/// <summary>
/// Get available ticks, base implementation
/// </summary>
/// <returns></returns>
public virtual IEnumerable <DataFeedPacket> GetAvailableDataPackets()
{
//Default values
DateTime time = DateTime.MinValue;
TimeSpan timespan = TimeSpan.FromMilliseconds(10); //Combine all data from the last 10 milliseconds
Dictionary <TickerSymbol, DataFeedPacket> datapackets = new Dictionary <TickerSymbol, DataFeedPacket>();
//Check for new data
while (CurrenDatapoints.Count > 0)
{
if (CurrenDatapoints.TryPeek(out DataPoint item))
{
//Get current moment in time
if (time == DateTime.MinValue)
{
time = item.OccuredUtc + timespan;
}
else if (time < item.OccuredUtc)
{
break; //Not the same timespan
}
//Get item
if (CurrenDatapoints.TryDequeue(out item))
{
//Get security
Security security;
if (Securities != null)
{
security = Securities[item.Ticker];
if (security is UnknownSecurity)
{
_log.Warn($"Received unknown security with ticker {security.Ticker}");
continue;
}
}
else
{
security = new UnknownSecurity(item.Ticker.Name);
}
//Check if we are allowed to accept this data point
if (!DataFilter.Accept(security, item))
{
continue;
}
//Get data
LastDataReceivedUtc = item.OccuredUtc;
if (datapackets.TryGetValue(item.Ticker, out DataFeedPacket packet))
{
packet.Add(item);
}
else
{
datapackets.Add(item.Ticker, new DataFeedPacket(security, DataSubscriptionManager?.GetDataSubscriptions(item.Ticker, item.DataType), item));
}
}
}
else
{
break; //No items
}
}
//Wait for new data if we do not have any
if (datapackets.Count == 0)
{
Thread.Sleep(_waittimeinms);
}
//Return what we have
return(datapackets.Values);
}
