/// <summary>
/// Gets the <see cref="CoarseFundamental"/> data for the specified market/date
/// </summary>
public static IEnumerable<CoarseFundamental> GetCoarseFundamentals(string market, DateTimeZone timeZone, DateTime date, bool isLiveMode)
{
var factory = new CoarseFundamental();
var config = new SubscriptionDataConfig(typeof(CoarseFundamental), SecurityType.Equity, new Symbol(market + "-coarse"), Resolution.Daily, market, timeZone, true, false, true);
var reader = new BaseDataSubscriptionFactory(config, date, isLiveMode);
var source = factory.GetSource(config, date, isLiveMode);
return reader.Read(source).OfType<CoarseFundamental>();
}
private void AddSubscriptionForUniverseSelectionMarket(string market)
{
var exchangeHours = SecurityExchangeHoursProvider.FromDataFolder().GetExchangeHours(market, null, SecurityType.Equity);
var symbolName = new Symbol(market + "-coarse");
var subscriptionDataConfig = new SubscriptionDataConfig(typeof (CoarseFundamental), SecurityType.Equity, symbolName, Resolution.Daily, market, exchangeHours.TimeZone,
true, false, true);
var security = new Security(exchangeHours, subscriptionDataConfig, 1);
var cf = new CoarseFundamental();
var list = new List<BaseData>();
foreach (var date in Time.EachTradeableDay(security, _algorithm.StartDate, _algorithm.EndDate))
{
var factory = new BaseDataSubscriptionFactory(subscriptionDataConfig, date, false);
var source = cf.GetSource(subscriptionDataConfig, date, false);
var coarseFundamentalForDate = factory.Read(source);
list.AddRange(coarseFundamentalForDate);
}
// spoof a subscription for the market that emits at midnight of each tradeable day
var subscription = new Subscription(security,
list.GetEnumerator(),
_algorithm.StartDate.ConvertToUtc(exchangeHours.TimeZone),
_algorithm.EndDate.ConvertToUtc(exchangeHours.TimeZone),
false,
true
);
// let user know if we fail to load the universe subscription, very important for when understanding backtest results!
PrimeSubscriptionPump(subscription, true);
_subscriptions.AddOrUpdate(new SymbolSecurityType(subscription), subscription);
}
private void AddSubscriptionForUniverseSelectionMarket(string market)
{
var usaMarket = SecurityExchangeHoursProvider.FromDataFolder().GetExchangeHours(market, null, SecurityType.Equity);
var symbolName = market + "-market";
var usaConfig = new SubscriptionDataConfig(typeof (CoarseFundamental), SecurityType.Equity, symbolName, Resolution.Daily, market, usaMarket.TimeZone,
true, false, false, false, true);
var usaMarketSecurity = new Security(usaMarket, usaConfig, 1);
var cf = new CoarseFundamental();
var list = new List<BaseData>();
foreach (var date in Time.EachTradeableDay(usaMarketSecurity, _algorithm.StartDate, _algorithm.EndDate))
{
var factory = new BaseDataSubscriptionFactory(usaConfig, date, false);
var source = cf.GetSource(usaConfig, date, false);
var coarseFundamentalForDate = factory.Read(source);
list.AddRange(coarseFundamentalForDate);
}
// spoof a subscription for the USA market that emits at midnight of each tradeable day
var usaMarketSubscription = new Subscription(usaMarketSecurity,
list.GetEnumerator(),
_algorithm.StartDate.ConvertToUtc(usaMarket.TimeZone),
_algorithm.EndDate.ConvertToUtc(usaMarket.TimeZone),
false,
true
);
// prime the pump
usaMarketSubscription.MoveNext();
_subscriptions.AddOrUpdate(new SymbolSecurityType(usaMarketSubscription), usaMarketSubscription);
}