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Some refactor and cleanup (#8014)
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* Some refactor and cleanup

- Some refactor and cleanups
- Improve live trading CI tests speed

* Minor tweak for live trading data feed log
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@Martin-Molinero
Martin-Molinero committed May 10, 2024
1 parent 061d5a9 commit 1c32144
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Showing 14 changed files with 308 additions and 304 deletions.
28 changes: 2 additions & 26 deletions Algorithm.CSharp/FutureMarketOpenConsolidatorRegressionAlgorithm.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -18,6 +18,7 @@
using QuantConnect.Interfaces;
using QuantConnect.Data;
using QuantConnect.Data.Consolidators;
using QuantConnect.Util;

namespace QuantConnect.Algorithm.CSharp
{
Expand Down Expand Up @@ -64,33 +65,8 @@ public override void Initialize()

Consolidate<BaseData>(es.Symbol, dataTime =>
{
var start = es.Exchange.Hours.GetPreviousMarketOpen(dataTime, ExtendedMarketHours);
var end = es.Exchange.Hours.GetNextMarketClose(start, ExtendedMarketHours);
if (ExtendedMarketHours)
{
// market might open at 16:30 and close again at 17:00 but we are not interested in using the close so we skip it here
while (end.Date == start.Date)
{
end = es.Exchange.Hours.GetNextMarketClose(end, ExtendedMarketHours);
}
} else
{
// Let's not consider regular market gaps like when market closes at 16:15 and opens again at 16:30
while (true)
{
var potentialEnd = es.Exchange.Hours.GetNextMarketClose(end, ExtendedMarketHours);
if (potentialEnd.Date != end.Date)
{
break;
}
end = potentialEnd;
}
}
var period = end - start;
// based on the given data time we return the start time of it's bar and the expected period size
return new CalendarInfo(start, period);
return LeanData.GetDailyCalendar(dataTime, es.Exchange, ExtendedMarketHours);
}, bar => Assert(bar));
}

Expand Down
42 changes: 40 additions & 2 deletions Common/Data/Consolidators/Calendar.cs
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Original file line number Diff line number Diff line change
@@ -1,4 +1,4 @@
/*
/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
Expand Down Expand Up @@ -91,7 +91,7 @@ public static class Calendar
/// <summary>
/// Calendar Info for storing information related to the start and period of a consolidator
/// </summary>
public struct CalendarInfo
public readonly struct CalendarInfo
{
/// <summary>
/// Calendar Start
Expand All @@ -103,6 +103,11 @@ public struct CalendarInfo
/// </summary>
public readonly TimeSpan Period;

/// <summary>
/// Calendar End
/// </summary>
public readonly DateTime End => Start + Period;

/// <summary>
/// Constructor for CalendarInfo; used for consolidation calendar
/// </summary>
Expand All @@ -113,5 +118,38 @@ public CalendarInfo(DateTime start, TimeSpan period)
Start = start;
Period = period;
}

public override string ToString()
{
return $"{Start} {Period}";
}

public override bool Equals(object obj)
{
if (obj is not CalendarInfo other)
{
return false;
}
return Start == other.Start && Period == other.Period;
}

public override int GetHashCode()
{
unchecked
{
var hashCode = Start.GetHashCode();
return (hashCode * 397) ^ Period.GetHashCode();
}
}

public static bool operator ==(CalendarInfo left, CalendarInfo right)
{
return left.Equals(right);
}

public static bool operator !=(CalendarInfo left, CalendarInfo right)
{
return !(left == right);
}
}
}
8 changes: 4 additions & 4 deletions Common/Data/Consolidators/QuoteBarConsolidator.cs
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Expand Up @@ -15,8 +15,8 @@
*/

using System;
using QuantConnect.Data.Market;
using Python.Runtime;
using QuantConnect.Data.Market;

namespace QuantConnect.Data.Consolidators
{
Expand All @@ -26,7 +26,7 @@ namespace QuantConnect.Data.Consolidators
public class QuoteBarConsolidator : PeriodCountConsolidatorBase<QuoteBar, QuoteBar>
{
/// <summary>
/// Initializes a new instance of the <see cref="TickQuoteBarConsolidator"/> class
/// Initializes a new instance of the <see cref="QuoteBarConsolidator"/> class
/// </summary>
/// <param name="period">The minimum span of time before emitting a consolidated bar</param>
public QuoteBarConsolidator(TimeSpan period)
Expand All @@ -35,7 +35,7 @@ public QuoteBarConsolidator(TimeSpan period)
}

/// <summary>
/// Initializes a new instance of the <see cref="TickQuoteBarConsolidator"/> class
/// Initializes a new instance of the <see cref="QuoteBarConsolidator"/> class
/// </summary>
/// <param name="maxCount">The number of pieces to accept before emitting a consolidated bar</param>
public QuoteBarConsolidator(int maxCount)
Expand All @@ -44,7 +44,7 @@ public QuoteBarConsolidator(int maxCount)
}

/// <summary>
/// Initializes a new instance of the <see cref="TickQuoteBarConsolidator"/> class
/// Initializes a new instance of the <see cref="QuoteBarConsolidator"/> class
/// </summary>
/// <param name="maxCount">The number of pieces to accept before emitting a consolidated bar</param>
/// <param name="period">The minimum span of time before emitting a consolidated bar</param>
Expand Down
70 changes: 3 additions & 67 deletions Common/Data/Market/QuoteBar.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -368,59 +368,6 @@ public override BaseData Reader(SubscriptionDataConfig config, string line, Date
return new QuoteBar { Symbol = config.Symbol, Period = config.Increment };
}

private static bool HasShownWarning;

/// <summary>
/// "Scaffold" code - If the data being read is formatted as a TradeBar, use this method to deserialize it
/// TODO: Once all Forex data refactored to use QuoteBar formatted data, remove this method
/// </summary>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="line">Line from the data file requested</param>
/// <param name="date">Date of this reader request</param>
/// <returns><see cref="QuoteBar"/> with the bid/ask prices set to same values</returns>
[Obsolete("All Forex data should use Quotes instead of Trades.")]
private QuoteBar ParseTradeAsQuoteBar(SubscriptionDataConfig config, DateTime date, string line)
{
if (!HasShownWarning)
{
Logging.Log.Error("QuoteBar.ParseTradeAsQuoteBar(): Data formatted as Trade when Quote format was expected. Support for this will disappear June 2017.");
HasShownWarning = true;
}

var quoteBar = new QuoteBar
{
Period = config.Increment,
Symbol = config.Symbol
};

var csv = line.ToCsv(5);
if (config.Resolution == Resolution.Daily || config.Resolution == Resolution.Hour)
{
// hourly and daily have different time format, and can use slow, robust c# parser.
quoteBar.Time = DateTime.ParseExact(csv[0], DateFormat.TwelveCharacter, CultureInfo.InvariantCulture).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
}
else
{
//Fast decimal conversion
quoteBar.Time = date.Date.AddMilliseconds(csv[0].ToInt32()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
}

// the Bid/Ask bars were already create above, we don't need to recreate them but just set their values
quoteBar.Bid.Open = csv[1].ToDecimal();
quoteBar.Bid.High = csv[2].ToDecimal();
quoteBar.Bid.Low = csv[3].ToDecimal();
quoteBar.Bid.Close = csv[4].ToDecimal();

quoteBar.Ask.Open = csv[1].ToDecimal();
quoteBar.Ask.High = csv[2].ToDecimal();
quoteBar.Ask.Low = csv[3].ToDecimal();
quoteBar.Ask.Close = csv[4].ToDecimal();

quoteBar.Value = quoteBar.Close;

return quoteBar;
}

/// <summary>
/// Parse a quotebar representing a future with a scaling factor
/// </summary>
Expand Down Expand Up @@ -454,7 +401,7 @@ public QuoteBar ParseFuture(SubscriptionDataConfig config, StreamReader streamRe
/// <returns><see cref="QuoteBar"/> with the bid/ask set to same values</returns>
public QuoteBar ParseOption(SubscriptionDataConfig config, string line, DateTime date)
{
return ParseQuote(config, date, line, OptionUseScaleFactor(config.Symbol));
return ParseQuote(config, date, line, LeanData.OptionUseScaleFactor(config.Symbol));
}

/// <summary>
Expand All @@ -467,18 +414,7 @@ public QuoteBar ParseOption(SubscriptionDataConfig config, string line, DateTime
public QuoteBar ParseOption(SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
{
// scale factor only applies for equity and index options
return ParseQuote(config, date, streamReader, useScaleFactor: OptionUseScaleFactor(config.Symbol));
}

/// <summary>
/// Helper method that defines the types of options that should use scale factor
/// </summary>
/// <param name="symbol"></param>
/// <returns></returns>
private static bool OptionUseScaleFactor(Symbol symbol)
{
return symbol.SecurityType == SecurityType.Option ||
symbol.SecurityType == SecurityType.IndexOption;
return ParseQuote(config, date, streamReader, useScaleFactor: LeanData.OptionUseScaleFactor(config.Symbol));
}

/// <summary>
Expand Down Expand Up @@ -651,7 +587,7 @@ private QuoteBar ParseQuote(SubscriptionDataConfig config, DateTime date, string
Symbol = config.Symbol
};

var csv = line.ToCsv(10);
var csv = line.ToCsv(11);
if (config.Resolution == Resolution.Daily || config.Resolution == Resolution.Hour)
{
// hourly and daily have different time format, and can use slow, robust c# parser.
Expand Down

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