/// <summary>
/// Determines whether or not fill forward is required, and if true, will produce the new fill forward data
/// </summary>
/// <param name="previous">The last piece of data emitted by this enumerator</param>
/// <param name="next">The next piece of data on the source enumerator</param>
/// <param name="fillForward">When this function returns true, this will have a non-null value, null when the function returns false</param>
/// <returns>True when a new fill forward piece of data was produced and should be emitted by this enumerator</returns>
private bool RequiresFillForwardData(BaseData previous, BaseData next, out BaseData fillForward)
{
if (next.EndTime < previous.Time)
{
throw new ArgumentException("FillForwardEnumerator received data out of order.");
}
// check to see if the gap between previous and next warrants fill forward behavior
if (next.Time - previous.Time <= _fillForwardResolution)
{
fillForward = null;
return(false);
}
// is the bar after previous in market hours?
var barAfterPreviousEndTime = previous.EndTime + _fillForwardResolution;
if (_exchange.IsOpenDuringBar(previous.EndTime, barAfterPreviousEndTime, _isExtendedMarketHours))
{
// this is the normal case where we had a hole in the middle of the day
fillForward = previous.Clone(true);
fillForward.Time = (previous.Time + _fillForwardResolution).RoundDown(_fillForwardResolution);
return(true);
}
// find the next fill forward time after the next market open
var nextFillForwardTime = _exchange.Hours.GetNextMarketOpen(previous.EndTime, _isExtendedMarketHours) + _fillForwardResolution;
if (_dataResolution == Time.OneDay)
{
// special case for daily, we need to emit a midnight bar even though markets are closed
var dailyBarEnd = GetNextOpenDateAfter(previous.Time.Date) + Time.OneDay;
if (dailyBarEnd < nextFillForwardTime)
{
// only emit the midnight bar if it's the next bar to be emitted
nextFillForwardTime = dailyBarEnd;
}
}
if (nextFillForwardTime < next.EndTime)
{
// if next is still in the future then we need to emit a fill forward for market open
fillForward = previous.Clone(true);
fillForward.Time = (nextFillForwardTime - _dataResolution).RoundDown(_fillForwardResolution);
return(true);
}
// the next is before the next fill forward time, so do nothing
fillForward = null;
return(false);
}
/// <summary>
/// Advances the enumerator to the next element of the collection.
/// </summary>
/// <returns>
/// true if the enumerator was successfully advanced to the next element; false if the enumerator has passed the end of the collection.
/// </returns>
/// <exception cref="T:System.InvalidOperationException">The collection was modified after the enumerator was created. </exception><filterpriority>2</filterpriority>
public bool MoveNext()
{
while (_enumerator.MoveNext())
{
var current = _enumerator.Current;
if (current != null)
{
try
{
// execute user data filters
if (current.DataType != MarketDataType.Auxiliary && !_dataFilter.Filter(_security, current))
{
continue;
}
}
catch (Exception err)
{
OnDataFilterError(err);
continue;
}
// verify that the bar is within the exchange's market hours
if (current.DataType != MarketDataType.Auxiliary && !_exchange.IsOpenDuringBar(current.Time, current.EndTime, _extendedMarketHours))
{
if (_liveMode && !current.IsFillForward)
{
// TODO: replace for setting security.RealTimePrice not to modify security cache data directly
_security.SetMarketPrice(current);
}
continue;
}
// make sure we haven't passed the end
if (current.Time > _endTime)
{
return(false);
}
}
Current = current;
return(true);
}
return(false);
}
/// <summary>
/// Advances the enumerator to the next element of the collection.
/// </summary>
/// <returns>
/// true if the enumerator was successfully advanced to the next element; false if the enumerator has passed the end of the collection.
/// </returns>
/// <exception cref="T:System.InvalidOperationException">The collection was modified after the enumerator was created. </exception><filterpriority>2</filterpriority>
public bool MoveNext()
{
while (_enumerator.MoveNext())
{
var current = _enumerator.Current;
if (current != null)
{
try
{
// execute user data filters
if (current.DataType != MarketDataType.Auxiliary && !_dataFilter.Filter(_security, current))
{
continue;
}
}
catch (Exception err)
{
OnDataFilterError(err);
continue;
}
// verify that the bar is within the exchange's market hours
if (current.DataType != MarketDataType.Auxiliary && !_exchange.IsOpenDuringBar(current.Time, current.EndTime, _security.IsExtendedMarketHours))
{
continue;
}
// make sure we haven't passed the end
if (current.Time > _endTime)
{
return(false);
}
}
Current = current;
return(true);
}
return(false);
}
/// <summary>
/// Advances the enumerator to the next element of the collection.
/// </summary>
/// <returns>
/// true if the enumerator was successfully advanced to the next element; false if the enumerator has passed the end of the collection.
/// </returns>
/// <exception cref="T:System.InvalidOperationException">The collection was modified after the enumerator was created. </exception><filterpriority>2</filterpriority>
public bool MoveNext()
{
if (_delistedTime.HasValue)
{
// don't fill forward after data after the delisted date
if (_previous == null || _previous.EndTime >= _delistedTime.Value)
{
return(false);
}
}
if (!_emittedAuxilliaryData)
{
// only set the _previous if the last item we emitted was NOT auxilliary data,
// since _previous is used for fill forward behavior
_previous = Current;
}
BaseData fillForward;
if (!_isFillingForward)
{
// if we're filling forward we don't need to move next since we haven't emitted _enumerator.Current yet
if (!_enumerator.MoveNext())
{
if (_delistedTime.HasValue)
{
// don't fill forward delisted data
return(false);
}
// check to see if we ran out of data before the end of the subscription
if (_previous == null || _previous.EndTime >= _subscriptionEndTime)
{
// we passed the end of subscription, we're finished
return(false);
}
// we can fill forward the rest of this subscription if required
var endOfSubscription = Current.Clone(true);
endOfSubscription.Time = _subscriptionEndTime.RoundDown(_dataResolution);
if (RequiresFillForwardData(_previous, endOfSubscription, out fillForward))
{
// don't mark as filling forward so we come back into this block, subscription is done
//_isFillingForward = true;
Current = fillForward;
_emittedAuxilliaryData = false;
return(true);
}
// don't emit the last bar if the market isn't considered open!
if (!_exchange.IsOpenDuringBar(endOfSubscription.Time, endOfSubscription.EndTime, _isExtendedMarketHours))
{
return(false);
}
Current = endOfSubscription;
_emittedAuxilliaryData = false;
return(true);
}
}
if (_previous == null)
{
// first data point we dutifully emit without modification
Current = _enumerator.Current;
return(true);
}
if (_enumerator.Current.DataType == MarketDataType.Auxiliary)
{
_emittedAuxilliaryData = true;
Current = _enumerator.Current;
var delisting = Current as Delisting;
if (delisting != null && delisting.Type == DelistingType.Delisted)
{
_delistedTime = delisting.EndTime;
}
return(true);
}
_emittedAuxilliaryData = false;
if (RequiresFillForwardData(_previous, _enumerator.Current, out fillForward))
{
// we require fill forward data because the _enumerator.Current is too far in future
_isFillingForward = true;
Current = fillForward;
return(true);
}
_isFillingForward = false;
Current = _enumerator.Current;
return(true);
}
/// <summary>
/// Determines whether or not fill forward is required, and if true, will produce the new fill forward data
/// </summary>
/// <param name="previous">The last piece of data emitted by this enumerator</param>
/// <param name="next">The next piece of data on the source enumerator</param>
/// <param name="fillForward">When this function returns true, this will have a non-null value, null when the function returns false</param>
/// <returns>True when a new fill forward piece of data was produced and should be emitted by this enumerator</returns>
private bool RequiresFillForwardData(BaseData previous, BaseData next, out BaseData fillForward)
{
if (next.EndTime < previous.Time)
{
throw new ArgumentException("FillForwardEnumerator received data out of order.");
}
// check to see if the gap between previous and next warrants fill forward behavior
if (next.Time - previous.Time <= _fillForwardResolution)
{
fillForward = null;
return(false);
}
// is the bar after previous in market hours?
var barAfterPreviousEndTime = previous.EndTime + _fillForwardResolution;
if (_exchange.IsOpenDuringBar(previous.EndTime, barAfterPreviousEndTime, _isExtendedMarketHours))
{
// this is the normal case where we had a hole in the middle of the day
fillForward = previous.Clone(true);
fillForward.Time = previous.Time + _fillForwardResolution;
return(true);
}
// This next if/else block's entire job is to locate the market open time following previous.EndTime
// we'll then add the ff resolution to that time to produce the nextFillForwardTime, which is the time
// we need to emit our next piece of data at
DateTime nextFillForwardTime;
var frontierDate = previous.EndTime.Date;
if (previous.EndTime > GetMarketOpen(frontierDate) - _fillForwardResolution)
{
// after market hours on the same day, advance to the next emit time at market open
nextFillForwardTime = GetMarketOpen(GetNextOpenDateAfter(frontierDate)) + _fillForwardResolution;
}
else
{
// find the next market open time, we use -1 here because the GetNextOpenDataAfter will start with +1, so if frontierDate
// is already open, the frontierDate will be returned, but if frontierDate is say, saturday at midnight (daily case),
// then we'll need to zoom forward to monday at market open
nextFillForwardTime = GetMarketOpen(GetNextOpenDateAfter(frontierDate.Date.AddDays(-1))) + _fillForwardResolution;
}
if (_dataResolution == Time.OneDay)
{
// special case for daily, we need to emit a midnight bar even though markets are closed
var dailyBarEnd = GetNextOpenDateAfter(previous.Time.Date) + Time.OneDay;
if (dailyBarEnd < nextFillForwardTime)
{
// only emit the midnight bar if it's the next bar to be emitted
nextFillForwardTime = dailyBarEnd;
}
}
if (nextFillForwardTime < next.EndTime)
{
// if next is still in the future then we need to emit a fill forward for market open
fillForward = previous.Clone(true);
fillForward.Time = (nextFillForwardTime - _dataResolution).RoundDown(_fillForwardResolution);
return(true);
}
// the next is before the next fill forward time, so do nothing
fillForward = null;
return(false);
}
