/// <summary>
/// Processes the specified data points.
/// </summary>
/// <param name="dataPoints">The data points.</param>
private void Process(IEnumerable <DataPoint> dataPoints)
{
//Convert, aggregate and save
foreach (var datapoint in dataPoints.OrderBy(x => x.Occured))
{
//Set meta-data
string ticker = DataFeed.GetFeedTicker(datapoint.Ticker);
if (_date == 0)
{
_date = int.Parse(datapoint.Occured.ToString("yyyyMMdd"));
}
//Check for aggregation
if (!_minBarAggregators.TryGetValue(ticker, out TickAggregator tickAggregator))
{
_minBarWriters[ticker] = new DataWriter(Machine.Instance.GetPath(_options.OutputFolder), ticker, _date, "1m", DataType.TradeBar);
_minBarAggregators[ticker] = new TickAggregator(TimeSpan.FromMinutes(1));
_minBarAggregators[ticker].DataAggregated += (sender, data) => _minBarWriters[ticker].Feed(data);
tickAggregator = _minBarAggregators[ticker];
}
//Check for tick writer
if (!_tickWriters.TryGetValue(ticker, out DataWriter tickwriter))
{
tickwriter = new DataWriter(Machine.Instance.GetPath(_options.OutputFolder), ticker, _date, "1t", DataType.Tick);
_tickWriters[ticker] = tickwriter;
}
//Add data
tickAggregator.Feed(datapoint);
tickwriter.Feed(datapoint);
}
}
/// <summary> /// Gets the name of ticker in the feed. /// </summary> /// <param name="ticker">The ticker.</param> /// <returns></returns> public override string GetFeedTicker(TickerSymbol ticker) => _baseDataFeed.GetFeedTicker(ticker);