wehub-resource-sync
99 lines
4.1 KiB
C#
99 lines
4.1 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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namespace QuantConnect.Lean.Engine.DataFeeds
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{
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/// <summary>
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/// A time provider which updates 'now' time based on the current data emit time of all subscriptions
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/// </summary>
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/// <remarks>This class is not thread safe but there is no need for it to be since it's only consumed by the
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/// <see cref="SubscriptionSynchronizer"/></remarks>
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public class SubscriptionFrontierTimeProvider : ITimeProvider
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{
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private static readonly long MaxDateTimeTicks = DateTime.MaxValue.Ticks;
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private DateTime _utcNow;
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private readonly IDataFeedSubscriptionManager _subscriptionManager;
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/// <summary>
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/// Creates a new instance of the SubscriptionFrontierTimeProvider
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/// </summary>
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/// <param name="utcNow">Initial UTC now time</param>
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/// <param name="subscriptionManager">Subscription manager. Will be used to obtain current subscriptions</param>
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public SubscriptionFrontierTimeProvider(DateTime utcNow, IDataFeedSubscriptionManager subscriptionManager)
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{
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_utcNow = utcNow;
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_subscriptionManager = subscriptionManager;
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}
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/// <summary>
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/// Gets the current time in UTC
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/// </summary>
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/// <returns>The current time in UTC</returns>
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public DateTime GetUtcNow()
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{
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UpdateCurrentTime();
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return _utcNow;
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}
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/// <summary>
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/// Sets the current time calculated as the minimum current data emit time of all the subscriptions.
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/// If there are no subscriptions current time will remain unchanged
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/// </summary>
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private void UpdateCurrentTime()
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{
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long earlyBirdTicks = MaxDateTimeTicks;
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foreach (var subscription in _subscriptionManager.DataFeedSubscriptions)
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{
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// this if should just be 'subscription.Current == null' but its affected by GH issue 3914
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if (// this is a data subscription we just added
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// lets move it next to find the initial emit time
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subscription.Current == null
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&& !subscription.IsUniverseSelectionSubscription
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&& subscription.UtcStartTime == _utcNow
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||
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// UserDefinedUniverse, through the AddData calls
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// will add new universe selection data points when is has too
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// so lets move it next to check if there is any
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subscription.Current == null
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&& subscription.IsUniverseSelectionSubscription)
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{
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subscription.MoveNext();
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}
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if (subscription.Current != null)
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{
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if (earlyBirdTicks == MaxDateTimeTicks)
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{
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earlyBirdTicks = subscription.Current.EmitTimeUtc.Ticks;
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}
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else
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{
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// take the earliest between the next piece of data or the current earliest bird
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earlyBirdTicks = Math.Min(earlyBirdTicks, subscription.Current.EmitTimeUtc.Ticks);
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}
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}
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}
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if (earlyBirdTicks != MaxDateTimeTicks)
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{
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_utcNow = new DateTime(Math.Max(earlyBirdTicks, _utcNow.Ticks), DateTimeKind.Utc);
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}
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}
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}
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}
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