/// <summary>
/// Run sub-classed algorithm and return bars as enumerable.
/// </summary>
/// <param name="startTime">start of load range</param>
/// <param name="endTime">end of load range</param>
/// <returns>bars created from sub-classed algo</returns>
public override IEnumerable <Bar> LoadData(DateTime startTime, DateTime endTime)
{
#if true
_algo.IsDataSource = true;
if (_algo.CanRunAsChild && Info.ContainsKey(DataSourceParam.allowSync))
{
// for child algorithms, we bypass the cache and run the
// child bar-for-bar and in sync with its parent
// we don't want to rely on the algorithm to provide a unique name.
// therefore, we replace the bar symbol with the algorithm's hash
var algoHashHex = string.Format("{0:X}", _algo.Name, _algo.GetHashCode());
foreach (var bar in _algo.Run(startTime, endTime))
{
var bar2 = new Bar(
algoHashHex,
bar.Time,
bar.Open, bar.High, bar.Low, bar.Close, bar.Volume, bar.HasOHLC,
bar.Bid, bar.Ask, bar.BidVolume, bar.AskVolume, bar.HasBidAsk,
bar.OptionExpiry, bar.OptionStrike, bar.OptionIsPut);
yield return(bar2);
if (!_algo.IsLastBar)
{
// the simulator core needs to know the next bar's
// timestamp. at the same time, we want to avoid
// child algorithms from running one bar ahead of
// the main algo. we fix this issue by returning
// a dummy bar, announcing the next timestamp.
var dummy = Bar.NewValue(
null, _algo.NextSimTime, 0.0);
yield return(dummy);
}
}
yield break;
}
else
{
// for all other algorithms, we run the algo
// all at once and save the result in the cache
var algoNick = Info[DataSourceParam.nickName];
var cacheKey = new CacheId().AddParameters(
algoNick.GetHashCode(), // _algoName.GetHashCode(),
startTime.GetHashCode(),
endTime.GetHashCode());
List <Bar> retrievalFunction()
{
try
{
DateTime t1 = DateTime.Now;
Output.WriteLine(string.Format("DataSourceAlgorithm: generating data for {0}...", Info[DataSourceParam.nickName]));
var bars = _algo.Run(startTime, endTime)
.ToList();
DateTime t2 = DateTime.Now;
Output.WriteLine(string.Format("DataSourceAlgorithm: finished after {0:F1} seconds", (t2 - t1).TotalSeconds));
return(bars);
}
catch
{
throw new Exception("DataSourceAlgorithm: failed to run sub-classed algorithm " + algoNick);
}
}
List <Bar> data = Cache <List <Bar> > .GetData(cacheKey, retrievalFunction, true);
if (data.Count == 0)
{
throw new Exception(string.Format("DataSourceAlgorithm: no data for {0}", Info[DataSourceParam.nickName]));
}
CachedData = data;
foreach (var bar in data)
{
yield return(bar);
}
}
#else
var algoNick = Info[DataSourceParam.nickName];
var cacheKey = new CacheId(null, "", 0,
algoNick.GetHashCode(), // _algoName.GetHashCode(),
startTime.GetHashCode(),
endTime.GetHashCode());
List <Bar> retrievalFunction()
{
try
{
DateTime t1 = DateTime.Now;
Output.WriteLine(string.Format("DataSourceAlgorithm: generating data for {0}...", Info[DataSourceParam.nickName]));
_algo.StartTime = startTime;
_algo.EndTime = endTime;
_algo.ParentDataSource = this;
_algo.SubclassedData = new List <Bar>();;
_algo.Run();
DateTime t2 = DateTime.Now;
Output.WriteLine(string.Format("DataSourceAlgorithm: finished after {0:F1} seconds", (t2 - t1).TotalSeconds));
return(_algo.SubclassedData);
}
catch
{
throw new Exception("DataSourceAlgorithm: failed to run sub-classed algorithm " + algoNick);
}
}
List <Bar> data = Cache <List <Bar> > .GetData(cacheKey, retrievalFunction, true);
if (data.Count == 0)
{
throw new Exception(string.Format("DataSourceAlgorithm: no data for {0}", Info[DataSourceParam.nickName]));
}
Data = data;
#endif
}
