Fix new fundamental python deadlock 2 (#7548)

Fix new fundamnental python history usecase deadlock
QuantConnect · Oct 31, 2023 · 9f79016 · 9f79016
1 parent c0801af
commit 9f79016
Show file tree

Hide file tree

Showing 3 changed files with 21 additions and 20 deletions.
diff --git a/Algorithm/QCAlgorithm.History.cs b/Algorithm/QCAlgorithm.History.cs
@@ -807,24 +807,25 @@ private IEnumerable<DataDictionary<T>> GetDataTypedHistory<T>(IEnumerable<Histor
         private IEnumerable<Slice> History(IEnumerable<HistoryRequest> requests, DateTimeZone timeZone)
         {
             // filter out any universe securities that may have made it this far
-            var filteredRequests = GetFilterestRequests(requests, out var hasPythonDataRequest);
+            var filteredRequests = GetFilterestRequests(requests);
 
             // filter out future data to prevent look ahead bias
             var history = HistoryProvider.GetHistory(filteredRequests, timeZone);
 
-            if (hasPythonDataRequest && PythonEngine.IsInitialized)
+            if (PythonEngine.IsInitialized)
             {
                 // add protection against potential python deadlocks
+                // with parallel history requests we reuse the data stack threads to serve the history calls because of this we need to make sure to release
+                // the GIL before waiting on the history request because there could be a work/job in the data stack queues which needs the GIL
                 return WrapPythonDataHistory(history);
             }
 
             return history;
         }
 
-        private List<HistoryRequest> GetFilterestRequests(IEnumerable<HistoryRequest> requests, out bool hasPythonDataRequest)
+        private List<HistoryRequest> GetFilterestRequests(IEnumerable<HistoryRequest> requests)
         {
             List<HistoryRequest> result = new();
-            hasPythonDataRequest = false;
             var sentMessage = false;
             // filter out any universe securities that may have made it this far
             Dictionary<Type, HistoryRequest> baseDataCollectionTypes = null;
@@ -866,11 +867,6 @@ private List<HistoryRequest> GetFilterestRequests(IEnumerable<HistoryRequest> re
                 {
                     result.Add(request);
                 }
-
-                if (!hasPythonDataRequest)
-                {
-                    hasPythonDataRequest = request.IsCustomData && typeof(PythonData).IsAssignableFrom(request.DataType);
-                }
             }
 
             return result;
@@ -1209,20 +1205,19 @@ private static IEnumerable<Slice> WrapPythonDataHistory(IEnumerable<Slice> histo
         {
             using var enumerator = history.GetEnumerator();
 
-            var hasData = true;
-            while (hasData)
+            using (Py.GIL())
             {
-                // TODO: we don't really need the GIL. We should find a way to check whether we have the lock and only call this wrapper method if we do.
-                using (Py.GIL())
+                var hasData = true;
+                while (hasData)
                 {
                     var state = PythonEngine.BeginAllowThreads();
                     hasData = enumerator.MoveNext();
                     PythonEngine.EndAllowThreads(state);
-                }
 
-                if (hasData)
-                {
-                    yield return enumerator.Current;
+                    if (hasData)
+                    {
+                        yield return enumerator.Current;
+                    }
                 }
             }
         }

diff --git a/Engine/AlgorithmManager.cs b/Engine/AlgorithmManager.cs
@@ -838,11 +838,17 @@ private void HandleSplitSymbols(Splits newSplits, List<Split> splitWarnings)
             {
                 if (split.Type != SplitType.Warning)
                 {
-                    Log.Trace($"AlgorithmManager.HandleSplitSymbols(): {_algorithm.Time} - Security split occurred: Split Factor: {split} Reference Price: {split.ReferencePrice}");
+                    if (Log.DebuggingEnabled)
+                    {
+                        Log.Debug($"AlgorithmManager.HandleSplitSymbols(): {_algorithm.Time} - Security split occurred: Split Factor: {split} Reference Price: {split.ReferencePrice}");
+                    }
                     continue;
                 }
 
-                Log.Trace($"AlgorithmManager.HandleSplitSymbols(): {_algorithm.Time} - Security split warning: {split}");
+                if (Log.DebuggingEnabled)
+                {
+                    Log.Debug($"AlgorithmManager.HandleSplitSymbols(): {_algorithm.Time} - Security split warning: {split}");
+                }
 
                 if (!splitWarnings.Any(x => x.Symbol == split.Symbol && x.Type == SplitType.Warning))
                 {

diff --git a/Tests/Common/AlgorithmConfigurationTests.cs b/Tests/Common/AlgorithmConfigurationTests.cs
@@ -63,7 +63,7 @@ public void JsonSerialization()
 
             var serialized = JsonConvert.SerializeObject(algorithmConfiguration);
 
-            Assert.AreEqual("{\"AccountCurrency\":\"GBP\",\"Brokerage\":12,\"AccountType\":1,\"Parameters\":{\"a\":\"A\",\"b\":\"B\"},\"OutOfSampleMaxEndDate\":\"2023-01-01T00:00:00\",\"OutOfSampleDays\":30,\"StartDate\":\"1998-01-01 00:00:00\",\"EndDate\":\"2023-10-26 23:59:59\"}", serialized);
+            Assert.AreEqual($"{{\"AccountCurrency\":\"GBP\",\"Brokerage\":12,\"AccountType\":1,\"Parameters\":{{\"a\":\"A\",\"b\":\"B\"}},\"OutOfSampleMaxEndDate\":\"2023-01-01T00:00:00\",\"OutOfSampleDays\":30,\"StartDate\":\"1998-01-01 00:00:00\",\"EndDate\":\"{algorithm.EndDate.ToString(DateFormat.UI)}\"}}", serialized);
         }
 
         private static TestCaseData[] AlgorithmConfigurationTestCases => new[]