/*
* 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;
using System.Linq;
using QuantConnect.Util;
using QuantConnect.Logging;
using QuantConnect.Packets;
using QuantConnect.Scheduling;
using QuantConnect.Interfaces;
using System.Collections.Generic;
using QuantConnect.Lean.Engine.Results;
namespace QuantConnect.Lean.Engine.RealTime
{
///
/// Pseudo realtime event processing for backtesting to simulate realtime events in fast forward.
///
public class BacktestingRealTimeHandler : BaseRealTimeHandler
{
private bool _sortingScheduledEventsRequired;
private List _scheduledEventsSortedByTime = new List();
///
/// Flag indicating the hander thread is completely finished and ready to dispose.
/// this doesn't run as its own thread
///
public override bool IsActive { get; protected set; }
///
/// Initializes the real time handler for the specified algorithm and job
///
public override void Setup(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler, IApi api, IIsolatorLimitResultProvider isolatorLimitProvider)
{
// create events for algorithm's end of tradeable dates
// set up the events for each security to fire every tradeable date before market close
base.Setup(algorithm, job, resultHandler, api, isolatorLimitProvider);
foreach (var scheduledEvent in GetScheduledEventsSortedByTime())
{
// zoom past old events
scheduledEvent.SkipEventsUntil(algorithm.UtcTime);
// set logging accordingly
scheduledEvent.IsLoggingEnabled = Log.DebuggingEnabled;
}
// after skipping events we should re order
_sortingScheduledEventsRequired = true;
}
///
/// Adds the specified event to the schedule
///
/// The event to be scheduled, including the date/times the event fires and the callback
public override void Add(ScheduledEvent scheduledEvent)
{
if (Algorithm != null)
{
scheduledEvent.SkipEventsUntil(Algorithm.UtcTime);
}
ScheduledEvents.AddOrUpdate(scheduledEvent, GetScheduledEventUniqueId());
if (Log.DebuggingEnabled)
{
scheduledEvent.IsLoggingEnabled = true;
}
_sortingScheduledEventsRequired = true;
}
///
/// Removes the specified event from the schedule
///
/// The event to be removed
public override void Remove(ScheduledEvent scheduledEvent)
{
int id;
ScheduledEvents.TryRemove(scheduledEvent, out id);
_sortingScheduledEventsRequired = true;
}
///
/// Set the time for the realtime event handler.
///
/// Current time.
public override void SetTime(DateTime time)
{
var scheduledEvents = GetScheduledEventsSortedByTime();
// the first element is always the next
while (scheduledEvents.Count > 0 && scheduledEvents[0].NextEventUtcTime <= time)
{
try
{
IsolatorLimitProvider.Consume(scheduledEvents[0], time, TimeMonitor);
}
catch (Exception exception)
{
Algorithm.SetRuntimeError(exception, $"Scheduled event: '{scheduledEvents[0].Name}' at {time}");
break;
}
SortFirstElement(scheduledEvents);
}
}
///
/// Scan for past events that didn't fire because there was no data at the scheduled time.
///
/// Current time.
public override void ScanPastEvents(DateTime time)
{
var scheduledEvents = GetScheduledEventsSortedByTime();
// the first element is always the next
while (scheduledEvents.Count > 0 && scheduledEvents[0].NextEventUtcTime < time)
{
var scheduledEvent = scheduledEvents[0];
var nextEventUtcTime = scheduledEvent.NextEventUtcTime;
Algorithm.SetDateTime(nextEventUtcTime);
try
{
IsolatorLimitProvider.Consume(scheduledEvent, nextEventUtcTime, TimeMonitor);
}
catch (Exception exception)
{
Algorithm.SetRuntimeError(exception, $"Scheduled event: '{scheduledEvent.Name}' at {nextEventUtcTime}");
break;
}
SortFirstElement(scheduledEvents);
}
}
private List GetScheduledEventsSortedByTime()
{
if (_sortingScheduledEventsRequired)
{
_sortingScheduledEventsRequired = false;
_scheduledEventsSortedByTime = ScheduledEvents
// we order by next event time
.OrderBy(x => x.Key.NextEventUtcTime)
// then by unique id so that for scheduled events in the same time
// respect their creation order, so its deterministic
.ThenBy(x => x.Value)
.Select(x => x.Key).ToList();
}
return _scheduledEventsSortedByTime;
}
///
/// Sorts the first element of the provided list and supposes the rest of the collection is sorted.
/// Supposes the collection has at least 1 element
///
public static void SortFirstElement(IList scheduledEvents)
{
var scheduledEvent = scheduledEvents[0];
var nextEventUtcTime = scheduledEvent.NextEventUtcTime;
if (scheduledEvents.Count > 1
// if our NextEventUtcTime is after the next event we sort our selves
&& nextEventUtcTime > scheduledEvents[1].NextEventUtcTime)
{
// remove ourselves and re insert at the correct position, the rest of the items are sorted!
scheduledEvents.RemoveAt(0);
var position = scheduledEvents.BinarySearch(nextEventUtcTime,
(time, orderEvent) => time.CompareTo(orderEvent.NextEventUtcTime));
if (position >= 0)
{
// we have to insert after existing position to respect existing order, see ScheduledEventsOrderRegressionAlgorithm
var finalPosition = position + 1;
if (finalPosition == scheduledEvents.Count)
{
// bigger than all of them add at the end
scheduledEvents.Add(scheduledEvent);
}
else
{
// Calling insert isn't that performant but note that we are doing it once
// and has better performance than sorting the entire collection
scheduledEvents.Insert(finalPosition, scheduledEvent);
}
}
else
{
var index = ~position;
if (index == scheduledEvents.Count)
{
// bigger than all of them insert in the end
scheduledEvents.Add(scheduledEvent);
}
else
{
// index + 1 is bigger than us so insert before
scheduledEvents.Insert(index, scheduledEvent);
}
}
}
}
}
}