Martin Molinero
10fd48417b
- `SubscriptionSynchronizer` will emit a `TimeSlice.TimePulse` before performing any universe selection on each time loop. This will advance `Algorithm.Time` which will allow universe selection data time and `Algorithm.Time` to be aligned. - Updating Regression algorithms that were using `algorithm.Time` in the selection method. - Coarse selection will start from the algorithms start date (not in the next day) - Adding regression algorithm
106 lines
3.7 KiB
C#
106 lines
3.7 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 QuantConnect.Data;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Interfaces;
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namespace QuantConnect.Lean.Engine.DataFeeds
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{
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/// <summary>
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/// Represents a grouping of data emitted at a certain time.
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/// </summary>
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public class TimeSlice
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{
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/// <summary>
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/// Gets the count of data points in this <see cref="TimeSlice"/>
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/// </summary>
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public int DataPointCount { get; }
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/// <summary>
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/// Gets the time this data was emitted
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/// </summary>
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public DateTime Time { get; }
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/// <summary>
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/// Gets the data in the time slice
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/// </summary>
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public List<DataFeedPacket> Data { get; }
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/// <summary>
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/// Gets the <see cref="Slice"/> that will be used as input for the algorithm
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/// </summary>
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public Slice Slice { get; }
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/// <summary>
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/// Gets the data used to update securities
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/// </summary>
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public List<UpdateData<ISecurityPrice>> SecuritiesUpdateData { get; }
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/// <summary>
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/// Gets the data used to update the consolidators
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/// </summary>
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public List<UpdateData<SubscriptionDataConfig>> ConsolidatorUpdateData { get; }
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/// <summary>
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/// Gets all the custom data in this <see cref="TimeSlice"/>
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/// </summary>
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public List<UpdateData<ISecurityPrice>> CustomData { get; }
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/// <summary>
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/// Gets the changes to the data subscriptions as a result of universe selection
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/// </summary>
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public SecurityChanges SecurityChanges { get; }
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/// <summary>
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/// Gets the universe data generated this time step.
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/// </summary>
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public Dictionary<Universe, BaseDataCollection> UniverseData { get; }
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/// <summary>
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/// True indicates this time slice is a time pulse for the algorithm containing no data
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/// </summary>
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public bool IsTimePulse { get; }
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/// <summary>
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/// Initializes a new <see cref="TimeSlice"/> containing the specified data
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/// </summary>
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public TimeSlice(DateTime time,
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int dataPointCount,
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Slice slice,
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List<DataFeedPacket> data,
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List<UpdateData<ISecurityPrice>> securitiesUpdateData,
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List<UpdateData<SubscriptionDataConfig>> consolidatorUpdateData,
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List<UpdateData<ISecurityPrice>> customData,
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SecurityChanges securityChanges,
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Dictionary<Universe, BaseDataCollection> universeData,
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bool isTimePulse = false)
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{
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Time = time;
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Data = data;
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Slice = slice;
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CustomData = customData;
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DataPointCount = dataPointCount;
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SecuritiesUpdateData = securitiesUpdateData;
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ConsolidatorUpdateData = consolidatorUpdateData;
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SecurityChanges = securityChanges;
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UniverseData = universeData;
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IsTimePulse = isTimePulse;
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}
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}
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} |