wehub-resource-sync
234 lines
10 KiB
C#
234 lines
10 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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using System;
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using System.Linq;
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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 QuantConnect.Data.Fundamental;
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using QuantConnect.Data.UniverseSelection;
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namespace QuantConnect.Lean.Engine.DataFeeds
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{
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/// <summary>
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/// Provides an implementations of <see cref="ISubscriptionDataSourceReader"/> that uses the
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/// <see cref="BaseData.Reader(SubscriptionDataConfig,string,DateTime,bool)"/>
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/// method to read lines of text from a <see cref="SubscriptionDataSource"/>
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/// </summary>
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public class TextSubscriptionDataSourceReader : BaseSubscriptionDataSourceReader
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{
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private readonly bool _implementsStreamReader;
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private readonly DateTime _date;
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private BaseData _factory;
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private bool _shouldCacheDataPoints;
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private static int CacheSize = 100;
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private static volatile Dictionary<string, List<BaseData>> BaseDataSourceCache = new Dictionary<string, List<BaseData>>(100);
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private static Queue<string> CacheKeys = new Queue<string>(100);
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/// <summary>
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/// The requested subscription configuration
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/// </summary>
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protected SubscriptionDataConfig Config { get; set; }
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/// <summary>
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/// Event fired when an exception is thrown during a call to
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/// <see cref="BaseData.Reader(SubscriptionDataConfig,string,DateTime,bool)"/>
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/// </summary>
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public event EventHandler<ReaderErrorEventArgs> ReaderError;
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/// <summary>
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/// Initializes a new instance of the <see cref="TextSubscriptionDataSourceReader"/> class
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/// </summary>
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/// <param name="dataCacheProvider">This provider caches files if needed</param>
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/// <param name="config">The subscription's configuration</param>
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/// <param name="date">The date this factory was produced to read data for</param>
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/// <param name="isLiveMode">True if we're in live mode, false for backtesting</param>
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/// <param name="objectStore">The object storage for data persistence.</param>
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public TextSubscriptionDataSourceReader(IDataCacheProvider dataCacheProvider, SubscriptionDataConfig config, DateTime date, bool isLiveMode,
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IObjectStore objectStore)
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: base(dataCacheProvider, isLiveMode, objectStore)
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{
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_date = date;
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Config = config;
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_shouldCacheDataPoints = !Config.IsCustomData && Config.Resolution >= Resolution.Hour
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&& Config.Type != typeof(FineFundamental) && Config.Type != typeof(CoarseFundamental) && Config.Type != typeof(Fundamental)
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// don't cache universe data, doesn't make much sense and we don't want to change the symbol of the clone
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&& !Config.Type.IsAssignableTo(typeof(BaseDataCollection))
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&& !DataCacheProvider.IsDataEphemeral;
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_implementsStreamReader = Config.Type.ImplementsStreamReader();
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}
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/// <summary>
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/// Reads the specified <paramref name="source"/>
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/// </summary>
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/// <param name="source">The source to be read</param>
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/// <returns>An <see cref="IEnumerable{BaseData}"/> that contains the data in the source</returns>
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public override IEnumerable<BaseData> Read(SubscriptionDataSource source)
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{
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List<BaseData> cache = null;
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_shouldCacheDataPoints = _shouldCacheDataPoints &&
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// only cache local files
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source.TransportMedium == SubscriptionTransportMedium.LocalFile;
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string cacheKey = null;
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if (_shouldCacheDataPoints)
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{
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cacheKey = source.Source + Config.Type;
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BaseDataSourceCache.TryGetValue(cacheKey, out cache);
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}
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if (cache == null)
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{
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cache = _shouldCacheDataPoints ? new List<BaseData>(30000) : null;
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using (var reader = CreateStreamReader(source))
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{
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if (reader == null)
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{
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// if the reader doesn't have data then we're done with this subscription
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yield break;
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}
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if (_factory == null)
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{
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// only create a factory if the stream isn't null
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_factory = Config.GetBaseDataInstance();
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}
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// while the reader has data
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while (!reader.EndOfStream)
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{
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BaseData instance = null;
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string line = null;
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try
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{
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if (reader.StreamReader != null && _implementsStreamReader)
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{
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instance = _factory.Reader(Config, reader.StreamReader, _date, IsLiveMode);
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}
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else
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{
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// read a line and pass it to the base data factory
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line = reader.ReadLine();
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instance = _factory.Reader(Config, line, _date, IsLiveMode);
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}
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}
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catch (Exception err)
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{
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OnReaderError(line ?? "StreamReader", err);
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}
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if (instance != null && instance.EndTime != default)
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{
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if (_shouldCacheDataPoints)
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{
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cache.Add(instance);
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}
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else
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{
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yield return instance;
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}
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}
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else if (reader.ShouldBeRateLimited)
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{
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yield return instance;
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}
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}
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}
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if (!_shouldCacheDataPoints)
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{
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yield break;
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}
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lock (CacheKeys)
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{
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CacheKeys.Enqueue(cacheKey);
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// we create a new dictionary, so we don't have to take locks when reading, and add our new item
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var newCache = new Dictionary<string, List<BaseData>>(BaseDataSourceCache) { [cacheKey] = cache };
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if (BaseDataSourceCache.Count > CacheSize)
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{
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var removeCount = 0;
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// we remove a portion of the first in entries
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while (++removeCount < (CacheSize / 4))
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{
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newCache.Remove(CacheKeys.Dequeue());
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}
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// update the cache instance
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BaseDataSourceCache = newCache;
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}
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else
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{
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// update the cache instance
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BaseDataSourceCache = newCache;
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}
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}
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}
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if (cache == null)
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{
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throw new InvalidOperationException($"Cache should not be null. Key: {cacheKey}");
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}
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// Find the first data point 10 days (just in case) before the desired date
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// and subtract one item (just in case there was a time gap and data.Time is after _date)
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var frontier = _date.AddDays(-10);
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var index = cache.FindIndex(data => data.Time > frontier);
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index = index > 0 ? (index - 1) : 0;
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foreach (var data in cache.Skip(index))
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{
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var clone = data.Clone();
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clone.Symbol = Config.Symbol;
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yield return clone;
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}
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}
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/// <summary>
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/// Event invocator for the <see cref="ReaderError"/> event
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/// </summary>
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/// <param name="line">The line that caused the exception</param>
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/// <param name="exception">The exception that was caught</param>
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private void OnReaderError(string line, Exception exception)
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{
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var handler = ReaderError;
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if (handler != null) handler(this, new ReaderErrorEventArgs(line, exception));
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}
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/// <summary>
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/// Set the cache size to use
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/// </summary>
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/// <remarks>How to size this cache: Take worst case scenario, BTCUSD hour, 60k QuoteBar entries, which are roughly 200 bytes in size -> 11 MB * CacheSize</remarks>
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public static void SetCacheSize(int megaBytesToUse)
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{
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if (megaBytesToUse != 0)
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{
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// we take worst case scenario, each entry is 12 MB
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CacheSize = megaBytesToUse / 12;
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Log.Trace($"TextSubscriptionDataSourceReader.SetCacheSize(): Setting cache size to {CacheSize} items");
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}
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}
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/// <summary>
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/// Will clear the data cache.
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/// Used for testing different time zones for the same data set and allow a clean fresh start for each backtest
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/// </summary>
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public static void ClearCache()
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{
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BaseDataSourceCache = new();
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}
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}
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}
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