/// <summary>
/// Syncs the specifies subscriptions at the frontier time
/// </summary>
/// <param name="frontier">The time used for syncing, data in the future won't be included in this time slice</param>
/// <param name="subscriptions">The subscriptions to sync</param>
/// <param name="sliceTimeZone">The time zone of the created slice object</param>
/// <param name="cashBook">The cash book, used for creating the cash book updates</param>
/// <param name="nextFrontier">The next frontier time as determined by the first piece of data in the future ahead of the frontier.
/// This value will equal DateTime.MaxValue when the subscriptions are all finished</param>
/// <returns>A time slice for the specified frontier time</returns>
public TimeSlice Sync(DateTime frontier, IEnumerable <Subscription> subscriptions, DateTimeZone sliceTimeZone, CashBook cashBook, out DateTime nextFrontier)
{
var changes = SecurityChanges.None;
nextFrontier = DateTime.MaxValue;
var earlyBirdTicks = nextFrontier.Ticks;
var data = new List <DataFeedPacket>();
SecurityChanges newChanges;
do
{
newChanges = SecurityChanges.None;
foreach (var subscription in subscriptions)
{
if (subscription.EndOfStream)
{
OnSubscriptionFinished(subscription);
continue;
}
// prime if needed
if (subscription.Current == null)
{
if (!subscription.MoveNext())
{
OnSubscriptionFinished(subscription);
continue;
}
}
var packet = new DataFeedPacket(subscription.Security, subscription.Configuration);
data.Add(packet);
var configuration = subscription.Configuration;
var offsetProvider = subscription.OffsetProvider;
var currentOffsetTicks = offsetProvider.GetOffsetTicks(frontier);
while (subscription.Current.EndTime.Ticks - currentOffsetTicks <= frontier.Ticks)
{
// we want bars rounded using their subscription times, we make a clone
// so we don't interfere with the enumerator's internal logic
var clone = subscription.Current.Clone(subscription.Current.IsFillForward);
clone.Time = clone.Time.ExchangeRoundDown(configuration.Increment, subscription.Security.Exchange.Hours, configuration.ExtendedMarketHours);
packet.Add(clone);
if (!subscription.MoveNext())
{
OnSubscriptionFinished(subscription);
break;
}
}
// we have new universe data to select based on
if (subscription.IsUniverseSelectionSubscription && packet.Count > 0)
{
// assume that if the first item is a base data collection then the enumerator handled the aggregation,
// otherwise, load all the the data into a new collection instance
var collection = packet.Data[0] as BaseDataCollection ?? new BaseDataCollection(frontier, subscription.Configuration.Symbol, packet.Data);
newChanges += _universeSelection.ApplyUniverseSelection(subscription.Universe, frontier, collection);
}
if (subscription.Current != null)
{
// take the earliest between the next piece of data or the next tz discontinuity
earlyBirdTicks = Math.Min(earlyBirdTicks, Math.Min(subscription.Current.EndTime.Ticks - currentOffsetTicks, offsetProvider.GetNextDiscontinuity()));
}
}
changes += newChanges;
}while (newChanges != SecurityChanges.None);
nextFrontier = new DateTime(Math.Max(earlyBirdTicks, frontier.Ticks), DateTimeKind.Utc);
return(TimeSlice.Create(frontier, sliceTimeZone, cashBook, data, changes));
}
