/// <summary>
/// Removes the subscription from the data feed, if it exists
/// </summary>
/// <param name="security">The security to remove subscriptions for</param>
public void RemoveSubscription(Security security)
{
var symbols = BuildTypeSymbolList(new[] { security });
_dataQueue.Unsubscribe(_job, symbols);
LiveSubscription subscription;
_subscriptions.TryRemove(new SymbolSecurityType(security), out subscription);
}
/// <summary>
/// Trigger the live trading datafeed thread to abort and stop looping.
/// </summary>
public void Exit()
{
lock (_lock)
{
// Unsubscribe from these symbols
_dataQueue.Unsubscribe(_job, BuildTypeSymbolList(_algorithm));
_exitTriggered = true;
PurgeData();
}
}
/// <summary>
/// Trigger the live trading datafeed thread to abort and stop looping.
/// </summary>
public void Exit()
{
lock (_lock)
{
// Unsubscribe from these symbols
var symbols = BuildTypeSymbolList(_algorithm);
if (symbols.Any())
{
// don't unsubscribe if there's nothing there, this allows custom data to
// work with the LiveDataQueue default LEAN implemetation that just throws on every method.
_dataQueue.Unsubscribe(_job, symbols);
}
_exitTriggered = true;
Bridge.Dispose();
}
}
/// <summary>
/// Creates a new instance
/// </summary>
public LiveSubscriptionEnumerator(SubscriptionDataConfig dataConfig, IDataQueueHandler dataQueueHandler, EventHandler handler)
{
_requestedSymbol = dataConfig.Symbol;
_underlyingEnumerator = dataQueueHandler.SubscribeWithMapping(dataConfig, handler, out _currentConfig);
// for any mapping event we will re subscribe
dataConfig.NewSymbol += (_, _) =>
{
dataQueueHandler.Unsubscribe(_currentConfig);
_previousEnumerator = _underlyingEnumerator;
var oldSymbol = _currentConfig.Symbol;
_underlyingEnumerator = dataQueueHandler.SubscribeWithMapping(dataConfig, handler, out _currentConfig);
Log.Trace($"LiveSubscriptionEnumerator({_requestedSymbol}): " +
$"resubscribing old: '{oldSymbol.Value}' new '{_currentConfig.Symbol.Value}'");
};
}
/// <summary>
/// Creates a new instance
/// </summary>
public LiveSubscriptionEnumerator(SubscriptionDataConfig dataConfig, IDataQueueHandler dataQueueHandler, EventHandler handler)
{
_requestedSymbol = dataConfig.Symbol;
// we adjust the requested config symbol before sending it to the data queue handler
_currentConfig = new SubscriptionDataConfig(dataConfig, symbol: dataConfig.Symbol.GetLiveSubscriptionSymbol());
_underlyingEnumerator = Subscribe(dataQueueHandler, _currentConfig, handler);
// for any mapping event we will re subscribe
dataConfig.NewSymbol += (_, _) =>
{
dataQueueHandler.Unsubscribe(_currentConfig);
_previousEnumerator = _underlyingEnumerator;
var oldSymbol = _currentConfig.Symbol;
_currentConfig = new SubscriptionDataConfig(dataConfig, symbol: dataConfig.Symbol.GetLiveSubscriptionSymbol());
_underlyingEnumerator = Subscribe(dataQueueHandler, _currentConfig, handler);
Log.Trace($"LiveSubscriptionEnumerator({_requestedSymbol}): " +
$"resubscribing old: '{oldSymbol.Value}' new '{_currentConfig.Symbol.Value}'");
};
}
/// <summary>
/// Removes the subscription from the data feed, if it exists
/// </summary>
/// <param name="subscription">The subscription to be removed</param>
/// <returns>True if the subscription was successfully removed, false otherwise</returns>
public bool RemoveSubscription(Subscription subscription)
{
var security = subscription.Security;
_exchange.RemoveHandler(security.Symbol);
// request to unsubscribe from the subscription
if (!security.SubscriptionDataConfig.IsCustomData)
{
_dataQueueHandler.Unsubscribe(_job, new Dictionary <SecurityType, List <string> >
{
{ security.Type, new List <string> {
security.Symbol
} }
});
}
// remove the subscription from our collection
Subscription sub;
if (_subscriptions.TryRemove(new SymbolSecurityType(security), out sub))
{
sub.Dispose();
}
else
{
return(false);
}
Log.Trace("LiveTradingDataFeed.RemoveSubscription(): Removed " + security.Symbol);
// keep track of security changes, we emit these to the algorithm
// as notications, used in universe selection
_changes += SecurityChanges.Removed(security);
// update our fill forward resolution setting
_fillForwardResolution.Value = ResolveFillForwardResolution(_algorithm);
return(true);
}
/// <summary>
/// Clean up
/// </summary>
public void Dispose()
{
_dataQueueHandler.Unsubscribe(_dataConfig);
_delistingEnumerator.DisposeSafely();
}