/// <summary>
/// Initialise the Generic Data Manager Class
/// </summary>
/// <param name="algorithmSettings">The algorithm settings instance</param>
/// <param name="timeKeeper">The algorithm's time keeper</param>
public SubscriptionManager(IAlgorithmSettings algorithmSettings, TimeKeeper timeKeeper)
{
_algorithmSettings = algorithmSettings;
_timeKeeper = timeKeeper;
// Initialize the default data feeds for each security type
AvailableDataTypes = DefaultDataTypes();
}
/// <summary>
/// Creates a new instance of the DataManager
/// </summary>
public DataManager(IDataFeed dataFeed, UniverseSelection universeSelection, IAlgorithmSettings algorithmSettings, ITimeKeeper timeKeeper)
{
_dataFeed = dataFeed;
UniverseSelection = universeSelection;
_algorithmSettings = algorithmSettings;
AvailableDataTypes = SubscriptionManager.DefaultDataTypes();
_timeKeeper = timeKeeper;
}
/// <summary>
/// Creates a new instance of the DataManager
/// </summary>
public DataManager(
IDataFeed dataFeed,
UniverseSelection universeSelection,
IAlgorithm algorithm,
ITimeKeeper timeKeeper,
MarketHoursDatabase marketHoursDatabase,
bool liveMode,
IRegisteredSecurityDataTypesProvider registeredTypesProvider,
IDataPermissionManager dataPermissionManager)
{
_dataFeed = dataFeed;
UniverseSelection = universeSelection;
UniverseSelection.SetDataManager(this);
_algorithmSettings = algorithm.Settings;
AvailableDataTypes = SubscriptionManager.DefaultDataTypes();
_timeKeeper = timeKeeper;
_marketHoursDatabase = marketHoursDatabase;
_liveMode = liveMode;
_registeredTypesProvider = registeredTypesProvider;
_dataPermissionManager = dataPermissionManager;
// wire ourselves up to receive notifications when universes are added/removed
algorithm.UniverseManager.CollectionChanged += (sender, args) =>
{
switch (args.Action)
{
case NotifyCollectionChangedAction.Add:
foreach (var universe in args.NewItems.OfType <Universe>())
{
var config = universe.Configuration;
var start = algorithm.UtcTime;
var end = algorithm.LiveMode ? Time.EndOfTime
: algorithm.EndDate.ConvertToUtc(algorithm.TimeZone);
Security security;
if (!algorithm.Securities.TryGetValue(config.Symbol, out security))
{
// create a canonical security object if it doesn't exist
security = new Security(
_marketHoursDatabase.GetExchangeHours(config),
config,
algorithm.Portfolio.CashBook[algorithm.AccountCurrency],
SymbolProperties.GetDefault(algorithm.AccountCurrency),
algorithm.Portfolio.CashBook,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
}
AddSubscription(
new SubscriptionRequest(true,
universe,
security,
config,
start,
end));
}
break;
case NotifyCollectionChangedAction.Remove:
foreach (var universe in args.OldItems.OfType <Universe>())
{
// removing the subscription will be handled by the SubscriptionSynchronizer
// in the next loop as well as executing a UniverseSelection one last time.
if (!universe.DisposeRequested)
{
universe.Dispose();
}
}
break;
default:
throw new NotImplementedException("The specified action is not implemented: " + args.Action);
}
};
}
/// <summary>
/// Creates a new instance of the DataManager
/// </summary>
public DataManager(
IDataFeed dataFeed,
UniverseSelection universeSelection,
IAlgorithm algorithm,
ITimeKeeper timeKeeper,
MarketHoursDatabase marketHoursDatabase)
{
_dataFeed = dataFeed;
UniverseSelection = universeSelection;
UniverseSelection.SetDataManager(this);
_algorithmSettings = algorithm.Settings;
AvailableDataTypes = SubscriptionManager.DefaultDataTypes();
_timeKeeper = timeKeeper;
_marketHoursDatabase = marketHoursDatabase;
var liveStart = DateTime.UtcNow;
// wire ourselves up to receive notifications when universes are added/removed
algorithm.UniverseManager.CollectionChanged += (sender, args) =>
{
switch (args.Action)
{
case NotifyCollectionChangedAction.Add:
foreach (var universe in args.NewItems.OfType <Universe>())
{
var config = universe.Configuration;
var start = algorithm.LiveMode ? liveStart : algorithm.UtcTime;
var end = algorithm.LiveMode ? Time.EndOfTime
: algorithm.EndDate.ConvertToUtc(algorithm.TimeZone);
Security security;
if (!algorithm.Securities.TryGetValue(config.Symbol, out security))
{
// create a canonical security object if it doesn't exist
security = new Security(
_marketHoursDatabase.GetExchangeHours(config),
config,
algorithm.Portfolio.CashBook[CashBook.AccountCurrency],
SymbolProperties.GetDefault(CashBook.AccountCurrency),
algorithm.Portfolio.CashBook
);
}
AddSubscription(
new SubscriptionRequest(true,
universe,
security,
config,
start,
end));
}
break;
case NotifyCollectionChangedAction.Remove:
foreach (var universe in args.OldItems.OfType <Universe>())
{
RemoveSubscription(universe.Configuration);
}
break;
default:
throw new NotImplementedException("The specified action is not implemented: " + args.Action);
}
};
}
/// <summary>
/// Initialise the Generic Data Manager Class
/// </summary>
/// <param name="algorithmSettings">The algorithm settings instance</param>
/// <param name="timeKeeper">The algorithm's time keeper</param>
/// <param name="subscriptionManager">The subscription manager</param>
public SubscriptionManager(IAlgorithmSettings algorithmSettings, TimeKeeper timeKeeper, IAlgorithmSubscriptionManager subscriptionManager)
: this(algorithmSettings, timeKeeper)
{
_subscriptionManager = subscriptionManager;
}
/// <summary>
/// Creates a new instance of the DataManager
/// </summary>
public DataManager(IDataFeed dataFeed, UniverseSelection universeSelection, IAlgorithmSettings algorithmSettings)
{
_dataFeed = dataFeed;
UniverseSelection = universeSelection;
_algorithmSettings = algorithmSettings;
}
