
|
if (security.Type == SecurityType.Option || security.Type == SecurityType.FutureOption)
|
|
{
|
|
// tx handler will determine auto exercise/assignment
|
|
tag = "Option Expired";
|
|
orderType = OrderType.OptionExercise;
|
|
}
|
|
|
|
// submit an order to liquidate on market close or exercise (for options)
|
|
var request = new SubmitOrderRequest(orderType, security.Type, security.Symbol,
|
|
-security.Holdings.Quantity, 0, 0, algorithm.UtcTime, tag);
|
|
|
|
delistings.RemoveAt(i);
|
|
algorithm.Transactions.ProcessRequest(request);
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Keeps track of split warnings so we can later liquidate option contracts
|
|
/// </summary>
|
|
private void HandleSplitSymbols(Splits newSplits, List<Split> splitWarnings)
|
|
{
|
|
foreach (var split in newSplits.Values)
|
|
{
|
|
if (split.Type != SplitType.Warning)
|
|
{
|
|
Log.Trace($"AlgorithmManager.HandleSplitSymbols(): {_algorithm.Time} - Security split occurred: Split Factor: {split} Reference Price: {split.ReferencePrice}");
|
|
continue;
|
|
}
|
|
|
|
Log.Trace($"AlgorithmManager.HandleSplitSymbols(): {_algorithm.Time} - Security split warning: {split}");
|
|
|
|
if (!splitWarnings.Any(x => x.Symbol == split.Symbol && x.Type == SplitType.Warning))
|
|
{
|
|
splitWarnings.Add(split);
|
|
}
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Liquidate option contact holdings who's underlying security has split
|
|
/// </summary>
|
|
private void ProcessSplitSymbols(IAlgorithm algorithm, List<Split> splitWarnings)
|
|
{
|
|
// NOTE: This method assumes option contracts have the same core trading hours as their underlying contract
|
|
// This is a small performance optimization to prevent scanning every contract on every time step,
|
|
// instead we scan just the underlyings, thereby reducing the time footprint of this methods by a factor
|
|
// of N, the number of derivative subscriptions
|
|
for (int i = splitWarnings.Count - 1; i >= 0; i--)
|
|
{
|
|
var split = splitWarnings[i];
|
|
var security = algorithm.Securities[split.Symbol];
|
|
|
|
if (!security.IsTradable
|
|
&& !algorithm.UniverseManager.ActiveSecurities.Keys.Contains(split.Symbol))
|
|
{
|
|
Log.Debug($"AlgorithmManager.ProcessSplitSymbols(): {_algorithm.Time} - Removing split warning for {security.Symbol}");
|
|
|
|
// remove the warning from out list
|
|
splitWarnings.RemoveAt(i);
|
|
// Since we are storing the split warnings for a loop
|
|
// we need to check if the security was removed.
|
|
// When removed, it will be marked as non tradable but just in case
|
|
// we expect it not to be an active security either
|
|
continue;
|
|
}
|
|
|
|
var nextMarketClose = security.Exchange.Hours.GetNextMarketClose(security.LocalTime, false);
|
|
|
|
// determine the latest possible time we can submit a MOC order
|
|
var configs = algorithm.SubscriptionManager.SubscriptionDataConfigService
|
|
.GetSubscriptionDataConfigs(security.Symbol);
|
|
|
|
if (configs.Count == 0)
|
|
{
|
|
// should never happen at this point, if it does let's give some extra info
|
|
throw new Exception(
|
|
$"AlgorithmManager.ProcessSplitSymbols(): {_algorithm.Time} - No subscriptions found for {security.Symbol}" +
|
|
$", IsTradable: {security.IsTradable}" +
|
|
$", Active: {algorithm.UniverseManager.ActiveSecurities.Keys.Contains(split.Symbol)}");
|
|
}
|
|
|
|
var latestMarketOnCloseTimeRoundedDownByResolution = nextMarketClose.Subtract(MarketOnCloseOrder.DefaultSubmissionTimeBuffer)
|
|
.RoundDownInTimeZone(configs.GetHighestResolution().ToTimeSpan(), security.Exchange.TimeZone, configs.First().DataTimeZone);
|
|
|
|
// we don't need to do anyhing until the market closes
|
|
if (security.LocalTime < latestMarketOnCloseTimeRoundedDownByResolution) continue;
|
|
|
|
// fetch all option derivatives of the underlying with holdings (excluding the canonical security)
|
|
var derivatives = algorithm.Securities.Where(kvp => kvp.Key.HasUnderlying &&
|
|
(kvp.Key.SecurityType == SecurityType.Option || kvp.Key.SecurityType == SecurityType.FutureOption) &&
|
|
kvp.Key.Underlying == security.Symbol &&
|
|
!kvp.Key.Underlying.IsCanonical() &&
|
|
kvp.Value.HoldStock
|
|
);
|
|
|
|
foreach (var kvp in derivatives)
|
|
{
|
|
var optionContractSymbol = kvp.Key;
|
|
var optionContractSecurity = (Option) kvp.Value;
|
|
|
|
// close any open orders
|
|
algorithm.Transactions.CancelOpenOrders(optionContractSymbol, "Canceled due to impending split. Separate MarketOnClose order submitted to liquidate position.");
|
|
|
|
var request = new SubmitOrderRequest(OrderType.MarketOnClose, optionContractSecurity.Type, optionContractSymbol,
|
|
-optionContractSecurity.Holdings.Quantity, 0, 0, algorithm.UtcTime,
|
|
"Liquidated due to impending split. Option splits are not currently supported."
|
|
);
|
|
|
|
// send MOC order to liquidate option contract holdings
|
|
algorithm.Transactions.AddOrder(request);
|
|
|
|
// mark option contract as not tradable
|
|
optionContractSecurity.IsTradable = false;
|
|
|
|
algorithm.Debug($"MarketOnClose order submitted for option contract '{optionContractSymbol}' due to impending {split.Symbol.Value} split event. "
|
|
+ "Option splits are not currently supported.");
|
|
}
|
|
|
|
// remove the warning from out list
|
|
splitWarnings.RemoveAt(i);
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Determines if a data point is in it's native, configured resolution
|
|
/// </summary>
|
|
private static bool EndTimeIsInNativeResolution(SubscriptionDataConfig config, DateTime dataPointEndTime)
|
|
{
|
|
if (config.Resolution == Resolution.Tick
|
|
||
|
|
// time zones don't change seconds or milliseconds so we can
|
|
// shortcut timezone conversions
|
|
(config.Resolution == Resolution.Second
|
|
|| config.Resolution == Resolution.Minute)
|
|
&& dataPointEndTime.Ticks % config.Increment.Ticks == 0)
|
|
{
|
|
return true;
|
|
}
|
|
|
|
var roundedDataPointEndTime = dataPointEndTime.RoundDownInTimeZone(config.Increment, config.ExchangeTimeZone, config.DataTimeZone);
|
|
return dataPointEndTime == roundedDataPointEndTime;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Constructs the correct <see cref="ITokenBucket"/> instance per the provided controls.
|
|
/// The provided controls will be null when
|
|
/// </summary>
|
|
private static ITokenBucket CreateTokenBucket(LeakyBucketControlParameters controls)
|
|
{
|
|
if (controls == null)
|
|
{
|
|
// this will only be null when the AlgorithmManager is being initialized outside of LEAN
|
|
// for example, in unit tests that don't provide a job package as well as from Research
|
|
// in each of the above cases, it seems best to not enforce the leaky bucket restrictions
|
|
return TokenBucket.Null;
|
|
}
|
|
|
|
Log.Trace("AlgorithmManager.CreateTokenBucket(): Initializing LeakyBucket: " +
|
|
$"Capacity: {controls.Capacity} " +
|
|
$"RefillAmount: {controls.RefillAmount} " +
|
|
$"TimeInterval: {controls.TimeIntervalMinutes}"
|
|
);
|
|
|
|
// these parameters view 'minutes' as the resource being rate limited. the capacity is the total
|
|
// number of minutes available for burst operations and after controls.TimeIntervalMinutes time
|
|
// has passed, we'll add controls.RefillAmount to the 'minutes' available, maxing at controls.Capacity
|
|
return new LeakyBucket(
|
|
controls.Capacity,
|
|
controls.RefillAmount,
|
|
TimeSpan.FromMinutes(controls.TimeIntervalMinutes)
|
|
);
|
|
}
|
|
}
|
|
}
|