chore: import upstream snapshot with attribution
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wehub-resource-sync
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/*
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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.Linq;
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using Python.Runtime;
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using System.Collections;
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using System.Collections.Generic;
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namespace QuantConnect.Algorithm.Framework.Alphas
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{
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/// <summary>
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/// Provides a collection for managing insights. This type provides collection access semantics
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/// as well as dictionary access semantics through TryGetValue, ContainsKey, and this[symbol]
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/// </summary>
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public class InsightCollection : IEnumerable<Insight>
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{
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private int _totalInsightCount;
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private int _openInsightCount;
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private readonly List<Insight> _insightsComplete = new();
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private readonly Dictionary<Symbol, List<Insight>> _insights = new();
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/// <summary>
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/// The open insight count
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/// </summary>
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public int Count
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{
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get
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{
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lock (_insights)
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{
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return _openInsightCount;
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}
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}
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}
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/// <summary>
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/// The total insight count
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/// </summary>
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public int TotalCount
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{
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get
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{
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lock (_insights)
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{
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return _totalInsightCount;
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}
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}
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}
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/// <summary>Adds an item to the <see cref="T:System.Collections.Generic.ICollection`1" />.</summary>
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/// <param name="item">The object to add to the <see cref="T:System.Collections.Generic.ICollection`1" />.</param>
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/// <exception cref="T:System.NotSupportedException">The <see cref="T:System.Collections.Generic.ICollection`1" /> is read-only.</exception>
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public void Add(Insight item)
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{
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lock (_insights)
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{
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_openInsightCount++;
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_totalInsightCount++;
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_insightsComplete.Add(item);
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if (!_insights.TryGetValue(item.Symbol, out var existingInsights))
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{
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_insights[item.Symbol] = existingInsights = new();
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}
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existingInsights.Add(item);
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}
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}
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/// <summary>
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/// Adds each item in the specified enumerable of insights to this collection
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/// </summary>
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/// <param name="insights">The insights to add to this collection</param>
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public void AddRange(IEnumerable<Insight> insights)
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{
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foreach (var insight in insights)
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{
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Add(insight);
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}
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}
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/// <summary>Determines whether the <see cref="T:System.Collections.Generic.ICollection`1" /> contains a specific value.</summary>
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/// <returns>true if <paramref name="item" /> is found in the <see cref="T:System.Collections.Generic.ICollection`1" />; otherwise, false.</returns>
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/// <param name="item">The object to locate in the <see cref="T:System.Collections.Generic.ICollection`1" />.</param>
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public bool Contains(Insight item)
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{
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lock(_insights)
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{
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return _insights.TryGetValue(item.Symbol, out var symbolInsights)
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&& symbolInsights.Contains(item);
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}
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}
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/// <summary>
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/// Determines whether insights exist in this collection for the specified symbol
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/// </summary>
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/// <param name="symbol">The symbol key</param>
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/// <returns>True if there are insights for the symbol in this collection</returns>
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public bool ContainsKey(Symbol symbol)
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{
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lock (_insights)
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{
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return _insights.TryGetValue(symbol, out var symbolInsights)
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&& symbolInsights.Count > 0;
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}
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}
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/// <summary>Removes the first occurrence of a specific object from the <see cref="T:System.Collections.Generic.ICollection`1" />.</summary>
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/// <returns>true if <paramref name="item" /> was successfully removed from the <see cref="T:System.Collections.Generic.ICollection`1" />; otherwise, false. This method also returns false if <paramref name="item" /> is not found in the original <see cref="T:System.Collections.Generic.ICollection`1" />.</returns>
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/// <param name="item">The object to remove from the <see cref="T:System.Collections.Generic.ICollection`1" />.</param>
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/// <exception cref="T:System.NotSupportedException">The <see cref="T:System.Collections.Generic.ICollection`1" /> is read-only.</exception>
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public bool Remove(Insight item)
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{
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lock (_insights)
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{
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if (_insights.TryGetValue(item.Symbol, out var symbolInsights))
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{
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if (symbolInsights.Remove(item))
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{
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_openInsightCount--;
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// remove empty list from dictionary
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if (symbolInsights.Count == 0)
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{
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_insights.Remove(item.Symbol);
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}
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return true;
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}
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}
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}
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return false;
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}
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/// <summary>
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/// Dictionary accessor returns a list of insights for the specified symbol
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/// </summary>
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/// <param name="symbol">The symbol key</param>
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/// <returns>List of insights for the symbol</returns>
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public List<Insight> this[Symbol symbol]
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{
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get
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{
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lock(_insights)
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{
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return _insights[symbol]?.ToList();
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}
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}
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set
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{
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lock (_insights)
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{
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if (_insights.TryGetValue(symbol, out var existingInsights))
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{
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_openInsightCount -= existingInsights?.Count ?? 0;
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}
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if (value != null)
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{
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_openInsightCount += value.Count;
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_totalInsightCount += value.Count;
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}
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_insights[symbol] = value;
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}
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}
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}
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/// <summary>
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/// Attempts to get the list of insights with the specified symbol key
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/// </summary>
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/// <param name="symbol">The symbol key</param>
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/// <param name="insights">The insights for the specified symbol, or null if not found</param>
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/// <returns>True if insights for the specified symbol were found, false otherwise</returns>
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public bool TryGetValue(Symbol symbol, out List<Insight> insights)
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{
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lock (_insights)
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{
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var result = _insights.TryGetValue(symbol, out insights);
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if (result)
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{
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// for thread safety we need to return a copy of the collection
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insights = insights.ToList();
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}
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return result;
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}
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}
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/// <summary>Returns an enumerator that iterates through the collection.</summary>
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/// <returns>A <see cref="T:System.Collections.Generic.IEnumerator`1" /> that can be used to iterate through the collection.</returns>
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/// <filterpriority>1</filterpriority>
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public IEnumerator<Insight> GetEnumerator()
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{
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lock (_insights)
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{
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return _insights.SelectMany(kvp => kvp.Value).ToList().GetEnumerator();
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}
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}
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/// <summary>Returns an enumerator that iterates through a collection.</summary>
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/// <returns>An <see cref="T:System.Collections.IEnumerator" /> object that can be used to iterate through the collection.</returns>
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/// <filterpriority>2</filterpriority>
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IEnumerator IEnumerable.GetEnumerator()
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{
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return GetEnumerator();
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}
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/// <summary>
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/// Removes the symbol and its insights
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/// </summary>
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/// <param name="symbols">List of symbols that will be removed</param>
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public void Clear(Symbol[] symbols)
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{
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lock (_insights)
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{
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foreach (var symbol in symbols)
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{
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if (_insights.Remove(symbol, out var existingInsights))
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{
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_openInsightCount -= existingInsights.Count;
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}
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}
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}
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}
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/// <summary>
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/// Gets the next expiry time UTC
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/// </summary>
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public DateTime? GetNextExpiryTime()
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{
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lock(_insights)
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{
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if (_openInsightCount == 0)
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{
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return null;
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}
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// we can't store expiration time because it can change
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return _insights.Min(x => x.Value.Min(i => i.CloseTimeUtc));
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}
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}
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/// <summary>
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/// Gets the last generated active insight
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/// </summary>
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/// <returns>Collection of insights that are active</returns>
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public ICollection<Insight> GetActiveInsights(DateTime utcTime)
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{
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var activeInsights = new List<Insight>();
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lock (_insights)
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{
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foreach (var kvp in _insights)
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{
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foreach (var insight in kvp.Value)
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{
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if (insight.IsActive(utcTime))
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{
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activeInsights.Add(insight);
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}
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}
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}
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return activeInsights;
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}
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}
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/// <summary>
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/// Returns true if there are active insights for a given symbol and time
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/// </summary>
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/// <param name="symbol">The symbol key</param>
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/// <param name="utcTime">Time that determines whether the insight has expired</param>
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/// <returns></returns>
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public bool HasActiveInsights(Symbol symbol, DateTime utcTime)
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{
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lock (_insights)
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{
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if(_insights.TryGetValue(symbol, out var existingInsights))
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{
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return existingInsights.Any(i => i.IsActive(utcTime));
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}
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}
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return false;
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}
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/// <summary>
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/// Remove all expired insights from the collection and retuns them
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/// </summary>
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/// <param name="utcTime">Time that determines whether the insight has expired</param>
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/// <returns>Expired insights that were removed</returns>
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public ICollection<Insight> RemoveExpiredInsights(DateTime utcTime)
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{
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var removedInsights = new List<Insight>();
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lock (_insights)
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{
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foreach (var kvp in _insights)
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{
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foreach (var insight in kvp.Value)
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{
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if (insight.IsExpired(utcTime))
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{
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removedInsights.Add(insight);
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}
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}
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}
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foreach (var insight in removedInsights)
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{
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Remove(insight);
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}
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}
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return removedInsights;
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}
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/// <summary>
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/// Will remove insights from the complete insight collection
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/// </summary>
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/// <param name="filter">The function that will determine which insight to remove</param>
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public void RemoveInsights(Func<Insight, bool> filter)
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{
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lock (_insights)
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{
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_insightsComplete.RemoveAll(insight => filter(insight));
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// for consistentcy remove from open insights just in case
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List<Insight> insightsToRemove = null;
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foreach (var insights in _insights.Values)
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{
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foreach (var insight in insights)
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{
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if (filter(insight))
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{
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insightsToRemove ??= new ();
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insightsToRemove.Add(insight);
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}
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}
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}
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if(insightsToRemove != null)
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{
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foreach (var insight in insightsToRemove)
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{
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Remove(insight);
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}
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}
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}
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}
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/// <summary>
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/// Will return insights from the complete insight collection
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/// </summary>
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/// <param name="filter">The function that will determine which insight to return</param>
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/// <returns>A new list containing the selected insights</returns>
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public List<Insight> GetInsights(Func<Insight, bool> filter = null)
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{
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lock (_insights)
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{
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if(filter == null)
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{
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return _insightsComplete.ToList();
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}
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return _insightsComplete.Where(filter).ToList();
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}
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}
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/// <summary>
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/// Will return insights from the complete insight collection
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/// </summary>
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/// <param name="filter">The function that will determine which insight to return</param>
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/// <returns>A new list containing the selected insights</returns>
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public List<Insight> GetInsights(PyObject filter)
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{
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Func<Insight, bool> convertedFilter;
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if (filter.TrySafeAs(out convertedFilter))
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{
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return GetInsights(convertedFilter);
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}
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else
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{
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using (Py.GIL())
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{
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throw new ArgumentException($"InsightCollection.GetInsights: {filter.Repr()} is not a valid argument.");
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}
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}
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}
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}
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}
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