SubscriptionSynchronizer.cs

/*
 * 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.Collections.Generic;
using System.Linq;
using System.Threading;
using QuantConnect.Data.Market;
using QuantConnect.Data.UniverseSelection;
 
namespace QuantConnect.Lean.Engine.DataFeeds
{
    /// <summary>
    /// Provides the ability to synchronize subscriptions into time slices
    /// </summary>
    public class SubscriptionSynchronizer : ISubscriptionSynchronizer, ITimeProvider
    {
        private readonly UniverseSelection _universeSelection;
        private TimeSliceFactory _timeSliceFactory;
        private ITimeProvider _timeProvider;
        private ManualTimeProvider _frontierTimeProvider;
 
        /// <summary>
        /// Event fired when a <see cref="Subscription"/> is finished
        /// </summary>
        public event EventHandler<Subscription> SubscriptionFinished;
 
        /// <summary>
        /// Initializes a new instance of the <see cref="SubscriptionSynchronizer"/> class
        /// </summary>
        /// <param name="universeSelection">The universe selection instance used to handle universe
        /// selection subscription output</param>
        /// <returns>A time slice for the specified frontier time</returns>
        public SubscriptionSynchronizer(UniverseSelection universeSelection)
        {
            _universeSelection = universeSelection;
        }
 
        /// <summary>
        /// Sets the time provider. If already set will throw.
        /// </summary>
        /// <param name="timeProvider">The time provider, used to obtain the current frontier UTC value</param>
        public void SetTimeProvider(ITimeProvider timeProvider)
        {
            if (_timeProvider != null)
            {
                throw new Exception("SubscriptionSynchronizer.SetTimeProvider(): can only be called once");
            }
            _timeProvider = timeProvider;
            _frontierTimeProvider = new ManualTimeProvider(_timeProvider.GetUtcNow());
        }
 
        /// <summary>
        /// Sets the <see cref="TimeSliceFactory"/> instance to use
        /// </summary>
        /// <param name="timeSliceFactory">Used to create the new <see cref="TimeSlice"/></param>
        public void SetTimeSliceFactory(TimeSliceFactory timeSliceFactory)
        {
            if (_timeSliceFactory != null)
            {
                throw new Exception("SubscriptionSynchronizer.SetTimeSliceFactory(): can only be called once");
            }
            _timeSliceFactory = timeSliceFactory;
        }
 
        /// <summary>
        /// Syncs the specified subscriptions. The frontier time used for synchronization is
        /// managed internally and dependent upon previous synchronization operations.
        /// </summary>
        /// <param name="subscriptions">The subscriptions to sync</param>
        /// <param name="cancellationToken">The cancellation token to stop enumeration</param>
        public IEnumerable<TimeSlice> Sync(IEnumerable<Subscription> subscriptions,
            CancellationToken cancellationToken)
        {
            var delayedSubscriptionFinished = new Queue<Subscription>();
 
            while (!cancellationToken.IsCancellationRequested)
            {
                var changes = SecurityChanges.None;
                var data = new List<DataFeedPacket>(1);
                // NOTE: Tight coupling in UniverseSelection.ApplyUniverseSelection
                Dictionary<Universe, BaseDataCollection> universeData = null; // lazy construction for performance
                var universeDataForTimeSliceCreate = new Dictionary<Universe, BaseDataCollection>();
 
                var frontierUtc = _timeProvider.GetUtcNow();
                _frontierTimeProvider.SetCurrentTimeUtc(frontierUtc);
 
                SecurityChanges newChanges;
                do
                {
                    newChanges = SecurityChanges.None;
                    foreach (var subscription in subscriptions)
                    {
                        if (subscription.EndOfStream)
                        {
                            OnSubscriptionFinished(subscription);
                            continue;
                        }
 
                        // prime if needed
                        if (subscription.Current == null)
                        {
                            if (!subscription.MoveNext())
                            {
                                OnSubscriptionFinished(subscription);
                                continue;
                            }
                        }
 
                        DataFeedPacket packet = null;
 
                        while (subscription.Current != null && subscription.Current.EmitTimeUtc <= frontierUtc)
                        {
                            if (packet == null)
                            {
                                // for performance, lets be selfish about creating a new instance
                                packet = new DataFeedPacket(
                                    subscription.Security,
                                    subscription.Configuration,
                                    subscription.RemovedFromUniverse
                                );
                            }
 
                            // If our subscription is a universe, and we get a delisting event emitted for it, then
                            // the universe itself should be unselected and removed, because the Symbol that the
                            // universe is based on has been delisted. Doing the disposal here allows us to
                            // process the delisting at this point in time before emitting out to the algorithm.
                            // This is very useful for universes that can be delisted, such as ETF constituent
                            // universes (e.g. for ETF constituent universes, since the ETF itself is used to create
                            // the universe Symbol (and set as its underlying), once the ETF is delisted, the
                            // universe should cease to exist, since there are no more constituents of that ETF).
                            if (subscription.Current.Data.DataType == MarketDataType.Auxiliary && subscription.Current.Data is Delisting delisting)
                            {
                                if(subscription.IsUniverseSelectionSubscription)
                                {
                                    subscription.Universes.Single().Dispose();
                                }
                                else if(delisting.Type == DelistingType.Delisted)
                                {
                                    changes += _universeSelection.HandleDelisting(subscription.Current.Data, subscription.Configuration.IsInternalFeed);
                                }
                            }
 
                            packet.Add(subscription.Current.Data);
 
                            if (!subscription.MoveNext())
                            {
                                delayedSubscriptionFinished.Enqueue(subscription);
                                break;
                            }
                        }
 
                        if (packet?.Count > 0)
                        {
                            // we have new universe data to select based on, store the subscription data until the end
                            if (!subscription.IsUniverseSelectionSubscription)
                            {
                                data.Add(packet);
                            }
                            else
                            {
                                // assume that if the first item is a base data collection then the enumerator handled the aggregation,
                                // otherwise, load all the the data into a new collection instance
                                var packetBaseDataCollection = packet.Data[0] as BaseDataCollection;
                                var packetData = packetBaseDataCollection == null
                                    ? packet.Data
                                    : packetBaseDataCollection.Data;
 
                                BaseDataCollection collection;
                                if (universeData != null
                                    && universeData.TryGetValue(subscription.Universes.Single(), out collection))
                                {
                                    collection.AddRange(packetData);
                                }
                                else
                                {
                                    collection = new BaseDataCollection(frontierUtc, frontierUtc, subscription.Configuration.Symbol, packetData, packetBaseDataCollection?.Underlying, packetBaseDataCollection?.FilteredContracts);
                                    if (universeData == null)
                                    {
                                        universeData = new Dictionary<Universe, BaseDataCollection>();
                                    }
                                    universeData[subscription.Universes.Single()] = collection;
                                }
                            }
                        }
 
                        if (subscription.IsUniverseSelectionSubscription
                            && subscription.Universes.Single().DisposeRequested)
                        {
                            var universe = subscription.Universes.Single();
                            // check if a universe selection isn't already scheduled for this disposed universe
                            if (universeData == null || !universeData.ContainsKey(universe))
                            {
                                if (universeData == null)
                                {
                                    universeData = new Dictionary<Universe, BaseDataCollection>();
                                }
                                // we force trigger one last universe selection for this disposed universe, so it deselects all subscriptions it added
                                universeData[universe] = new BaseDataCollection(frontierUtc, subscription.Configuration.Symbol);
                            }
 
                            // we need to do this after all usages of subscription.Universes
                            OnSubscriptionFinished(subscription);
                        }
                    }
 
                    if (universeData != null && universeData.Count > 0)
                    {
                        // if we are going to perform universe selection we emit an empty
                        // time pulse to align algorithm time with current frontier
                        yield return _timeSliceFactory.CreateTimePulse(frontierUtc);
 
                        // trigger the smalled resolution first, so that FF res get's set once from the start correctly
                        // while at it, let's make it determininstic and sort by universe sid later
                        foreach (var kvp in universeData.OrderBy(x => x.Key.Configuration.Resolution).ThenBy(x => x.Key.Symbol.ID))
                        {
                            var universe = kvp.Key;
                            var baseDataCollection = kvp.Value;
                            universeDataForTimeSliceCreate[universe] = baseDataCollection;
                            newChanges += _universeSelection.ApplyUniverseSelection(universe, frontierUtc, baseDataCollection);
                        }
                        universeData.Clear();
                    }
 
                    changes += newChanges;
                }
                while (newChanges != SecurityChanges.None
                    || _universeSelection.AddPendingInternalDataFeeds(frontierUtc));
 
                var timeSlice = _timeSliceFactory.Create(frontierUtc, data, changes, universeDataForTimeSliceCreate);
 
                while (delayedSubscriptionFinished.Count > 0)
                {
                    // these subscriptions added valid data to the packet
                    // we need to trigger OnSubscriptionFinished after we create the TimeSlice
                    // else it will drop the data
                    var subscription = delayedSubscriptionFinished.Dequeue();
                    OnSubscriptionFinished(subscription);
                }
 
                yield return timeSlice;
            }
        }
 
        /// <summary>
        /// Event invocator for the <see cref="SubscriptionFinished"/> event
        /// </summary>
        protected virtual void OnSubscriptionFinished(Subscription subscription)
        {
            SubscriptionFinished?.Invoke(this, subscription);
        }
 
        /// <summary>
        /// Returns the current UTC frontier time
        /// </summary>
        public DateTime GetUtcNow()
        {
            return _frontierTimeProvider.GetUtcNow();
        }
    }
}