/// <summary>
/// Creates the canonical <see cref="Future"/> chain security for a given symbol
/// </summary>
/// <param name="subscriptionDataConfigService">The service used to create new <see cref="SubscriptionDataConfig"/></param>
/// <param name="symbol">Symbol of the future</param>
/// <param name="settings">Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed</param>
/// <param name="securityManager">Used to create new <see cref="Security"/></param>
/// <returns><see cref="Future"/> for the given symbol</returns>
protected virtual Future CreateFutureChainSecurity(
ISubscriptionDataConfigService subscriptionDataConfigService,
Symbol symbol,
UniverseSettings settings,
SecurityManager securityManager)
{
var config = subscriptionDataConfigService.Add(
typeof(ZipEntryName),
symbol,
settings.Resolution,
settings.FillForward,
settings.ExtendedMarketHours,
isFilteredSubscription: false);
return((Future)securityManager.CreateSecurity(symbol, config, settings.Leverage, false));
}
/// <summary>
/// Gets the subscription requests to be added for the specified security
/// </summary>
/// <param name="security">The security to get subscriptions for</param>
/// <param name="currentTimeUtc">The current time in utc. This is the frontier time of the algorithm</param>
/// <param name="maximumEndTimeUtc">The max end time</param>
/// <param name="subscriptionService">Instance which implements <see cref="ISubscriptionDataConfigService"/> interface</param>
/// <returns>All subscriptions required by this security</returns>
public override IEnumerable <SubscriptionRequest> GetSubscriptionRequests(Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc,
ISubscriptionDataConfigService subscriptionService)
{
var result = subscriptionService.Add(security.Symbol, UniverseSettings.Resolution,
UniverseSettings.FillForward,
UniverseSettings.ExtendedMarketHours,
// force raw data normalization mode for underlying
dataNormalizationMode: DataNormalizationMode.Raw);
return(result.Select(config => new SubscriptionRequest(isUniverseSubscription: false,
universe: this,
security: security,
configuration: config,
startTimeUtc: currentTimeUtc,
endTimeUtc: maximumEndTimeUtc)));
}
/// <summary>
/// Gets the subscription requests to be added for the specified security
/// </summary>
/// <param name="security">The security to get subscriptions for</param>
/// <param name="currentTimeUtc">The current time in utc. This is the frontier time of the algorithm</param>
/// <param name="maximumEndTimeUtc">The max end time</param>
/// <param name="subscriptionService">Instance which implements <see cref="ISubscriptionDataConfigService"/> interface</param>
/// <returns>All subscriptions required by this security</returns>
public virtual IEnumerable <SubscriptionRequest> GetSubscriptionRequests(Security security,
DateTime currentTimeUtc,
DateTime maximumEndTimeUtc,
ISubscriptionDataConfigService subscriptionService)
{
var result = subscriptionService.Add(security.Symbol,
UniverseSettings.Resolution,
UniverseSettings.FillForward,
UniverseSettings.ExtendedMarketHours);
return(result.Select(config => new SubscriptionRequest(isUniverseSubscription: false,
universe: this,
security: security,
configuration: config,
startTimeUtc: currentTimeUtc,
endTimeUtc: maximumEndTimeUtc)));
}
public override IEnumerable <SubscriptionRequest> GetSubscriptionRequests(Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc,
ISubscriptionDataConfigService subscriptionService)
{
var config = subscriptionService.Add(
typeof(TiingoNews),
security.Symbol,
UniverseSettings.Resolution,
UniverseSettings.FillForward,
UniverseSettings.ExtendedMarketHours,
dataNormalizationMode: UniverseSettings.DataNormalizationMode);
return(new[] { new SubscriptionRequest(isUniverseSubscription: false,
universe: this,
security: security,
configuration: config,
startTimeUtc: currentTimeUtc,
endTimeUtc: maximumEndTimeUtc) });
}
/// <summary>
/// Gets the subscription requests to be added for the specified security
/// </summary>
/// <param name="security">The security to get subscriptions for</param>
/// <param name="currentTimeUtc">The current time in utc. This is the frontier time of the algorithm</param>
/// <param name="maximumEndTimeUtc">The max end time</param>
/// <param name="subscriptionService">Instance which implements <see cref="ISubscriptionDataConfigService"/> interface</param>
/// <returns>All subscriptions required by this security</returns>
public virtual IEnumerable <SubscriptionRequest> GetSubscriptionRequests(Security security,
DateTime currentTimeUtc,
DateTime maximumEndTimeUtc,
ISubscriptionDataConfigService subscriptionService)
{
var result = subscriptionService.Add(security.Symbol,
UniverseSettings.Resolution,
UniverseSettings.FillForward,
UniverseSettings.ExtendedMarketHours,
dataNormalizationMode: UniverseSettings.DataNormalizationMode,
subscriptionDataTypes: UniverseSettings.SubscriptionDataTypes,
dataMappingMode: UniverseSettings.DataMappingMode,
contractDepthOffset: (uint)Math.Abs(UniverseSettings.ContractDepthOffset));
return(result.Select(config => new SubscriptionRequest(isUniverseSubscription: false,
universe: this,
security: security,
configuration: config,
startTimeUtc: currentTimeUtc,
endTimeUtc: maximumEndTimeUtc)));
}
/// <summary>
/// Gets the subscription requests to be added for the specified security
/// </summary>
/// <param name="security">The security to get subscriptions for</param>
/// <param name="currentTimeUtc">The current time in utc. This is the frontier time of the algorithm</param>
/// <param name="maximumEndTimeUtc">The max end time</param>
/// <param name="subscriptionService">Instance which implements <see cref="ISubscriptionDataConfigService"/> interface</param>
/// <returns>All subscriptions required by this security</returns>
public override IEnumerable <SubscriptionRequest> GetSubscriptionRequests(Security security,
DateTime currentTimeUtc,
DateTime maximumEndTimeUtc,
ISubscriptionDataConfigService subscriptionService)
{
var isInternal = !security.Symbol.IsCanonical();
var result = subscriptionService.Add(security.Symbol,
UniverseSettings.Resolution,
UniverseSettings.FillForward,
UniverseSettings.ExtendedMarketHours,
dataNormalizationMode: UniverseSettings.DataNormalizationMode,
subscriptionDataTypes: UniverseSettings.SubscriptionDataTypes,
dataMappingMode: UniverseSettings.DataMappingMode,
contractDepthOffset: (uint)Math.Abs(UniverseSettings.ContractDepthOffset),
isInternalFeed: isInternal);
return(result.Select(config => new SubscriptionRequest(isUniverseSubscription: false,
universe: this,
security: security,
configuration: new SubscriptionDataConfig(config, isInternalFeed: config.IsInternalFeed || config.TickType == TickType.OpenInterest),
startTimeUtc: currentTimeUtc,
endTimeUtc: maximumEndTimeUtc)));
}
