wehub-resource-sync
293 lines
12 KiB
C#
293 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 NodaTime;
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using Python.Runtime;
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using QuantConnect.Logging;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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using System.Collections.Generic;
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namespace QuantConnect.Scheduling
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{
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/// <summary>
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/// Provides access to the real time handler's event scheduling feature
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/// </summary>
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public class ScheduleManager : IEventSchedule
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{
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private IEventSchedule _eventSchedule;
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private readonly SecurityManager _securities;
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private readonly object _eventScheduleLock = new object();
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private readonly List<ScheduledEvent> _preInitializedEvents;
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/// <summary>
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/// Gets the date rules helper object to make specifying dates for events easier
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/// </summary>
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public DateRules DateRules { get; }
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/// <summary>
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/// Gets the time rules helper object to make specifying times for events easier
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/// </summary>
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public TimeRules TimeRules { get; }
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/// <summary>
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/// Initializes a new instance of the <see cref="ScheduleManager"/> class
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="securities">Securities manager containing the algorithm's securities</param>
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/// <param name="timeZone">The algorithm's time zone</param>
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/// <param name="marketHoursDatabase">The market hours database instance to use</param>
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public ScheduleManager(IAlgorithm algorithm, SecurityManager securities, DateTimeZone timeZone, MarketHoursDatabase marketHoursDatabase)
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{
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_securities = securities;
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DateRules = new DateRules(algorithm, securities, timeZone, marketHoursDatabase);
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TimeRules = new TimeRules(algorithm, securities, timeZone, marketHoursDatabase);
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// used for storing any events before the event schedule is set
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_preInitializedEvents = new List<ScheduledEvent>();
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}
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/// <summary>
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/// Sets the <see cref="IEventSchedule"/> implementation
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/// </summary>
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/// <param name="eventSchedule">The event schedule implementation to be used. This is the IRealTimeHandler</param>
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public void SetEventSchedule(IEventSchedule eventSchedule)
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{
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if (eventSchedule == null)
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{
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throw new ArgumentNullException(nameof(eventSchedule));
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}
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lock (_eventScheduleLock)
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{
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_eventSchedule = eventSchedule;
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// load up any events that were added before we were ready to send them to the scheduler
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foreach (var scheduledEvent in _preInitializedEvents)
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{
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_eventSchedule.Add(scheduledEvent);
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}
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}
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}
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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 the event fires and the callback</param>
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public void Add(ScheduledEvent scheduledEvent)
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{
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lock (_eventScheduleLock)
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{
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if (_eventSchedule != null)
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{
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_eventSchedule.Add(scheduledEvent);
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}
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else
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{
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_preInitializedEvents.Add(scheduledEvent);
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}
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}
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}
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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 void Remove(ScheduledEvent scheduledEvent)
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{
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lock (_eventScheduleLock)
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{
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if (_eventSchedule != null)
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{
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_eventSchedule.Remove(scheduledEvent);
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}
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else
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{
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_preInitializedEvents.RemoveAll(se => Equals(se, scheduledEvent));
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}
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}
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}
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/// <summary>
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/// Schedules the callback to run using the specified date and time rules
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/// </summary>
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/// <param name="dateRule">Specifies what dates the event should run</param>
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/// <param name="timeRule">Specifies the times on those dates the event should run</param>
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/// <param name="callback">The callback to be invoked</param>
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public ScheduledEvent On(IDateRule dateRule, ITimeRule timeRule, Action callback)
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{
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return On(dateRule, timeRule, (name, time) => callback());
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}
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/// <summary>
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/// Schedules the callback to run using the specified date and time rules
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/// </summary>
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/// <param name="dateRule">Specifies what dates the event should run</param>
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/// <param name="timeRule">Specifies the times on those dates the event should run</param>
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/// <param name="callback">The callback to be invoked</param>
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public ScheduledEvent On(IDateRule dateRule, ITimeRule timeRule, PyObject callback)
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{
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return On(dateRule, timeRule, (name, time) => { using (Py.GIL()) callback.Invoke(); });
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}
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/// <summary>
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/// Schedules the callback to run using the specified date and time rules
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/// </summary>
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/// <param name="dateRule">Specifies what dates the event should run</param>
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/// <param name="timeRule">Specifies the times on those dates the event should run</param>
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/// <param name="callback">The callback to be invoked</param>
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public ScheduledEvent On(IDateRule dateRule, ITimeRule timeRule, Action<string, DateTime> callback)
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{
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var name = $"{dateRule.Name}: {timeRule.Name}";
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return On(name, dateRule, timeRule, callback);
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}
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/// <summary>
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/// Schedules the callback to run using the specified date and time rules
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/// </summary>
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/// <param name="name">The event's unique name</param>
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/// <param name="dateRule">Specifies what dates the event should run</param>
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/// <param name="timeRule">Specifies the times on those dates the event should run</param>
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/// <param name="callback">The callback to be invoked</param>
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public ScheduledEvent On(string name, IDateRule dateRule, ITimeRule timeRule, Action callback)
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{
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return On(name, dateRule, timeRule, (n, d) => callback());
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}
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/// <summary>
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/// Schedules the callback to run using the specified date and time rules
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/// </summary>
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/// <param name="name">The event's unique name</param>
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/// <param name="dateRule">Specifies what dates the event should run</param>
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/// <param name="timeRule">Specifies the times on those dates the event should run</param>
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/// <param name="callback">The callback to be invoked</param>
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public ScheduledEvent On(string name, IDateRule dateRule, ITimeRule timeRule, PyObject callback)
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{
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return On(name, dateRule, timeRule, (n, d) => { using (Py.GIL()) callback.Invoke(); });
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}
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/// <summary>
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/// Schedules the callback to run using the specified date and time rules
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/// </summary>
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/// <param name="name">The event's unique name</param>
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/// <param name="dateRule">Specifies what dates the event should run</param>
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/// <param name="timeRule">Specifies the times on those dates the event should run</param>
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/// <param name="callback">The callback to be invoked</param>
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public ScheduledEvent On(string name, IDateRule dateRule, ITimeRule timeRule, Action<string, DateTime> callback)
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{
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// back the date up to ensure we get all events, the event scheduler will skip past events that whose time has passed
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var dates = GetDatesDeferred(dateRule, _securities);
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var eventTimes = timeRule.CreateUtcEventTimes(dates);
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var scheduledEvent = new ScheduledEvent(name, eventTimes, callback);
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Add(scheduledEvent);
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Log.Trace($"Event Name \"{scheduledEvent.Name}\", scheduled to run.");
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return scheduledEvent;
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}
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#region Fluent Scheduling
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/// <summary>
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/// Entry point for the fluent scheduled event builder
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/// </summary>
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public IFluentSchedulingDateSpecifier Event()
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{
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return new FluentScheduledEventBuilder(this, _securities);
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}
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/// <summary>
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/// Entry point for the fluent scheduled event builder
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/// </summary>
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public IFluentSchedulingDateSpecifier Event(string name)
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{
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return new FluentScheduledEventBuilder(this, _securities, name);
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}
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#endregion
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#region Training Events
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/// <summary>
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/// Schedules the provided training code to execute immediately
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/// </summary>
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public ScheduledEvent TrainingNow(Action trainingCode)
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{
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return On($"Training: Now: {_securities.UtcTime:O}", DateRules.Today, TimeRules.Now, trainingCode);
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}
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/// <summary>
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/// Schedules the provided training code to execute immediately
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/// </summary>
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public ScheduledEvent TrainingNow(PyObject trainingCode)
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{
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return On($"Training: Now: {_securities.UtcTime:O}", DateRules.Today, TimeRules.Now, trainingCode);
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}
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/// <summary>
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/// Schedules the training code to run using the specified date and time rules
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/// </summary>
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/// <param name="dateRule">Specifies what dates the event should run</param>
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/// <param name="timeRule">Specifies the times on those dates the event should run</param>
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/// <param name="trainingCode">The training code to be invoked</param>
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public ScheduledEvent Training(IDateRule dateRule, ITimeRule timeRule, Action trainingCode)
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{
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var name = $"{dateRule.Name}: {timeRule.Name}";
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return On(name, dateRule, timeRule, (n, time) => trainingCode());
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}
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/// <summary>
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/// Schedules the training code to run using the specified date and time rules
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/// </summary>
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/// <param name="dateRule">Specifies what dates the event should run</param>
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/// <param name="timeRule">Specifies the times on those dates the event should run</param>
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/// <param name="trainingCode">The training code to be invoked</param>
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public ScheduledEvent Training(IDateRule dateRule, ITimeRule timeRule, PyObject trainingCode)
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{
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var name = $"{dateRule.Name}: {timeRule.Name}";
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return On(name, dateRule, timeRule, (n, time) => { using (Py.GIL()) trainingCode.Invoke(); });
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}
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/// <summary>
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/// Schedules the training code to run using the specified date and time rules
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/// </summary>
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/// <param name="dateRule">Specifies what dates the event should run</param>
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/// <param name="timeRule">Specifies the times on those dates the event should run</param>
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/// <param name="trainingCode">The training code to be invoked</param>
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public ScheduledEvent Training(IDateRule dateRule, ITimeRule timeRule, Action<DateTime> trainingCode)
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{
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var name = $"{dateRule.Name}: {timeRule.Name}";
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return On(name, dateRule, timeRule, (n, time) => trainingCode(time));
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}
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#endregion
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/// <summary>
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/// Helper methods to defer the evaluation of the current time until the dates are enumerated for the first time.
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/// This allows for correct support for warmup period
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/// </summary>
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internal static IEnumerable<DateTime> GetDatesDeferred(IDateRule dateRule, SecurityManager securities)
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{
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foreach (var item in dateRule.GetDates(DateTime.SpecifyKind(securities.UtcTime.Date.AddDays(-1), DateTimeKind.Unspecified), Time.EndOfTime))
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{
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yield return item;
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}
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}
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}
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}
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