chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,91 @@
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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.
|
||||
* 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
|
||||
* 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
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* limitations under the License.
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||||
*/
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using System;
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using System.Collections.Generic;
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using NodaTime;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Lean.Engine.DataFeeds;
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using HistoryRequest = QuantConnect.Data.HistoryRequest;
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namespace QuantConnect.Lean.Engine.HistoricalData
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{
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/// <summary>
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/// Provides an implementation of <see cref="IHistoryProvider"/> that relies on
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/// a brokerage connection to retrieve historical data
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/// </summary>
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public class BrokerageHistoryProvider : SynchronizingHistoryProvider
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{
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private IDataPermissionManager _dataPermissionManager;
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private IBrokerage _brokerage;
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private bool _initialized;
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/// <summary>
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/// Sets the brokerage to be used for historical requests
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/// </summary>
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/// <param name="brokerage">The brokerage instance</param>
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public void SetBrokerage(IBrokerage brokerage)
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{
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_brokerage = brokerage;
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}
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/// <summary>
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/// Initializes this history provider to work for the specified job
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/// </summary>
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/// <param name="parameters">The initialization parameters</param>
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public override void Initialize(HistoryProviderInitializeParameters parameters)
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{
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if (_initialized)
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{
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// let's make sure no one tries to change our parameters values
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throw new InvalidOperationException("BrokerageHistoryProvider can only be initialized once");
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}
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_initialized = true;
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_brokerage.Connect();
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AlgorithmSettings = parameters.AlgorithmSettings;
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_dataPermissionManager = parameters.DataPermissionManager;
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}
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/// <summary>
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/// Gets the history for the requested securities
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/// </summary>
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/// <param name="requests">The historical data requests</param>
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/// <param name="sliceTimeZone">The time zone used when time stamping the slice instances</param>
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/// <returns>An enumerable of the slices of data covering the span specified in each request</returns>
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public override IEnumerable<Slice> GetHistory(IEnumerable<HistoryRequest> requests, DateTimeZone sliceTimeZone)
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{
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// create subscription objects from the configs
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var subscriptions = new List<Subscription>();
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foreach (var request in requests)
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{
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var history = _brokerage.GetHistory(request);
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if (history == null)
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{
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// doesn't support this history request, that's okay
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continue;
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}
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var subscription = CreateSubscription(request, history);
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subscriptions.Add(subscription);
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}
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if (subscriptions.Count == 0)
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{
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return null;
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}
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return CreateSliceEnumerableFromSubscriptions(subscriptions, sliceTimeZone);
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}
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}
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}
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@@ -0,0 +1,106 @@
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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 NodaTime;
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using System.Linq;
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using QuantConnect.Data;
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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 QuantConnect.Data.Auxiliary;
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using QuantConnect.Lean.Engine.DataFeeds.Queues;
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namespace QuantConnect.Lean.Engine.HistoricalData
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{
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/// <summary>
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/// Provides FAKE implementation of <see cref="IHistoryProvider"/> used for testing. <see cref="FakeDataQueue"/>
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/// </summary>
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public class FakeHistoryProvider : HistoryProviderBase
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{
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private int _historyCount;
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/// <summary>
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/// Gets the total number of data points emitted by this history provider
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/// </summary>
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public override int DataPointCount => _historyCount;
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/// <summary>
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/// Initializes this history provider to work for the specified job
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/// </summary>
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/// <param name="parameters">The initialization parameters</param>
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public override void Initialize(HistoryProviderInitializeParameters parameters)
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{
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}
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/// <summary>
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/// Gets the history for the requested securities
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/// </summary>
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/// <param name="requests">The historical data requests</param>
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/// <param name="sliceTimeZone">The time zone used when time stamping the slice instances</param>
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/// <returns>An enumerable of the slices of data covering the span specified in each request</returns>
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public override IEnumerable<Slice> GetHistory(IEnumerable<HistoryRequest> requests, DateTimeZone sliceTimeZone)
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{
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var single = requests.FirstOrDefault();
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if (single == null)
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{
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yield break;
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}
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var currentLocalTime = single.StartTimeLocal;
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while (currentLocalTime < single.EndTimeLocal)
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{
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if (single.ExchangeHours.IsOpen(currentLocalTime, single.IncludeExtendedMarketHours))
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{
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_historyCount++;
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BaseData data;
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if (single.DataType == typeof(TradeBar))
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{
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data = new TradeBar
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{
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Symbol = single.Symbol,
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Time = currentLocalTime,
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Open = _historyCount,
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Low = _historyCount,
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High = _historyCount,
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Close = _historyCount,
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Volume = _historyCount,
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Period = single.Resolution.ToTimeSpan()
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};
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}
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else if (single.DataType == typeof(QuoteBar))
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{
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data = new QuoteBar
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{
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Symbol = single.Symbol,
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Time = currentLocalTime,
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Ask = new Bar(_historyCount, _historyCount, _historyCount, _historyCount),
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Bid = new Bar(_historyCount, _historyCount, _historyCount, _historyCount),
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Period = single.Resolution.ToTimeSpan()
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};
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}
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else
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{
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yield break;
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}
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yield return new Slice(data.EndTime, new BaseData[] { data }, data.EndTime.ConvertFromUtc(single.ExchangeHours.TimeZone));
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}
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currentLocalTime = currentLocalTime.Add(single.Resolution.ToTimeSpan());
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}
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}
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}
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}
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@@ -0,0 +1,218 @@
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/*
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||||
* 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
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||||
* limitations under the License.
|
||||
*/
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||||
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using NodaTime;
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using QuantConnect.Configuration;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Lean.Engine.DataFeeds.Enumerators;
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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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using System;
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using System.Collections.Generic;
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using System.Linq;
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using HistoryRequest = QuantConnect.Data.HistoryRequest;
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namespace QuantConnect.Lean.Engine.HistoricalData
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{
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/// <summary>
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/// Provides an implementation of <see cref="IHistoryProvider"/> which
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/// acts as a wrapper to use multiple history providers together
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/// </summary>
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public class HistoryProviderManager : HistoryProviderBase
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{
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private AlgorithmNodePacket _job;
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private IDataPermissionManager _dataPermissionManager;
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private IBrokerage _brokerage;
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private bool _initialized;
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private bool _loggedEquityShortcutWarning;
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/// <summary>
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/// Collection of history providers being used
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/// </summary>
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/// <remarks>Protected for testing purposes</remarks>
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private List<IHistoryProvider> _historyProviders = new();
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/// <summary>
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/// Gets the total number of data points emitted by this history provider
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/// </summary>
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public override int DataPointCount => GetDataPointCount();
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/// <summary>
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/// Sets the brokerage to be used for historical requests
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/// </summary>
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/// <param name="brokerage">The brokerage instance</param>
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public void SetBrokerage(IBrokerage brokerage)
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{
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_brokerage = brokerage;
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}
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/// <summary>
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/// Initializes this history provider to work for the specified job
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/// </summary>
|
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/// <param name="parameters">The initialization parameters</param>
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public override void Initialize(HistoryProviderInitializeParameters parameters)
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{
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if (_initialized)
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{
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// let's make sure no one tries to change our parameters values
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throw new InvalidOperationException("BrokerageHistoryProvider can only be initialized once");
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}
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_initialized = true;
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_job = parameters.Job;
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var dataProvidersList = parameters.Job?.HistoryProvider.DeserializeList() ?? new List<string>();
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if (dataProvidersList.IsNullOrEmpty())
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{
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dataProvidersList.AddRange(Config.Get("history-provider", "SubscriptionDataReaderHistoryProvider").DeserializeList());
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}
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_dataPermissionManager = parameters.DataPermissionManager;
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foreach (var historyProviderName in dataProvidersList)
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{
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IHistoryProvider historyProvider;
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if (HistoryExtensions.TryGetBrokerageName(historyProviderName, out var brokerageName))
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{
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// we get the data queue handler if it already exists
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var dataQueueHandler = Composer.Instance.GetPart<IDataQueueHandler>((x) => x.GetType().Name == brokerageName);
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if (dataQueueHandler == null)
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{
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// we need to create the brokerage/data queue handler
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dataQueueHandler = Composer.Instance.GetExportedValueByTypeName<IDataQueueHandler>(brokerageName);
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// initialize it
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dataQueueHandler.SetJob((Packets.LiveNodePacket)parameters.Job);
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Log.Trace($"HistoryProviderManager.Initialize(): Created and wrapped '{brokerageName}' as '{typeof(BrokerageHistoryProvider).Name}'");
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}
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else
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{
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Log.Trace($"HistoryProviderManager.Initialize(): Wrapping '{brokerageName}' instance as '{typeof(BrokerageHistoryProvider).Name}'");
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}
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// wrap it
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var brokerageHistoryProvider = new BrokerageHistoryProvider();
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brokerageHistoryProvider.SetBrokerage((IBrokerage)dataQueueHandler);
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historyProvider = brokerageHistoryProvider;
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}
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else
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{
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historyProvider = Composer.Instance.GetExportedValueByTypeName<IHistoryProvider>(historyProviderName);
|
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if (historyProvider is BrokerageHistoryProvider)
|
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{
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(historyProvider as BrokerageHistoryProvider).SetBrokerage(_brokerage);
|
||||
}
|
||||
}
|
||||
historyProvider.Initialize(parameters);
|
||||
historyProvider.InvalidConfigurationDetected += (sender, args) => { OnInvalidConfigurationDetected(args); };
|
||||
historyProvider.NumericalPrecisionLimited += (sender, args) => { OnNumericalPrecisionLimited(args); };
|
||||
historyProvider.StartDateLimited += (sender, args) => { OnStartDateLimited(args); };
|
||||
historyProvider.DownloadFailed += (sender, args) => { OnDownloadFailed(args); };
|
||||
historyProvider.ReaderErrorDetected += (sender, args) => { OnReaderErrorDetected(args); };
|
||||
_historyProviders.Add(historyProvider);
|
||||
}
|
||||
|
||||
Log.Trace($"HistoryProviderManager.Initialize(): history providers [{string.Join(",", _historyProviders.Select(x => x.GetType().Name))}]");
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Gets the history for the requested securities
|
||||
/// </summary>
|
||||
/// <param name="requests">The historical data requests</param>
|
||||
/// <param name="sliceTimeZone">The time zone used when time stamping the slice instances</param>
|
||||
/// <returns>An enumerable of the slices of data covering the span specified in each request</returns>
|
||||
public override IEnumerable<Slice> GetHistory(IEnumerable<HistoryRequest> requests, DateTimeZone sliceTimeZone)
|
||||
{
|
||||
List<IEnumerator<Slice>> historyEnumerators = new(_historyProviders.Count);
|
||||
|
||||
var historyRequests = new List<HistoryRequest>();
|
||||
foreach (var request in requests)
|
||||
{
|
||||
var config = request.ToSubscriptionDataConfig();
|
||||
_dataPermissionManager?.AssertConfiguration(config, request.StartTimeLocal, request.EndTimeLocal);
|
||||
historyRequests.Add(request);
|
||||
}
|
||||
|
||||
foreach (var historyProvider in _historyProviders)
|
||||
{
|
||||
try
|
||||
{
|
||||
var history = historyProvider.GetHistory(historyRequests, sliceTimeZone);
|
||||
if (history == null)
|
||||
{
|
||||
// doesn't support this history request, that's okay
|
||||
continue;
|
||||
}
|
||||
historyEnumerators.Add(history.GetEnumerator());
|
||||
|
||||
if (_job != null && _job.DeploymentTarget == DeploymentTarget.CloudPlatform
|
||||
&& _historyProviders.Count > 1 && historyRequests.All(x => x.Symbol.SecurityType == SecurityType.Equity))
|
||||
{
|
||||
if (!_loggedEquityShortcutWarning)
|
||||
{
|
||||
_loggedEquityShortcutWarning = true;
|
||||
Log.Trace($"HistoryProviderManager.GetHistory(): using {_historyProviders[0].GetType().Name} provider for equity," +
|
||||
$" skipping: [{string.Join(",", _historyProviders.Skip(1).Select(x => x.GetType().Name))}]");
|
||||
}
|
||||
break;
|
||||
}
|
||||
}
|
||||
catch (Exception e)
|
||||
{
|
||||
// ignore
|
||||
}
|
||||
}
|
||||
using var synchronizer = new SynchronizingSliceEnumerator(historyEnumerators);
|
||||
Slice latestMergeSlice = null;
|
||||
while (synchronizer.MoveNext())
|
||||
{
|
||||
if (synchronizer.Current == null)
|
||||
{
|
||||
continue;
|
||||
}
|
||||
if (latestMergeSlice == null)
|
||||
{
|
||||
latestMergeSlice = synchronizer.Current;
|
||||
continue;
|
||||
}
|
||||
if (synchronizer.Current.UtcTime > latestMergeSlice.UtcTime)
|
||||
{
|
||||
// a newer slice we emit the old and keep a reference of the new
|
||||
// so in the next loop we merge if required
|
||||
yield return latestMergeSlice;
|
||||
latestMergeSlice = synchronizer.Current;
|
||||
}
|
||||
else
|
||||
{
|
||||
// a new slice with same time we merge them into 'latestMergeSlice'
|
||||
latestMergeSlice.MergeSlice(synchronizer.Current);
|
||||
}
|
||||
}
|
||||
if (latestMergeSlice != null)
|
||||
{
|
||||
yield return latestMergeSlice;
|
||||
}
|
||||
}
|
||||
|
||||
private int GetDataPointCount()
|
||||
{
|
||||
var dataPointCount = 0;
|
||||
foreach (var historyProvider in _historyProviders)
|
||||
{
|
||||
dataPointCount += historyProvider.DataPointCount;
|
||||
}
|
||||
return dataPointCount;
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,78 @@
|
||||
/*
|
||||
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
||||
* Lean Algorithmic Trading Engine v2.0. Copyright 2026 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 System;
|
||||
using NodaTime;
|
||||
using System.Linq;
|
||||
using QuantConnect.Data;
|
||||
using QuantConnect.Util;
|
||||
using QuantConnect.Interfaces;
|
||||
using System.Collections.Generic;
|
||||
using QuantConnect.Lean.Engine.DataFeeds;
|
||||
|
||||
namespace QuantConnect.Lean.Engine.HistoricalData
|
||||
{
|
||||
/// <summary>
|
||||
/// Base class for history providers that resolve symbol mappings
|
||||
/// and synchronize multiple data streams into time-aligned slices.
|
||||
/// </summary>
|
||||
public abstract class MappedSynchronizingHistoryProvider : SynchronizingHistoryProvider
|
||||
{
|
||||
/// <summary>
|
||||
/// Resolves map files to correctly handle current and historical ticker symbols.
|
||||
/// </summary>
|
||||
private static readonly Lazy<IMapFileProvider> _mapFileProvider = new(Composer.Instance.GetPart<IMapFileProvider>);
|
||||
|
||||
/// <summary>
|
||||
/// Gets historical data for a single resolved history request.
|
||||
/// Implementations should assume the symbol is already correctly mapped.
|
||||
/// </summary>
|
||||
/// <param name="request">The resolved history request.</param>
|
||||
/// <returns>The historical data.</returns>
|
||||
public abstract IEnumerable<BaseData>? GetHistory(HistoryRequest request);
|
||||
|
||||
/// <summary>
|
||||
/// Gets the history for the requested securities
|
||||
/// </summary>
|
||||
/// <param name="requests">The historical data requests</param>
|
||||
/// <param name="sliceTimeZone">The time zone used when time stamping the slice instances</param>
|
||||
/// <returns>An enumerable of the slices of data covering the span specified in each request</returns>
|
||||
public override IEnumerable<Slice>? GetHistory(IEnumerable<HistoryRequest> requests, DateTimeZone sliceTimeZone)
|
||||
{
|
||||
var subscriptions = new List<Subscription>();
|
||||
foreach (var request in requests)
|
||||
{
|
||||
var history = request
|
||||
.SplitHistoryRequestWithUpdatedMappedSymbol(_mapFileProvider.Value)
|
||||
.SelectMany(x => GetHistory(x) ?? []);
|
||||
var subscription = CreateSubscription(request, history);
|
||||
if (!subscription.MoveNext())
|
||||
{
|
||||
continue;
|
||||
}
|
||||
|
||||
subscriptions.Add(subscription);
|
||||
}
|
||||
|
||||
if (subscriptions.Count == 0)
|
||||
{
|
||||
return null;
|
||||
}
|
||||
|
||||
// Ownership of subscription is transferred to CreateSliceEnumerableFromSubscriptions
|
||||
return CreateSliceEnumerableFromSubscriptions(subscriptions, sliceTimeZone);
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,137 @@
|
||||
/*
|
||||
* 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 NodaTime;
|
||||
using QuantConnect.Data;
|
||||
using QuantConnect.Data.Market;
|
||||
using QuantConnect.Data.UniverseSelection;
|
||||
using QuantConnect.Lean.Engine.DataFeeds;
|
||||
using QuantConnect.Securities;
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using HistoryRequest = QuantConnect.Data.HistoryRequest;
|
||||
|
||||
namespace QuantConnect.Lean.Engine.HistoricalData
|
||||
{
|
||||
/// <summary>
|
||||
/// Implements a History provider that always return a IEnumerable of Slice with prices following a sine function
|
||||
/// </summary>
|
||||
public class SineHistoryProvider : HistoryProviderBase
|
||||
{
|
||||
private readonly SecurityChanges _securityChanges = SecurityChanges.None;
|
||||
private readonly SecurityManager _securities;
|
||||
|
||||
/// <summary>
|
||||
/// Gets the total number of data points emitted by this history provider
|
||||
/// </summary>
|
||||
public override int DataPointCount => 0;
|
||||
|
||||
/// <summary>
|
||||
/// Initializes a new instance of the <see cref="SineHistoryProvider"/> class
|
||||
/// </summary>
|
||||
/// <param name="securities">Collection of securities that a history request can return</param>
|
||||
public SineHistoryProvider(SecurityManager securities)
|
||||
{
|
||||
_securities = securities;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Initializes this history provider to work for the specified job
|
||||
/// </summary>
|
||||
/// <param name="parameters">The initialization parameters</param>
|
||||
public override void Initialize(HistoryProviderInitializeParameters parameters)
|
||||
{
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Gets the history for the requested securities
|
||||
/// </summary>
|
||||
/// <param name="requests">The historical data requests</param>
|
||||
/// <param name="sliceTimeZone">The time zone used when time stamping the slice instances</param>
|
||||
/// <returns>An enumerable of the slices of data covering the span specified in each request</returns>
|
||||
public override IEnumerable<Slice> GetHistory(IEnumerable<HistoryRequest> requests, DateTimeZone sliceTimeZone)
|
||||
{
|
||||
var configsByDateTime = GetSubscriptionDataConfigByDateTime(requests);
|
||||
var count = configsByDateTime.Count;
|
||||
var i = 0;
|
||||
var timeSliceFactory = new TimeSliceFactory(sliceTimeZone);
|
||||
foreach (var kvp in configsByDateTime)
|
||||
{
|
||||
var utcDateTime = kvp.Key;
|
||||
var configs = kvp.Value;
|
||||
var last = Convert.ToDecimal(100 + 10 * Math.Sin(Math.PI * (360 - count + i) / 180.0));
|
||||
var high = last * 1.005m;
|
||||
var low = last / 1.005m;
|
||||
|
||||
var packets = new List<DataFeedPacket>();
|
||||
|
||||
foreach (var config in configs)
|
||||
{
|
||||
Security security;
|
||||
if (!_securities.TryGetValue(config.Symbol, out security))
|
||||
{
|
||||
continue;
|
||||
}
|
||||
|
||||
var period = config.Resolution.ToTimeSpan();
|
||||
var time = (utcDateTime - period).ConvertFromUtc(config.DataTimeZone);
|
||||
var data = new TradeBar(time, config.Symbol, last, high, last, last, 1000, period);
|
||||
security.SetMarketPrice(data);
|
||||
packets.Add(new DataFeedPacket(security, config, new List<BaseData> { data }));
|
||||
}
|
||||
|
||||
i++;
|
||||
yield return timeSliceFactory.Create(utcDateTime, packets, _securityChanges, new Dictionary<Universe, BaseDataCollection>()).Slice;
|
||||
}
|
||||
}
|
||||
|
||||
private Dictionary<DateTime, List<SubscriptionDataConfig>> GetSubscriptionDataConfigByDateTime(
|
||||
IEnumerable<HistoryRequest> requests)
|
||||
{
|
||||
var dictionary = new Dictionary<DateTime, List<SubscriptionDataConfig>>();
|
||||
|
||||
var barSize = requests.Select(x => x.Resolution.ToTimeSpan()).Min();
|
||||
var startUtc = requests.Min(x => x.StartTimeUtc);
|
||||
var endUtc = requests.Max(x => x.EndTimeUtc);
|
||||
|
||||
for (var utcDateTime = startUtc; utcDateTime < endUtc; utcDateTime += barSize)
|
||||
{
|
||||
var subscriptionDataConfig = new List<SubscriptionDataConfig>();
|
||||
|
||||
foreach (var request in requests)
|
||||
{
|
||||
var exchange = request.ExchangeHours;
|
||||
var extendedMarket = request.IncludeExtendedMarketHours;
|
||||
var localDateTime = utcDateTime.ConvertFromUtc(exchange.TimeZone);
|
||||
if (!exchange.IsOpen(localDateTime, extendedMarket))
|
||||
{
|
||||
continue;
|
||||
}
|
||||
|
||||
var config = request.ToSubscriptionDataConfig();
|
||||
subscriptionDataConfig.Add(config);
|
||||
}
|
||||
|
||||
if (subscriptionDataConfig.Count > 0)
|
||||
{
|
||||
dictionary.Add(utcDateTime.Add(barSize), subscriptionDataConfig);
|
||||
}
|
||||
}
|
||||
|
||||
return dictionary;
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,226 @@
|
||||
/*
|
||||
* 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 System;
|
||||
using System.Collections.Generic;
|
||||
using NodaTime;
|
||||
using QuantConnect.Data;
|
||||
using QuantConnect.Data.Market;
|
||||
using QuantConnect.Data.UniverseSelection;
|
||||
using QuantConnect.Interfaces;
|
||||
using QuantConnect.Lean.Engine.DataFeeds;
|
||||
using QuantConnect.Lean.Engine.DataFeeds.Enumerators;
|
||||
using QuantConnect.Lean.Engine.DataFeeds.Enumerators.Factories;
|
||||
using QuantConnect.Securities;
|
||||
using QuantConnect.Util;
|
||||
using HistoryRequest = QuantConnect.Data.HistoryRequest;
|
||||
|
||||
namespace QuantConnect.Lean.Engine.HistoricalData
|
||||
{
|
||||
/// <summary>
|
||||
/// Provides an implementation of <see cref="IHistoryProvider"/> that uses <see cref="BaseData"/>
|
||||
/// instances to retrieve historical data
|
||||
/// </summary>
|
||||
public class SubscriptionDataReaderHistoryProvider : SynchronizingHistoryProvider
|
||||
{
|
||||
private SymbolProperties _nullSymbolProperties;
|
||||
private SecurityCache _nullCache;
|
||||
private Cash _nullCash;
|
||||
|
||||
private IDataProvider _dataProvider;
|
||||
private IMapFileProvider _mapFileProvider;
|
||||
private IFactorFileProvider _factorFileProvider;
|
||||
private IDataCacheProvider _dataCacheProvider;
|
||||
private IObjectStore _objectStore;
|
||||
private bool _parallelHistoryRequestsEnabled;
|
||||
private bool _initialized;
|
||||
|
||||
/// <summary>
|
||||
/// Manager used to allow or deny access to a requested datasource for specific users
|
||||
/// </summary>
|
||||
protected IDataPermissionManager DataPermissionManager { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Initializes this history provider to work for the specified job
|
||||
/// </summary>
|
||||
/// <param name="parameters">The initialization parameters</param>
|
||||
public override void Initialize(HistoryProviderInitializeParameters parameters)
|
||||
{
|
||||
if (_initialized)
|
||||
{
|
||||
return;
|
||||
}
|
||||
_initialized = true;
|
||||
_dataProvider = parameters.DataProvider;
|
||||
_mapFileProvider = parameters.MapFileProvider;
|
||||
_dataCacheProvider = parameters.DataCacheProvider;
|
||||
_factorFileProvider = parameters.FactorFileProvider;
|
||||
_objectStore = parameters.ObjectStore;
|
||||
AlgorithmSettings = parameters.AlgorithmSettings;
|
||||
DataPermissionManager = parameters.DataPermissionManager;
|
||||
_parallelHistoryRequestsEnabled = parameters.ParallelHistoryRequestsEnabled;
|
||||
|
||||
_nullCache = new SecurityCache();
|
||||
_nullCash = new Cash(Currencies.NullCurrency, 0, 1m);
|
||||
_nullSymbolProperties = SymbolProperties.GetDefault(Currencies.NullCurrency);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Gets the history for the requested securities
|
||||
/// </summary>
|
||||
/// <param name="requests">The historical data requests</param>
|
||||
/// <param name="sliceTimeZone">The time zone used when time stamping the slice instances</param>
|
||||
/// <returns>An enumerable of the slices of data covering the span specified in each request</returns>
|
||||
public override IEnumerable<Slice> GetHistory(IEnumerable<HistoryRequest> requests, DateTimeZone sliceTimeZone)
|
||||
{
|
||||
// create subscription objects from the configs
|
||||
var subscriptions = new List<Subscription>();
|
||||
foreach (var request in requests)
|
||||
{
|
||||
var subscription = CreateSubscription(request);
|
||||
subscriptions.Add(subscription);
|
||||
}
|
||||
|
||||
return CreateSliceEnumerableFromSubscriptions(subscriptions, sliceTimeZone);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Creates a subscription to process the request
|
||||
/// </summary>
|
||||
private Subscription CreateSubscription(HistoryRequest request)
|
||||
{
|
||||
var config = request.ToSubscriptionDataConfig();
|
||||
|
||||
// this security is internal only we do not need to worry about a few of it's properties
|
||||
// TODO: we don't need fee/fill/BPM/etc either. Even better we should refactor & remove the need for the security
|
||||
var security = new Security(
|
||||
request.ExchangeHours,
|
||||
config,
|
||||
_nullCash,
|
||||
_nullSymbolProperties,
|
||||
ErrorCurrencyConverter.Instance,
|
||||
RegisteredSecurityDataTypesProvider.Null,
|
||||
_nullCache
|
||||
);
|
||||
|
||||
var dataReader = new SubscriptionDataReader(config,
|
||||
request,
|
||||
_mapFileProvider,
|
||||
_factorFileProvider,
|
||||
_dataCacheProvider,
|
||||
_dataProvider,
|
||||
_objectStore);
|
||||
|
||||
dataReader.InvalidConfigurationDetected += (sender, args) => { OnInvalidConfigurationDetected(args); };
|
||||
dataReader.NumericalPrecisionLimited += (sender, args) => { OnNumericalPrecisionLimited(args); };
|
||||
dataReader.StartDateLimited += (sender, args) => { OnStartDateLimited(args); };
|
||||
dataReader.DownloadFailed += (sender, args) => { OnDownloadFailed(args); };
|
||||
dataReader.ReaderErrorDetected += (sender, args) => { OnReaderErrorDetected(args); };
|
||||
|
||||
IEnumerator<BaseData> reader = dataReader;
|
||||
var intraday = GetIntradayDataEnumerator(dataReader, request);
|
||||
if (intraday != null)
|
||||
{
|
||||
// we optionally concatenate the intraday data enumerator
|
||||
reader = new ConcatEnumerator(true, reader, intraday);
|
||||
}
|
||||
|
||||
var useDailyStrictEndTimes = LeanData.UseDailyStrictEndTimes(AlgorithmSettings, request, config.Symbol, config.Increment);
|
||||
if (useDailyStrictEndTimes)
|
||||
{
|
||||
// before corporate events which might yield data and we synchronize both feeds
|
||||
reader = new StrictDailyEndTimesEnumerator(reader, request.ExchangeHours, request.StartTimeLocal);
|
||||
}
|
||||
|
||||
reader = CorporateEventEnumeratorFactory.CreateEnumerators(
|
||||
reader,
|
||||
config,
|
||||
_factorFileProvider,
|
||||
dataReader,
|
||||
_mapFileProvider,
|
||||
request.StartTimeLocal,
|
||||
request.EndTimeLocal);
|
||||
|
||||
// optionally apply fill forward behavior
|
||||
if (request.FillForwardResolution.HasValue)
|
||||
{
|
||||
// copy forward Bid/Ask bars for QuoteBars
|
||||
if (request.DataType == typeof(QuoteBar))
|
||||
{
|
||||
reader = new QuoteBarFillForwardEnumerator(reader);
|
||||
}
|
||||
|
||||
var readOnlyRef = Ref.CreateReadOnly(() => request.FillForwardResolution.Value.ToTimeSpan());
|
||||
var exchange = GetSecurityExchange(security.Exchange, request.DataType, request.Symbol);
|
||||
reader = new FillForwardEnumerator(reader, exchange, readOnlyRef, request.IncludeExtendedMarketHours, request.StartTimeLocal, request.EndTimeLocal, config.Increment, config.DataTimeZone, useDailyStrictEndTimes, request.DataType);
|
||||
}
|
||||
|
||||
// since the SubscriptionDataReader performs an any overlap condition on the trade bar's entire
|
||||
// range (time->end time) we can end up passing the incorrect data (too far past, possibly future),
|
||||
// so to combat this we deliberately filter the results from the data reader to fix these cases
|
||||
// which only apply to non-tick data
|
||||
|
||||
reader = new SubscriptionFilterEnumerator(reader, security, request.EndTimeLocal, config.ExtendedMarketHours, false, request.ExchangeHours);
|
||||
|
||||
// allow all ticks
|
||||
if (config.Resolution != Resolution.Tick)
|
||||
{
|
||||
var timeBasedFilter = new TimeBasedFilter(request);
|
||||
reader = new FilterEnumerator<BaseData>(reader, timeBasedFilter.Filter);
|
||||
}
|
||||
|
||||
var subscriptionRequest = new SubscriptionRequest(false, null, security, config, request.StartTimeUtc, request.EndTimeUtc);
|
||||
if (_parallelHistoryRequestsEnabled)
|
||||
{
|
||||
return SubscriptionUtils.CreateAndScheduleWorker(subscriptionRequest, reader, _factorFileProvider, false, AlgorithmSettings.DailyPreciseEndTime);
|
||||
}
|
||||
return SubscriptionUtils.Create(subscriptionRequest, reader, AlgorithmSettings.DailyPreciseEndTime);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Gets the intraday data enumerator if any
|
||||
/// </summary>
|
||||
protected virtual IEnumerator<BaseData> GetIntradayDataEnumerator(IEnumerator<BaseData> rawData, HistoryRequest request)
|
||||
{
|
||||
return null;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Internal helper class to filter data based on requested times
|
||||
/// </summary>
|
||||
private class TimeBasedFilter
|
||||
{
|
||||
public Type RequestedType { get; set; }
|
||||
public DateTime EndTimeLocal { get; set; }
|
||||
public DateTime StartTimeLocal { get; set; }
|
||||
public TimeBasedFilter(HistoryRequest request)
|
||||
{
|
||||
RequestedType = request.DataType;
|
||||
EndTimeLocal = request.EndTimeLocal;
|
||||
StartTimeLocal = request.StartTimeLocal;
|
||||
}
|
||||
public bool Filter(BaseData data)
|
||||
{
|
||||
// filter out all aux data, unless if we are asking for aux data
|
||||
if (data.DataType == MarketDataType.Auxiliary && data.GetType() != RequestedType) return false;
|
||||
// filter out future data
|
||||
if (data.EndTime > EndTimeLocal) return false;
|
||||
// filter out data before the start
|
||||
return data.EndTime > StartTimeLocal;
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,189 @@
|
||||
/*
|
||||
* 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 System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Threading;
|
||||
using NodaTime;
|
||||
using QuantConnect.Data;
|
||||
using QuantConnect.Data.Market;
|
||||
using QuantConnect.Data.UniverseSelection;
|
||||
using QuantConnect.Interfaces;
|
||||
using QuantConnect.Lean.Engine.DataFeeds;
|
||||
using QuantConnect.Lean.Engine.DataFeeds.Enumerators;
|
||||
using QuantConnect.Securities;
|
||||
using QuantConnect.Util;
|
||||
|
||||
namespace QuantConnect.Lean.Engine.HistoricalData
|
||||
{
|
||||
/// <summary>
|
||||
/// Provides an abstract implementation of <see cref="IHistoryProvider"/>
|
||||
/// which provides synchronization of multiple history results
|
||||
/// </summary>
|
||||
public abstract class SynchronizingHistoryProvider : HistoryProviderBase
|
||||
{
|
||||
/// <summary>
|
||||
/// The market hours database
|
||||
/// </summary>
|
||||
protected static readonly MarketHoursDatabase MarketHours = MarketHoursDatabase.FromDataFolder();
|
||||
private int _dataPointCount;
|
||||
|
||||
/// <summary>
|
||||
/// The algorithm settings instance to use
|
||||
/// </summary>
|
||||
public IAlgorithmSettings AlgorithmSettings { get; set; } = new AlgorithmSettings();
|
||||
|
||||
/// <summary>
|
||||
/// Gets the total number of data points emitted by this history provider
|
||||
/// </summary>
|
||||
public override int DataPointCount => _dataPointCount;
|
||||
|
||||
/// <summary>
|
||||
/// Enumerates the subscriptions into slices
|
||||
/// </summary>
|
||||
protected IEnumerable<Slice> CreateSliceEnumerableFromSubscriptions(List<Subscription> subscriptions, DateTimeZone sliceTimeZone)
|
||||
{
|
||||
// required by TimeSlice.Create, but we don't need it's behavior
|
||||
var frontier = DateTime.MinValue;
|
||||
// never changes, there's no selection during a history request
|
||||
var universeSelectionData = new Dictionary<Universe, BaseDataCollection>();
|
||||
var timeSliceFactory = new TimeSliceFactory(sliceTimeZone);
|
||||
while (true)
|
||||
{
|
||||
var earlyBirdTicks = long.MaxValue;
|
||||
var data = new List<DataFeedPacket>();
|
||||
foreach (var subscription in subscriptions.Where(subscription => !subscription.EndOfStream))
|
||||
{
|
||||
if (subscription.Current == null && !subscription.MoveNext())
|
||||
{
|
||||
// initial pump. We do it here and not when creating the subscriptions so
|
||||
// that parallel workers can all start as fast as possible
|
||||
continue;
|
||||
}
|
||||
|
||||
DataFeedPacket packet = null;
|
||||
while (subscription.Current.EmitTimeUtc <= frontier)
|
||||
{
|
||||
if (packet == null)
|
||||
{
|
||||
// for performance, lets be selfish about creating a new instance
|
||||
packet = new DataFeedPacket(subscription.Security, subscription.Configuration);
|
||||
|
||||
// only add if we have data
|
||||
data.Add(packet);
|
||||
}
|
||||
|
||||
packet.Add(subscription.Current.Data);
|
||||
Interlocked.Increment(ref _dataPointCount);
|
||||
if (!subscription.MoveNext())
|
||||
{
|
||||
break;
|
||||
}
|
||||
}
|
||||
// update our early bird ticks (next frontier time)
|
||||
if (subscription.Current != null)
|
||||
{
|
||||
// take the earliest between the next piece of data or the next tz discontinuity
|
||||
earlyBirdTicks = Math.Min(earlyBirdTicks, subscription.Current.EmitTimeUtc.Ticks);
|
||||
}
|
||||
}
|
||||
|
||||
if (data.Count != 0)
|
||||
{
|
||||
// reuse the slice construction code from TimeSlice.Create
|
||||
yield return timeSliceFactory.Create(frontier, data, SecurityChanges.None, universeSelectionData).Slice;
|
||||
}
|
||||
|
||||
// end of subscriptions, after we emit, else we might drop a data point
|
||||
if (earlyBirdTicks == long.MaxValue) break;
|
||||
|
||||
frontier = new DateTime(Math.Max(earlyBirdTicks, frontier.Ticks), DateTimeKind.Utc);
|
||||
}
|
||||
|
||||
// make sure we clean up after ourselves
|
||||
foreach (var subscription in subscriptions)
|
||||
{
|
||||
subscription.Dispose();
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Retrieves the appropriate <see cref="SecurityExchange"/> based on the data type and symbol.
|
||||
/// </summary>
|
||||
/// <param name="exchange">The default exchange instance.</param>
|
||||
/// <param name="dataType">The type of data being processed.</param>
|
||||
/// <param name="symbol">The security symbol.</param>
|
||||
/// <returns>The security exchange with appropriate market hours.</returns>
|
||||
protected static SecurityExchange GetSecurityExchange(SecurityExchange exchange, Type dataType, Symbol symbol)
|
||||
{
|
||||
if (dataType == typeof(OpenInterest))
|
||||
{
|
||||
// Retrieve the original market hours, which include holidays and closed days.
|
||||
var originalExchangeHours = MarketHours.GetExchangeHours(symbol.ID.Market, symbol, symbol.SecurityType);
|
||||
// Use the original market hours to prevent fill-forwarding on non-trading hours.
|
||||
return new SecurityExchange(originalExchangeHours);
|
||||
}
|
||||
return exchange;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Creates a subscription to process the history request
|
||||
/// </summary>
|
||||
protected Subscription CreateSubscription(HistoryRequest request, IEnumerable<BaseData> history)
|
||||
{
|
||||
var config = request.ToSubscriptionDataConfig();
|
||||
var security = new Security(
|
||||
request.ExchangeHours,
|
||||
config,
|
||||
new Cash(Currencies.NullCurrency, 0, 1m),
|
||||
SymbolProperties.GetDefault(Currencies.NullCurrency),
|
||||
ErrorCurrencyConverter.Instance,
|
||||
RegisteredSecurityDataTypesProvider.Null,
|
||||
new SecurityCache()
|
||||
);
|
||||
|
||||
var reader = history.GetEnumerator();
|
||||
|
||||
var useDailyStrictEndTimes = LeanData.UseDailyStrictEndTimes(AlgorithmSettings, request, config.Symbol, config.Increment);
|
||||
if (useDailyStrictEndTimes)
|
||||
{
|
||||
reader = new StrictDailyEndTimesEnumerator(reader, request.ExchangeHours, request.StartTimeLocal);
|
||||
}
|
||||
|
||||
// optionally apply fill forward behavior
|
||||
if (request.FillForwardResolution.HasValue)
|
||||
{
|
||||
// FillForwardEnumerator expects these values in local times
|
||||
var start = request.StartTimeUtc.ConvertFromUtc(request.ExchangeHours.TimeZone);
|
||||
var end = request.EndTimeUtc.ConvertFromUtc(request.ExchangeHours.TimeZone);
|
||||
|
||||
// copy forward Bid/Ask bars for QuoteBars
|
||||
if (request.DataType == typeof(QuoteBar))
|
||||
{
|
||||
reader = new QuoteBarFillForwardEnumerator(reader);
|
||||
}
|
||||
|
||||
var readOnlyRef = Ref.CreateReadOnly(() => request.FillForwardResolution.Value.ToTimeSpan());
|
||||
var exchange = GetSecurityExchange(security.Exchange, request.DataType, request.Symbol);
|
||||
reader = new FillForwardEnumerator(reader, exchange, readOnlyRef, request.IncludeExtendedMarketHours, start, end, config.Increment, config.DataTimeZone, useDailyStrictEndTimes, request.DataType);
|
||||
}
|
||||
|
||||
var subscriptionRequest = new SubscriptionRequest(false, null, security, config, request.StartTimeUtc, request.EndTimeUtc);
|
||||
|
||||
return SubscriptionUtils.Create(subscriptionRequest, reader, AlgorithmSettings.DailyPreciseEndTime);
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user