chore: import upstream snapshot with attribution
This commit is contained in:
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 QuantConnect.Util;
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using QuantConnect.Data;
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using QuantConnect.Packets;
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using QuantConnect.Logging;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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using QuantConnect.Data.Market;
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using System.Collections.Generic;
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using QuantConnect.Lean.Engine.DataFeeds.Enumerators;
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namespace QuantConnect.Lean.Engine.DataFeeds
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{
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/// <summary>
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/// This is an implementation of <see cref="IDataQueueHandler"/> used to handle multiple live datafeeds
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/// </summary>
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public class DataQueueHandlerManager : IDataQueueHandler, IDataQueueUniverseProvider
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{
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private readonly IAlgorithmSettings _algorithmSettings;
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private readonly Dictionary<SubscriptionDataConfig, Queue<IDataQueueHandler>> _dataConfigAndDataHandler = new();
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/// <summary>
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/// Creates a new instance
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/// </summary>
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public DataQueueHandlerManager(IAlgorithmSettings settings)
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{
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_algorithmSettings = settings;
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}
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/// <summary>
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/// Frontier time provider to use
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/// </summary>
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/// <remarks>Protected for testing purposes</remarks>
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protected ITimeProvider FrontierTimeProvider { get; set; }
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/// <summary>
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/// Collection of data queue handles being used
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/// </summary>
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/// <remarks>Protected for testing purposes</remarks>
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protected List<IDataQueueHandler> DataHandlers { get; set; } = new();
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/// <summary>
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/// True if the composite queue handler has any <see cref="IDataQueueUniverseProvider"/> instance
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/// </summary>
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public bool HasUniverseProvider => DataHandlers.OfType<IDataQueueUniverseProvider>().Any();
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/// <summary>
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/// Event triggered when an unsupported configuration is detected
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/// </summary>
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public event EventHandler<SubscriptionDataConfig> UnsupportedConfiguration;
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/// <summary>
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/// Subscribe to the specified configuration
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/// </summary>
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/// <param name="dataConfig">defines the parameters to subscribe to a data feed</param>
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/// <param name="newDataAvailableHandler">handler to be fired on new data available</param>
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/// <returns>The new enumerator for this subscription request</returns>
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public IEnumerator<BaseData> Subscribe(SubscriptionDataConfig dataConfig, EventHandler newDataAvailableHandler)
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{
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Exception failureException = null;
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foreach (var dataHandler in DataHandlers)
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{
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// Emit ticks & custom data as soon as we get them, they don't need any kind of batching behavior applied to them
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// only use the frontier time provider if we need to
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var immediateEmission = dataConfig.Resolution == Resolution.Tick || dataConfig.IsCustomData || FrontierTimeProvider == null;
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var exchangeTimeZone = dataConfig.ExchangeTimeZone;
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IEnumerator<BaseData> enumerator;
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try
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{
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enumerator = dataHandler.Subscribe(dataConfig, immediateEmission ? newDataAvailableHandler
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: (sender, eventArgs) => {
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// let's only wake up the main thread if the data point is allowed to be emitted, else we could fill forward previous bar and not let this one through
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var dataAvailable = eventArgs as NewDataAvailableEventArgs;
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if (dataAvailable == null || dataAvailable.DataPoint == null
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|| dataAvailable.DataPoint.EndTime.ConvertToUtc(exchangeTimeZone) <= FrontierTimeProvider.GetUtcNow())
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{
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newDataAvailableHandler?.Invoke(sender, eventArgs);
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}
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});
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}
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catch (Exception exception)
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{
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// we will try the next DQH if any, if it handles the request correctly we ignore the error
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failureException = exception;
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continue;
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}
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// Check if the enumerator is not empty
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if (enumerator != null)
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{
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if (!_dataConfigAndDataHandler.TryGetValue(dataConfig, out var dataQueueHandlers))
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{
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// we can get the same subscription request multiple times, the aggregator manager handles updating each enumerator
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// but we need to keep track so we can call unsubscribe later to the target data queue handler
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_dataConfigAndDataHandler[dataConfig] = dataQueueHandlers = new Queue<IDataQueueHandler>();
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}
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dataQueueHandlers.Enqueue(dataHandler);
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if (immediateEmission)
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{
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return enumerator;
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}
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var utcStartTime = FrontierTimeProvider.GetUtcNow();
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var exchangeHours = MarketHoursDatabase.FromDataFolder().GetExchangeHours(dataConfig.Symbol.ID.Market, dataConfig.Symbol, dataConfig.Symbol.SecurityType);
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if (LeanData.UseStrictEndTime(_algorithmSettings.DailyPreciseEndTime, dataConfig.Symbol, dataConfig.Increment, exchangeHours))
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{
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// before the first frontier enumerator we adjust the endtimes if required
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enumerator = new StrictDailyEndTimesEnumerator(enumerator, exchangeHours, utcStartTime.ConvertFromUtc(exchangeTimeZone));
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}
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return new FrontierAwareEnumerator(enumerator, FrontierTimeProvider,
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new TimeZoneOffsetProvider(exchangeTimeZone, utcStartTime, Time.EndOfTime)
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);
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}
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}
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if (failureException != null)
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{
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// we were not able to serve the request with any DQH and we got an exception, let's bubble it up
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throw failureException;
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}
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// filter out warning for expected cases to reduce noise
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if (!dataConfig.Symbol.Value.Contains("-UNIVERSE-", StringComparison.InvariantCultureIgnoreCase)
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&& dataConfig.Type != typeof(Delisting)
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&& !dataConfig.Symbol.IsCanonical())
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{
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UnsupportedConfiguration?.Invoke(this, dataConfig);
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}
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return null;
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}
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/// <summary>
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/// Removes the specified configuration
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/// </summary>
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/// <param name="dataConfig">Subscription config to be removed</param>
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public virtual void Unsubscribe(SubscriptionDataConfig dataConfig)
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{
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if (_dataConfigAndDataHandler.TryGetValue(dataConfig, out var dataHandlers))
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{
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var dataHandler = dataHandlers.Dequeue();
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dataHandler.Unsubscribe(dataConfig);
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if (dataHandlers.Count == 0)
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{
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// nothing left
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_dataConfigAndDataHandler.Remove(dataConfig);
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}
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}
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}
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/// <summary>
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/// Sets the job we're subscribing for
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/// </summary>
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/// <param name="job">Job we're subscribing for</param>
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public void SetJob(LiveNodePacket job)
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{
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var dataHandlersConfig = job.DataQueueHandler;
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Log.Trace($"CompositeDataQueueHandler.SetJob(): will use {dataHandlersConfig}");
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foreach (var dataHandlerName in dataHandlersConfig.DeserializeList())
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{
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var dataHandler = Composer.Instance.GetExportedValueByTypeName<IDataQueueHandler>(dataHandlerName);
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dataHandler.SetJob(job);
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DataHandlers.Add(dataHandler);
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}
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FrontierTimeProvider = InitializeFrontierTimeProvider();
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}
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/// <summary>
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/// Returns whether the data provider is connected
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/// </summary>
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/// <returns>true if the data provider is connected</returns>
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public bool IsConnected => true;
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/// <summary>
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/// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
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/// </summary>
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public void Dispose()
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{
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foreach (var dataHandler in DataHandlers)
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{
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dataHandler.Dispose();
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}
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}
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/// <summary>
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/// Method returns a collection of Symbols that are available at the data source.
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/// </summary>
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/// <param name="symbol">Symbol to lookup</param>
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/// <param name="includeExpired">Include expired contracts</param>
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/// <param name="securityCurrency">Expected security currency(if any)</param>
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/// <returns>Enumerable of Symbols, that are associated with the provided Symbol</returns>
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public IEnumerable<Symbol> LookupSymbols(Symbol symbol, bool includeExpired, string securityCurrency = null)
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{
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foreach (var dataHandler in GetUniverseProviders())
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{
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var symbols = dataHandler.LookupSymbols(symbol, includeExpired, securityCurrency);
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if (symbols == null)
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{
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// the universe provider does not support it
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continue;
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}
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var result = symbols.ToList();
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if (result.Any())
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{
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return result;
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}
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}
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return Enumerable.Empty<Symbol>();
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}
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/// <summary>
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/// Returns whether selection can take place or not.
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/// </summary>
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/// <remarks>This is useful to avoid a selection taking place during invalid times, for example IB reset times or when not connected,
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/// because if allowed selection would fail since IB isn't running and would kill the algorithm</remarks>
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/// <returns>True if selection can take place</returns>
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public bool CanPerformSelection()
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{
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return GetUniverseProviders().Any(provider => provider.CanPerformSelection());
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}
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/// <summary>
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/// Creates the frontier time provider instance
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/// </summary>
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/// <remarks>Protected for testing purposes</remarks>
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protected virtual ITimeProvider InitializeFrontierTimeProvider()
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{
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var timeProviders = DataHandlers.OfType<ITimeProvider>().ToList();
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if (timeProviders.Any())
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{
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Log.Trace($"DataQueueHandlerManager.InitializeFrontierTimeProvider(): will use the following IDQH frontier time providers: [{string.Join(",", timeProviders.Select(x => x.GetType()))}]");
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return new CompositeTimeProvider(timeProviders);
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}
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return null;
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}
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private IEnumerable<IDataQueueUniverseProvider> GetUniverseProviders()
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{
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var yielded = false;
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foreach (var universeProvider in DataHandlers.OfType<IDataQueueUniverseProvider>())
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{
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yielded = true;
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yield return universeProvider;
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}
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if (!yielded)
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{
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throw new NotSupportedException("The DataQueueHandler does not support Options and Futures.");
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}
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}
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}
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}
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