chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,184 @@
|
||||
/*
|
||||
* 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 QuantConnect.Data;
|
||||
using QuantConnect.Data.Consolidators;
|
||||
using QuantConnect.Data.Market;
|
||||
using QuantConnect.Lean.Engine.DataFeeds.Enumerators;
|
||||
using QuantConnect.Logging;
|
||||
using System;
|
||||
using System.Collections.Concurrent;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
|
||||
namespace QuantConnect.Lean.Engine.DataFeeds
|
||||
{
|
||||
/// <summary>
|
||||
/// Aggregates ticks and bars based on given subscriptions.
|
||||
/// Current implementation is based on <see cref="IDataConsolidator"/> that consolidates ticks and put them into enumerator.
|
||||
/// </summary>
|
||||
public class AggregationManager : IDataAggregator
|
||||
{
|
||||
private readonly ConcurrentDictionary<SecurityIdentifier, List<KeyValuePair<SubscriptionDataConfig, ScannableEnumerator<BaseData>>>> _enumerators
|
||||
= new ConcurrentDictionary<SecurityIdentifier, List<KeyValuePair<SubscriptionDataConfig, ScannableEnumerator<BaseData>>>>();
|
||||
private bool _dailyStrictEndTimeEnabled;
|
||||
|
||||
/// <summary>
|
||||
/// Continuous UTC time provider
|
||||
/// </summary>
|
||||
protected ITimeProvider TimeProvider { get; set; } = RealTimeProvider.Instance;
|
||||
|
||||
/// <summary>
|
||||
/// Initialize this instance
|
||||
/// </summary>
|
||||
/// <param name="parameters">The parameters dto instance</param>
|
||||
public void Initialize(DataAggregatorInitializeParameters parameters)
|
||||
{
|
||||
_dailyStrictEndTimeEnabled = parameters.AlgorithmSettings.DailyPreciseEndTime;
|
||||
Log.Trace($"AggregationManager.Initialize(): daily strict end times: {_dailyStrictEndTimeEnabled}");
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Add new subscription to current <see cref="IDataAggregator"/> instance
|
||||
/// </summary>
|
||||
/// <param name="dataConfig">defines the parameters to subscribe to a data feed</param>
|
||||
/// <param name="newDataAvailableHandler">handler to be fired on new data available</param>
|
||||
/// <returns>The new enumerator for this subscription request</returns>
|
||||
public IEnumerator<BaseData> Add(SubscriptionDataConfig dataConfig, EventHandler newDataAvailableHandler)
|
||||
{
|
||||
var consolidator = GetConsolidator(dataConfig);
|
||||
var isPeriodBased = (dataConfig.Type.Name == nameof(QuoteBar) ||
|
||||
dataConfig.Type.Name == nameof(TradeBar) ||
|
||||
dataConfig.Type.Name == nameof(OpenInterest)) &&
|
||||
dataConfig.Resolution != Resolution.Tick;
|
||||
var enumerator = new ScannableEnumerator<BaseData>(consolidator, dataConfig.ExchangeTimeZone, TimeProvider, newDataAvailableHandler, isPeriodBased);
|
||||
|
||||
_enumerators.AddOrUpdate(
|
||||
dataConfig.Symbol.ID,
|
||||
new List<KeyValuePair<SubscriptionDataConfig, ScannableEnumerator<BaseData>>> { new KeyValuePair<SubscriptionDataConfig, ScannableEnumerator<BaseData>>(dataConfig, enumerator) },
|
||||
(k, v) => { return v.Concat(new[] { new KeyValuePair<SubscriptionDataConfig, ScannableEnumerator<BaseData>>(dataConfig, enumerator) }).ToList(); });
|
||||
|
||||
return enumerator;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Removes the handler with the specified identifier
|
||||
/// </summary>
|
||||
/// <param name="dataConfig">Subscription data configuration to be removed</param>
|
||||
public bool Remove(SubscriptionDataConfig dataConfig)
|
||||
{
|
||||
List<KeyValuePair<SubscriptionDataConfig, ScannableEnumerator<BaseData>>> enumerators;
|
||||
if (_enumerators.TryGetValue(dataConfig.Symbol.ID, out enumerators))
|
||||
{
|
||||
if (enumerators.Count == 1)
|
||||
{
|
||||
List<KeyValuePair<SubscriptionDataConfig, ScannableEnumerator<BaseData>>> output;
|
||||
return _enumerators.TryRemove(dataConfig.Symbol.ID, out output);
|
||||
}
|
||||
else
|
||||
{
|
||||
_enumerators[dataConfig.Symbol.ID] = enumerators.Where(pair => pair.Key != dataConfig).ToList();
|
||||
return true;
|
||||
}
|
||||
}
|
||||
else
|
||||
{
|
||||
Log.Debug($"AggregationManager.Update(): IDataConsolidator for symbol ({dataConfig.Symbol.Value}) was not found.");
|
||||
return false;
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Add new data to aggregator
|
||||
/// </summary>
|
||||
/// <param name="input">The new data</param>
|
||||
public void Update(BaseData input)
|
||||
{
|
||||
try
|
||||
{
|
||||
List<KeyValuePair<SubscriptionDataConfig, ScannableEnumerator<BaseData>>> enumerators;
|
||||
if (_enumerators.TryGetValue(input.Symbol.ID, out enumerators))
|
||||
{
|
||||
for (var i = 0; i < enumerators.Count; i++)
|
||||
{
|
||||
var kvp = enumerators[i];
|
||||
|
||||
// for non tick resolution subscriptions drop suspicious ticks
|
||||
if (kvp.Key.Resolution != Resolution.Tick)
|
||||
{
|
||||
var tick = input as Tick;
|
||||
if (tick != null && tick.Suspicious)
|
||||
{
|
||||
continue;
|
||||
}
|
||||
}
|
||||
|
||||
kvp.Value.Update(input);
|
||||
}
|
||||
}
|
||||
}
|
||||
catch (Exception exception)
|
||||
{
|
||||
Log.Error(exception);
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Dispose of the aggregation manager.
|
||||
/// </summary>
|
||||
public void Dispose() { }
|
||||
|
||||
/// <summary>
|
||||
/// Gets the consolidator to aggregate data for the given config
|
||||
/// </summary>
|
||||
protected virtual IDataConsolidator GetConsolidator(SubscriptionDataConfig config)
|
||||
{
|
||||
var period = config.Resolution.ToTimeSpan();
|
||||
if (config.Resolution == Resolution.Daily && (config.Type == typeof(QuoteBar) || config.Type == typeof(TradeBar)))
|
||||
{
|
||||
// in backtesting, daily resolution data does not have extended market hours even if requested, so let's respect the same behavior for live
|
||||
// also this allows us to enable the daily strict end times if required. See 'SetStrictEndTimes'
|
||||
return new MarketHourAwareConsolidator(_dailyStrictEndTimeEnabled, config.Resolution, typeof(Tick), config.TickType, extendedMarketHours: false);
|
||||
}
|
||||
if (config.Type == typeof(QuoteBar))
|
||||
{
|
||||
return new TickQuoteBarConsolidator(period);
|
||||
}
|
||||
if (config.Type == typeof(TradeBar))
|
||||
{
|
||||
return new TickConsolidator(period);
|
||||
}
|
||||
if (config.Type == typeof(OpenInterest))
|
||||
{
|
||||
return new OpenInterestConsolidator(period);
|
||||
}
|
||||
if (config.Type == typeof(Tick))
|
||||
{
|
||||
return FilteredIdentityDataConsolidator.ForTickType(config.TickType);
|
||||
}
|
||||
if (config.Type == typeof(Split))
|
||||
{
|
||||
return new IdentityDataConsolidator<Split>();
|
||||
}
|
||||
if (config.Type == typeof(Dividend))
|
||||
{
|
||||
return new IdentityDataConsolidator<Dividend>();
|
||||
}
|
||||
|
||||
// streaming custom data subscriptions can pass right through
|
||||
return new FilteredIdentityDataConsolidator<BaseData>(data => data.GetType() == config.Type);
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user