9cdb4a91c5
* Live Coarse universe refactor
- Live trading will source Coarse and Fine fundamental data directly
from disk. Updating unit tests.
* Adds ILiveDataProvider interface
* Adds wrapper for IDataQueueHandler implementations
* Replaces IDataQueueHandler with ILiveDataProvider in
LiveTradingDataFeed
* Edits IDataQueueHandler documentation
* Maintains aggregation for current IDQH impls and skips for ILDF impls
* Note: No unit test was created for this method, go back and TODO
* Protobuf Market data
- Adding protobuf support for Ticks, TradeBars and QuoteBars. Adding
unit tests.
* Adds unit tests for LiveDataAggregator changes
* Fixes bug where custom data was not handled as it was before
* Fixes race condition bug because of variable reuse in class
* Add protobuf extension serialization
* Fixes for protobuf serialization
* Refactor
* Fix OptionChainUniverse
* replace BaseDataExchange pumping ticks with consolidators
* AlpacaBrokerage
* BitfinexBrokerage
* GDAXBrokerage
* OandaBrokerage
* InteractiveBrokers
* TradierBrokerage
* FxcmBrokerage
* PaperBrokerage
* etc
* WIP fixes for existing LTDF unit tests
* Fixes more LTDF unit tests
* make IDataAggregator.Update recieving Generic BaseData rather than Tick
* Change IDataQueueHandler.Subscribe method
* Some fixes after adding new commits
* Adds protobuf (de)serialization support for Dividend and Split
* Serialize protobuf with length prefix
* Fix missing LTDF unit tests
* Adds TiingoNews protobuf definitions
* fix comments
* more fixes on IQFeedDataQueueHandler
* disallow putting ticks into enumerator directly
* ScannableEnumerator tests
* fix OandaBrokerage
* AggregationManager unit tests
* fix AlpacaBrokerage tests
* fix InteractiveBrokers
* fix FxcmBrokerage tests
* call AggregationManager.Remove method on unsubscribe
* fix GDAX existing tests
* Fixes, refactor adding more tests for AggregatorManager
* Adds BenzingaNews protobuf definitions and round trip unit test
* Adds missing TiingoNews unit test to Protobuf round trip tests
* Improve sleep sequence of LiveSynchronizer
* need start aggregating first, and then can subscribe
* More test fixes and refactor
- Refactoring AggregationManager and ScannableEnumerator so the last is
the one that owns the consolidator
- Adding pulse on the main LiveSynchronizer
* Improve performance of LEquityDataSynchronizingEnu
* Add missing Set job packet method
* Minor performance improvements
* Improvements add test timeout
- Improvements adding test timeout to find blocking test in travis
* Improve aggregationManager performance
* Testing improvements for travis
* Remove test timeouts
* More test fixes
- Adding more missing dispose calls and improving determinism
* fix IEXDataQueueHandler and tests
* Final tweaks to LTDF tests
* more AggregationManager tests
* consume and log ticks
* fix test: couldn't subscribe to Forex tickers
* change Resolution for all bar configs
* Improve RealTimeScheduleEventServiceAccuracy
* refactoring: move common code to base class
* fixed bug; unsubscribe SubscriptionDataConfig
* Small performance improvement
* Minor fixes
* Avoid Symbol serialization
* Fixes coarse selection in live mode
* Fix for live coarse
* Adds protobuf (de)serialization support for Robintrack
* Adds round-trip unit test
* Minor performance improvements
* More minor performance improvements
* pass LiveNodePacket through to OandaBrokerage
* Fixes empty list becoming null value when deserializing with protobuf
* Reverts BZ live trading exception removal and fixes tests
* Refactor WorkQueue making it abstract
* Add try catch for composer
* Adds optional data batching period to LiveFillForwardEnumerator
* Override data-queue-handler with config
* Improve PeriodCountConsolidator.Scan performance
* Move batching delay to main Synchornizer thread
* Reverts addition of Robintrack protobuf definitions
* Give priority to config history provider if set
* Add Estimize protobuffing
- Add Estimize protobuffing support. Adding unit tests
* Always dispose of data queue handler
Co-authored-by: Gerardo Salazar <gsalaz9800@gmail.com>
Co-authored-by: Adalyat Nazirov <aenazirov@gmail.com>
164 lines
7.0 KiB
C#
164 lines
7.0 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using System.Reflection;
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using QuantConnect.Logging;
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using QuantConnect.Packets;
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namespace QuantConnect.Parameters
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{
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/// <summary>
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/// Specifies a field or property is a parameter that can be set
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/// from an <see cref="AlgorithmNodePacket.Parameters"/> dictionary
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/// </summary>
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[AttributeUsage(AttributeTargets.Field | AttributeTargets.Property)]
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public class ParameterAttribute : Attribute
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{
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/// <summary>
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/// Specifies the binding flags used by this implementation to resolve parameter attributes
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/// </summary>
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public const BindingFlags BindingFlags = System.Reflection.BindingFlags.Public | System.Reflection.BindingFlags.NonPublic | System.Reflection.BindingFlags.Static | System.Reflection.BindingFlags.Instance;
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private static readonly string ParameterAttributeNameProperty = "Name";
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/// <summary>
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/// Gets the name of this parameter
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/// </summary>
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public string Name { get; private set; }
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/// <summary>
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/// Initializes a new instance of the <see cref="ParameterAttribute"/> class
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/// </summary>
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/// <param name="name">The name of the parameter. If null is specified
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/// then the field or property name will be used</param>
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public ParameterAttribute(string name = null)
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{
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Name = name;
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}
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/// <summary>
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/// Uses reflections to inspect the instance for any parameter attributes.
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/// If a value is found in the parameters dictionary, it is set.
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/// </summary>
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/// <param name="parameters">The parameters dictionary</param>
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/// <param name="instance">The instance to set parameters on</param>
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public static void ApplyAttributes(Dictionary<string, string> parameters, object instance)
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{
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if (instance == null) throw new ArgumentNullException(nameof(instance));
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var type = instance.GetType();
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// get all fields/properties on the instance
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var members = type.GetFields(BindingFlags).Concat<MemberInfo>(type.GetProperties(BindingFlags));
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foreach (var memberInfo in members)
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{
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var fieldInfo = memberInfo as FieldInfo;
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var propertyInfo = memberInfo as PropertyInfo;
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// this line make static analysis a little happier, but should never actually throw
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if (fieldInfo == null && propertyInfo == null)
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{
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throw new InvalidOperationException("Resolved member that is neither FieldInfo or PropertyInfo");
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}
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// check the member for our custom attribute
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var attribute = memberInfo.GetCustomAttribute<ParameterAttribute>();
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if (attribute == null) continue;
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// if no name is specified in the attribute then use the member name
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var parameterName = attribute.Name ?? memberInfo.Name;
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// get the parameter string value to apply to the member
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string parameterValue;
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if (!parameters.TryGetValue(parameterName, out parameterValue)) continue;
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// if it's a read-only property with a parameter value we can't really do anything, bail
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if (propertyInfo != null && !propertyInfo.CanWrite)
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{
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var message = $"The specified property is read only: {propertyInfo.DeclaringType}.{propertyInfo.Name}";
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throw new InvalidOperationException(message);
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}
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// resolve the member type
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var memberType = fieldInfo != null ? fieldInfo.FieldType : propertyInfo.PropertyType;
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// convert the parameter string value to the member type
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var value = parameterValue.ConvertTo(memberType);
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// set the value to the field/property
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if (fieldInfo != null)
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{
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fieldInfo.SetValue(instance, value);
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}
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else
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{
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propertyInfo.SetValue(instance, value);
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}
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}
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}
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/// <summary>
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/// Resolves all parameter attributes from the specified compiled assembly path
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/// </summary>
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/// <param name="assembly">The assembly to inspect</param>
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/// <returns>Parameters dictionary keyed by parameter name with a value of the member type</returns>
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public static Dictionary<string, string> GetParametersFromAssembly(Assembly assembly)
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{
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var parameters = new Dictionary<string, string>();
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foreach (var type in assembly.GetTypes())
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{
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foreach (var kvp in GetParametersFromType(type))
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{
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parameters[kvp.Key] = kvp.Value;
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}
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}
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return parameters;
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}
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/// <summary>
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/// Resolves all parameter attributes from the specified type
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/// </summary>
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/// <param name="type">The type to inspect</param>
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/// <returns>Parameters dictionary keyed by parameter name with a value of the member type</returns>
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public static IEnumerable<KeyValuePair<string, string>> GetParametersFromType(Type type)
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{
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foreach (var field in type.GetFields(BindingFlags))
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{
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var attribute = field.GetCustomAttribute<ParameterAttribute>();
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if (attribute != null)
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{
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var parameterName = attribute.Name ?? field.Name;
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yield return new KeyValuePair<string, string>(parameterName, field.FieldType.GetBetterTypeName());
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}
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}
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foreach (var property in type.GetProperties(BindingFlags))
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{
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// ignore non-writeable properties
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if (!property.CanWrite) continue;
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var attribute = property.GetCustomAttribute<ParameterAttribute>();
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if (attribute != null)
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{
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var parameterName = attribute.Name ?? property.Name;
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yield return new KeyValuePair<string, string>(parameterName, property.PropertyType.GetBetterTypeName());
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}
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}
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}
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}
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}
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