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.Linq;
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using System.Threading;
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using QuantConnect.Util;
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using QuantConnect.Logging;
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using QuantConnect.Packets;
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using QuantConnect.Interfaces;
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using QuantConnect.Scheduling;
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using QuantConnect.Securities;
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using QuantConnect.Lean.Engine.Results;
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namespace QuantConnect.Lean.Engine.RealTime
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{
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/// <summary>
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/// Live trading realtime event processing.
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/// </summary>
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public class LiveTradingRealTimeHandler : BacktestingRealTimeHandler
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{
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private Thread _realTimeThread;
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private CancellationTokenSource _cancellationTokenSource = new();
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/// <summary>
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/// Gets the current market hours database instance
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/// </summary>
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protected MarketHoursDatabase MarketHoursDatabase { get; set; } = MarketHoursDatabase.FromDataFolder();
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/// <summary>
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/// Gets the current symbol properties database instance
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/// </summary>
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protected SymbolPropertiesDatabase SymbolPropertiesDatabase { get; set; } = SymbolPropertiesDatabase.FromDataFolder();
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/// <summary>
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/// Gets the time provider
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/// </summary>
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/// <remarks>
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/// This should be fixed to RealTimeHandler, but made a protected property for testing purposes
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/// </remarks>
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protected virtual ITimeProvider TimeProvider { get; } = RealTimeProvider.Instance;
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/// <summary>
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/// Boolean flag indicating thread state.
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/// </summary>
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public override bool IsActive { get; protected set; }
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/// <summary>
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/// Initializes the real time handler for the specified algorithm and job
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/// </summary>
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public override void Setup(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler, IApi api, IIsolatorLimitResultProvider isolatorLimitProvider)
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{
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base.Setup(algorithm, job, resultHandler, api, isolatorLimitProvider);
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var utcNow = TimeProvider.GetUtcNow();
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var todayInAlgorithmTimeZone = utcNow.ConvertFromUtc(Algorithm.TimeZone).Date;
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// set up an scheduled event to refresh market hours and symbol properties every certain period of time
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var times = Time.DateTimeRange(utcNow.Date, Time.EndOfTime, Algorithm.Settings.DatabasesRefreshPeriod).Where(date => date > utcNow);
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Add(new ScheduledEvent("RefreshMarketHoursAndSymbolProperties", times, (name, triggerTime) =>
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{
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ResetMarketHoursDatabase();
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ResetSymbolPropertiesDatabase();
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}));
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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 override int GetTimeMonitorTimeout()
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{
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return 500;
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}
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/// <summary>
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/// Execute the live realtime event thread montioring.
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/// It scans every second monitoring for an event trigger.
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/// </summary>
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private void Run()
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{
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IsActive = true;
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// continue thread until cancellation is requested
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while (!_cancellationTokenSource.IsCancellationRequested)
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{
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var time = TimeProvider.GetUtcNow();
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WaitTillNextSecond(time);
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// poke each event to see if it should fire, we order by unique id to be deterministic
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foreach (var kvp in ScheduledEvents.OrderBySafe(pair => pair.Value))
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{
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var scheduledEvent = kvp.Key;
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try
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{
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IsolatorLimitProvider.Consume(scheduledEvent, time, TimeMonitor);
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}
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catch (Exception exception)
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{
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Algorithm.SetRuntimeError(exception, $"Scheduled event: '{scheduledEvent.Name}' at {time}");
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}
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}
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}
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IsActive = false;
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Log.Trace("LiveTradingRealTimeHandler.Run(): Exiting thread... Exit triggered: " + _cancellationTokenSource.IsCancellationRequested);
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}
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/// <summary>
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/// Set the current time. If the date changes re-start the realtime event setup routines.
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/// </summary>
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/// <param name="time"></param>
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public override void SetTime(DateTime time)
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{
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if (Algorithm.IsWarmingUp)
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{
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base.SetTime(time);
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}
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else if (_realTimeThread == null)
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{
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// in live mode we use current time for our time keeping
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// this method is used by backtesting to set time based on the data
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_realTimeThread = new Thread(Run) { IsBackground = true, Name = "RealTime Thread" };
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_realTimeThread.Start(); // RealTime scan time for time based events
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}
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}
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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 override void ScanPastEvents(DateTime time)
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{
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if (Algorithm.IsWarmingUp)
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{
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base.ScanPastEvents(time);
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}
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// in live mode we use current time for our time keeping
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// this method is used by backtesting to scan for past events based on the data
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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 override void Exit()
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{
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_realTimeThread.StopSafely(TimeSpan.FromMinutes(1), _cancellationTokenSource);
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_cancellationTokenSource.DisposeSafely();
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base.Exit();
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}
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/// <summary>
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/// Helper method to wait until the second passes, useful to testing
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/// </summary>
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protected virtual void WaitTillNextSecond(DateTime time)
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{
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// pause until the next second
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var nextSecond = time.RoundUp(TimeSpan.FromSeconds(1));
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var delay = Convert.ToInt32((nextSecond - time).TotalMilliseconds);
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Thread.Sleep(delay < 0 ? 1 : delay);
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}
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/// <summary>
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/// Resets the market hours database, forcing a reload when reused.
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/// Called in tests where multiple algorithms are run sequentially,
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/// and we need to guarantee that every test starts with the same environment.
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/// </summary>
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protected virtual void ResetMarketHoursDatabase()
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{
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MarketHoursDatabase.UpdateDataFolderDatabase();
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Log.Trace("LiveTradingRealTimeHandler.ResetMarketHoursDatabase(): Updated market hours database.");
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}
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/// <summary>
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/// Resets the symbol properties database, forcing a reload when reused.
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/// </summary>
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protected virtual void ResetSymbolPropertiesDatabase()
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{
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SymbolPropertiesDatabase.UpdateDataFolderDatabase();
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Log.Trace("LiveTradingRealTimeHandler.ResetSymbolPropertiesDatabase(): Updated symbol properties database.");
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}
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}
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}
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