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Reduce TimeSliceFactory update allocations #9621

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22 changes: 18 additions & 4 deletions Engine/DataFeeds/TimeSliceFactory.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -172,8 +172,13 @@ public TimeSlice Create(DateTime utcDateTime,
custom.Add(new UpdateData<ISecurityPrice>(packet.Security, packet.Configuration.Type, list, packet.Configuration.IsInternalFeed));
}

var canShareUpdateData = !packet.Configuration.IsInternalFeed
&& !symbol.SecurityType.IsOption()
&& symbol.SecurityType != SecurityType.Future;
var securityUpdate = new List<BaseData>(list.Count);
var consolidatorUpdate = new List<BaseData>(list.Count);
var consolidatorUpdate = canShareUpdateData
? securityUpdate
: new List<BaseData>(list.Count);
var containsFillForwardData = false;
for (var i = 0; i < list.Count; i++)
{
Expand Down Expand Up @@ -316,7 +321,10 @@ public TimeSlice Create(DateTime utcDateTime,
// do not add it if it is a Suspicious tick
if (tick != null && tick.Suspicious) continue;

securityUpdate.Add(baseData);
if (!canShareUpdateData)
{
securityUpdate.Add(baseData);
}

// option underlying security update
if (!packet.Configuration.IsInternalFeed)
Expand Down Expand Up @@ -376,11 +384,17 @@ public TimeSlice Create(DateTime utcDateTime,
}
}

if (securityUpdate.Count > 0)
if (canShareUpdateData && securityUpdate.Count > 0)
{
var updateData = securityUpdate.AsReadOnly();
security.Add(new UpdateData<ISecurityPrice>(packet.Security, packet.Configuration.Type, updateData, false, containsFillForwardData));
consolidator.Add(new UpdateData<SubscriptionDataConfig>(packet.Configuration, packet.Configuration.Type, updateData, false, containsFillForwardData));
}
else if (securityUpdate.Count > 0)
{
security.Add(new UpdateData<ISecurityPrice>(packet.Security, packet.Configuration.Type, securityUpdate, packet.Configuration.IsInternalFeed, containsFillForwardData));
}
if (consolidatorUpdate.Count > 0)
if (!canShareUpdateData && consolidatorUpdate.Count > 0)
{
consolidator.Add(new UpdateData<SubscriptionDataConfig>(packet.Configuration, packet.Configuration.Type, consolidatorUpdate, packet.Configuration.IsInternalFeed, containsFillForwardData));
}
Expand Down
63 changes: 63 additions & 0 deletions Tests/Engine/DataFeeds/TimeSliceTests.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -217,6 +217,69 @@ public void SuspiciousTicksAreNotAddedToConsolidatorUpdateData()
Assert.AreEqual(281, data[1].Value);
}

[Test]
public void ExternalEquityUpdatesShareReadOnlyData()
{
var config = new SubscriptionDataConfig(
typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.Utc, TimeZones.Utc, true, false, false);
var timeSlice = CreateTimeSlice(config, new TradeBar { Symbol = Symbols.SPY, Time = DateTime.UtcNow, Value = 100 });

Assert.AreEqual(1, timeSlice.SecuritiesUpdateData.Count);
Assert.AreEqual(1, timeSlice.ConsolidatorUpdateData.Count);

var securityData = timeSlice.SecuritiesUpdateData[0].Data;
var consolidatorData = timeSlice.ConsolidatorUpdateData[0].Data;
Assert.AreSame(securityData, consolidatorData);
Assert.Throws<NotSupportedException>(() => ((IList<BaseData>)securityData).Add(new TradeBar()));
}

[TestCase(SecurityType.Option)]
[TestCase(SecurityType.Future)]
public void DerivativeUpdatesUseDistinctData(SecurityType securityType)
{
var symbol = securityType == SecurityType.Option
? Symbols.SPY_C_192_Feb19_2016
: Symbols.Fut_SPY_Mar19_2016;
var config = new SubscriptionDataConfig(
typeof(TradeBar), symbol, Resolution.Minute, TimeZones.Utc, TimeZones.Utc, true, false, false);
var timeSlice = CreateTimeSlice(config, new TradeBar { Symbol = symbol, Time = DateTime.UtcNow, Value = 100 });

var securityUpdate = timeSlice.SecuritiesUpdateData.Single(update => update.Target.Symbol == symbol);
var consolidatorUpdate = timeSlice.ConsolidatorUpdateData.Single(update => update.Target.Symbol == symbol);
Assert.AreNotSame(securityUpdate.Data, consolidatorUpdate.Data);
}

[Test]
public void InternalFeedOnlyCreatesSecurityUpdateData()
{
var config = new SubscriptionDataConfig(
typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.Utc, TimeZones.Utc, true, false, true);
var timeSlice = CreateTimeSlice(config, new TradeBar { Symbol = Symbols.SPY, Time = DateTime.UtcNow, Value = 100 });

Assert.AreEqual(1, timeSlice.SecuritiesUpdateData.Count);
Assert.AreEqual(0, timeSlice.ConsolidatorUpdateData.Count);
Assert.IsTrue(timeSlice.SecuritiesUpdateData[0].IsInternalConfig);
}

private TimeSlice CreateTimeSlice(SubscriptionDataConfig config, BaseData data)
{
var security = GetSecurity(config);
var packets = new List<DataFeedPacket>();
if (security is Option option)
{
var underlying = new TradeBar { Symbol = option.Underlying.Symbol, Time = data.Time, Value = 100 };
packets.Add(new DataFeedPacket(option.Underlying, option.Underlying.SubscriptionDataConfig,
new List<BaseData> { underlying }));
}
packets.Add(new DataFeedPacket(security, config, new List<BaseData> { data }));

return _timeSliceFactory.Create(
data.Time,
packets,
SecurityChangesTests.CreateNonInternal(Enumerable.Empty<Security>(), Enumerable.Empty<Security>()),
new Dictionary<Universe, BaseDataCollection>());
}

private IEnumerable<Slice> GetSlices(Symbol symbol, int initialVolume)
{
var dataType = symbol.SecurityType.IsOption() ? typeof(OptionUniverse) : typeof(FutureUniverse);
Expand Down