Period consolidator adjusments (QuantConnect#6444)

- Replace logic to convert TimeSpan based PeriodConsolidator into count based, by an override of the 'potentialStartTime' in the case we could be falling into a look ahead consolidated bar end time
ebengtso · Jun 27, 2022 · 5c6a779 · 5c6a779
1 parent 630503b
commit 5c6a779
Show file tree

Hide file tree

Showing 9 changed files with 97 additions and 23 deletions.
diff --git a/Common/Data/Consolidators/DynamicDataConsolidator.cs b/Common/Data/Consolidators/DynamicDataConsolidator.cs
@@ -85,7 +85,7 @@ protected override void AggregateBar(ref TradeBar workingBar, DynamicData data)
                 workingBar = new TradeBar
                 {
                     Symbol = data.Symbol,
-                    Time = GetRoundedBarTime(data.Time),
+                    Time = GetRoundedBarTime(data),
                     Open = open,
                     High = high,
                     Low = low,
@@ -112,4 +112,4 @@ private static decimal GetNamedPropertyOrValueProperty(DynamicData data, string
             return data.GetProperty(propertyName).ConvertInvariant<decimal>();
         }
     }
-}
+}
diff --git a/Common/Data/Consolidators/OpenInterestConsolidator.cs b/Common/Data/Consolidators/OpenInterestConsolidator.cs
@@ -1,4 +1,4 @@
-/*
+/*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
  *
@@ -104,7 +104,7 @@ protected override void AggregateBar(ref OpenInterest workingBar, Tick tick)
                 workingBar = new OpenInterest
                 {
                     Symbol = tick.Symbol,
-                    Time = GetRoundedBarTime(tick.Time),
+                    Time = GetRoundedBarTime(tick),
                     Value = tick.Value
                 };
 
@@ -116,4 +116,4 @@ protected override void AggregateBar(ref OpenInterest workingBar, Tick tick)
             }
         }
     }
-}
+}
diff --git a/Common/Data/Consolidators/PeriodCountConsolidatorBase.cs b/Common/Data/Consolidators/PeriodCountConsolidatorBase.cs
@@ -154,14 +154,7 @@ public override void Update(T data)
                 // only do this check once
                 _validateTimeSpan = true;
                 var dataLength = data.EndTime - data.Time;
-                if (dataLength == _period)
-                {
-                    // if the user is consolidating period 'X' with data of length 'X', be gentle, and transform into a bar of count 1 consolidation, we want to avoid issues like #3062
-                    _maxCount = 1;
-                    _periodSpecification = new BarCountPeriodSpecification();
-                    _period = _periodSpecification.Period;
-                }
-                else if (dataLength > _period)
+                if (dataLength > _period)
                 {
                     throw new ArgumentException($"For Symbol {data.Symbol} can not consolidate bars of period: {_period}, using data of the same or higher period: {data.EndTime - data.Time}");
                 }
@@ -194,7 +187,7 @@ public override void Update(T data)
             if (_period.HasValue)
             {
                 // we're in time span mode and initialized
-                if (_workingBar != null && data.Time - _workingBar.Time >= _period.Value && GetRoundedBarTime(data.Time) > _lastEmit)
+                if (_workingBar != null && data.Time - _workingBar.Time >= _period.Value && GetRoundedBarTime(data) > _lastEmit)
                 {
                     fireDataConsolidated = true;
                 }
@@ -305,6 +298,24 @@ protected DateTime GetRoundedBarTime(DateTime time)
             return startTime;
         }
 
+        /// <summary>
+        /// Gets a rounded-down bar start time. Called by AggregateBar in derived classes.
+        /// </summary>
+        /// <param name="inputData">The input data point</param>
+        /// <returns>The rounded bar start time</returns>
+        [MethodImpl(MethodImplOptions.AggressiveInlining)]
+        protected DateTime GetRoundedBarTime(IBaseData inputData)
+        {
+            var potentialStartTime = GetRoundedBarTime(inputData.Time);
+            if(_period.HasValue && potentialStartTime + _period < inputData.EndTime)
+            {
+                // whops! the end time we were giving is beyond our potential end time, so let's use the giving bars star time instead
+                potentialStartTime = inputData.Time;
+            }
+
+            return potentialStartTime;
+        }
+
         /// <summary>
         /// Event invocator for the <see cref="DataConsolidated"/> event
         /// </summary>

diff --git a/Common/Data/Consolidators/QuoteBarConsolidator.cs b/Common/Data/Consolidators/QuoteBarConsolidator.cs
@@ -84,7 +84,7 @@ protected override void AggregateBar(ref QuoteBar workingBar, QuoteBar data)
 
             if (workingBar == null)
             {
-                workingBar = new QuoteBar(GetRoundedBarTime(data.Time), data.Symbol, null, 0, null, 0, IsTimeBased && Period.HasValue ? Period : data.Period);
+                workingBar = new QuoteBar(GetRoundedBarTime(data), data.Symbol, null, 0, null, 0, IsTimeBased && Period.HasValue ? Period : data.Period);
 
                 // open ask and bid should match previous close ask and bid
                 if (Consolidated != null)

diff --git a/Common/Data/Consolidators/TickConsolidator.cs b/Common/Data/Consolidators/TickConsolidator.cs
@@ -91,7 +91,7 @@ protected override void AggregateBar(ref TradeBar workingBar, Tick data)
         {
             if (workingBar == null)
             {
-                workingBar = new TradeBar(GetRoundedBarTime(data.Time),
+                workingBar = new TradeBar(GetRoundedBarTime(data),
                     data.Symbol,
                     data.Value,
                     data.Value,
@@ -110,4 +110,4 @@ protected override void AggregateBar(ref TradeBar workingBar, Tick data)
             }
         }
     }
-}
+}
diff --git a/Common/Data/Consolidators/TickQuoteBarConsolidator.cs b/Common/Data/Consolidators/TickQuoteBarConsolidator.cs
@@ -91,7 +91,7 @@ protected override void AggregateBar(ref QuoteBar workingBar, Tick data)
         {
             if (workingBar == null)
             {
-                workingBar = new QuoteBar(GetRoundedBarTime(data.Time), data.Symbol, null, decimal.Zero, null, decimal.Zero, Period);
+                workingBar = new QuoteBar(GetRoundedBarTime(data), data.Symbol, null, decimal.Zero, null, decimal.Zero, Period);
 
                 // open ask and bid should match previous close ask and bid
                 if (Consolidated != null)
@@ -107,4 +107,4 @@ protected override void AggregateBar(ref QuoteBar workingBar, Tick data)
             if (!Period.HasValue) workingBar.EndTime = GetRoundedBarTime(data.EndTime);
         }
     }
-}
+}
diff --git a/Common/Data/Consolidators/TradeBarConsolidator.cs b/Common/Data/Consolidators/TradeBarConsolidator.cs
@@ -1,4 +1,4 @@
-/*
+/*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
  *
@@ -97,7 +97,7 @@ protected override void AggregateBar(ref TradeBar workingBar, TradeBar data)
             {
                 workingBar = new TradeBar
                 {
-                    Time = GetRoundedBarTime(data.Time),
+                    Time = GetRoundedBarTime(data),
                     Symbol = data.Symbol,
                     Open = data.Open,
                     High = data.High,
@@ -119,4 +119,4 @@ protected override void AggregateBar(ref TradeBar workingBar, TradeBar data)
             }
         }
     }
-}
+}
diff --git a/Tests/Common/Data/QuoteBarConsolidatorTests.cs b/Tests/Common/Data/QuoteBarConsolidatorTests.cs
@@ -48,6 +48,62 @@ public void ThrowsWhenPeriodIsSmallerThanDataPeriod()
             Assert.Throws<ArgumentException>(() => creator.Update(bar1));
         }
 
+        [Test]
+        public void MultipleResolutionConsolidation()
+        {
+            QuoteBar quoteBar = null;
+            using var creator = new QuoteBarConsolidator(Time.OneDay);
+            creator.DataConsolidated += (sender, args) =>
+            {
+                quoteBar = args;
+            };
+
+            var time = new DateTime(2022, 6, 6);
+            var bar1 = new QuoteBar
+            {
+                Time = time,
+                Symbol = Symbols.SPY,
+                Bid = new Bar(1, 2, 0.75m, 1.25m),
+                LastBidSize = 3,
+                Ask = null,
+                LastAskSize = 0,
+                Value = 1,
+                Period = TimeSpan.FromDays(1)
+            };
+            creator.Update(bar1);
+            Assert.IsNull(quoteBar);
+            creator.Scan(bar1.EndTime);
+            Assert.IsNotNull(quoteBar);
+            quoteBar = null;
+
+            // now let's send in other resolution data
+            var previousBar = bar1;
+            for (int i = 0; i <= 24; i++)
+            {
+                previousBar = new QuoteBar
+                {
+                    Time = previousBar.EndTime,
+                    Symbol = Symbols.SPY,
+                    Bid = new Bar(1, 2, 0.75m, 1.25m),
+                    LastBidSize = 3,
+                    Ask = null,
+                    LastAskSize = 0,
+                    Value = 1,
+                    Period = TimeSpan.FromHours(1)
+                };
+                creator.Update(previousBar);
+
+                if (i < 24)
+                {
+                    Assert.IsNull(quoteBar, $"{i} {previousBar.EndTime}");
+                }
+                else
+                {
+                    Assert.IsNotNull(quoteBar, $"{i} {previousBar.EndTime}");
+                }
+            }
+        }
+
         [Test]
         public void GentlyHandlesPeriodAndDataAreSameResolution()
         {
@@ -71,6 +127,8 @@ public void GentlyHandlesPeriodAndDataAreSameResolution()
                 Period = TimeSpan.FromDays(1)
             };
             creator.Update(bar1);
+            Assert.IsNull(quoteBar);
+            creator.Scan(bar1.EndTime);
             Assert.IsNotNull(quoteBar);
 
             Assert.AreEqual(bar1.Symbol, quoteBar.Symbol);

diff --git a/Tests/Common/Data/TradeBarConsolidatorTests.cs b/Tests/Common/Data/TradeBarConsolidatorTests.cs
@@ -438,11 +438,16 @@ public void GentlyHandlesPeriodAndDataAreSameResolution()
             };
 
             var reference = new DateTime(2015, 04, 13);
+            var bar = new TradeBar { Time = reference, Period = Time.OneDay };
+            consolidator.Update(bar);
 
-            consolidator.Update(new TradeBar { Time = reference, Period = Time.OneDay });
+            Assert.IsNull(consolidated);
+            consolidator.Scan(bar.EndTime);
+            Assert.IsNotNull(consolidated);
 
             Assert.IsNotNull(consolidated);
             Assert.AreEqual(reference, consolidated.Time);
+            Assert.AreEqual(Time.OneDay, consolidated.Period);
         }
 
         [Test]