Refactor solution to use enumerator

- Refactor daily strict end times solution to be through enumerator usage, so it applies for history providers too
QuantConnect · May 15, 2024 · 7480ef0 · 7480ef0
1 parent a78dd04
commit 7480ef0
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Showing 60 changed files with 477 additions and 188 deletions.
diff --git a/Algorithm.CSharp/BasicTemplateIndexAlgorithm.cs b/Algorithm.CSharp/BasicTemplateIndexAlgorithm.cs
@@ -63,6 +63,8 @@ public override void Initialize()
 
             _emaSlow = EMA(Spx, 80);
             _emaFast = EMA(Spx, 200);
+
+            Settings.DailyStrictEndTimeEnabled = true;
         }
 
         /// <summary>

diff --git a/Algorithm.CSharp/BasicTemplateIndexDailyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateIndexDailyAlgorithm.cs
@@ -18,6 +18,7 @@
 using System.Linq;
 using QuantConnect.Data;
 using System.Collections.Generic;
+using QuantConnect.Data.Market;
 
 namespace QuantConnect.Algorithm.CSharp
 {
@@ -67,6 +68,12 @@ public override void OnEndOfAlgorithm()
                 return;
             }
 
+            var openInterest = Securities[SpxOption].Cache.GetAll<OpenInterest>();
+            if (openInterest.Single().EndTime != new DateTime(2021, 1, 15, 23, 0, 0))
+            {
+                throw new ArgumentException($"Unexpected open interest time: {openInterest.Single().EndTime}");
+            }
+
             foreach (var symbol in new[] { SpxOption, Spx })
             {
                 var history = History(symbol, 10).ToList();
@@ -98,7 +105,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 122;
+        public override long DataPoints => 121;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -113,7 +120,7 @@ public override void OnEndOfAlgorithm()
             {"Total Orders", "11"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "653.545%"},
+            {"Compounding Annual Return", "621.484%"},
             {"Drawdown", "0%"},
             {"Expectancy", "0"},
             {"Start Equity", "1000000"},

diff --git a/Algorithm.CSharp/BasicTemplateIndexOptionsAlgorithm.cs b/Algorithm.CSharp/BasicTemplateIndexOptionsAlgorithm.cs
@@ -50,6 +50,8 @@ public override void Initialize()
 
             _emaSlow = EMA(_spx, 80);
             _emaFast = EMA(_spx, 200);
+
+            Settings.DailyStrictEndTimeEnabled = true;
         }
 
         /// <summary>

diff --git a/Algorithm.CSharp/FillForwardStrictEndTimeHourRegressionAlgorithm.cs b/Algorithm.CSharp/FillForwardStrictEndTimeHourRegressionAlgorithm.cs
@@ -44,6 +44,8 @@ public override void Initialize()
 
             AddIndex("SPX", Resolution.Daily);
             AddEquity("SPY", FillForwardResolution);
+
+            Settings.DailyStrictEndTimeEnabled = true;
         }
 
         /// <summary>

diff --git a/Algorithm.CSharp/IndexOptionCallITMExpiryDailyRegressionAlgorithm.cs b/Algorithm.CSharp/IndexOptionCallITMExpiryDailyRegressionAlgorithm.cs
@@ -24,6 +24,12 @@ public class IndexOptionCallITMExpiryDailyRegressionAlgorithm : IndexOptionCallI
     {
         protected override Resolution Resolution => Resolution.Daily;
 
+        public override void Initialize()
+        {
+            Settings.DailyStrictEndTimeEnabled = true;
+            base.Initialize();
+        }
+
         /// <summary>
         /// This is used by the regression test system to indicate which languages this algorithm is written in.
         /// </summary>
@@ -32,7 +38,7 @@ public class IndexOptionCallITMExpiryDailyRegressionAlgorithm : IndexOptionCallI
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 195;
+        public override long DataPoints => 194;
 
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm

diff --git a/Algorithm.CSharp/IndexOptionCallOTMExpiryDailyRegressionAlgorithm.cs b/Algorithm.CSharp/IndexOptionCallOTMExpiryDailyRegressionAlgorithm.cs
@@ -24,6 +24,12 @@ public class IndexOptionCallOTMExpiryDailyRegressionAlgorithm : IndexOptionCallO
     {
         protected override Resolution Resolution => Resolution.Daily;
 
+        public override void Initialize()
+        {
+            Settings.DailyStrictEndTimeEnabled = true;
+            base.Initialize();
+        }
+
         /// <summary>
         /// This is used by the regression test system to indicate which languages this algorithm is written in.
         /// </summary>
@@ -32,7 +38,7 @@ public class IndexOptionCallOTMExpiryDailyRegressionAlgorithm : IndexOptionCallO
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 185;
+        public override long DataPoints => 184;
 
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm

diff --git a/Algorithm.CSharp/OptionPriceModelForSupportedEuropeanOptionRegressionAlgorithm.cs b/Algorithm.CSharp/OptionPriceModelForSupportedEuropeanOptionRegressionAlgorithm.cs
@@ -41,7 +41,7 @@ public override void Initialize()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 114;
+        public override long DataPoints => 121;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/OptionPriceModelForUnsupportedEuropeanOptionRegressionAlgorithm.cs b/Algorithm.CSharp/OptionPriceModelForUnsupportedEuropeanOptionRegressionAlgorithm.cs
@@ -42,7 +42,7 @@ public override void Initialize()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 114;
+        public override long DataPoints => 121;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.Python/BasicTemplateIndexDailyAlgorithm.py b/Algorithm.Python/BasicTemplateIndexDailyAlgorithm.py
@@ -42,6 +42,8 @@ def initialize(self) -> None:
         self.ExpectedBarCount = 10
         self.BarCounter = 0
 
+        self.settings.daily_strict_end_time_enabled = True
+
     def on_data(self, data: Slice):
         if not self.Portfolio.Invested:
             # SPX Index is not tradable, but we can trade an option

diff --git a/Common/AlgorithmSettings.cs b/Common/AlgorithmSettings.cs
@@ -132,6 +132,11 @@ public class AlgorithmSettings : IAlgorithmSettings
         /// </remarks>
         public int? TradingDaysPerYear { get; set; }
 
+        /// <summary>
+        /// True if daily strict end times are enabled
+        /// </summary>
+        public bool DailyStrictEndTimeEnabled { get; set; }
+
         /// <summary>
         /// Initializes a new instance of the <see cref="AlgorithmSettings"/> class
         /// </summary>

diff --git a/Common/Data/Consolidators/MarketHourAwareConsolidator.cs b/Common/Data/Consolidators/MarketHourAwareConsolidator.cs
@@ -27,9 +27,14 @@ namespace QuantConnect.Data.Common
     /// </summary>
     public class MarketHourAwareConsolidator : IDataConsolidator
     {
+        private readonly bool _dailyStrictEndTimeEnabled;
         private readonly bool _extendedMarketHours;
-        private readonly TimeSpan _period;
-        private bool _strictEndTime;
+        private bool _useStrictEndTime;
+
+        /// <summary>
+        /// The consolidation period requested
+        /// </summary>
+        protected TimeSpan Period { get; }
 
         /// <summary>
         /// The consolidator instance
@@ -74,9 +79,10 @@ public class MarketHourAwareConsolidator : IDataConsolidator
         /// <param name="dataType">The target data type</param>
         /// <param name="tickType">The target tick type</param>
         /// <param name="extendedMarketHours">True if extended market hours should be consolidated</param>
-        public MarketHourAwareConsolidator(Resolution resolution, Type dataType, TickType tickType, bool extendedMarketHours)
+        public MarketHourAwareConsolidator(bool dailyStrictEndTimeEnabled, Resolution resolution, Type dataType, TickType tickType, bool extendedMarketHours)
         {
-            _period = resolution.ToTimeSpan();
+            _dailyStrictEndTimeEnabled = dailyStrictEndTimeEnabled;
+            Period = resolution.ToTimeSpan();
             _extendedMarketHours = extendedMarketHours;
 
             if (dataType == typeof(Tick))
@@ -85,41 +91,38 @@ public MarketHourAwareConsolidator(Resolution resolution, Type dataType, TickTyp
                 {
                     Consolidator = resolution == Resolution.Daily
                         ? new TickConsolidator(DailyStrictEndTime)
-                        : new TickConsolidator(_period);
+                        : new TickConsolidator(Period);
                 }
                 else
                 {
                     Consolidator = resolution == Resolution.Daily
                         ? new TickQuoteBarConsolidator(DailyStrictEndTime)
-                        : new TickQuoteBarConsolidator(_period);
+                        : new TickQuoteBarConsolidator(Period);
                 }
             }
             else if (dataType == typeof(TradeBar))
             {
                 Consolidator = resolution == Resolution.Daily
                     ? new TradeBarConsolidator(DailyStrictEndTime)
-                    : new TradeBarConsolidator(_period);
+                    : new TradeBarConsolidator(Period);
             }
             else if (dataType == typeof(QuoteBar))
             {
                 Consolidator = resolution == Resolution.Daily
                     ? new QuoteBarConsolidator(DailyStrictEndTime)
-                    : new QuoteBarConsolidator(_period);
+                    : new QuoteBarConsolidator(Period);
             }
             else
             {
                 throw new ArgumentNullException(nameof(dataType), $"{dataType.Name} not supported");
             }
+            Consolidator.DataConsolidated += ForwardConsolidatedBar;
         }
 
         /// <summary>
         /// Event handler that fires when a new piece of data is produced
         /// </summary>
-        public event DataConsolidatedHandler DataConsolidated
-        {
-            add => Consolidator.DataConsolidated += value;
-            remove => Consolidator.DataConsolidated -= value;
-        }
+        public event DataConsolidatedHandler DataConsolidated;
 
         /// <summary>
         /// Updates this consolidator with the specified data
@@ -149,6 +152,7 @@ public void Scan(DateTime currentLocalTime)
         /// </summary>
         public void Dispose()
         {
+            Consolidator.DataConsolidated -= ForwardConsolidatedBar;
             Consolidator.Dispose();
         }
 
@@ -164,7 +168,7 @@ protected void Initialize(IBaseData data)
                 ExchangeHours = marketHoursDatabase.GetExchangeHours(symbol.ID.Market, symbol, symbol.SecurityType);
                 DataTimeZone = marketHoursDatabase.GetDataTimeZone(symbol.ID.Market, symbol, symbol.SecurityType);
 
-                _strictEndTime = UseStrictEndTime(data.Symbol.SecurityType);
+                _useStrictEndTime = !ExchangeHours.IsMarketAlwaysOpen && UseStrictEndTime(data.Symbol);
             }
         }
 
@@ -173,19 +177,27 @@ protected void Initialize(IBaseData data)
         /// </summary>
         protected virtual CalendarInfo DailyStrictEndTime(DateTime dateTime)
         {
-            if (!_strictEndTime)
+            if (!_useStrictEndTime)
             {
-                return new (_period > Time.OneDay ? dateTime : dateTime.RoundDown(_period), _period);
+                return new (Period > Time.OneDay ? dateTime : dateTime.RoundDown(Period), Period);
             }
             return LeanData.GetDailyCalendar(dateTime, ExchangeHours, _extendedMarketHours);
         }
 
         /// <summary>
         /// Useful for testing
         /// </summary>
-        protected virtual bool UseStrictEndTime(SecurityType securityType)
+        protected virtual bool UseStrictEndTime(Symbol symbol)
+        {
+            return LeanData.UseStrictEndTime(_dailyStrictEndTimeEnabled, symbol, Period);
+        }
+
+        /// <summary>
+        /// Will forward the underlying consolidated bar to consumers on this object
+        /// </summary>
+        protected virtual void ForwardConsolidatedBar(object sender, IBaseData consolidated)
         {
-            return LeanData.UseStrictEndTime(securityType, _period);
+            DataConsolidated?.Invoke(this, consolidated);
         }
     }
 }
diff --git a/Common/Data/DataAggregatorInitializeParameters.cs b/Common/Data/DataAggregatorInitializeParameters.cs
@@ -0,0 +1,30 @@
+/*
+ * 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 QuantConnect.Interfaces;
+
+namespace QuantConnect.Data
+{
+    /// <summary>
+    /// The <see cref="IDataAggregator"/> parameters initialize dto
+    /// </summary>
+    public class DataAggregatorInitializeParameters
+    {
+        /// <summary>
+        /// The algorithm settings instance to use
+        /// </summary>
+        public IAlgorithmSettings AlgorithmSettings { get; set; }
+    }
+}
diff --git a/Common/Data/HistoryProviderInitializeParameters.cs b/Common/Data/HistoryProviderInitializeParameters.cs
@@ -76,6 +76,11 @@ public class HistoryProviderInitializeParameters
         /// </summary>
         public IObjectStore ObjectStore { get; }
 
+        /// <summary>
+        /// The algorithm settings instance to use
+        /// </summary>
+        public IAlgorithmSettings AlgorithmSettings { get; }
+
         /// <summary>
         /// Initializes a new instance of the <see cref="HistoryProviderInitializeParameters"/> class from the specified parameters
         /// </summary>
@@ -89,6 +94,7 @@ public class HistoryProviderInitializeParameters
         /// <param name="parallelHistoryRequestsEnabled">True if parallel history requests are enabled</param>
         /// <param name="dataPermissionManager">The data permission manager to use</param>
         /// <param name="objectStore">The object store to use</param>
+        /// <param name="algorithmSettings">The algorithm settings instance to use</param>
         public HistoryProviderInitializeParameters(
             AlgorithmNodePacket job,
             IApi api,
@@ -99,7 +105,8 @@ public class HistoryProviderInitializeParameters
             Action<int> statusUpdateAction,
             bool parallelHistoryRequestsEnabled,
             IDataPermissionManager dataPermissionManager,
-            IObjectStore objectStore)
+            IObjectStore objectStore,
+            IAlgorithmSettings algorithmSettings)
         {
             Job = job;
             Api = api;
@@ -111,6 +118,7 @@ public class HistoryProviderInitializeParameters
             ParallelHistoryRequestsEnabled = parallelHistoryRequestsEnabled;
             DataPermissionManager = dataPermissionManager;
             ObjectStore = objectStore;
+            AlgorithmSettings = algorithmSettings;
         }
     }
 }
diff --git a/Common/Data/IDataAggregator.cs b/Common/Data/IDataAggregator.cs
@@ -1,4 +1,4 @@
-/*
+/*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
  *
@@ -23,6 +23,12 @@ namespace QuantConnect.Data
     /// </summary>
     public interface IDataAggregator : IDisposable
     {
+        /// <summary>
+        /// Initialize this instance
+        /// </summary>
+        /// <param name="parameters">The parameters dto instance</param>
+        void Initialize(DataAggregatorInitializeParameters parameters);
+
         /// <summary>
         /// Add new subscription to current <see cref="IDataAggregator"/> instance
         /// </summary>

diff --git a/Common/Data/Market/QuoteBar.cs b/Common/Data/Market/QuoteBar.cs
@@ -562,7 +562,6 @@ private QuoteBar ParseQuote(SubscriptionDataConfig config, DateTime date, Stream
             }
 
             quoteBar.Value = quoteBar.Close;
-            LeanData.TrySetStrictEndTimes(quoteBar, config.Increment);
             return quoteBar;
         }
 
@@ -630,7 +629,6 @@ private QuoteBar ParseQuote(SubscriptionDataConfig config, DateTime date, string
             }
 
             quoteBar.Value = quoteBar.Close;
-            LeanData.TrySetStrictEndTimes(quoteBar, config.Increment);
             return quoteBar;
         }
 

diff --git a/Common/Data/Market/TradeBar.cs b/Common/Data/Market/TradeBar.cs
@@ -647,7 +647,6 @@ private static TradeBar LineParseNoScale(SubscriptionDataConfig config, string l
             {
                 tradeBar.Volume = csv[5].ToDecimal();
             }
-            LeanData.TrySetStrictEndTimes(tradeBar, config.Increment);
             return tradeBar;
         }
 
@@ -680,7 +679,6 @@ private static TradeBar StreamParseNoScale(SubscriptionDataConfig config, Stream
             {
                 tradeBar.Volume = streamReader.GetDecimal();
             }
-            LeanData.TrySetStrictEndTimes(tradeBar, config.Increment);
             return tradeBar;
         }