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UniverseManager.cs
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UniverseManager.cs
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/*
* 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);
}
}
}