/// <summary>
/// Initializes the data feed for the specified job and algorithm
/// </summary>
public void Initialize(IAlgorithm algorithm,
AlgorithmNodePacket job,
IResultHandler resultHandler,
IMapFileProvider mapFileProvider,
IFactorFileProvider factorFileProvider,
IDataProvider dataProvider,
IDataFeedSubscriptionManager subscriptionManager,
IDataFeedTimeProvider dataFeedTimeProvider,
IDataChannelProvider dataChannelProvider)
{
_algorithm = algorithm;
_resultHandler = resultHandler;
_mapFileProvider = mapFileProvider;
_factorFileProvider = factorFileProvider;
_dataProvider = dataProvider;
_timeProvider = dataFeedTimeProvider.FrontierTimeProvider;
_subscriptions = subscriptionManager.DataFeedSubscriptions;
_cancellationTokenSource = new CancellationTokenSource();
_subscriptionFactory = new SubscriptionDataReaderSubscriptionEnumeratorFactory(
_resultHandler,
_mapFileProvider,
_factorFileProvider,
_dataProvider,
includeAuxiliaryData: true,
enablePriceScaling: false);
IsActive = true;
}
/// <summary>
/// Initialize the data permission manager
/// </summary>
/// <param name="job">The job packet</param>
public virtual void Initialize(AlgorithmNodePacket job)
{
var liveJob = job as LiveNodePacket;
if (liveJob != null)
{
Log.Trace($"LiveTradingDataFeed.GetDataChannelProvider(): will use {liveJob.DataChannelProvider}");
DataChannelProvider = Composer.Instance.GetExportedValueByTypeName <IDataChannelProvider>(liveJob.DataChannelProvider);
}
}
public void Initialize(
IAlgorithm algorithm,
AlgorithmNodePacket job,
IResultHandler resultHandler,
IMapFileProvider mapFileProvider,
IFactorFileProvider factorFileProvider,
IDataProvider dataProvider,
IDataFeedSubscriptionManager subscriptionManager,
IDataFeedTimeProvider dataFeedTimeProvider,
IDataChannelProvider dataChannelProvider
)
{
}
/// <inheritdoc />
public void Initialize(
IAlgorithm algorithm,
AlgorithmNodePacket job,
IResultHandler resultHandler,
IMapFileProvider mapFileProvider,
IFactorFileProvider factorFileProvider,
IDataProvider dataProvider,
IDataFeedSubscriptionManager subscriptionManager,
IDataFeedTimeProvider dataFeedTimeProvider,
IDataChannelProvider channelProvider
)
{
throw new NotImplementedException("Unexpected usage of null data feed implementation.");
}
/// <summary>
/// Initializes the data feed for the specified job and algorithm
/// </summary>
public void Initialize(IAlgorithm algorithm,
AlgorithmNodePacket job,
IResultHandler resultHandler,
IMapFileProvider mapFileProvider,
IFactorFileProvider factorFileProvider,
IDataProvider dataProvider,
IDataFeedSubscriptionManager subscriptionManager,
IDataFeedTimeProvider dataFeedTimeProvider,
IDataChannelProvider dataChannelProvider)
{
if (!(job is LiveNodePacket))
{
throw new ArgumentException("The LiveTradingDataFeed requires a LiveNodePacket.");
}
_cancellationTokenSource = new CancellationTokenSource();
_job = (LiveNodePacket)job;
_timeProvider = dataFeedTimeProvider.TimeProvider;
_dataProvider = dataProvider;
_mapFileProvider = mapFileProvider;
_factorFileProvider = factorFileProvider;
_channelProvider = dataChannelProvider;
_frontierTimeProvider = dataFeedTimeProvider.FrontierTimeProvider;
_customExchange = new BaseDataExchange("CustomDataExchange")
{
SleepInterval = 10
};
_subscriptions = subscriptionManager.DataFeedSubscriptions;
_dataQueueHandler = GetDataQueueHandler();
_dataQueueHandler?.SetJob(_job);
// run the custom data exchange
var manualEvent = new ManualResetEventSlim(false);
Task.Factory.StartNew(() =>
{
manualEvent.Set();
_customExchange.Start(_cancellationTokenSource.Token);
}, TaskCreationOptions.LongRunning);
manualEvent.Wait();
manualEvent.DisposeSafely();
IsActive = true;
}
/// <summary>
/// Initializes the data feed for the specified job and algorithm
/// </summary>
public void Initialize(IAlgorithm algorithm,
AlgorithmNodePacket job,
IResultHandler resultHandler,
IMapFileProvider mapFileProvider,
IFactorFileProvider factorFileProvider,
IDataProvider dataProvider,
IDataFeedSubscriptionManager subscriptionManager,
IDataFeedTimeProvider dataFeedTimeProvider)
{
if (!(job is LiveNodePacket))
{
throw new ArgumentException("The LiveTradingDataFeed requires a LiveNodePacket.");
}
_cancellationTokenSource = new CancellationTokenSource();
_algorithm = algorithm;
_job = (LiveNodePacket)job;
_timeProvider = dataFeedTimeProvider.TimeProvider;
_dataQueueHandler = GetDataQueueHandler();
_dataProvider = dataProvider;
_channelProvider = GetDataChannelProvider();
_frontierTimeProvider = dataFeedTimeProvider.FrontierTimeProvider;
_customExchange = new BaseDataExchange("CustomDataExchange")
{
SleepInterval = 10
};
// sleep is controlled on this exchange via the GetNextTicksEnumerator
_exchange = new BaseDataExchange("DataQueueExchange")
{
SleepInterval = 0
};
_exchange.AddEnumerator(DataQueueHandlerSymbol, GetNextTicksEnumerator());
_subscriptions = subscriptionManager.DataFeedSubscriptions;
_universeSelection = subscriptionManager.UniverseSelection;
// run the exchanges
Task.Run(() => _exchange.Start(_cancellationTokenSource.Token));
Task.Run(() => _customExchange.Start(_cancellationTokenSource.Token));
IsActive = true;
}
/// <summary>
/// Initializes the data feed for the specified job and algorithm
/// </summary>
public override void Initialize(IAlgorithm algorithm,
AlgorithmNodePacket job,
IResultHandler resultHandler,
IMapFileProvider mapFileProvider,
IFactorFileProvider factorFileProvider,
IDataProvider dataProvider,
IDataFeedSubscriptionManager subscriptionManager,
IDataFeedTimeProvider dataFeedTimeProvider,
IDataChannelProvider dataChannelProvider)
{
if (!(job is LiveNodePacket))
{
throw new ArgumentException("The LiveTradingDataFeed requires a LiveNodePacket.");
}
_algorithm = algorithm;
_job = (LiveNodePacket)job;
_timeProvider = dataFeedTimeProvider.TimeProvider;
_dataProvider = dataProvider;
_mapFileProvider = mapFileProvider;
_factorFileProvider = factorFileProvider;
_channelProvider = dataChannelProvider;
_frontierTimeProvider = dataFeedTimeProvider.FrontierTimeProvider;
_customExchange = GetBaseDataExchange();
_subscriptions = subscriptionManager.DataFeedSubscriptions;
_dataQueueHandler = GetDataQueueHandler();
_dataQueueHandler?.SetJob(_job);
// run the custom data exchange
_customExchange.Start();
IsActive = true;
base.Initialize(algorithm, job, resultHandler, mapFileProvider, factorFileProvider, dataProvider, subscriptionManager, dataFeedTimeProvider, dataChannelProvider);
}
