/// <summary>
/// Adds the specified symbols to the subscription: new IQLevel1WatchItem("IBM", true)
/// </summary>
/// <param name="job">Job we're subscribing for:</param>
/// <param name="symbols">The symbols to be added keyed by SecurityType</param>
public void Subscribe(LiveNodePacket job, IEnumerable <Symbol> symbols)
{
try
{
foreach (var symbol in symbols)
{
if (CanSubscribe(symbol))
{
lock (_sync)
{
Log.Trace("IQFeed.Subscribe(): Subscribe Request: " + symbol.ToString());
if (_symbols.Add(symbol))
{
// processing canonical option symbol to subscribe to underlying prices
var subscribeSymbol = symbol;
if (symbol.ID.SecurityType == SecurityType.Option && symbol.IsCanonical())
{
subscribeSymbol = symbol.Underlying;
_underlyings.Add(subscribeSymbol, symbol);
}
if (symbol.ID.SecurityType == SecurityType.Future && symbol.IsCanonical())
{
// do nothing for now. Later might add continuous contract symbol.
return;
}
var ticker = _symbolUniverse.GetBrokerageSymbol(subscribeSymbol);
if (!string.IsNullOrEmpty(ticker))
{
_level1Port.Subscribe(ticker);
Log.Trace("IQFeed.Subscribe(): Subscribe Processed: {0} ({1})", symbol.Value, ticker);
}
else
{
Log.Error("IQFeed.Subscribe(): Symbol {0} was not found in IQFeed symbol universe", symbol.Value);
}
}
}
}
}
}
catch (Exception err)
{
Log.Error("IQFeed.Subscribe(): " + err.Message);
}
}
/// <summary>
/// Populate request data
/// </summary>
public IEnumerable <Slice> ProcessHistoryRequests(HistoryRequest request)
{
// skipping universe and canonical symbols
if (!CanHandle(request.Symbol) ||
(request.Symbol.ID.SecurityType == SecurityType.Option && request.Symbol.IsCanonical()) ||
(request.Symbol.ID.SecurityType == SecurityType.Future && request.Symbol.IsCanonical()))
{
yield break;
}
// Set this process status
_inProgress = true;
var ticker = _symbolUniverse.GetBrokerageSymbol(request.Symbol);
var start = request.StartTimeUtc.ConvertFromUtc(TimeZones.NewYork);
DateTime?end = request.EndTimeUtc.ConvertFromUtc(TimeZones.NewYork);
var exchangeTz = request.ExchangeHours.TimeZone;
// if we're within a minute of now, don't set the end time
if (request.EndTimeUtc >= DateTime.UtcNow.AddMinutes(-1))
{
end = null;
}
Log.Trace($"HistoryPort.ProcessHistoryJob(): Submitting request: {request.Symbol.SecurityType.ToStringInvariant()}-{ticker}: " +
$"{request.Resolution.ToStringInvariant()} {start.ToStringInvariant()}->{(end ?? DateTime.UtcNow.AddMinutes(-1)).ToStringInvariant()}"
);
int id;
var reqid = string.Empty;
switch (request.Resolution)
{
case Resolution.Tick:
id = RequestTickData(ticker, start, end, true);
reqid = CreateRequestID(LookupType.REQ_HST_TCK, id);
break;
case Resolution.Daily:
id = RequestDailyData(ticker, start, end, true);
reqid = CreateRequestID(LookupType.REQ_HST_DWM, id);
break;
default:
var interval = new Interval(GetPeriodType(request.Resolution), 1);
id = RequestIntervalData(ticker, interval, start, end, true);
reqid = CreateRequestID(LookupType.REQ_HST_INT, id);
break;
}
_requestDataByRequestId[reqid] = request;
while (_inProgress)
{
continue;
}
// After all data arrive, we pass it to the algorithm through memory and write to a file
foreach (var key in _currentRequest.Keys)
{
List <BaseData> tradeBars;
if (_currentRequest.TryRemove(key, out tradeBars))
{
foreach (var tradeBar in tradeBars)
{
// Returns IEnumerable<Slice> object
yield return(new Slice(tradeBar.EndTime, new[] { tradeBar }, tradeBar.EndTime.ConvertToUtc(exchangeTz)));
}
}
}
}