Fix multiple coarse selection algorithms (QuantConnect#5927)

- Fix for live trading multiple coarse selections. Adding unit test reproducing issue.
Coulbe · Sep 14, 2021 · 0931ae8 · 0931ae8
1 parent e13df5c
commit 0931ae8
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Showing 3 changed files with 27 additions and 29 deletions.
diff --git a/Common/Data/UniverseSelection/CoarseFundamental.cs b/Common/Data/UniverseSelection/CoarseFundamental.cs
@@ -164,16 +164,11 @@ public override BaseData Clone()
         /// Creates the symbol used for coarse fundamental data
         /// </summary>
         /// <param name="market">The market</param>
-        /// <param name="addGuid">True, will add a random GUID to allow uniqueness</param>
         /// <returns>A coarse universe symbol for the specified market</returns>
-        public static Symbol CreateUniverseSymbol(string market, bool addGuid = true)
+        public static Symbol CreateUniverseSymbol(string market)
         {
             market = market.ToLowerInvariant();
-            var ticker = $"qc-universe-coarse-{market}";
-            if (addGuid)
-            {
-                ticker += $"-{Guid.NewGuid()}";
-            }
+            var ticker = $"qc-universe-coarse-{market}-{Guid.NewGuid()}";
             var sid = SecurityIdentifier.GenerateEquity(SecurityIdentifier.DefaultDate, ticker, market);
             return new Symbol(sid, ticker);
         }

diff --git a/Engine/DataFeeds/LiveTradingDataFeed.cs b/Engine/DataFeeds/LiveTradingDataFeed.cs
@@ -304,10 +304,6 @@ private Subscription CreateUniverseSubscription(SubscriptionRequest request)
             {
                 Log.Trace($"LiveTradingDataFeed.CreateUniverseSubscription(): Creating coarse universe: {config.Symbol.ID}");
 
-                // we subscribe using a normalized symbol, without a random GUID,
-                // since the ticker plant will send the coarse data using this symbol
-                var normalizedSymbol = CoarseFundamental.CreateUniverseSymbol(config.Symbol.ID.Market, false);
-
                 // Will try to pull coarse data from the data folder every 10min, file with today's date.
                 // If lean is started today it will trigger initial coarse universe selection
                 var factory = new LiveCustomDataSubscriptionEnumeratorFactory(_timeProvider,
@@ -318,11 +314,11 @@ private Subscription CreateUniverseSubscription(SubscriptionRequest request)
                 var enumeratorStack = factory.CreateEnumerator(request, _dataProvider);
 
                 // aggregates each coarse data point into a single BaseDataCollection
-                var aggregator = new BaseDataCollectionAggregatorEnumerator(enumeratorStack, normalizedSymbol, true);
-                _customExchange.AddEnumerator(normalizedSymbol, aggregator);
+                var aggregator = new BaseDataCollectionAggregatorEnumerator(enumeratorStack, config.Symbol, true);
+                _customExchange.AddEnumerator(config.Symbol, aggregator);
 
                 var enqueable = new EnqueueableEnumerator<BaseData>();
-                _customExchange.SetDataHandler(normalizedSymbol, data =>
+                _customExchange.SetDataHandler(config.Symbol, data =>
                 {
                     var coarseData = data as BaseDataCollection;
                     enqueable.Enqueue(new BaseDataCollection(coarseData.Time, config.Symbol, coarseData.Data));

diff --git a/Tests/Engine/DataFeeds/LiveTradingDataFeedTests.cs b/Tests/Engine/DataFeeds/LiveTradingDataFeedTests.cs
@@ -833,28 +833,32 @@ public void CustomUniverseFineFundamentalDataGetsPipedCorrectly()
             Assert.IsTrue(fineWasCalled);
         }
 
-
-        [Test]
-        public void FineCoarseFundamentalDataGetsPipedCorrectly()
+        [TestCase(1)]
+        [TestCase(2)]
+        public void FineCoarseFundamentalDataGetsPipedCorrectly(int numberOfUniverses)
         {
             _startDate = new DateTime(2014, 3, 25);
             CustomMockedFileBaseData.StartDate = _startDate;
             _manualTimeProvider.SetCurrentTimeUtc(_startDate);
 
             var feed = RunDataFeed(getNextTicksFunction: fdqh => Enumerable.Empty<BaseData>());
 
-            var fineWasCalled = false;
-            _algorithm.AddUniverse(coarse => coarse
-                    .Where(x => x.Symbol.ID.Symbol.Contains("AAPL")).Select((fundamental, i) => fundamental.Symbol),
-                fine =>
-                {
-                    var symbol = fine.First().Symbol;
-                    if (symbol == Symbols.AAPL)
+            var fineWasCalled = new List<bool> { false, false };
+            for (var i = 0; i < numberOfUniverses; i++)
+            {
+                var index = i;
+                _algorithm.AddUniverse(coarse => coarse
+                        .Where(x => x.Symbol.ID.Symbol.Contains("AAPL")).Select((fundamental, i) => fundamental.Symbol),
+                    fine =>
                     {
-                        fineWasCalled = true;
-                    }
-                    return new[] { symbol };
-                });
+                        var symbol = fine.First().Symbol;
+                        if (symbol == Symbols.AAPL)
+                        {
+                            fineWasCalled[index] = true;
+                        }
+                        return new[] { symbol };
+                    });
+            }
 
             var receivedFundamentalsData = false;
             ConsumeBridge(feed, TimeSpan.FromSeconds(5), ts =>
@@ -869,7 +873,10 @@ public void FineCoarseFundamentalDataGetsPipedCorrectly()
             }, sendUniverseData: true, alwaysInvoke: true, secondsTimeStep: 3600, endDate: _startDate.AddDays(10));
 
             Assert.IsTrue(receivedFundamentalsData);
-            Assert.IsTrue(fineWasCalled);
+            for (var i = 0; i < numberOfUniverses; i++)
+            {
+                Assert.IsTrue(fineWasCalled[i]);
+            }
         }
 
         [TestCase(SecurityType.Future)]