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 System.ComponentModel.Composition;
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using QuantConnect.Configuration;
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using QuantConnect.Data;
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using QuantConnect.Data.Auxiliary;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Interfaces;
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using QuantConnect.Lean.Engine.DataFeeds;
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using QuantConnect.Lean.Engine.RealTime;
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using QuantConnect.Lean.Engine.Results;
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using QuantConnect.Lean.Engine.Setup;
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using QuantConnect.Lean.Engine.TransactionHandlers;
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using QuantConnect.Logging;
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using QuantConnect.Util;
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namespace QuantConnect.Lean.Engine
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{
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/// <summary>
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/// Provides a container for the algorithm specific handlers
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/// </summary>
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public class LeanEngineAlgorithmHandlers : IDisposable
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{
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private static IFactorFileProvider _factorFileProvider;
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private static IMapFileProvider _mapfileProvider;
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private static IDataProvider _dataProvider;
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private bool _dataMonitorWired;
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/// <summary>
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/// Gets the result handler used to communicate results from the algorithm
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/// </summary>
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public IResultHandler Results { get; }
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/// <summary>
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/// Gets the setup handler used to initialize the algorithm state
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/// </summary>
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public ISetupHandler Setup { get; }
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/// <summary>
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/// Gets the data feed handler used to provide data to the algorithm
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/// </summary>
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public IDataFeed DataFeed { get; }
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/// <summary>
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/// Gets the transaction handler used to process orders from the algorithm
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/// </summary>
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public ITransactionHandler Transactions { get; }
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/// <summary>
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/// Gets the real time handler used to process real time events
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/// </summary>
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public IRealTimeHandler RealTime { get; }
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/// <summary>
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/// Gets the map file provider used as a map file source for the data feed
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/// </summary>
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public IMapFileProvider MapFileProvider { get; }
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/// <summary>
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/// Gets the map file provider used as a map file source for the data feed
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/// </summary>
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public IFactorFileProvider FactorFileProvider { get; }
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/// <summary>
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/// Gets the data file provider used to retrieve security data if it is not on the file system
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/// </summary>
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public IDataProvider DataProvider { get; }
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/// <summary>
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/// Gets the data file provider used to retrieve security data if it is not on the file system
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/// </summary>
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public IDataCacheProvider DataCacheProvider { get; }
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/// <summary>
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/// Gets the object store used for persistence
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/// </summary>
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public IObjectStore ObjectStore { get; }
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/// <summary>
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/// Entity in charge of handling data permissions
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/// </summary>
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public IDataPermissionManager DataPermissionsManager { get; }
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/// <summary>
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/// Monitors data requests and reports on missing data
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/// </summary>
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public IDataMonitor DataMonitor { get; }
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/// <summary>
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/// Initializes a new instance of the <see cref="LeanEngineAlgorithmHandlers"/> class from the specified handlers
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/// </summary>
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/// <param name="results">The result handler for communicating results from the algorithm</param>
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/// <param name="setup">The setup handler used to initialize algorithm state</param>
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/// <param name="dataFeed">The data feed handler used to pump data to the algorithm</param>
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/// <param name="transactions">The transaction handler used to process orders from the algorithm</param>
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/// <param name="realTime">The real time handler used to process real time events</param>
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/// <param name="mapFileProvider">The map file provider used to retrieve map files for the data feed</param>
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/// <param name="factorFileProvider">Map file provider used as a map file source for the data feed</param>
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/// <param name="dataProvider">file provider used to retrieve security data if it is not on the file system</param>
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/// <param name="objectStore">The object store used for persistence</param>
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/// <param name="dataPermissionsManager">The data permission manager to use</param>
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/// <param name="liveMode">True for live mode, false otherwise</param>
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/// <param name="researchMode">True for research mode, false otherwise. This has less priority than liveMode</param>
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/// <param name="dataMonitor">Optionally the data monitor instance to use</param>
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public LeanEngineAlgorithmHandlers(IResultHandler results,
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ISetupHandler setup,
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IDataFeed dataFeed,
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ITransactionHandler transactions,
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IRealTimeHandler realTime,
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IMapFileProvider mapFileProvider,
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IFactorFileProvider factorFileProvider,
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IDataProvider dataProvider,
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IObjectStore objectStore,
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IDataPermissionManager dataPermissionsManager,
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bool liveMode,
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bool researchMode = false,
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IDataMonitor dataMonitor = null
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)
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{
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if (results == null)
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{
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throw new ArgumentNullException(nameof(results));
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}
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if (setup == null)
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{
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throw new ArgumentNullException(nameof(setup));
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}
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if (dataFeed == null)
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{
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throw new ArgumentNullException(nameof(dataFeed));
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}
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if (transactions == null)
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{
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throw new ArgumentNullException(nameof(transactions));
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}
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if (realTime == null)
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{
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throw new ArgumentNullException(nameof(realTime));
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}
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if (mapFileProvider == null)
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{
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throw new ArgumentNullException(nameof(mapFileProvider));
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}
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if (factorFileProvider == null)
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{
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throw new ArgumentNullException(nameof(factorFileProvider));
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}
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if (dataProvider == null)
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{
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throw new ArgumentNullException(nameof(dataProvider));
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}
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if (objectStore == null)
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{
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throw new ArgumentNullException(nameof(objectStore));
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}
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if (dataPermissionsManager == null)
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{
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throw new ArgumentNullException(nameof(dataPermissionsManager));
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}
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Results = results;
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Setup = setup;
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DataFeed = dataFeed;
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Transactions = transactions;
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RealTime = realTime;
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MapFileProvider = mapFileProvider;
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FactorFileProvider = factorFileProvider;
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DataProvider = dataProvider;
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ObjectStore = objectStore;
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DataPermissionsManager = dataPermissionsManager;
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DataCacheProvider = new ZipDataCacheProvider(DataProvider, isDataEphemeral: liveMode);
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DataMonitor = dataMonitor ?? new DataMonitor();
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if (!liveMode && !researchMode)
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{
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_dataMonitorWired = true;
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DataProvider.NewDataRequest += DataMonitor.OnNewDataRequest;
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}
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}
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/// <summary>
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/// Creates and initializes the auxiliary data providers from configuration
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/// </summary>
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public static (IMapFileProvider, IFactorFileProvider, IDataProvider) InitializeAuxiliaryDataProviders(bool setGlobals = false)
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{
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if (_mapfileProvider != null)
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{
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Log.Trace("LeanEngineAlgorithmHandlers.InitializeAuxiliaryDataProviders(): reusing existing instances");
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return (_mapfileProvider, _factorFileProvider, _dataProvider);
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}
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var mapFileProviderTypeName = Config.Get("map-file-provider", "LocalDiskMapFileProvider");
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var factorFileProviderTypeName = Config.Get("factor-file-provider", "LocalDiskFactorFileProvider");
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var dataProviderTypeName = Config.Get("data-provider", "DefaultDataProvider");
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var mapFileProvider = Composer.Instance.GetExportedValueByTypeName<IMapFileProvider>(mapFileProviderTypeName);
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var factorFileProvider = Composer.Instance.GetExportedValueByTypeName<IFactorFileProvider>(factorFileProviderTypeName);
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var dataProvider = Composer.Instance.GetExportedValueByTypeName<IDataProvider>(dataProviderTypeName);
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factorFileProvider.Initialize(mapFileProvider, dataProvider);
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mapFileProvider.Initialize(dataProvider);
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if (setGlobals)
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{
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_mapfileProvider = mapFileProvider;
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_factorFileProvider = factorFileProvider;
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_dataProvider = dataProvider;
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}
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return (mapFileProvider, factorFileProvider, dataProvider);
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}
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/// <summary>
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/// Creates a new instance of the <see cref="LeanEngineAlgorithmHandlers"/> class from the specified composer using type names from configuration
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/// </summary>
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/// <param name="composer">The composer instance to obtain implementations from</param>
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/// <param name="researchMode">True for research mode, false otherwise</param>
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/// <returns>A fully hydrates <see cref="LeanEngineSystemHandlers"/> instance.</returns>
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/// <exception cref="CompositionException">Throws a CompositionException during failure to load</exception>
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public static LeanEngineAlgorithmHandlers FromConfiguration(Composer composer, bool researchMode = false)
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{
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var (mapFileProvider, factorFileProvider, dataProvider) = InitializeAuxiliaryDataProviders();
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var setupHandlerTypeName = Config.Get("setup-handler", "ConsoleSetupHandler");
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var transactionHandlerTypeName = Config.Get("transaction-handler", "BacktestingTransactionHandler");
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var realTimeHandlerTypeName = Config.Get("real-time-handler", "BacktestingRealTimeHandler");
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var dataFeedHandlerTypeName = Config.Get("data-feed-handler", "FileSystemDataFeed");
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var resultHandlerTypeName = Config.Get("result-handler", "BacktestingResultHandler");
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var objectStoreTypeName = Config.Get("object-store", "LocalObjectStore");
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var dataPermissionManager = Config.Get("data-permission-manager", "DataPermissionManager");
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var dataMonitor = Config.Get("data-monitor", "QuantConnect.Data.DataMonitor");
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var result = new LeanEngineAlgorithmHandlers(
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composer.GetExportedValueByTypeName<IResultHandler>(resultHandlerTypeName),
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composer.GetExportedValueByTypeName<ISetupHandler>(setupHandlerTypeName),
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composer.GetExportedValueByTypeName<IDataFeed>(dataFeedHandlerTypeName),
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composer.GetExportedValueByTypeName<ITransactionHandler>(transactionHandlerTypeName),
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composer.GetExportedValueByTypeName<IRealTimeHandler>(realTimeHandlerTypeName),
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mapFileProvider,
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factorFileProvider,
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dataProvider,
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composer.GetExportedValueByTypeName<IObjectStore>(objectStoreTypeName),
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composer.GetExportedValueByTypeName<IDataPermissionManager>(dataPermissionManager),
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Globals.LiveMode,
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researchMode,
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composer.GetExportedValueByTypeName<IDataMonitor>(dataMonitor)
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);
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result.FactorFileProvider.Initialize(result.MapFileProvider, result.DataProvider);
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result.MapFileProvider.Initialize(result.DataProvider);
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if (result.DataProvider is ApiDataProvider
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&& (result.FactorFileProvider is not LocalZipFactorFileProvider || result.MapFileProvider is not LocalZipMapFileProvider))
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{
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throw new ArgumentException($"The {typeof(ApiDataProvider)} can only be used with {typeof(LocalZipFactorFileProvider)}" +
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$" and {typeof(LocalZipMapFileProvider)}, please update 'config.json'");
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}
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FundamentalService.Initialize(result.DataProvider, Globals.LiveMode);
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return result;
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}
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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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/// <filterpriority>2</filterpriority>
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public void Dispose()
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{
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Log.Trace("LeanEngineAlgorithmHandlers.Dispose(): start...");
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DataCacheProvider.DisposeSafely();
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Setup.DisposeSafely();
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ObjectStore.DisposeSafely();
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if (_dataMonitorWired)
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{
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DataProvider.NewDataRequest -= DataMonitor.OnNewDataRequest;
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}
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DataMonitor.DisposeSafely();
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Log.Trace("LeanEngineAlgorithmHandlers.Dispose(): Disposed of algorithm handlers.");
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}
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}
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}
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