Add current time for LookupSymbols interface

QuantConnect · May 27, 2022 · c4696b8 · c4696b8
1 parent 3110707
commit c4696b8
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Showing 16 changed files with 55 additions and 31 deletions.
diff --git a/Brokerages/Tradier/TradierBrokerage.DataQueueUniverseProvider.cs b/Brokerages/Tradier/TradierBrokerage.DataQueueUniverseProvider.cs
@@ -1,4 +1,4 @@
-/*
+/*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
  *
@@ -32,9 +32,10 @@ public partial class TradierBrokerage
         /// </summary>
         /// <param name="symbol">Symbol to lookup</param>
         /// <param name="includeExpired">Include expired contracts</param>
+        /// <param name="dateTimeUtc">The current time in utc</param>
         /// <param name="securityCurrency">Expected security currency(if any)</param>
         /// <returns>Enumerable of Symbols, that are associated with the provided Symbol</returns>
-        public IEnumerable<Symbol> LookupSymbols(Symbol symbol, bool includeExpired, string securityCurrency = null)
+        public IEnumerable<Symbol> LookupSymbols(Symbol symbol, bool includeExpired, DateTime dateTimeUtc, string securityCurrency = null)
         {
             if (symbol.SecurityType != SecurityType.Option)
             {
@@ -47,7 +48,7 @@ public IEnumerable<Symbol> LookupSymbols(Symbol symbol, bool includeExpired, str
 
             var symbols = new List<Symbol>();
 
-            var today = DateTime.UtcNow.ConvertFromUtc(TimeZones.NewYork).Date;
+            var today = dateTimeUtc.ConvertFromUtc(TimeZones.NewYork).Date;
             symbols.AddRange(_algorithm.OptionChainProvider.GetOptionContractList(symbol.Underlying, today));
 
             // Try to remove options contracts that have expired

diff --git a/Common/Data/UniverseSelection/ContinuousContractUniverse.cs b/Common/Data/UniverseSelection/ContinuousContractUniverse.cs
@@ -130,7 +130,8 @@ public IEnumerable<DateTime> GetTriggerTimes(DateTime startTimeUtc, DateTime end
             var endTimeLocal = endTimeUtc.ConvertFromUtc(_security.Exchange.TimeZone);
 
             return Time.EachTradeableDay(_security, startTimeLocal, endTimeLocal)
-                .Where(tradeableDay => tradeableDay >= startTimeLocal)
+                // in live trading selection happens on start see 'DataQueueFuturesChainUniverseDataCollectionEnumerator'
+                .Where(tradeableDay => _liveMode || tradeableDay >= startTimeLocal)
                 // in live trading we delay selection so that we make sure auxiliary data is ready
                 .Select(time => _liveMode ? time.Add(Time.LiveAuxiliaryDataOffset) : time);
         }

diff --git a/Common/Interfaces/IDataQueueUniverseProvider.cs b/Common/Interfaces/IDataQueueUniverseProvider.cs
@@ -1,4 +1,4 @@
-/*
+/*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
  *
@@ -13,6 +13,7 @@
  * limitations under the License.
 */
 
+using System;
 using System.Collections.Generic;
 
 namespace QuantConnect.Interfaces
@@ -28,9 +29,10 @@ public interface IDataQueueUniverseProvider
         /// </summary>
         /// <param name="symbol">Symbol to lookup</param>
         /// <param name="includeExpired">Include expired contracts</param>
+        /// <param name="dateTimeUtc">The current time in utc</param>
         /// <param name="securityCurrency">Expected security currency(if any)</param>
         /// <returns>Enumerable of Symbols, that are associated with the provided Symbol</returns>
-        IEnumerable<Symbol> LookupSymbols(Symbol symbol, bool includeExpired, string securityCurrency = null);
+        IEnumerable<Symbol> LookupSymbols(Symbol symbol, bool includeExpired, DateTime dateTimeUtc, string securityCurrency = null);
 
         /// <summary>
         /// Returns whether selection can take place or not.

diff --git a/Engine/DataFeeds/DataQueueHandlerManager.cs b/Engine/DataFeeds/DataQueueHandlerManager.cs
@@ -113,13 +113,14 @@ public void Dispose()
         /// </summary>
         /// <param name="symbol">Symbol to lookup</param>
         /// <param name="includeExpired">Include expired contracts</param>
+        /// <param name="dateTimeUtc">The current time in utc</param>
         /// <param name="securityCurrency">Expected security currency(if any)</param>
         /// <returns>Enumerable of Symbols, that are associated with the provided Symbol</returns>
-        public IEnumerable<Symbol> LookupSymbols(Symbol symbol, bool includeExpired, string securityCurrency = null)
+        public IEnumerable<Symbol> LookupSymbols(Symbol symbol, bool includeExpired, DateTime dateTimeUtc, string securityCurrency = null)
         {
             foreach (var dataHandler in GetUniverseProviders())
             {
-                var result = dataHandler.LookupSymbols(symbol, includeExpired, securityCurrency).ToList();
+                var result = dataHandler.LookupSymbols(symbol, includeExpired, dateTimeUtc, securityCurrency).ToList();
                 if (result.Any())
                 {
                     return result;

diff --git a/Engine/DataFeeds/Enumerators/DataQueueFuturesChainUniverseDataCollectionEnumerator.cs b/Engine/DataFeeds/Enumerators/DataQueueFuturesChainUniverseDataCollectionEnumerator.cs
@@ -1,4 +1,4 @@
-/*
+/*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
  *
@@ -94,12 +94,13 @@ public bool MoveNext()
                     return true;
                 }
 
-                var localTime = _timeProvider.GetUtcNow()
+                var utcTime = _timeProvider.GetUtcNow();
+                var localTime = utcTime
                     .RoundDown(_subscriptionRequest.Configuration.Increment)
                     .ConvertFromUtc(_subscriptionRequest.Configuration.ExchangeTimeZone);
 
                 // loading the list of futures contracts and converting them into zip entries
-                var symbols = _universeProvider.LookupSymbols(_subscriptionRequest.Security.Symbol, false);
+                var symbols = _universeProvider.LookupSymbols(_subscriptionRequest.Security.Symbol, false, utcTime);
                 var zipEntries = symbols.Select(x => new ZipEntryName { Time = localTime, Symbol = x } as BaseData).ToList();
                 var current = new FuturesChainUniverseDataCollection
                 {

diff --git a/Engine/DataFeeds/Enumerators/DataQueueOptionChainUniverseDataCollectionEnumerator.cs b/Engine/DataFeeds/Enumerators/DataQueueOptionChainUniverseDataCollectionEnumerator.cs
@@ -1,4 +1,4 @@
-/*
+/*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
  *
@@ -111,12 +111,13 @@ public bool MoveNext()
                     return true;
                 }
 
-                var localTime = _timeProvider.GetUtcNow()
+                var utcTime = _timeProvider.GetUtcNow();
+                var localTime = utcTime
                     .RoundDown(_subscriptionRequest.Configuration.Increment)
                     .ConvertFromUtc(_subscriptionRequest.Configuration.ExchangeTimeZone);
 
                 // loading the list of futures contracts and converting them into zip entries
-                var symbols = _universeProvider.LookupSymbols(_subscriptionRequest.Security.Symbol, false);
+                var symbols = _universeProvider.LookupSymbols(_subscriptionRequest.Security.Symbol, false, utcTime);
                 var zipEntries = symbols.Select(x => new ZipEntryName { Time = localTime, Symbol = x } as BaseData).ToList();
                 _currentData = new OptionChainUniverseDataCollection
                 {

diff --git a/Engine/DataFeeds/LiveTradingDataFeed.cs b/Engine/DataFeeds/LiveTradingDataFeed.cs
@@ -353,7 +353,7 @@ private Subscription CreateUniverseSubscription(SubscriptionRequest request)
 
                 var symbolUniverse = GetUniverseProvider(SecurityType.Option);
 
-                var enumeratorFactory = new OptionChainUniverseSubscriptionEnumeratorFactory(configure, symbolUniverse, _timeProvider);
+                var enumeratorFactory = new OptionChainUniverseSubscriptionEnumeratorFactory(configure, symbolUniverse, _frontierTimeProvider);
                 enumerator = enumeratorFactory.CreateEnumerator(request, _dataProvider);
 
                 enumerator = new FrontierAwareEnumerator(enumerator, _frontierTimeProvider, tzOffsetProvider);
@@ -364,7 +364,7 @@ private Subscription CreateUniverseSubscription(SubscriptionRequest request)
 
                 var symbolUniverse = GetUniverseProvider(SecurityType.Option);
 
-                var enumeratorFactory = new FuturesChainUniverseSubscriptionEnumeratorFactory(symbolUniverse, _timeProvider);
+                var enumeratorFactory = new FuturesChainUniverseSubscriptionEnumeratorFactory(symbolUniverse, _frontierTimeProvider);
                 enumerator = enumeratorFactory.CreateEnumerator(request, _dataProvider);
 
                 enumerator = new FrontierAwareEnumerator(enumerator, _frontierTimeProvider, tzOffsetProvider);

diff --git a/Engine/DataFeeds/Queues/FakeDataQueue.cs b/Engine/DataFeeds/Queues/FakeDataQueue.cs
@@ -205,7 +205,15 @@ private TimeZoneOffsetProvider GetTimeZoneOffsetProvider(Symbol symbol)
             return offsetProvider;
         }
 
-        public IEnumerable<Symbol> LookupSymbols(Symbol symbol, bool includeExpired, string securityCurrency = null)
+        /// <summary>
+        /// Method returns a collection of Symbols that are available at the data source.
+        /// </summary>
+        /// <param name="symbol">Symbol to lookup</param>
+        /// <param name="includeExpired">Include expired contracts</param>
+        /// <param name="dateTimeUtc">The current time in utc</param>
+        /// <param name="securityCurrency">Expected security currency(if any)</param>
+        /// <returns>Enumerable of Symbols, that are associated with the provided Symbol</returns>
+        public IEnumerable<Symbol> LookupSymbols(Symbol symbol, bool includeExpired, DateTime dateTimeUtc, string securityCurrency = null)
         {
             yield break;
         }

diff --git a/Engine/HistoricalData/FakeHistoryProvider.cs b/Engine/HistoricalData/FakeHistoryProvider.cs
@@ -52,7 +52,11 @@ public override void Initialize(HistoryProviderInitializeParameters parameters)
         /// <returns>An enumerable of the slices of data covering the span specified in each request</returns>
         public override IEnumerable<Slice> GetHistory(IEnumerable<HistoryRequest> requests, DateTimeZone sliceTimeZone)
         {
-            var single = requests.Single();
+            var single = requests.SingleOrDefault();
+            if(single == null)
+            {
+                yield break;
+            }
 
             var currentLocalTime = single.StartTimeLocal;
             while (currentLocalTime < single.EndTimeLocal)
@@ -89,7 +93,7 @@ public override IEnumerable<Slice> GetHistory(IEnumerable<HistoryRequest> reques
                     }
                     else
                     {
-                        throw new InvalidOperationException();
+                        yield break;
                     }
 
                     yield return new Slice(data.EndTime, new BaseData[] { data }, data.EndTime.ConvertFromUtc(single.ExchangeHours.TimeZone));

diff --git a/Tests/Engine/DataFeeds/DataQueueHandlerManagerTests.cs b/Tests/Engine/DataFeeds/DataQueueHandlerManagerTests.cs
@@ -90,7 +90,7 @@ public void IsNotUniverseProvider()
         {
             var compositeDataQueueHandler = new DataQueueHandlerManager();
             Assert.IsFalse(compositeDataQueueHandler.HasUniverseProvider);
-            Assert.Throws<NotSupportedException>(() => compositeDataQueueHandler.LookupSymbols(Symbols.ES_Future_Chain, false));
+            Assert.Throws<NotSupportedException>(() => compositeDataQueueHandler.LookupSymbols(Symbols.ES_Future_Chain, false, DateTime.UtcNow));
             Assert.Throws<NotSupportedException>(() => compositeDataQueueHandler.CanPerformSelection());
             compositeDataQueueHandler.Dispose();
         }

diff --git a/...DataFeeds/Enumerators/Factories/FuturesChainUniverseSubscriptionEnumeratorFactoryTests.cs b/...DataFeeds/Enumerators/Factories/FuturesChainUniverseSubscriptionEnumeratorFactoryTests.cs
@@ -1,4 +1,4 @@
-/*
+/*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
  *
@@ -132,7 +132,7 @@ public TestDataQueueUniverseProvider(ITimeProvider timeProvider)
                 _timeProvider = timeProvider;
             }
 
-            public IEnumerable<Symbol> LookupSymbols(Symbol symbol, bool includeExpired, string securityCurrency = null)
+            public IEnumerable<Symbol> LookupSymbols(Symbol symbol, bool includeExpired, DateTime dateTimeUtc, string securityCurrency = null)
             {
                 TotalLookupCalls++;
 

diff --git a/.../DataFeeds/Enumerators/Factories/OptionChainUniverseSubscriptionEnumeratorFactoryTests.cs b/.../DataFeeds/Enumerators/Factories/OptionChainUniverseSubscriptionEnumeratorFactoryTests.cs
@@ -260,7 +260,7 @@ public TestDataQueueUniverseProvider(ITimeProvider timeProvider)
                 _timeProvider = timeProvider;
             }
 
-            public IEnumerable<Symbol> LookupSymbols(Symbol symbol, bool includeExpired, string securityCurrency = null)
+            public IEnumerable<Symbol> LookupSymbols(Symbol symbol, bool includeExpired, DateTime dateTimeUtc, string securityCurrency = null)
             {
                 TotalLookupCalls++;
 

diff --git a/Tests/Engine/DataFeeds/FuncDataQueueHandlerUniverseProvider.cs b/Tests/Engine/DataFeeds/FuncDataQueueHandlerUniverseProvider.cs
@@ -1,4 +1,4 @@
-/*
+/*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
  *
@@ -53,9 +53,10 @@ public class FuncDataQueueHandlerUniverseProvider : FuncDataQueueHandler, IDataQ
         /// </summary>
         /// <param name="symbol">Symbol to lookup</param>
         /// <param name="includeExpired">Include expired contracts</param>
+        /// <param name="dateTimeUtc">The current time in utc</param>
         /// <param name="securityCurrency">Expected security currency(if any)</param>
         /// <returns></returns>
-        public IEnumerable<Symbol> LookupSymbols(Symbol symbol, bool includeExpired, string securityCurrency = null)
+        public IEnumerable<Symbol> LookupSymbols(Symbol symbol, bool includeExpired, DateTime dateTimeUtc, string securityCurrency = null)
         {
             return _lookupSymbolsFunction(symbol, includeExpired, securityCurrency);
         }

diff --git a/Tests/Engine/DataFeeds/IQFeedRealtimeDataFeedTests.cs b/Tests/Engine/DataFeeds/IQFeedRealtimeDataFeedTests.cs
@@ -1,4 +1,4 @@
-/*
+/*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
  *
@@ -14,6 +14,7 @@
  *
 */
 
+using System;
 using NUnit.Framework;
 using QuantConnect.Brokerages;
 using QuantConnect.Interfaces;
@@ -41,8 +42,9 @@ public void IQFeedSanityCheckIfDataIsLoaded()
             Assert.IsTrue(symbolUniverse.LookupSymbols("SPY", SecurityType.Option, false).Any());
             Assert.IsTrue(symbolUniverse.LookupSymbols("SPY", SecurityType.Equity, false).Count() == 1);
 
-            Assert.IsTrue(lookup.LookupSymbols(Symbol.Create("SPY", SecurityType.Option, Market.USA), false).Any());
-            Assert.IsTrue(lookup.LookupSymbols(Symbol.Create("SPY", SecurityType.Equity, Market.USA), false).Count() == 1);
+            var now = DateTime.UtcNow;
+            Assert.IsTrue(lookup.LookupSymbols(Symbol.Create("SPY", SecurityType.Option, Market.USA), false, now).Any());
+            Assert.IsTrue(lookup.LookupSymbols(Symbol.Create("SPY", SecurityType.Equity, Market.USA), false, now).Count() == 1);
 
             Assert.IsTrue(!string.IsNullOrEmpty(mapper.GetBrokerageSymbol(Symbols.SPY)));
             Assert.IsTrue(mapper.GetLeanSymbol("SPY", SecurityType.Equity, "") != Symbol.Empty);

diff --git a/ToolBox/IQFeed/IQFeedDataQueueHandler.cs b/ToolBox/IQFeed/IQFeedDataQueueHandler.cs
@@ -358,9 +358,10 @@ public IEnumerable<Symbol> LookupSymbols(string lookupName, SecurityType securit
         /// </summary>
         /// <param name="symbol">Symbol to lookup</param>
         /// <param name="includeExpired">Include expired contracts</param>
+        /// <param name="dateTimeUtc">The current time in utc</param>
         /// <param name="securityCurrency">Expected security currency(if any)</param>
         /// <returns>Symbol results</returns>
-        public IEnumerable<Symbol> LookupSymbols(Symbol symbol, bool includeExpired, string securityCurrency)
+        public IEnumerable<Symbol> LookupSymbols(Symbol symbol, bool includeExpired, DateTime dateTimeUtc, string securityCurrency = null)
         {
             return LookupSymbols(symbol.ID.Symbol, symbol.SecurityType, includeExpired, securityCurrency);
         }

diff --git a/ToolBox/IQFeed/IQFeedDataQueueUniverseProvider.cs b/ToolBox/IQFeed/IQFeedDataQueueUniverseProvider.cs
@@ -1,4 +1,4 @@
-/*
+/*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
  *
@@ -190,9 +190,10 @@ public IEnumerable<Symbol> LookupSymbols(string lookupName, SecurityType securit
         /// </summary>
         /// <param name="symbol">Symbol to lookup</param>
         /// <param name="includeExpired">Include expired contracts</param>
+        /// <param name="dateTimeUtc">The current time in utc</param>
         /// <param name="securityCurrency">Expected security currency(if any)</param>
         /// <returns>Symbol results</returns>
-        public IEnumerable<Symbol> LookupSymbols(Symbol symbol, bool includeExpired, string securityCurrency)
+        public IEnumerable<Symbol> LookupSymbols(Symbol symbol, bool includeExpired, DateTime dateTimeUtc, string securityCurrency = null)
         {
             return LookupSymbols(symbol.ID.Symbol, symbol.SecurityType, includeExpired, securityCurrency);
         }