private void ProcessMissingDayFillForward(SubscriptionDataReader manager, int i, TimeSpan increment, DateTime dateToFill)
{
// we'll copy the current into the next day
var subscription = Subscriptions[i];
if (!subscription.FillDataForward || manager.Current == null) return;
var start = dateToFill.Date + manager.Exchange.MarketOpen;
if (subscription.ExtendedMarketHours)
{
// we need to loop to find the extended market open
start = dateToFill.Date;
while (!manager.Exchange.DateTimeIsExtendedOpen(start))
{
start += increment;
}
}
var current = manager.Current;
for (var date = start; date.Date == dateToFill.Date; date = date + increment)
{
if (manager.IsMarketOpen(date) || (subscription.ExtendedMarketHours && manager.IsExtendedMarketOpen(date)))
{
var cache = new List<BaseData>(1);
var fillforward = current.Clone(true);
fillforward.Time = date;
FillForwardFrontiers[i] = date;
cache.Add(fillforward);
Bridge[i].Enqueue(cache);
}
else
{
// stop fill forwarding when we're no longer open
break;
}
}
}
/// <summary>
/// If this is a fillforward subscription, look at the previous time, and current time, and add new
/// objects to queue until current time to fill up the gaps.
/// </summary>
/// <param name="manager">Subscription to process</param>
/// <param name="i">Subscription position in the bridge ( which queue are we pushing data to )</param>
/// <param name="increment">Timespan increment to jump the fillforward results</param>
private void ProcessFillForward(SubscriptionDataReader manager, int i, TimeSpan increment)
{
// If previous == null cannot fill forward nothing there to move forward (e.g. cases where file not found on first file).
if (!Subscriptions[i].FillDataForward || manager.Previous == null) return;
//Last tradebar and the current one we're about to add to queue:
var previous = manager.Previous;
var current = manager.Current;
//Initialize the frontier:
if (FillForwardFrontiers[i].Ticks == 0) FillForwardFrontiers[i] = previous.Time;
//Data ended before the market closed: premature ending flag - continue filling forward until market close.
if (manager.EndOfStream && manager.IsMarketOpen(current.Time))
{
//Make sure we only fill forward to end of *today* -- don't fill forward tomorrow just because its also open.
var processingDate = FillForwardFrontiers[i].Date;
//Premature end of stream: fill manually until market closed.
for (var date = FillForwardFrontiers[i] + increment; (manager.IsMarketOpen(date) && date.Date == processingDate); date = date + increment)
{
var cache = new List<BaseData>(1);
var fillforward = current.Clone(true);
fillforward.Time = date;
FillForwardFrontiers[i] = date;
cache.Add(fillforward);
Bridge[i].Enqueue(cache);
}
return;
}
//Once per increment, add a new cache to the Bridge:
//If the current.Time is before market close, (e.g. suspended trading at 2pm) the date is always greater than currentTime and fillforward never runs.
//In this circumstance we need to keep looping till market/extended hours close even if no data.
for (var date = FillForwardFrontiers[i] + increment; (date < current.Time); date = date + increment)
{
//If we don't want aftermarket data, rewind it backwards until the market closes.
if (!Subscriptions[i].ExtendedMarketHours)
{
if (!manager.IsMarketOpen(date))
{
// Move fill forward so we don't waste time in this tight loop.
//Question is where to shuffle the date?
// --> If BEFORE market open, shuffle forward.
// --> If AFTER market close, and current.Time after market close, quit loop.
date = current.Time;
do
{
date = date - increment;
} while (manager.IsMarketOpen(date));
continue;
}
}
else
{
//If we've asked for extended hours, and the security is no longer inside extended market hours, skip:
if (!manager.IsExtendedMarketOpen(date))
{
continue;
}
}
var cache = new List<BaseData>(1);
var fillforward = previous.Clone(true);
fillforward.Time = date;
FillForwardFrontiers[i] = date;
cache.Add(fillforward);
Bridge[i].Enqueue(cache);
}
}
