chore: import upstream snapshot with attribution
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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.Threading;
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using QuantConnect.Util;
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using QuantConnect.Packets;
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using QuantConnect.Algorithm;
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using QuantConnect.Interfaces;
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using QuantConnect.Scheduling;
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using QuantConnect.Securities;
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using System.Collections.Generic;
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using System.Collections.Concurrent;
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using QuantConnect.Lean.Engine.Results;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.AlgorithmFactory.Python.Wrappers;
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namespace QuantConnect.Lean.Engine.RealTime
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{
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/// <summary>
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/// Base class for the real time handler <see cref="LiveTradingRealTimeHandler"/>
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/// and <see cref="BacktestingRealTimeHandler"/> implementations
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/// </summary>
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public abstract class BaseRealTimeHandler : IRealTimeHandler
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{
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private int _scheduledEventUniqueId;
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// For performance only add OnEndOfDay Symbol scheduled events if the method is implemented.
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// When there are many securities it adds a significant overhead
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private bool _implementsOnEndOfDaySymbol;
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private bool _implementsOnEndOfDay;
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/// <summary>
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/// Keep track of this event so we can remove it when we need to update it
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/// </summary>
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private ScheduledEvent _algorithmOnEndOfDay;
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/// <summary>
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/// Keep a separate track of these scheduled events so we can remove them
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/// if the security gets removed
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/// </summary>
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private readonly ConcurrentDictionary<Symbol, ScheduledEvent> _securityOnEndOfDay = new();
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/// <summary>
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/// The result handler instance
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/// </summary>
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private IResultHandler ResultHandler { get; set; }
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/// <summary>
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/// Thread status flag.
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/// </summary>
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public abstract bool IsActive { get; protected set; }
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/// <summary>
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/// The scheduled events container
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/// </summary>
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/// <remarks>Initialize this immediately since the Initialize method gets
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/// called after IAlgorithm.Initialize, so we want to be ready to accept
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/// events as soon as possible</remarks>
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protected ConcurrentDictionary<ScheduledEvent, int> ScheduledEvents { get; } = new();
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/// <summary>
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/// The isolator limit result provider instance
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/// </summary>
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protected IIsolatorLimitResultProvider IsolatorLimitProvider { get; private set; }
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/// <summary>
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/// The algorithm instance
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/// </summary>
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protected IAlgorithm Algorithm { get; private set; }
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/// <summary>
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/// The time monitor instance to use
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/// </summary>
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protected TimeMonitor TimeMonitor { get; private set; }
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/// <summary>
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/// Adds the specified event to the schedule
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/// </summary>
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/// <param name="scheduledEvent">The event to be scheduled, including the date/times
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/// the event fires and the callback</param>
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public abstract void Add(ScheduledEvent scheduledEvent);
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/// <summary>
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/// Removes the specified event from the schedule
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/// </summary>
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/// <param name="scheduledEvent">The event to be removed</param>
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public abstract void Remove(ScheduledEvent scheduledEvent);
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/// <summary>
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/// Set the current time for the event scanner (so we can use same code for backtesting and live events)
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/// </summary>
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/// <param name="time">Current real or backtest time.</param>
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public abstract void SetTime(DateTime time);
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/// <summary>
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/// Scan for past events that didn't fire because there was no data at the scheduled time.
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/// </summary>
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/// <param name="time">Current time.</param>
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public abstract void ScanPastEvents(DateTime time);
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/// <summary>
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/// Initializes the real time handler for the specified algorithm and job.
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/// Adds EndOfDayEvents
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/// </summary>
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public virtual void Setup(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler, IApi api, IIsolatorLimitResultProvider isolatorLimitProvider)
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{
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Algorithm = algorithm;
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ResultHandler = resultHandler;
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TimeMonitor = new TimeMonitor(GetTimeMonitorTimeout());
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IsolatorLimitProvider = isolatorLimitProvider;
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if (job.Language == Language.CSharp)
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{
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var method = Algorithm.GetType().GetMethod("OnEndOfDay", new[] { typeof(Symbol) });
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var method2 = Algorithm.GetType().GetMethod("OnEndOfDay", new[] { typeof(string) });
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if (method != null && method.DeclaringType != typeof(QCAlgorithm)
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|| method2 != null && method2.DeclaringType != typeof(QCAlgorithm))
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{
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_implementsOnEndOfDaySymbol = true;
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}
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// Also determine if we are using the soon to be deprecated EOD so we don't use it
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// unnecessarily and post messages about its deprecation to the user
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var eodMethod = Algorithm.GetType().GetMethod("OnEndOfDay", Type.EmptyTypes);
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if (eodMethod != null && eodMethod.DeclaringType != typeof(QCAlgorithm))
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{
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_implementsOnEndOfDay = true;
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}
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}
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else if (job.Language == Language.Python)
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{
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var wrapper = Algorithm as AlgorithmPythonWrapper;
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if (wrapper != null)
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{
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_implementsOnEndOfDaySymbol = wrapper.IsOnEndOfDaySymbolImplemented;
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_implementsOnEndOfDay = wrapper.IsOnEndOfDayImplemented;
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}
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}
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else
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{
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throw new ArgumentException(nameof(job.Language));
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}
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// Here to maintain functionality until deprecation in August 2021
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AddAlgorithmEndOfDayEvent(start: algorithm.Time, end: algorithm.EndDate, currentUtcTime: algorithm.UtcTime);
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}
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/// <summary>
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/// Gets a new scheduled event unique id
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/// </summary>
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/// <remarks>This value is used to order scheduled events in a deterministic way</remarks>
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protected int GetScheduledEventUniqueId()
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{
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return Interlocked.Increment(ref _scheduledEventUniqueId);
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}
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/// <summary>
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/// Get's the timeout the scheduled task time monitor should use
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/// </summary>
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protected virtual int GetTimeMonitorTimeout()
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{
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return 100;
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}
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/// <summary>
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/// Creates a new <see cref="ScheduledEvent"/> that will fire before market close by the specified time
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/// </summary>
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/// <param name="start">The date to start the events</param>
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/// <param name="end">The date to end the events</param>
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/// <param name="currentUtcTime">Specifies the current time in UTC, before which,
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/// no events will be scheduled. Specify null to skip this filter.</param>
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[Obsolete("This method is deprecated. It will add ScheduledEvents for the deprecated IAlgorithm.OnEndOfDay()")]
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private void AddAlgorithmEndOfDayEvent(DateTime start, DateTime end, DateTime? currentUtcTime = null)
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{
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// If the algorithm didn't implement it no need to support it.
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if (!_implementsOnEndOfDay) { return; }
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if (_algorithmOnEndOfDay != null)
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{
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// if we already set it once we remove the previous and
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// add a new one, we don't want to keep both
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Remove(_algorithmOnEndOfDay);
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}
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// add end of day events for each tradeable day
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_algorithmOnEndOfDay = ScheduledEventFactory.EveryAlgorithmEndOfDay(
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Algorithm,
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ResultHandler,
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start,
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end,
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ScheduledEvent.AlgorithmEndOfDayDelta,
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currentUtcTime);
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Add(_algorithmOnEndOfDay);
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}
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/// <summary>
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/// Creates a new <see cref="ScheduledEvent"/> that will fire before market
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/// close by the specified time for each provided securities.
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/// </summary>
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/// <param name="securities">The securities for which we want to add the OnEndOfDay event</param>
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/// <param name="start">The date to start the events</param>
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/// <param name="end">The date to end the events</param>
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/// <param name="currentUtcTime">Specifies the current time in UTC, before which,
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/// no events will be scheduled. Specify null to skip this filter.</param>
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private void AddSecurityDependentEndOfDayEvents(
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IEnumerable<Security> securities,
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DateTime start,
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DateTime end,
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DateTime? currentUtcTime = null)
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{
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// add end of trading day events for each security
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foreach (var security in securities)
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{
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var scheduledEvent = ScheduledEventFactory.EverySecurityEndOfDay(
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Algorithm, ResultHandler, security, start, end, ScheduledEvent.SecurityEndOfDayDelta, currentUtcTime);
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// we keep separate track so we can remove it later
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_securityOnEndOfDay[security.Symbol] = scheduledEvent;
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// assumes security.Exchange has been updated with today's hours via RefreshMarketHoursToday
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Add(scheduledEvent);
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}
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}
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/// <summary>
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/// Event fired each time that we add/remove securities from the data feed
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/// </summary>
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public void OnSecuritiesChanged(SecurityChanges changes)
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{
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if (changes != SecurityChanges.None)
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{
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if (_implementsOnEndOfDaySymbol)
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{
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// we only add and remove on end of day for non internal securities
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changes = new SecurityChanges(changes) { FilterInternalSecurities = true };
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AddSecurityDependentEndOfDayEvents(changes.AddedSecurities,
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Algorithm.UtcTime,
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Algorithm.EndDate,
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Algorithm.UtcTime);
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foreach (var security in changes.RemovedSecurities)
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{
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ScheduledEvent scheduledEvent;
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if (_securityOnEndOfDay.TryRemove(security.Symbol, out scheduledEvent))
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{
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// we remove the schedule events of the securities that were removed
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Remove(scheduledEvent);
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}
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}
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}
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// we re add the algorithm end of day event because it depends on the securities
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// tradable dates
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// Here to maintain functionality until deprecation in August 2021
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AddAlgorithmEndOfDayEvent(Algorithm.UtcTime, Algorithm.EndDate, Algorithm.UtcTime);
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}
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}
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/// <summary>
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/// Stop the real time thread
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/// </summary>
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public virtual void Exit()
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{
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TimeMonitor.DisposeSafely();
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TimeMonitor = null;
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}
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}
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}
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