chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,273 @@
|
||||
/*
|
||||
* 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 System;
|
||||
using System.Linq;
|
||||
using System.Threading;
|
||||
using QuantConnect.Data;
|
||||
using QuantConnect.Util;
|
||||
using QuantConnect.Logging;
|
||||
using System.Collections.Generic;
|
||||
using System.Collections.Concurrent;
|
||||
|
||||
namespace QuantConnect.Brokerages.LevelOneOrderBook
|
||||
{
|
||||
/// <summary>
|
||||
/// Manages subscriptions and real-time updates for multiple <see cref="LevelOneMarketData"/> instances.
|
||||
/// Facilitates routing of quote and trade data to a shared <see cref="IDataAggregator"/> in a thread-safe manner.
|
||||
/// </summary>
|
||||
public sealed class LevelOneServiceManager : IDisposable
|
||||
{
|
||||
/// <summary>
|
||||
/// The shared data aggregator that receives all tick updates from subscribed symbols.
|
||||
/// </summary>
|
||||
private readonly IDataAggregator _dataAggregator;
|
||||
|
||||
/// <summary>
|
||||
/// Synchronization lock used to ensure thread safety during updates.
|
||||
/// </summary>
|
||||
private readonly Lock _lock = new();
|
||||
|
||||
/// <summary>
|
||||
/// Maps subscribed symbols to their corresponding <see cref="LevelOneMarketData"/> instances.
|
||||
/// </summary>
|
||||
private readonly ConcurrentDictionary<Symbol, LevelOneMarketData> _levelOneServiceBySymbol = new();
|
||||
|
||||
/// <summary>
|
||||
/// Internal subscription manager used to delegate low-level subscribe/unsubscribe logic.
|
||||
/// </summary>
|
||||
private readonly EventBasedDataQueueHandlerSubscriptionManager _subscriptionManager;
|
||||
|
||||
/// <summary>
|
||||
/// Gets whether there are no active subscriptions.
|
||||
/// </summary>
|
||||
public bool IsEmpty => _levelOneServiceBySymbol.IsEmpty;
|
||||
|
||||
/// <summary>
|
||||
/// Gets the number of currently subscribed symbols.
|
||||
/// </summary>
|
||||
public int Count => _levelOneServiceBySymbol.Count;
|
||||
|
||||
/// <summary>
|
||||
/// Initializes a new instance of the <see cref="LevelOneServiceManager"/> class.
|
||||
/// </summary>
|
||||
/// <param name="dataAggregator">The aggregator to which all tick data will be published.</param>
|
||||
/// <param name="subscribeCallback">Delegate used to perform symbol subscription logic.</param>
|
||||
/// <param name="unsubscribeCallback">Delegate used to perform symbol unsubscription logic.</param>
|
||||
public LevelOneServiceManager(IDataAggregator dataAggregator, Func<IEnumerable<Symbol>, TickType, bool> subscribeCallback, Func<IEnumerable<Symbol>, TickType, bool> unsubscribeCallback)
|
||||
{
|
||||
_dataAggregator = dataAggregator;
|
||||
|
||||
_subscriptionManager = new EventBasedDataQueueHandlerSubscriptionManager()
|
||||
{
|
||||
SubscribeImpl = (symbols, tickType) => SubscribeCallbackWrapper(symbols, tickType, subscribeCallback),
|
||||
UnsubscribeImpl = (symbols, tickType) => UnsubscribeCallbackWrapper(symbols, tickType, unsubscribeCallback)
|
||||
};
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Subscribes to the specified symbol based on the given <see cref="SubscriptionDataConfig"/>.
|
||||
/// </summary>
|
||||
/// <param name="dataConfig">The subscription configuration containing symbol and type information.</param>
|
||||
public void Subscribe(SubscriptionDataConfig dataConfig)
|
||||
{
|
||||
_subscriptionManager.Subscribe(dataConfig);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Unsubscribes from the specified symbol and removes its associated service instance.
|
||||
/// </summary>
|
||||
/// <param name="dataConfig">The subscription configuration used for unsubscription.</param>
|
||||
public void Unsubscribe(SubscriptionDataConfig dataConfig)
|
||||
{
|
||||
_subscriptionManager.Unsubscribe(dataConfig);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Handles incoming quote data for a symbol.
|
||||
/// Deduplicates updates and routes changes to the relevant <see cref="LevelOneMarketData"/> instance.
|
||||
/// </summary>
|
||||
/// <param name="symbol">The symbol for which quote data is received.</param>
|
||||
/// <param name="quoteDateTimeUtc">The UTC timestamp of the quote.</param>
|
||||
/// <param name="bidPrice">The bid price.</param>
|
||||
/// <param name="bidSize">The size at the bid price.</param>
|
||||
/// <param name="askPrice">The ask price.</param>
|
||||
/// <param name="askSize">The size at the ask price.</param>
|
||||
public void HandleQuote(Symbol symbol, DateTime? quoteDateTimeUtc, decimal? bidPrice, decimal? bidSize, decimal? askPrice, decimal? askSize)
|
||||
{
|
||||
if (TryGetLevelOneMarketData(symbol, out var levelOneMarketData))
|
||||
{
|
||||
levelOneMarketData.UpdateQuote(quoteDateTimeUtc, bidPrice, bidSize, askPrice, askSize);
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Handles incoming last trade data for a symbol and routes it to the corresponding <see cref="LevelOneMarketData"/> instance.
|
||||
/// </summary>
|
||||
/// <param name="symbol">The symbol for which trade data is received.</param>
|
||||
/// <param name="tradeDateTimeUtc">The UTC timestamp of the trade.</param>
|
||||
/// <param name="lastQuantity">The trade size.</param>
|
||||
/// <param name="lastPrice">The trade price.</param>
|
||||
/// <param name="saleCondition">Optional sale condition string.</param>
|
||||
/// <param name="exchange">Optional exchange identifier.</param>
|
||||
public void HandleLastTrade(Symbol symbol, DateTime? tradeDateTimeUtc, decimal? lastQuantity, decimal? lastPrice, string saleCondition = "", string exchange = "")
|
||||
{
|
||||
if (TryGetLevelOneMarketData(symbol, out var levelOneMarketData))
|
||||
{
|
||||
levelOneMarketData.UpdateLastTrade(tradeDateTimeUtc, lastQuantity, lastPrice, saleCondition, exchange);
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Handles open interest updates for the specified symbol.
|
||||
/// If the symbol is subscribed, forwards the open interest data to the corresponding
|
||||
/// <see cref="LevelOneMarketData"/> instance for publishing.
|
||||
/// </summary>
|
||||
/// <param name="symbol">The trading symbol associated with the open interest update.</param>
|
||||
/// <param name="openInterestDateTimeUtc">The UTC timestamp when the open interest value was observed.</param>
|
||||
/// <param name="openInterest">The reported open interest value.</param>
|
||||
public void HandleOpenInterest(Symbol symbol, DateTime? openInterestDateTimeUtc, decimal? openInterest)
|
||||
{
|
||||
if (TryGetLevelOneMarketData(symbol, out var levelOneMarketData))
|
||||
{
|
||||
levelOneMarketData.UpdateOpenInterest(openInterestDateTimeUtc, openInterest);
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Sets the <see cref="LevelOneMarketData.IgnoreZeroSizeUpdates"/> flag for the specified symbol,
|
||||
/// controlling how zero-sized quote updates are handled for that symbol's market data stream.
|
||||
/// </summary>
|
||||
/// <param name="symbol">The symbol whose quote update behavior should be configured.</param>
|
||||
/// <param name="ignoreZeroSizeUpdates">
|
||||
/// If <c>true</c>, zero-sized bid or ask updates will be ignored for the given symbol,
|
||||
/// preserving existing book values. If <c>false</c>, zero sizes will be applied as valid updates.
|
||||
/// </param>
|
||||
/// <remarks>
|
||||
/// This is typically used to differentiate between real-time and delayed data feeds, where zero-size
|
||||
/// updates in real-time may indicate incomplete data, but in delayed feeds may represent actual market states.
|
||||
/// </remarks>
|
||||
public void SetIgnoreZeroSizeUpdates(Symbol symbol, bool ignoreZeroSizeUpdates)
|
||||
{
|
||||
if (TryGetLevelOneMarketData(symbol, out var levelOneMarketData))
|
||||
{
|
||||
levelOneMarketData.IgnoreZeroSizeUpdates = ignoreZeroSizeUpdates;
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Returns subscribed symbols
|
||||
/// </summary>
|
||||
/// <returns>list of <see cref="Symbol"/> currently subscribed</returns>
|
||||
public IEnumerable<Symbol> GetSubscribedSymbols()
|
||||
{
|
||||
return _subscriptionManager.GetSubscribedSymbols();
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Handles BaseData updates emitted by <see cref="LevelOneMarketData"/> instances.
|
||||
/// Forwards the BaseData to the shared data aggregator in a thread-safe manner.
|
||||
/// </summary>
|
||||
/// <param name="_">The originator of the BaseData.</param>
|
||||
/// <param name="eventData">The BaseData event data.</param>
|
||||
private void BaseDataReceived(object _, BaseDataEventArgs eventData)
|
||||
{
|
||||
lock (_lock)
|
||||
{
|
||||
_dataAggregator.Update(eventData.BaseData);
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Wraps the subscription delegate to attach symbol-specific handlers and track active Level 1 services.
|
||||
/// </summary>
|
||||
/// <param name="symbols">The symbols to subscribe.</param>
|
||||
/// <param name="tickType">The tick type to subscribe for.</param>
|
||||
/// <param name="subscribeCallback">The original subscription logic delegate.</param>
|
||||
/// <returns>True if the subscription was successful; otherwise, false.</returns>
|
||||
private bool SubscribeCallbackWrapper(IEnumerable<Symbol> symbols, TickType tickType, Func<IEnumerable<Symbol>, TickType, bool> subscribeCallback)
|
||||
{
|
||||
if (subscribeCallback(symbols, tickType))
|
||||
{
|
||||
foreach (var symbol in symbols)
|
||||
{
|
||||
_levelOneServiceBySymbol[symbol] = new(symbol);
|
||||
_levelOneServiceBySymbol[symbol].BaseDataReceived += BaseDataReceived;
|
||||
}
|
||||
|
||||
return true;
|
||||
}
|
||||
|
||||
Log.Error($"{nameof(LevelOneServiceManager)}.{nameof(SubscribeCallbackWrapper)}: Failed for symbols: {string.Join(", ", symbols.Select(s => s.Value))}");
|
||||
return false;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Wraps the unsubscription delegate to detach symbol-specific handlers and remove Level 1 service tracking.
|
||||
/// </summary>
|
||||
/// <param name="symbols">The symbols to unsubscribe.</param>
|
||||
/// <param name="tickType">The tick type to unsubscribe from.</param>
|
||||
/// <param name="unsubscribeCallback">The original unsubscription logic delegate.</param>
|
||||
/// <returns>True if the unsubscription was successful; otherwise, false.</returns>
|
||||
private bool UnsubscribeCallbackWrapper(IEnumerable<Symbol> symbols, TickType tickType, Func<IEnumerable<Symbol>, TickType, bool> unsubscribeCallback)
|
||||
{
|
||||
if (unsubscribeCallback(symbols, tickType))
|
||||
{
|
||||
foreach (var symbol in symbols)
|
||||
{
|
||||
if (_levelOneServiceBySymbol.TryRemove(symbol, out var levelOneService))
|
||||
{
|
||||
levelOneService.BaseDataReceived -= BaseDataReceived;
|
||||
}
|
||||
}
|
||||
return true;
|
||||
}
|
||||
|
||||
Log.Error($"{nameof(LevelOneServiceManager)}.{nameof(UnsubscribeCallbackWrapper)}: Failed for symbols: {string.Join(", ", symbols.Select(s => s.Value))}");
|
||||
return true;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Attempts to retrieve the <see cref="LevelOneMarketData"/> instance associated with the specified symbol.
|
||||
/// </summary>
|
||||
/// <param name="symbol">The symbol whose market data instance is to be retrieved.</param>
|
||||
/// <param name="levelOneMarketData">
|
||||
/// When this method returns, contains the <see cref="LevelOneMarketData"/> instance associated with the symbol,
|
||||
/// if the symbol is found; otherwise, <c>null</c>.
|
||||
/// </param>
|
||||
/// <returns>
|
||||
/// <c>true</c> if the symbol is found and the associated market data instance is returned;
|
||||
/// otherwise, <c>false</c>. Logs an error if the symbol is not found.
|
||||
/// </returns>
|
||||
private bool TryGetLevelOneMarketData(Symbol symbol, out LevelOneMarketData levelOneMarketData)
|
||||
{
|
||||
if (_levelOneServiceBySymbol.TryGetValue(symbol, out levelOneMarketData))
|
||||
{
|
||||
return true;
|
||||
}
|
||||
|
||||
Log.Error($"{nameof(LevelOneServiceManager)}.{nameof(HandleLastTrade)}: Symbol {symbol} not found in {nameof(_levelOneServiceBySymbol)}. This could indicate an unexpected symbol or a missing initialization step.");
|
||||
return false;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Releases all resources used by the <see cref="LevelOneServiceManager"/>.
|
||||
/// </summary>
|
||||
public void Dispose()
|
||||
{
|
||||
_subscriptionManager.Dispose();
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user