wehub-resource-sync
310 lines
12 KiB
C#
310 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.Collections;
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using System.Collections.Generic;
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using System.Linq;
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using NodaTime;
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using QuantConnect.Data;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Interfaces;
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using QuantConnect.Util;
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namespace QuantConnect.Lean.Engine.DataFeeds
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{
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/// <summary>
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/// Represents the data required for a data feed to process a single subscription
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/// </summary>
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public class Subscription : IEnumerator<SubscriptionData>
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{
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private bool _removedFromUniverse;
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private readonly IEnumerator<SubscriptionData> _enumerator;
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/// <summary>
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/// The subcription requests associated with this subscription
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/// </summary>
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internal List<SubscriptionRequest> SubscriptionRequests { get; private set; }
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/// <summary>
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/// Event fired when a new data point is available
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/// </summary>
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public event EventHandler NewDataAvailable;
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/// <summary>
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/// Gets the universe for this subscription
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/// </summary>
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public IEnumerable<Universe> Universes => SubscriptionRequests
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.Where(x => x.Universe != null)
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.Select(x => x.Universe);
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/// <summary>
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/// Gets the security this subscription points to
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/// </summary>
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public ISecurityPrice Security { get; init; }
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/// <summary>
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/// Gets the configuration for this subscritions
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/// </summary>
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public SubscriptionDataConfig Configuration { get; init; }
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/// <summary>
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/// Gets the exchange time zone associated with this subscription
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/// </summary>
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public DateTimeZone TimeZone { get; }
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/// <summary>
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/// Gets the offset provider for time zone conversions to and from the data's local time
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/// </summary>
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public TimeZoneOffsetProvider OffsetProvider { get; init; }
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/// <summary>
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/// Gets the most current value from the subscription source
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/// </summary>
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public decimal RealtimePrice { get; set; }
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/// <summary>
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/// Gets true if this subscription is finished, false otherwise
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/// </summary>
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public bool EndOfStream { get; private set; }
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/// <summary>
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/// Gets true if this subscription is used in universe selection
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/// </summary>
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public bool IsUniverseSelectionSubscription { get; }
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/// <summary>
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/// Gets the start time of this subscription in UTC
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/// </summary>
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public DateTime UtcStartTime { get; }
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/// <summary>
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/// Gets the end time of this subscription in UTC
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/// </summary>
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public DateTime UtcEndTime { get; }
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/// <summary>
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/// Gets whether or not this subscription has been removed from its parent universe
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/// </summary>
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public IReadOnlyRef<bool> RemovedFromUniverse { get; }
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/// <summary>
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/// Initializes a new instance of the <see cref="Subscription"/> class with a universe
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/// </summary>
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/// <param name="subscriptionRequest">Specified for universe subscriptions</param>
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/// <param name="enumerator">The subscription's data source</param>
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/// <param name="timeZoneOffsetProvider">The offset provider used to convert data local times to utc</param>
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public Subscription(
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SubscriptionRequest subscriptionRequest,
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IEnumerator<SubscriptionData> enumerator,
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TimeZoneOffsetProvider timeZoneOffsetProvider)
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{
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SubscriptionRequests = new List<SubscriptionRequest> { subscriptionRequest };
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_enumerator = enumerator;
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Security = subscriptionRequest.Security;
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IsUniverseSelectionSubscription = subscriptionRequest.IsUniverseSubscription;
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Configuration = subscriptionRequest.Configuration;
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OffsetProvider = timeZoneOffsetProvider;
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TimeZone = subscriptionRequest.Security.Exchange.TimeZone;
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UtcStartTime = subscriptionRequest.StartTimeUtc;
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UtcEndTime = subscriptionRequest.EndTimeUtc;
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RemovedFromUniverse = Ref.CreateReadOnly(() => _removedFromUniverse);
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}
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/// <summary>
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/// Adds a <see cref="SubscriptionRequest"/> for this subscription
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/// </summary>
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/// <param name="subscriptionRequest">The <see cref="SubscriptionRequest"/> to add</param>
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public bool AddSubscriptionRequest(SubscriptionRequest subscriptionRequest)
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{
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if (IsUniverseSelectionSubscription
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|| subscriptionRequest.IsUniverseSubscription)
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{
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if (subscriptionRequest.Universe is UserDefinedUniverse)
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{
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// for different reasons a user defined universe can trigger a subscription request, likes additions/removals
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return false;
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}
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throw new Exception("Subscription.AddSubscriptionRequest(): Universe selection" +
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" subscriptions should not have more than 1 SubscriptionRequest");
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}
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// this shouldn't happen but just in case..
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if (subscriptionRequest.Configuration != Configuration)
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{
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throw new Exception("Subscription.AddSubscriptionRequest(): Requesting to add" +
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"a different SubscriptionDataConfig");
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}
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// Only allow one subscription request per universe
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if (!Universes.Contains(subscriptionRequest.Universe))
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{
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SubscriptionRequests.Add(subscriptionRequest);
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// TODO this might update the 'UtcStartTime' and 'UtcEndTime' of this subscription
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return true;
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}
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return false;
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}
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/// <summary>
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/// Removes one or all <see cref="SubscriptionRequest"/> from this subscription
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/// </summary>
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/// <param name="universe">Universe requesting to remove <see cref="SubscriptionRequest"/>.
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/// Default value, null, will remove all universes</param>
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/// <returns>True, if the subscription is empty and ready to be removed</returns>
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public bool RemoveSubscriptionRequest(Universe universe = null)
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{
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// TODO this might update the 'UtcStartTime' and 'UtcEndTime' of this subscription
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IEnumerable<Universe> removedUniverses;
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if (universe == null)
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{
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var subscriptionRequests = SubscriptionRequests;
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SubscriptionRequests = new List<SubscriptionRequest>();
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removedUniverses = subscriptionRequests.Where(x => x.Universe != null)
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.Select(x => x.Universe);
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}
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else
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{
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SubscriptionRequests.RemoveAll(x => x.Universe == universe);
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removedUniverses = new[] {universe};
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}
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var emptySubscription = !SubscriptionRequests.Any();
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if (emptySubscription)
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{
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// if the security is no longer a member of the universe, then mark the subscription properly
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// universe may be null for internal currency conversion feeds
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// TODO : Put currency feeds in their own internal universe
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if (!removedUniverses.Any(x => x.Securities.ContainsKey(Configuration.Symbol)))
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{
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MarkAsRemovedFromUniverse();
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}
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}
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return emptySubscription;
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}
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/// <summary>
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/// Advances the enumerator to the next element of the collection.
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/// </summary>
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/// <returns>
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/// true if the enumerator was successfully advanced to the next element; false if the enumerator has passed the end of the collection.
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/// </returns>
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/// <exception cref="T:System.InvalidOperationException">The collection was modified after the enumerator was created. </exception><filterpriority>2</filterpriority>
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public virtual bool MoveNext()
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{
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if (EndOfStream)
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{
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return false;
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}
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var moveNext = _enumerator.MoveNext();
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EndOfStream = !moveNext;
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Current = _enumerator.Current;
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return moveNext;
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}
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/// <summary>
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/// Sets the enumerator to its initial position, which is before the first element in the collection.
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/// </summary>
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/// <exception cref="T:System.InvalidOperationException">The collection was modified after the enumerator was created. </exception><filterpriority>2</filterpriority>
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public void Reset()
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{
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_enumerator.Reset();
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}
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/// <summary>
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/// Gets the element in the collection at the current position of the enumerator.
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/// </summary>
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/// <returns>
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/// The element in the collection at the current position of the enumerator.
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/// </returns>
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public SubscriptionData Current { get; private set; }
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/// <summary>
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/// Gets the current element in the collection.
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/// </summary>
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/// <returns>
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/// The current element in the collection.
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/// </returns>
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/// <filterpriority>2</filterpriority>
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object IEnumerator.Current => Current;
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/// <summary>
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/// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
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/// </summary>
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/// <filterpriority>2</filterpriority>
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public void Dispose()
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{
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EndOfStream = true;
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_enumerator.DisposeSafely();
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}
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/// <summary>
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/// Mark this subscription as having been removed from the universe.
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/// Data for this time step will be discarded.
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/// </summary>
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public void MarkAsRemovedFromUniverse()
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{
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_removedFromUniverse = true;
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}
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/// <summary>
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/// Serves as a hash function for a particular type.
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/// </summary>
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/// <returns>
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/// A hash code for the current <see cref="T:System.Object"/>.
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/// </returns>
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/// <filterpriority>2</filterpriority>
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public override int GetHashCode()
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{
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return Configuration.GetHashCode();
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}
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/// <summary>Determines whether the specified object is equal to the current object.</summary>
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/// <param name="obj">The object to compare with the current object. </param>
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/// <returns>
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/// <see langword="true" /> if the specified object is equal to the current object; otherwise, <see langword="false" />.</returns>
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public override bool Equals(object obj)
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{
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var subscription = obj as Subscription;
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if (subscription == null)
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{
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return false;
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}
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return subscription.Configuration.Equals(Configuration);
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}
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/// <summary>Returns a string that represents the current object.</summary>
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/// <returns>A string that represents the current object.</returns>
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/// <filterpriority>2</filterpriority>
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public override string ToString()
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{
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return Configuration.ToString();
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}
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/// <summary>
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/// Event invocator for the <see cref="NewDataAvailable"/> event
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/// </summary>
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public void OnNewDataAvailable()
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{
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NewDataAvailable?.Invoke(this, EventArgs.Empty);
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}
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}
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}
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