/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*
*/
using System;
namespace QuantConnect.Lean.Engine.DataFeeds
{
///
/// A time provider which updates 'now' time based on the current data emit time of all subscriptions
///
/// This class is not thread safe but there is no need for it to be since it's only consumed by the
///
public class SubscriptionFrontierTimeProvider : ITimeProvider
{
private static readonly long MaxDateTimeTicks = DateTime.MaxValue.Ticks;
private DateTime _utcNow;
private readonly IDataFeedSubscriptionManager _subscriptionManager;
///
/// Creates a new instance of the SubscriptionFrontierTimeProvider
///
/// Initial UTC now time
/// Subscription manager. Will be used to obtain current subscriptions
public SubscriptionFrontierTimeProvider(DateTime utcNow, IDataFeedSubscriptionManager subscriptionManager)
{
_utcNow = utcNow;
_subscriptionManager = subscriptionManager;
}
///
/// Gets the current time in UTC
///
/// The current time in UTC
public DateTime GetUtcNow()
{
UpdateCurrentTime();
return _utcNow;
}
///
/// Sets the current time calculated as the minimum current data emit time of all the subscriptions.
/// If there are no subscriptions current time will remain unchanged
///
private void UpdateCurrentTime()
{
long earlyBirdTicks = MaxDateTimeTicks;
foreach (var subscription in _subscriptionManager.DataFeedSubscriptions)
{
// this if should just be 'subscription.Current == null' but its affected by GH issue 3914
if (// this is a data subscription we just added
// lets move it next to find the initial emit time
subscription.Current == null
&& !subscription.IsUniverseSelectionSubscription
&& subscription.UtcStartTime == _utcNow
||
// UserDefinedUniverse, through the AddData calls
// will add new universe selection data points when is has too
// so lets move it next to check if there is any
subscription.Current == null
&& subscription.IsUniverseSelectionSubscription
&& subscription.UtcStartTime != _utcNow)
{
subscription.MoveNext();
}
if (subscription.Current != null)
{
if (earlyBirdTicks == MaxDateTimeTicks)
{
earlyBirdTicks = subscription.Current.EmitTimeUtc.Ticks;
}
else
{
// take the earliest between the next piece of data or the current earliest bird
earlyBirdTicks = Math.Min(earlyBirdTicks, subscription.Current.EmitTimeUtc.Ticks);
}
}
}
if (earlyBirdTicks != MaxDateTimeTicks)
{
_utcNow = new DateTime(Math.Max(earlyBirdTicks, _utcNow.Ticks), DateTimeKind.Utc);
}
}
}
}