public OpenInterestTickAggregator()
: base(Resolution.Daily, TickType.OpenInterest)
{
Consolidated = new List <BaseData>();
Consolidator = new OpenInterestConsolidator(Time.OneDay);
Consolidator.DataConsolidated += (sender, consolidated) =>
{
Consolidated.Add(consolidated as OpenInterest);
};
}
/// <summary>
/// Add new subscription to current <see cref="IDataAggregator"/> instance
/// </summary>
/// <param name="dataConfig">defines the parameters to subscribe to a data feed</param>
/// <param name="newDataAvailableHandler">handler to be fired on new data available</param>
/// <returns>The new enumerator for this subscription request</returns>
public IEnumerator <BaseData> Add(SubscriptionDataConfig dataConfig, EventHandler newDataAvailableHandler)
{
IDataConsolidator consolidator;
var period = dataConfig.Resolution.ToTimeSpan();
var isPeriodBased = false;
switch (dataConfig.Type.Name)
{
case nameof(QuoteBar):
isPeriodBased = dataConfig.Resolution != Resolution.Tick;
consolidator = new TickQuoteBarConsolidator(period);
break;
case nameof(TradeBar):
isPeriodBased = dataConfig.Resolution != Resolution.Tick;
consolidator = new TickConsolidator(period);
break;
case nameof(OpenInterest):
isPeriodBased = dataConfig.Resolution != Resolution.Tick;
consolidator = new OpenInterestConsolidator(period);
break;
case nameof(Tick):
consolidator = FilteredIdentityDataConsolidator.ForTickType(dataConfig.TickType);
break;
case nameof(Split):
consolidator = new IdentityDataConsolidator <Split>();
break;
case nameof(Dividend):
consolidator = new IdentityDataConsolidator <Dividend>();
break;
default:
// streaming custom data subscriptions can pass right through
consolidator = new FilteredIdentityDataConsolidator <BaseData>(data => data.GetType() == dataConfig.Type);
break;
}
var enumerator = new ScannableEnumerator <BaseData>(consolidator, dataConfig.ExchangeTimeZone, TimeProvider, newDataAvailableHandler, isPeriodBased);
_enumerators.AddOrUpdate(
dataConfig.Symbol.ID,
new List <KeyValuePair <SubscriptionDataConfig, ScannableEnumerator <BaseData> > > {
new KeyValuePair <SubscriptionDataConfig, ScannableEnumerator <BaseData> >(dataConfig, enumerator)
},
(k, v) => { return(v.Concat(new[] { new KeyValuePair <SubscriptionDataConfig, ScannableEnumerator <BaseData> >(dataConfig, enumerator) }).ToList()); });
return(enumerator);
}