private static bool TryMoveNext(LiveSubscription subscription, out BaseData data)
{
data = null;
if (subscription.NeedsMoveNext)
{
// if we didn't emit the previous value it's because it was in
// the future, so don't call MoveNext, just perform the date range
// checks below again
// in live mode subscription reader will move next but return null for current since nothing is there
if (!subscription.MoveNext())
{
// we've exhaused this source for now, the only source that would do this is
// a remote file, let's wait for five minutes and check again to see if we can
// get another piece of data. sadly, in this case it does mean redownloading the
// entire file and reading through all the data before getting to the end to see
// if there's a new line
subscription.SetNextUpdateTime(TimeSpan.FromMinutes(5));
return(false);
}
// true success defined as if we got a non-null value
if (subscription.Current == null)
{
Log.Trace("LiveTradingDataFeed.Custom(): Current == null");
return(false);
}
}
// if we didn't get anything keep going
data = subscription.Current;
if (data == null)
{
// heuristically speaking this should already be true, but no harm in explicitly setting it
subscription.NeedsMoveNext = true;
return(false);
}
return(true);
}
/// <summary>
/// Adds a new subscription for universe selection
/// </summary>
/// <param name="universe">The universe to add a subscription for</param>
/// <param name="startTimeUtc">The start time of the subscription in utc</param>
/// <param name="endTimeUtc">The end time of the subscription in utc</param>
public void AddUniverseSubscription(
IUniverse universe,
DateTime startTimeUtc,
DateTime endTimeUtc
)
{
// grab the relevant exchange hours
SubscriptionDataConfig config = universe.Configuration;
var exchangeHours = SecurityExchangeHoursProvider.FromDataFolder()
.GetExchangeHours(config.Market, null, config.SecurityType);
// create a canonical security object
var security = new Security(exchangeHours, config, universe.SubscriptionSettings.Leverage);
var localStartTime = startTimeUtc.ConvertFromUtc(config.TimeZone);
var localEndTime = endTimeUtc.ConvertFromUtc(config.TimeZone);
// define our data enumerator
var tradeableDates = Time.EachTradeableDay(security, localStartTime, localEndTime);
var enumerator = new SubscriptionDataReader(config, localStartTime, localEndTime, _resultHandler, tradeableDates, false);
// create the subscription
var subscription = new LiveSubscription(universe, security, enumerator, startTimeUtc, endTimeUtc);
// only message the user if it's one of their universe types
_subscriptions.AddOrUpdate(new SymbolSecurityType(subscription), subscription);
}
private static bool TryMoveNext(LiveSubscription subscription, out BaseData data)
{
data = null;
if (subscription.NeedsMoveNext)
{
// if we didn't emit the previous value it's because it was in
// the future, so don't call MoveNext, just perform the date range
// checks below again
// in live mode subscription reader will move next but return null for current since nothing is there
if (!subscription.MoveNext())
{
// we've exhaused this source for now, the only source that would do this is
// a remote file, let's wait for five minutes and check again to see if we can
// get another piece of data. sadly, in this case it does mean redownloading the
// entire file and reading through all the data before getting to the end to see
// if there's a new line
subscription.SetNextUpdateTime(TimeSpan.FromMinutes(5));
return false;
}
// true success defined as if we got a non-null value
if (subscription.Current == null)
{
Log.Trace("LiveTradingDataFeed.Custom(): Current == null");
return false;
}
}
// if we didn't get anything keep going
data = subscription.Current;
if (data == null)
{
// heuristically speaking this should already be true, but no harm in explicitly setting it
subscription.NeedsMoveNext = true;
return false;
}
return true;
}
private static bool TryMoveNext(LiveSubscription subscription, out BaseData data)
{
data = null;
if (subscription.NeedsMoveNext)
{
// if we didn't emit the previous value it's because it was in
// the future, so don't call MoveNext, just perform the date range
// checks below again
// in live mode subscription reader will move next but return null for current since nothing is there
subscription.MoveNext();
// true success defined as if we got a non-null value
if (subscription.Current == null)
{
Log.Trace("LiveTradingDataFeed.Custom(): Current == null");
return false;
}
}
// if we didn't get anything keep going
data = subscription.Current;
if (data == null)
{
// heuristically speaking this should already be true, but no harm in explicitly setting it
subscription.NeedsMoveNext = true;
return false;
}
return true;
}
