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 System.Threading;
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using System.Threading.Tasks;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Logging;
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using QuantConnect.Packets;
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using QuantConnect.Util;
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namespace QuantConnect.Brokerages
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{
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/// <summary>
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/// Provides a default implementation o <see cref="IBrokerageMessageHandler"/> that will forward
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/// messages as follows:
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/// Information -> IResultHandler.Debug
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/// Warning -> IResultHandler.Error && IApi.SendUserEmail
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/// Error -> IResultHandler.Error && IAlgorithm.RunTimeError
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/// </summary>
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public class DefaultBrokerageMessageHandler : IBrokerageMessageHandler
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{
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private static readonly TimeSpan DefaultOpenThreshold = TimeSpan.FromMinutes(5);
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private static readonly TimeSpan DefaultInitialDelay = TimeSpan.FromMinutes(15);
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private volatile bool _connected;
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private readonly IAlgorithm _algorithm;
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private readonly TimeSpan _openThreshold;
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private readonly TimeSpan _initialDelay;
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private CancellationTokenSource _cancellationTokenSource;
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private bool _outsideLeanOrderWarningEmitted;
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/// <summary>
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/// Initializes a new instance of the <see cref="DefaultBrokerageMessageHandler"/> class
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/// </summary>
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/// <param name="algorithm">The running algorithm</param>
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/// <param name="initialDelay"></param>
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/// <param name="openThreshold">Defines how long before market open to re-check for brokerage reconnect message</param>
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public DefaultBrokerageMessageHandler(IAlgorithm algorithm, TimeSpan? initialDelay = null, TimeSpan? openThreshold = null)
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: this(algorithm, null, null, initialDelay, openThreshold)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="DefaultBrokerageMessageHandler"/> class
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/// </summary>
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/// <param name="algorithm">The running algorithm</param>
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/// <param name="job">The job that produced the algorithm</param>
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/// <param name="api">The api for the algorithm</param>
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/// <param name="initialDelay"></param>
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/// <param name="openThreshold">Defines how long before market open to re-check for brokerage reconnect message</param>
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public DefaultBrokerageMessageHandler(IAlgorithm algorithm, AlgorithmNodePacket job, IApi api, TimeSpan? initialDelay = null, TimeSpan? openThreshold = null)
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{
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_algorithm = algorithm;
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_connected = true;
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_openThreshold = openThreshold ?? DefaultOpenThreshold;
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_initialDelay = initialDelay ?? DefaultInitialDelay;
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}
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/// <summary>
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/// Handles the message
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/// </summary>
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/// <param name="message">The message to be handled</param>
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public void HandleMessage(BrokerageMessageEvent message)
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{
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// based on message type dispatch to result handler
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switch (message.Type)
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{
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case BrokerageMessageType.Information:
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_algorithm.Debug(Messages.DefaultBrokerageMessageHandler.BrokerageInfo(message));
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break;
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case BrokerageMessageType.Warning:
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_algorithm.Error(Messages.DefaultBrokerageMessageHandler.BrokerageWarning(message));
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break;
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case BrokerageMessageType.Error:
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// unexpected error, we need to close down shop
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_algorithm.SetRuntimeError(new Exception(message.Message),
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Messages.DefaultBrokerageMessageHandler.BrokerageErrorContext);
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break;
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case BrokerageMessageType.Disconnect:
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_connected = false;
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Log.Trace(Messages.DefaultBrokerageMessageHandler.Disconnected);
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// check to see if any non-custom security exchanges are open within the next x minutes
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var open = (from kvp in _algorithm.Securities
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let security = kvp.Value
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where security.Type != SecurityType.Base
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let exchange = security.Exchange
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let localTime = _algorithm.UtcTime.ConvertFromUtc(exchange.TimeZone)
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where exchange.IsOpenDuringBar(
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localTime,
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localTime + _openThreshold,
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_algorithm.SubscriptionManager.SubscriptionDataConfigService
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.GetSubscriptionDataConfigs(security.Symbol)
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.IsExtendedMarketHours())
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select security).Any();
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// if any are open then we need to kill the algorithm
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if (open)
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{
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Log.Trace(Messages.DefaultBrokerageMessageHandler.DisconnectedWhenExchangesAreOpen(_initialDelay));
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// wait 15 minutes before killing algorithm
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StartCheckReconnected(_initialDelay, message);
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}
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else
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{
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Log.Trace(Messages.DefaultBrokerageMessageHandler.DisconnectedWhenExchangesAreClosed);
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// if they aren't open, we'll need to check again a little bit before markets open
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DateTime nextMarketOpenUtc;
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if (_algorithm.Securities.Count != 0)
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{
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nextMarketOpenUtc = (from kvp in _algorithm.Securities
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let security = kvp.Value
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where security.Type != SecurityType.Base
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let exchange = security.Exchange
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let localTime = _algorithm.UtcTime.ConvertFromUtc(exchange.TimeZone)
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let marketOpen = exchange.Hours.GetNextMarketOpen(localTime,
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_algorithm.SubscriptionManager.SubscriptionDataConfigService
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.GetSubscriptionDataConfigs(security.Symbol)
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.IsExtendedMarketHours())
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let marketOpenUtc = marketOpen.ConvertToUtc(exchange.TimeZone)
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select marketOpenUtc).Min();
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}
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else
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{
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// if we have no securities just make next market open an hour from now
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nextMarketOpenUtc = DateTime.UtcNow.AddHours(1);
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}
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var timeUntilNextMarketOpen = nextMarketOpenUtc - DateTime.UtcNow - _openThreshold;
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Log.Trace(Messages.DefaultBrokerageMessageHandler.TimeUntilNextMarketOpen(timeUntilNextMarketOpen));
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// wake up 5 minutes before market open and check if we've reconnected
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StartCheckReconnected(timeUntilNextMarketOpen, message);
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}
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break;
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case BrokerageMessageType.Reconnect:
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_connected = true;
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Log.Trace(Messages.DefaultBrokerageMessageHandler.Reconnected);
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if (_cancellationTokenSource != null && !_cancellationTokenSource.IsCancellationRequested)
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{
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_cancellationTokenSource.Cancel();
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}
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break;
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case BrokerageMessageType.ActionRequired:
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// not supported atm
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_algorithm.SetRuntimeError(new Exception("Brokerage requires user action"), Messages.DefaultBrokerageMessageHandler.BrokerageDisconnectedShutDownContext);
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break;
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}
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}
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/// <summary>
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/// Handles a new order placed manually in the brokerage side
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/// </summary>
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/// <param name="eventArgs">The new order event</param>
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/// <returns>Whether the order should be added to the transaction handler</returns>
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public virtual bool HandleOrder(NewBrokerageOrderNotificationEventArgs eventArgs)
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{
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if (!_outsideLeanOrderWarningEmitted)
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{
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_outsideLeanOrderWarningEmitted = true;
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_algorithm.Error(Messages.DefaultBrokerageMessageHandler.IgnoreUnrecognizedOrder(eventArgs.Order.BrokerId.FirstOrDefault()));
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}
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return false;
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}
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private void StartCheckReconnected(TimeSpan delay, BrokerageMessageEvent message)
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{
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_cancellationTokenSource.DisposeSafely();
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_cancellationTokenSource = new CancellationTokenSource(delay);
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Task.Run(() =>
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{
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while (!_cancellationTokenSource.IsCancellationRequested)
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{
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Thread.Sleep(TimeSpan.FromMinutes(1));
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}
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CheckReconnected(message);
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}, _cancellationTokenSource.Token);
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}
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private void CheckReconnected(BrokerageMessageEvent message)
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{
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if (!_connected)
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{
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Log.Error(Messages.DefaultBrokerageMessageHandler.StillDisconnected);
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_algorithm.SetRuntimeError(new Exception(message.Message),
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Messages.DefaultBrokerageMessageHandler.BrokerageDisconnectedShutDownContext);
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}
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}
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}
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}
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