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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*/
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using System;
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using QuantConnect.Data;
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using QuantConnect.Util;
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using QuantConnect.Logging;
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using QuantConnect.Packets;
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using QuantConnect.Securities;
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using QuantConnect.Interfaces;
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using QuantConnect.Data.Market;
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using System.Collections.Generic;
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using Timer = System.Timers.Timer;
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using QuantConnect.Lean.Engine.HistoricalData;
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namespace QuantConnect.Lean.Engine.DataFeeds.Queues
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{
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/// <summary>
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/// This is an implementation of <see cref="IDataQueueHandler"/> used for testing. <see cref="FakeHistoryProvider"/>
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/// </summary>
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public class FakeDataQueue : IDataQueueHandler, IDataQueueUniverseProvider
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{
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private int _count;
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private readonly Random _random = new Random();
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private int _dataPointsPerSecondPerSymbol;
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private readonly Timer _timer;
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private readonly IOptionChainProvider _optionChainProvider;
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private readonly EventBasedDataQueueHandlerSubscriptionManager _subscriptionManager;
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private readonly IDataAggregator _aggregator;
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private readonly MarketHoursDatabase _marketHoursDatabase;
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private readonly Dictionary<Symbol, TimeZoneOffsetProvider> _symbolExchangeTimeZones;
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/// <summary>
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/// Continuous UTC time provider
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/// </summary>
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protected virtual ITimeProvider TimeProvider { get; } = RealTimeProvider.Instance;
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/// <summary>
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/// Initializes a new instance of the <see cref="FakeDataQueue"/> class to randomly emit data for each symbol
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/// </summary>
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public FakeDataQueue()
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: this(Composer.Instance.GetExportedValueByTypeName<IDataAggregator>(nameof(AggregationManager)))
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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="FakeDataQueue"/> class to randomly emit data for each symbol
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/// </summary>
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public FakeDataQueue(IDataAggregator dataAggregator, int dataPointsPerSecondPerSymbol = 500000)
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{
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_aggregator = dataAggregator;
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_dataPointsPerSecondPerSymbol = dataPointsPerSecondPerSymbol;
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var mapFileProvider = Composer.Instance.GetPart<IMapFileProvider>();
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var historyManager = (IHistoryProvider)Composer.Instance.GetPart<HistoryProviderManager>();
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if (historyManager == null)
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{
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historyManager = Composer.Instance.GetPart<IHistoryProvider>();
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}
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var optionChainProvider = new LiveOptionChainProvider();
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optionChainProvider.Initialize(new(mapFileProvider, historyManager));
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_optionChainProvider = optionChainProvider;
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_marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
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_symbolExchangeTimeZones = new Dictionary<Symbol, TimeZoneOffsetProvider>();
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_subscriptionManager = new EventBasedDataQueueHandlerSubscriptionManager();
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_subscriptionManager.SubscribeImpl += (s, t) => true;
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_subscriptionManager.UnsubscribeImpl += (s, t) => true;
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_timer = new Timer
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{
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AutoReset = false,
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Enabled = true,
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Interval = 1000,
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};
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var lastCount = 0;
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var lastTime = DateTime.UtcNow;
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_timer.Elapsed += (sender, args) =>
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{
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var elapsed = (DateTime.UtcNow - lastTime);
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var ticksPerSecond = (_count - lastCount)/elapsed.TotalSeconds;
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Log.Trace("TICKS PER SECOND:: " + ticksPerSecond.ToStringInvariant("000000.0") + " ITEMS IN QUEUE:: " + 0);
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lastCount = _count;
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lastTime = DateTime.UtcNow;
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PopulateQueue();
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try
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{
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_timer.Reset();
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}
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catch (ObjectDisposedException)
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{
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// pass
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}
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};
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}
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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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var enumerator = _aggregator.Add(dataConfig, newDataAvailableHandler);
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_subscriptionManager.Subscribe(dataConfig);
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return enumerator;
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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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}
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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 void Unsubscribe(SubscriptionDataConfig dataConfig)
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{
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_subscriptionManager.Unsubscribe(dataConfig);
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_aggregator.Remove(dataConfig);
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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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_timer.Stop();
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_timer.DisposeSafely();
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}
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/// <summary>
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/// Pumps a bunch of ticks into the queue
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/// </summary>
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private void PopulateQueue()
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{
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var symbols = _subscriptionManager.GetSubscribedSymbols();
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foreach (var symbol in symbols)
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{
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if (symbol.IsCanonical() || symbol.Contains("UNIVERSE"))
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{
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continue;
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}
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var offsetProvider = GetTimeZoneOffsetProvider(symbol);
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var trades = SubscriptionManager.DefaultDataTypes()[symbol.SecurityType].Contains(TickType.Trade);
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var quotes = SubscriptionManager.DefaultDataTypes()[symbol.SecurityType].Contains(TickType.Quote);
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// emits 500k per second
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for (var i = 0; i < _dataPointsPerSecondPerSymbol; i++)
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{
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var now = TimeProvider.GetUtcNow();
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var exchangeTime = offsetProvider.ConvertFromUtc(now);
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var lastTrade = 100 + (decimal)Math.Abs(Math.Sin(now.TimeOfDay.TotalMilliseconds));
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if (trades)
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{
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_count++;
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_aggregator.Update(new Tick
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{
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Time = exchangeTime,
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Symbol = symbol,
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Value = lastTrade,
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TickType = TickType.Trade,
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Quantity = _random.Next(10, (int)_timer.Interval)
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});
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}
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if (quotes)
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{
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_count++;
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var bidPrice = lastTrade * 0.95m;
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var askPrice = lastTrade * 1.05m;
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var bidSize = _random.Next(10, (int) _timer.Interval);
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var askSize = _random.Next(10, (int)_timer.Interval);
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_aggregator.Update(new Tick(exchangeTime, symbol, "", "", bidSize: bidSize, bidPrice: bidPrice, askPrice: askPrice, askSize: askSize));
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}
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}
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}
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}
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private TimeZoneOffsetProvider GetTimeZoneOffsetProvider(Symbol symbol)
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{
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TimeZoneOffsetProvider offsetProvider;
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if (!_symbolExchangeTimeZones.TryGetValue(symbol, out offsetProvider))
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{
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// read the exchange time zone from market-hours-database
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var exchangeTimeZone = _marketHoursDatabase.GetExchangeHours(symbol.ID.Market, symbol, symbol.SecurityType).TimeZone;
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_symbolExchangeTimeZones[symbol] = offsetProvider = new TimeZoneOffsetProvider(exchangeTimeZone, TimeProvider.GetUtcNow(), Time.EndOfTime);
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}
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return offsetProvider;
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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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switch (symbol.SecurityType)
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{
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case SecurityType.Option:
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case SecurityType.IndexOption:
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case SecurityType.FutureOption:
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foreach (var result in _optionChainProvider.GetOptionContractList(symbol, DateTime.UtcNow.Date))
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{
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yield return result;
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}
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break;
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default:
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break;
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}
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}
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/// <summary>
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/// Checks if the FakeDataQueue can perform selection
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/// </summary>
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public bool CanPerformSelection()
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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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