UniverseManager.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;
using System.Collections.Concurrent;
using System.Collections.Generic;
using System.Collections.Specialized;
using System.Linq;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Util;
 
namespace QuantConnect.Securities
{
    /// <summary>
    /// Manages the algorithm's collection of universes
    /// </summary>
    public class UniverseManager : IDictionary<Symbol, Universe>, INotifyCollectionChanged
    {
        private readonly Queue<NotifyCollectionChangedEventArgs> _pendingChanges = new();
        private readonly ConcurrentDictionary<Symbol, Universe> _universes;
 
        /// <summary>
        /// Event fired when a universe is added or removed
        /// </summary>
        public event NotifyCollectionChangedEventHandler CollectionChanged;
 
        /// <summary>
        /// Read-only dictionary containing all active securities. An active security is
        /// a security that is currently selected by the universe or has holdings or open orders.
        /// </summary>
        public IReadOnlyDictionary<Symbol, Security> ActiveSecurities => this
            .SelectMany(ukvp => ukvp.Value.Members.Select(mkvp => mkvp.Value))
            .DistinctBy(s => s.Symbol).ToDictionary(s => s.Symbol);
 
        /// <summary>
        /// Initializes a new instance of the <see cref="UniverseManager"/> class
        /// </summary>
        public UniverseManager()
        {
            _universes = new ConcurrentDictionary<Symbol, Universe>();
        }
 
        #region IDictionary implementation
 
        /// <summary>
        /// Returns an enumerator that iterates through the collection.
        /// </summary>
        /// <returns>
        /// A <see cref="T:System.Collections.Generic.IEnumerator`1"/> that can be used to iterate through the collection.
        /// </returns>
        /// <filterpriority>1</filterpriority>
        public IEnumerator<KeyValuePair<Symbol, Universe>> GetEnumerator()
        {
            return _universes.GetEnumerator();
        }
 
        /// <summary>
        /// Returns an enumerator that iterates through a collection.
        /// </summary>
        /// <returns>
        /// An <see cref="T:System.Collections.IEnumerator"/> object that can be used to iterate through the collection.
        /// </returns>
        /// <filterpriority>2</filterpriority>
        IEnumerator IEnumerable.GetEnumerator()
        {
            return ((IEnumerable)_universes).GetEnumerator();
        }
 
        /// <summary>
        /// Adds an item to the <see cref="T:System.Collections.Generic.ICollection`1"/>.
        /// </summary>
        /// <param name="item">The object to add to the <see cref="T:System.Collections.Generic.ICollection`1"/>.</param><exception cref="T:System.NotSupportedException">The <see cref="T:System.Collections.Generic.ICollection`1"/> is read-only.</exception>
        public void Add(KeyValuePair<Symbol, Universe> item)
        {
            Add(item.Key, item.Value);
        }
 
        /// <summary>
        /// Removes all items from the <see cref="T:System.Collections.Generic.ICollection`1"/>.
        /// </summary>
        /// <exception cref="T:System.NotSupportedException">The <see cref="T:System.Collections.Generic.ICollection`1"/> is read-only. </exception>
        public void Clear()
        {
            _universes.Clear();
        }
 
        /// <summary>
        /// Determines whether the <see cref="T:System.Collections.Generic.ICollection`1"/> contains a specific value.
        /// </summary>
        /// <returns>
        /// true if <paramref name="item"/> is found in the <see cref="T:System.Collections.Generic.ICollection`1"/>; otherwise, false.
        /// </returns>
        /// <param name="item">The object to locate in the <see cref="T:System.Collections.Generic.ICollection`1"/>.</param>
        public bool Contains(KeyValuePair<Symbol, Universe> item)
        {
            return ContainsKey(item.Key);
        }
 
        /// <summary>
        /// Copies the elements of the <see cref="T:System.Collections.Generic.ICollection`1"/> to an <see cref="T:System.Array"/>, starting at a particular <see cref="T:System.Array"/> index.
        /// </summary>
        /// <param name="array">The one-dimensional <see cref="T:System.Array"/> that is the destination of the elements copied from <see cref="T:System.Collections.Generic.ICollection`1"/>. The <see cref="T:System.Array"/> must have zero-based indexing.</param><param name="arrayIndex">The zero-based index in <paramref name="array"/> at which copying begins.</param><exception cref="T:System.ArgumentNullException"><paramref name="array"/> is null.</exception><exception cref="T:System.ArgumentOutOfRangeException"><paramref name="arrayIndex"/> is less than 0.</exception><exception cref="T:System.ArgumentException">The number of elements in the source <see cref="T:System.Collections.Generic.ICollection`1"/> is greater than the available space from <paramref name="arrayIndex"/> to the end of the destination <paramref name="array"/>.</exception>
        public void CopyTo(KeyValuePair<Symbol, Universe>[] array, int arrayIndex)
        {
            ((IDictionary<Symbol, Universe>)_universes).CopyTo(array, arrayIndex);
        }
 
        /// <summary>
        /// Removes the first occurrence of a specific object from the <see cref="T:System.Collections.Generic.ICollection`1"/>.
        /// </summary>
        /// <returns>
        /// true if <paramref name="item"/> was successfully removed from the <see cref="T:System.Collections.Generic.ICollection`1"/>; otherwise, false. This method also returns false if <paramref name="item"/> is not found in the original <see cref="T:System.Collections.Generic.ICollection`1"/>.
        /// </returns>
        /// <param name="item">The object to remove from the <see cref="T:System.Collections.Generic.ICollection`1"/>.</param><exception cref="T:System.NotSupportedException">The <see cref="T:System.Collections.Generic.ICollection`1"/> is read-only.</exception>
        public bool Remove(KeyValuePair<Symbol, Universe> item)
        {
            return Remove(item.Key);
        }
 
        /// <summary>
        /// Gets the number of elements contained in the <see cref="T:System.Collections.Generic.ICollection`1"/>.
        /// </summary>
        /// <returns>
        /// The number of elements contained in the <see cref="T:System.Collections.Generic.ICollection`1"/>.
        /// </returns>
        public int Count => _universes.Skip(0).Count();
 
        /// <summary>
        /// Gets a value indicating whether the <see cref="T:System.Collections.Generic.ICollection`1"/> is read-only.
        /// </summary>
        /// <returns>
        /// true if the <see cref="T:System.Collections.Generic.ICollection`1"/> is read-only; otherwise, false.
        /// </returns>
        public bool IsReadOnly
        {
            get { return false; }
        }
 
        /// <summary>
        /// Determines whether the <see cref="T:System.Collections.Generic.IDictionary`2"/> contains an element with the specified key.
        /// </summary>
        /// <returns>
        /// true if the <see cref="T:System.Collections.Generic.IDictionary`2"/> contains an element with the key; otherwise, false.
        /// </returns>
        /// <param name="key">The key to locate in the <see cref="T:System.Collections.Generic.IDictionary`2"/>.</param><exception cref="T:System.ArgumentNullException"><paramref name="key"/> is null.</exception>
        public bool ContainsKey(Symbol key)
        {
            return _universes.ContainsKey(key);
        }
 
        /// <summary>
        /// Adds an element with the provided key and value to the <see cref="System.Collections.Generic.IDictionary{TKey, TValue}"/>.
        /// </summary>
        /// <param name="key">The object to use as the key of the element to add.
        /// </param><param name="value">The object to use as the value of the element to add.</param>
        /// <exception cref="System.ArgumentNullException"><paramref name="key"/> is null.</exception>
        /// <exception cref="System.ArgumentException">An element with the same key already exists in the <see cref="System.Collections.Generic.IDictionary{TKey, TValue}"/>.</exception>
        /// <exception cref="System.NotSupportedException">The <see cref="System.Collections.Generic.IDictionary{TKey, TValue}"/> is read-only.</exception>
        public void Add(Symbol key, Universe value)
        {
            if (_universes.TryAdd(key, value))
            {
                lock(_pendingChanges)
                {
                    _pendingChanges.Enqueue(new NotifyCollectionChangedEventArgs(NotifyCollectionChangedAction.Add, value));
                }
            }
        }
 
        /// <summary>
        /// Will trigger collection changed event if required
        /// </summary>
        public void ProcessChanges()
        {
            NotifyCollectionChangedEventArgs universeChange;
            do
            {
                lock (_pendingChanges)
                {
                    _pendingChanges.TryDequeue(out universeChange);
                }
 
                if (universeChange != null)
                {
                    OnCollectionChanged(universeChange);
                }
            }
            while (universeChange != null);
        }
 
        /// <summary>
        /// Removes the element with the specified key from the <see cref="T:System.Collections.Generic.IDictionary`2"/>.
        /// </summary>
        /// <returns>
        /// true if the element is successfully removed; otherwise, false.  This method also returns false if <paramref name="key"/> was not found in the original <see cref="T:System.Collections.Generic.IDictionary`2"/>.
        /// </returns>
        /// <param name="key">The key of the element to remove.</param><exception cref="T:System.ArgumentNullException"><paramref name="key"/> is null.</exception><exception cref="T:System.NotSupportedException">The <see cref="T:System.Collections.Generic.IDictionary`2"/> is read-only.</exception>
        public bool Remove(Symbol key)
        {
            Universe universe;
            if (_universes.TryRemove(key, out universe))
            {
                universe.Dispose();
                OnCollectionChanged(new NotifyCollectionChangedEventArgs(NotifyCollectionChangedAction.Remove, universe));
                return true;
            }
            return false;
        }
 
        /// <summary>
        /// Gets the value associated with the specified key.
        /// </summary>
        /// <returns>
        /// true if the object that implements <see cref="T:System.Collections.Generic.IDictionary`2"/> contains an element with the specified key; otherwise, false.
        /// </returns>
        /// <param name="key">The key whose value to get.</param><param name="value">When this method returns, the value associated with the specified key, if the key is found; otherwise, the default value for the type of the <paramref name="value"/> parameter. This parameter is passed uninitialized.</param><exception cref="T:System.ArgumentNullException"><paramref name="key"/> is null.</exception>
        public bool TryGetValue(Symbol key, out Universe value)
        {
            return _universes.TryGetValue(key, out value);
        }
 
        /// <summary>
        /// Gets or sets the element with the specified key.
        /// </summary>
        /// <returns>
        /// The element with the specified key.
        /// </returns>
        /// <param name="symbol">The key of the element to get or set.</param><exception cref="T:System.ArgumentNullException"><paramref name="symbol"/> is null.</exception><exception cref="T:System.Collections.Generic.KeyNotFoundException">The property is retrieved and <paramref name="symbol"/> is not found.</exception><exception cref="T:System.NotSupportedException">The property is set and the <see cref="T:System.Collections.Generic.IDictionary`2"/> is read-only.</exception>
        public Universe this[Symbol symbol]
        {
            get
            {
                if (!_universes.ContainsKey(symbol))
                {
                    throw new KeyNotFoundException($"This universe symbol ({symbol}) was not found in your universe list. Please add this security or check it exists before using it with 'Universes.ContainsKey(\"{SymbolCache.GetTicker(symbol)}\")'");
                }
                return _universes[symbol];
            }
            set
            {
                Universe existing;
                if (_universes.TryGetValue(symbol, out existing) && existing != value)
                {
                    throw new ArgumentException($"Unable to over write existing Universe: {symbol.Value}");
                }
 
                // no security exists for the specified symbol key, add it now
                if (existing == null)
                {
                    Add(symbol, value);
                }
            }
        }
 
        /// <summary>
        /// Gets an <see cref="T:System.Collections.Generic.ICollection`1"/> containing the keys of the <see cref="T:System.Collections.Generic.IDictionary`2"/>.
        /// </summary>
        /// <returns>
        /// An <see cref="T:System.Collections.Generic.ICollection`1"/> containing the keys of the object that implements <see cref="T:System.Collections.Generic.IDictionary`2"/>.
        /// </returns>
        public ICollection<Symbol> Keys => _universes.Select(x => x.Key).ToList();
 
        /// <summary>
        /// Gets an <see cref="T:System.Collections.Generic.ICollection`1"/> containing the values in the <see cref="T:System.Collections.Generic.IDictionary`2"/>.
        /// </summary>
        /// <returns>
        /// An <see cref="T:System.Collections.Generic.ICollection`1"/> containing the values in the object that implements <see cref="T:System.Collections.Generic.IDictionary`2"/>.
        /// </returns>
        public ICollection<Universe> Values => _universes.Select(x => x.Value).ToList();
 
        #endregion
 
        /// <summary>
        /// Event invocator for the <see cref="CollectionChanged"/> event
        /// </summary>
        /// <param name="e"></param>
        protected virtual void OnCollectionChanged(NotifyCollectionChangedEventArgs e)
        {
            CollectionChanged?.Invoke(this, e);
        }
    }
}