wehub-resource-sync
297 lines
12 KiB
C#
297 lines
12 KiB
C#
/*
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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.Data;
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using QuantConnect.Logging;
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using QuantConnect.Interfaces;
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using System.Collections.Generic;
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using System.Collections.Concurrent;
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namespace QuantConnect.Lean.Engine.DataFeeds
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{
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/// <summary>
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/// Provides a means of distributing output from enumerators from a dedicated separate thread
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/// </summary>
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public class BaseDataExchange
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{
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private Thread _thread;
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private uint _sleepInterval = 1;
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private Func<Exception, bool> _isFatalError;
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private readonly CancellationTokenSource _cancellationTokenSource;
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private readonly string _name;
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private ManualResetEventSlim _manualResetEventSlim;
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private ConcurrentDictionary<Symbol, EnumeratorHandler> _enumerators;
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/// <summary>
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/// Gets or sets how long this thread will sleep when no data is available
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/// </summary>
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public uint SleepInterval
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{
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get => _sleepInterval;
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set
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{
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if (value == 0)
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{
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throw new ArgumentException("Sleep interval should be bigger than 0");
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}
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_sleepInterval = value;
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}
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}
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/// <summary>
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/// Gets a name for this exchange
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/// </summary>
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public string Name
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{
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get { return _name; }
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="BaseDataExchange"/>
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/// </summary>
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/// <param name="name">A name for this exchange</param>
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public BaseDataExchange(string name)
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{
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_name = name;
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_isFatalError = x => false;
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_cancellationTokenSource = new CancellationTokenSource();
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_manualResetEventSlim = new ManualResetEventSlim(false);
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_enumerators = new ConcurrentDictionary<Symbol, EnumeratorHandler>();
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}
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/// <summary>
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/// Adds the enumerator to this exchange. If it has already been added
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/// then it will remain registered in the exchange only once
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/// </summary>
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/// <param name="handler">The handler to use when this symbol's data is encountered</param>
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public void AddEnumerator(EnumeratorHandler handler)
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{
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_enumerators[handler.Symbol] = handler;
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_manualResetEventSlim.Set();
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}
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/// <summary>
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/// Adds the enumerator to this exchange. If it has already been added
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/// then it will remain registered in the exchange only once
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/// </summary>
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/// <param name="symbol">A unique symbol used to identify this enumerator</param>
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/// <param name="enumerator">The enumerator to be added</param>
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/// <param name="shouldMoveNext">Function used to determine if move next should be called on this
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/// enumerator, defaults to always returning true</param>
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/// <param name="enumeratorFinished">Delegate called when the enumerator move next returns false</param>
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/// <param name="handleData">Handler for data if HandlesData=true</param>
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public void AddEnumerator(Symbol symbol, IEnumerator<BaseData> enumerator, Func<bool> shouldMoveNext = null, Action<EnumeratorHandler> enumeratorFinished = null, Action<BaseData> handleData = null)
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{
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var enumeratorHandler = new EnumeratorHandler(symbol, enumerator, shouldMoveNext, handleData);
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if (enumeratorFinished != null)
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{
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enumeratorHandler.EnumeratorFinished += (sender, args) => enumeratorFinished(args);
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}
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AddEnumerator(enumeratorHandler);
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}
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/// <summary>
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/// Sets the specified function as the error handler. This function
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/// returns true if it is a fatal error and queue consumption should
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/// cease.
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/// </summary>
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/// <param name="isFatalError">The error handling function to use when an
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/// error is encountered during queue consumption. Returns true if queue
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/// consumption should be stopped, returns false if queue consumption should
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/// continue</param>
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public void SetErrorHandler(Func<Exception, bool> isFatalError)
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{
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// default to false;
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_isFatalError = isFatalError ?? (x => false);
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}
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/// <summary>
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/// Removes and returns enumerator handler with the specified symbol.
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/// The removed handler is returned, null if not found
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/// </summary>
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public EnumeratorHandler RemoveEnumerator(Symbol symbol)
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{
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EnumeratorHandler handler;
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if (_enumerators.TryRemove(symbol, out handler))
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{
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handler.OnEnumeratorFinished();
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handler.Enumerator.Dispose();
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}
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return handler;
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}
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/// <summary>
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/// Begins consumption of the wrapped <see cref="IDataQueueHandler"/> on
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/// a separate thread
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/// </summary>
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public void Start()
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{
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var manualEvent = new ManualResetEventSlim(false);
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_thread = new Thread(() =>
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{
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manualEvent.Set();
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Log.Trace($"BaseDataExchange({Name}) Starting...");
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ConsumeEnumerators();
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}) { IsBackground = true, Name = Name };
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_thread.Start();
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manualEvent.Wait();
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manualEvent.DisposeSafely();
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}
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/// <summary>
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/// Ends consumption of the wrapped <see cref="IDataQueueHandler"/>
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/// </summary>
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public void Stop()
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{
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_thread.StopSafely(TimeSpan.FromSeconds(5), _cancellationTokenSource);
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}
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/// <summary> Entry point for queue consumption </summary>
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/// <remarks> This function only returns after <see cref="Stop"/> is called or the token is cancelled</remarks>
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private void ConsumeEnumerators()
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{
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while (!_cancellationTokenSource.Token.IsCancellationRequested)
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{
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try
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{
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// call move next each enumerator and invoke the appropriate handlers
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_manualResetEventSlim.Reset();
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var handled = false;
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foreach (var kvp in _enumerators)
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{
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if (_cancellationTokenSource.Token.IsCancellationRequested)
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{
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Log.Trace($"BaseDataExchange({Name}).ConsumeQueue(): Exiting...");
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return;
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}
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var enumeratorHandler = kvp.Value;
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var enumerator = enumeratorHandler.Enumerator;
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// check to see if we should advance this enumerator
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if (!enumeratorHandler.ShouldMoveNext()) continue;
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if (!enumerator.MoveNext())
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{
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enumeratorHandler.OnEnumeratorFinished();
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enumeratorHandler.Enumerator.Dispose();
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_enumerators.TryRemove(enumeratorHandler.Symbol, out enumeratorHandler);
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continue;
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}
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if (enumerator.Current == null) continue;
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handled = true;
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enumeratorHandler.HandleData(enumerator.Current);
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}
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if (!handled)
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{
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// if we didn't handle anything on this past iteration, take a nap
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// wait until we timeout, we are cancelled or there is a new enumerator added
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_manualResetEventSlim.Wait(Time.GetSecondUnevenWait((int)_sleepInterval), _cancellationTokenSource.Token);
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}
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}
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catch (OperationCanceledException)
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{
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// thrown by the event watcher
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}
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catch (Exception err)
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{
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Log.Error(err);
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if (_isFatalError(err))
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{
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Log.Trace($"BaseDataExchange({Name}).ConsumeQueue(): Fatal error encountered. Exiting...");
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return;
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}
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}
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}
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Log.Trace($"BaseDataExchange({Name}).ConsumeQueue(): Exiting...");
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}
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/// <summary>
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/// Handler used to manage a single enumerator's move next/end of stream behavior
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/// </summary>
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public class EnumeratorHandler
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{
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private readonly Func<bool> _shouldMoveNext;
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private readonly Action<BaseData> _handleData;
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/// <summary>
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/// Event fired when MoveNext returns false
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/// </summary>
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public event EventHandler<EnumeratorHandler> EnumeratorFinished;
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/// <summary>
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/// A unique symbol used to identify this enumerator
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/// </summary>
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public Symbol Symbol { get; init; }
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/// <summary>
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/// The enumerator this handler handles
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/// </summary>
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public IEnumerator<BaseData> Enumerator { get; init; }
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/// <summary>
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/// Initializes a new instance of the <see cref="EnumeratorHandler"/> class
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/// </summary>
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/// <param name="symbol">The symbol to identify this enumerator</param>
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/// <param name="enumerator">The enumeator this handler handles</param>
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/// <param name="shouldMoveNext">Predicate function used to determine if we should call move next
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/// on the symbol's enumerator</param>
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/// <param name="handleData">Handler for data if HandlesData=true</param>
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public EnumeratorHandler(Symbol symbol, IEnumerator<BaseData> enumerator, Func<bool> shouldMoveNext = null, Action<BaseData> handleData = null)
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{
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Symbol = symbol;
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Enumerator = enumerator;
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_handleData = handleData;
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_shouldMoveNext = shouldMoveNext ?? (() => true);
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}
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/// <summary>
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/// Event invocator for the <see cref="EnumeratorFinished"/> event
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/// </summary>
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public void OnEnumeratorFinished()
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{
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EnumeratorFinished?.Invoke(this, this);
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}
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/// <summary>
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/// Returns true if this enumerator should move next
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/// </summary>
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public bool ShouldMoveNext()
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{
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return _shouldMoveNext();
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}
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/// <summary>
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/// Handles the specified data.
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/// </summary>
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/// <param name="data">The data to be handled</param>
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public void HandleData(BaseData data)
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{
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_handleData?.Invoke(data);
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}
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}
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}
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}
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