quantconnect--lean/Engine/RealTime/BacktestingRealTimeHandler.cs

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 * 
 * Licensed under the Apache License, Version 2.0 (the "License"); 
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 * 
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 *
*/

/**********************************************************
* USING NAMESPACES
**********************************************************/

using System;
using System.Collections.Generic;
using System.Threading;
using QuantConnect.Interfaces;
using QuantConnect.Packets;

namespace QuantConnect.Lean.Engine.RealTime
{
    /// <summary>
    /// Psuedo realtime event processing for backtesting to simulate realtime events in fast forward.
    /// </summary>
    public class BacktestingRealTimeHandler : IRealTimeHandler
    {
        /******************************************************** 
        * PRIVATE VARIABLES
        *********************************************************/
        //Threading
        private DateTime _time = new DateTime();
        private bool _exitTriggered = false;
        private bool _isActive = true;
        private AlgorithmNodePacket _job;

        //Events:
        private List<RealTimeEvent> _events;

        //Algorithm and Handlers:
        private IAlgorithm _algorithm;

        /******************************************************** 
        * PUBLIC PROPERTIES
        *********************************************************/
        /// <summary>
        /// Realtime Moment.
        /// </summary>
        public DateTime Time
        {
            get
            {
                return _time;
            }
        }

        /// <summary>
        /// Events array we scan to trigger realtime events.
        /// </summary>
        public List<RealTimeEvent> Events
        {
            get 
            {
                return _events;
            }
        }

        /// <summary>
        /// Flag indicating the hander thread is completely finished and ready to dispose.
        /// </summary>
        public bool IsActive
        {
            get
            {
                return _isActive;
            }
        }

        /******************************************************** 
        * PUBLIC CONSTRUCTOR
        *********************************************************/
        /// <summary>
        /// Setup the algorithm data, cash, job start end date etc.
        /// </summary>
        public BacktestingRealTimeHandler(IAlgorithm algorithm, AlgorithmNodePacket job) 
        {
            //Initialize:
            _algorithm = algorithm;
            _events = new List<RealTimeEvent>();
            _job = job;
        }

        /******************************************************** 
        * PUBLIC METHODS
        *********************************************************/
        /// <summary>
        /// Setup the events for this date.
        /// </summary>
        /// <param name="date">Date for event</param>
        public void SetupEvents(DateTime date)
        {
            //Clear any existing events:
            ClearEvents();

            //Set up the events:
            //1. Default End of Day Times:
            foreach (var security in _algorithm.Securities.Values)
            {
                //Register Events:
                //Log.Trace("BacktestingRealTimeHandler.SetupEvents(): Adding End of Day: " + security.Exchange.MarketClose.Add(TimeSpan.FromMinutes(-10)));

                //1. Setup End of Day Events:
                AddEvent(new RealTimeEvent(security.Exchange.MarketClose.Add(TimeSpan.FromMinutes(-10)), () =>
                {
                    _algorithm.OnEndOfDay();
                    _algorithm.OnEndOfDay(security.Symbol);
                    //Log.Trace("BacktestingRealTimeHandler: Fired On End Of Day Event(" + security.Symbol + ") for Day( " + _time.ToShortDateString() + ")");
                }));
            }
        }
        
        /// <summary>
        /// Normally this would run the realtime event monitoring, but since the backtesting is in fastforward he realtime is linked to the backtest clock.
        /// This thread does nothing. Wait until the job is over.
        /// </summary>
        public void Run()
        {
            _isActive = true;

            //Launch Thread: Continue looping until exit triggered:
            while (!_exitTriggered)
            {
                Thread.Sleep(500); 
            }

            _isActive = false;
        }


        /// <summary>
        /// Add a new event to our list of events to scan.
        /// </summary>
        /// <param name="newEvent">Event object to montitor daily.</param>
        public void AddEvent(RealTimeEvent newEvent)
        {
            _events.Add(newEvent);
        }

        /// <summary>
        /// Scan the event list with the current market time and see if we need to trigger the callback.
        /// </summary>
        public void ScanEvents()
        {
            for (var i = 0; i < _events.Count; i++)
            {
                _events[i].Scan(_time);
            }
        }

        /// <summary>
        /// Clear any outstanding events.
        /// </summary>
        public void ClearEvents()
        {
            _events.Clear();
        }

        /// <summary>
        /// Reset the events for a new day.
        /// </summary>
        public void ResetEvents()
        {
            for (var i = 0; i < _events.Count; i++)
            {
                _events[i].Reset();
            }
        }

        /// <summary>
        /// Set the time for the realtime event handler.
        /// </summary>
        /// <param name="time">Current time.</param>
        public void SetTime(DateTime time)
        {
            //Check for day reset:
            if (_time.Date != time.Date)
            {
                //Reset all the daily events
                SetupEvents(time.Date);
                ResetEvents();
            }

            //Set the time:
            _time = time;

            //Refresh event processing when time manually set:
            ScanEvents();
        }

        /// <summary>
        /// Stop the real time thread
        /// </summary>
        public void Exit()
        {
            _exitTriggered = true;
        }

    } // End Result Handler Thread:

} // End Namespace