/// <summary>
        /// Creates an enumerator to read the specified request
        /// </summary>
        /// <param name="request">The subscription request to be read</param>
        /// <param name="dataFileProvider">Provider used to get data when it is not present on disk</param>
        /// <returns>An enumerator reading the subscription request</returns>
        public IEnumerator<BaseData> CreateEnumerator(SubscriptionRequest request, IDataFileProvider dataFileProvider)
        {
            var tradableDays = _tradableDaysProvider(request);

            var fineFundamental = new FineFundamental();
            var fineFundamentalConfiguration = new SubscriptionDataConfig(request.Configuration, typeof(FineFundamental), request.Security.Symbol);

            return (
                from date in tradableDays

                let fineFundamentalSource = GetSource(fineFundamental, fineFundamentalConfiguration, date)
                let fineFundamentalFactory = SubscriptionDataSourceReader.ForSource(fineFundamentalSource, dataFileProvider, fineFundamentalConfiguration, date, false)
                let fineFundamentalForDate = (FineFundamental)fineFundamentalFactory.Read(fineFundamentalSource).FirstOrDefault()

                select new FineFundamental
                {
                    DataType = MarketDataType.Auxiliary,
                    Symbol = request.Configuration.Symbol,
                    Time = date,
                    CompanyReference = fineFundamentalForDate != null ? fineFundamentalForDate.CompanyReference : new CompanyReference(),
                    SecurityReference = fineFundamentalForDate != null ? fineFundamentalForDate.SecurityReference : new SecurityReference(),
                    FinancialStatements = fineFundamentalForDate != null ? fineFundamentalForDate.FinancialStatements : new FinancialStatements(),
                    EarningReports = fineFundamentalForDate != null ? fineFundamentalForDate.EarningReports : new EarningReports(),
                    OperationRatios = fineFundamentalForDate != null ? fineFundamentalForDate.OperationRatios : new OperationRatios(),
                    EarningRatios = fineFundamentalForDate != null ? fineFundamentalForDate.EarningRatios : new EarningRatios(),
                    ValuationRatios = fineFundamentalForDate != null ? fineFundamentalForDate.ValuationRatios : new ValuationRatios()
                }
                ).GetEnumerator();
        }
        /// <summary>
        /// Creates an enumerator to read the specified request
        /// </summary>
        /// <param name="request">The subscription request to be read</param>
        /// <param name="dataFileProvider">Provider used to get data when it is not present on disk</param>
        /// <returns>An enumerator reading the subscription request</returns>
        public IEnumerator<BaseData> CreateEnumerator(SubscriptionRequest request, IDataFileProvider dataFileProvider)
        {
            var enumerators = GetSubscriptionConfigurations(request)
                .Select(c => new SubscriptionRequest(request, configuration: c))
                .Select(sr => _enumeratorConfigurator(request, _factory.CreateEnumerator(sr, dataFileProvider))
                );

            var sync = new SynchronizingEnumerator(enumerators);
            return new OptionChainUniverseDataCollectionAggregatorEnumerator(sync, request.Security.Symbol);
        }
 /// <summary>
 /// Creates a <see cref="SubscriptionDataReader"/> to read the specified request
 /// </summary>
 /// <param name="request">The subscription request to be read</param>
 /// <returns>An enumerator reading the subscription request</returns>
 public IEnumerator<BaseData> CreateEnumerator(SubscriptionRequest request)
 {
     return new SubscriptionDataReader(request.Configuration, 
         request.StartTimeLocal, 
         request.EndTimeLocal, 
         _resultHandler, 
         _mapFileResolver,
         _factorFileProvider, 
         _tradableDaysProvider(request), 
         _isLiveMode, 
         _includeAuxiliaryData
         );
 }
 private IEnumerable<SubscriptionDataConfig> GetSubscriptionConfigurations(SubscriptionRequest request)
 {
     // canonical also needs underlying price data
     var config = request.Configuration;
     var underlying = Symbol.Create(config.Symbol.ID.Symbol, SecurityType.Equity, config.Market);
     var resolution = config.Resolution == Resolution.Tick ? Resolution.Second : config.Resolution;
     return new[]
     {
         // rewrite the primary to be non-tick and fill forward
         new SubscriptionDataConfig(config, resolution: resolution, fillForward: true),
         // add underlying trade data
         new SubscriptionDataConfig(config, resolution: resolution, fillForward: true, symbol: underlying, objectType: typeof (TradeBar), tickType: TickType.Trade),
     };
 }
        /// <summary>
        /// Creates an enumerator to read the specified request
        /// </summary>
        /// <param name="request">The subscription request to be read</param>
        /// <returns>An enumerator reading the subscription request</returns>
        public IEnumerator<BaseData> CreateEnumerator(SubscriptionRequest request)
        {
            var configuration = request.Configuration;
            var tradableDays = _tradableDaysProvider(request);
            var sourceFactory = (BaseData) Activator.CreateInstance(request.Configuration.Type);

            return (
                from date in tradableDays
                let source = sourceFactory.GetSource(configuration, date, false)
                let factory = SubscriptionDataSourceReader.ForSource(source, configuration, date, false)
                let coarseFundamentalForDate = factory.Read(source)
                select new BaseDataCollection(date.AddDays(1), configuration.Symbol, coarseFundamentalForDate)
                ).GetEnumerator();
        }
        public void ReadsFineFundamental(FineFundamentalTestParameters parameters)
        {
            var stopwatch = Stopwatch.StartNew();
            var rows = new List<FineFundamental>();

            var config = new SubscriptionDataConfig(typeof(FineFundamental), parameters.Symbol, Resolution.Daily, TimeZones.NewYork, TimeZones.NewYork, false, false, false, false, TickType.Trade, false);
            var security = new Security(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), config, new Cash(CashBook.AccountCurrency, 0, 1), SymbolProperties.GetDefault(CashBook.AccountCurrency));
            var request = new SubscriptionRequest(false, null, security, config, parameters.StartDate, parameters.EndDate);
            var fileProvider = new DefaultDataFileProvider();

            var factory = new FineFundamentalSubscriptionEnumeratorFactory();
            var enumerator = factory.CreateEnumerator(request, fileProvider);
            while (enumerator.MoveNext())
            {
                var current = enumerator.Current as FineFundamental;
                rows.Add(current);
            }

            stopwatch.Stop();
            Console.WriteLine("Total rows: {0}, elapsed time: {1}", rows.Count, stopwatch.Elapsed);

            Assert.AreEqual(parameters.RowCount, rows.Count);

            if (parameters.RowCount != 1) return;

            var row = rows[0];
            Assert.AreEqual(parameters.CompanyShortName, row.CompanyReference.ShortName);
            Assert.AreEqual(parameters.Symbol, row.Symbol);
            Assert.AreEqual(parameters.Symbol != Symbol.Empty ? parameters.Symbol.Value : null, row.CompanyReference.PrimarySymbol);
            Assert.AreEqual(parameters.Symbol != Symbol.Empty ? parameters.Symbol.Value : null, row.SecurityReference.SecuritySymbol);
            Assert.AreEqual(parameters.Ebitda3M, row.FinancialStatements.IncomeStatement.EBITDA.ThreeMonths);
            Assert.AreEqual(parameters.Ebitda12M, row.FinancialStatements.IncomeStatement.EBITDA.TwelveMonths);
            Assert.AreEqual(parameters.Ebitda12M, row.FinancialStatements.IncomeStatement.EBITDA);
            Assert.AreEqual(parameters.CostOfRevenue3M, row.FinancialStatements.IncomeStatement.CostOfRevenue.ThreeMonths);
            Assert.AreEqual(parameters.CostOfRevenue12M, row.FinancialStatements.IncomeStatement.CostOfRevenue.TwelveMonths);
            Assert.AreEqual(parameters.CostOfRevenue12M, row.FinancialStatements.IncomeStatement.CostOfRevenue);
            Assert.AreEqual(parameters.EquityPerShareGrowth1Y, row.EarningRatios.EquityPerShareGrowth.OneYear);
            Assert.AreEqual(parameters.EquityPerShareGrowth1Y, row.EarningRatios.EquityPerShareGrowth);
            Assert.AreEqual(parameters.PeRatio, row.ValuationRatios.PERatio);
        }
Example #7
0
        /// <summary>
        /// Adds a new subscription to provide data for the specified security.
        /// </summary>
        /// <param name="request">Defines the subscription to be added, including start/end times the universe and security</param>
        /// <returns>True if the subscription was created and added successfully, false otherwise</returns>
        public bool AddSubscription(SubscriptionRequest request)
        {
            if (_subscriptions.Contains(request.Configuration))
            {
                // duplicate subscription request
                return false;
            }

            // create and add the subscription to our collection
            var subscription = request.IsUniverseSubscription
                ? CreateUniverseSubscription(request)
                : CreateSubscription(request);
            
            // for some reason we couldn't create the subscription
            if (subscription == null)
            {
                Log.Trace("Unable to add subscription for: " + request.Configuration);
                return false;
            }

            Log.Trace("LiveTradingDataFeed.AddSubscription(): Added " + request.Configuration);

            _subscriptions.TryAdd(subscription);

            // send the subscription for the new symbol through to the data queuehandler
            // unless it is custom data, custom data is retrieved using the same as backtest
            if (!subscription.Configuration.IsCustomData)
            {
                _dataQueueHandler.Subscribe(_job, new[] {request.Security.Symbol});
            }

            // keep track of security changes, we emit these to the algorithm
            // as notifications, used in universe selection
            _changes += SecurityChanges.Added(request.Security);

            UpdateFillForwardResolution();

            return true;
        }
 /// <summary>
 /// Invokes the configuration following enumerator creation
 /// </summary>
 /// <param name="request">The subscription request to be read</param>
 /// <param name="dataFileProvider">Provider used to get data when it is not present on disk</param>
 /// <returns>An enumerator reading the subscription request</returns>
 public IEnumerator<BaseData> CreateEnumerator(SubscriptionRequest request, IDataFileProvider dataFileProvider)
 {
     return _configurator(_factory.CreateEnumerator(request, dataFileProvider));
 }
 /// <summary>
 /// Creates an enumerator to read the specified request
 /// </summary>
 /// <param name="request">The subscription request to be read</param>
 /// <returns>An enumerator reading the subscription request</returns>
 public IEnumerator<BaseData> CreateEnumerator(SubscriptionRequest request)
 {
     return _universe.GetTriggerTimes(request.StartTimeUtc, request.EndTimeUtc, _marketHoursDatabase)
         .Select(x => new Tick {Time = x, Symbol = request.Configuration.Symbol}).GetEnumerator();
 }
 /// <summary>
 /// Invokes the configuration following enumerator creation
 /// </summary>
 /// <param name="request">The subscription request to be read</param>
 /// <returns>An enumerator reading the subscription request</returns>
 public IEnumerator<BaseData> CreateEnumerator(SubscriptionRequest request)
 {
     return _configurator(_factory.CreateEnumerator(request));
 }
Example #11
0
        /// <summary>
        /// Creates the correct enumerator factory for the given request
        /// </summary>
        private ISubscriptionEnumeratorFactory GetEnumeratorFactory(SubscriptionRequest request)
        {
            if (request.IsUniverseSubscription)
            {
                if (request.Universe is UserDefinedUniverse)
                {
                    // Trigger universe selection when security added/removed after Initialize
                    var universe = (UserDefinedUniverse) request.Universe;
                    universe.CollectionChanged += (sender, args) =>
                    {
                        var items =
                            args.Action == NotifyCollectionChangedAction.Add ? args.NewItems :
                            args.Action == NotifyCollectionChangedAction.Remove ? args.OldItems : null;

                        if (items == null || _frontierUtc == DateTime.MinValue) return;

                        var symbol = items.OfType<Symbol>().FirstOrDefault();
                        if (symbol == null) return;

                        var collection = new BaseDataCollection(_frontierUtc, symbol);
                        var changes = _universeSelection.ApplyUniverseSelection(universe, _frontierUtc, collection);
                        _algorithm.OnSecuritiesChanged(changes);
                    };

                    return new UserDefinedUniverseSubscriptionEnumeratorFactory(request.Universe as UserDefinedUniverse, MarketHoursDatabase.FromDataFolder());
                }
                if (request.Configuration.Type == typeof (CoarseFundamental))
                {
                    return new BaseDataCollectionSubscriptionEnumeratorFactory();
                }
                if (request.Configuration.Type == typeof(FineFundamental))
                {
                    return new FineFundamentalSubscriptionEnumeratorFactory();
                }
                if (request.Universe is OptionChainUniverse)
                {
                    return new OptionChainUniverseSubscriptionEnumeratorFactory((req, e) => ConfigureEnumerator(req, true, e));
                }
            }

            var mapFileResolver = request.Configuration.SecurityType == SecurityType.Equity
                ? _mapFileProvider.Get(request.Security.Symbol.ID.Market) 
                : MapFileResolver.Empty;

            return new PostCreateConfigureSubscriptionEnumeratorFactory(
                new SubscriptionDataReaderSubscriptionEnumeratorFactory(_resultHandler, mapFileResolver, _factorFileProvider, false, true),
                enumerator => ConfigureEnumerator(request, false, enumerator)
                );
        }
Example #12
0
        /// <summary>
        /// Adds a new subscription for universe selection
        /// </summary>
        /// <param name="request">The subscription request</param>
        private Subscription CreateUniverseSubscription(SubscriptionRequest request)
        {
            // grab the relevant exchange hours
            var config = request.Configuration;

            // define our data enumerator
            var enumerator = GetEnumeratorFactory(request).CreateEnumerator(request);

            var firstLoopCount = 5;
            var lowerThreshold = GetLowerThreshold(config.Resolution);
            var upperThreshold = GetUpperThreshold(config.Resolution);
            if (config.Type == typeof (CoarseFundamental))
            {
                firstLoopCount = 2;
                lowerThreshold = 5;
                upperThreshold = 100000;
            }

            var enqueueable = new EnqueueableEnumerator<BaseData>(true);
            ScheduleEnumerator(enumerator, enqueueable, lowerThreshold, upperThreshold, firstLoopCount);
            enumerator = enqueueable;

            // create the subscription
            var timeZoneOffsetProvider = new TimeZoneOffsetProvider(request.Security.Exchange.TimeZone, request.StartTimeUtc, request.EndTimeUtc);
            return new Subscription(request.Universe, request.Security, config, enumerator, timeZoneOffsetProvider, request.StartTimeUtc, request.EndTimeUtc, true);
        }
Example #13
0
        /// <summary>
        /// Adds a new subscription to provide data for the specified security.
        /// </summary>
        /// <param name="request">Defines the subscription to be added, including start/end times the universe and security</param>
        /// <returns>True if the subscription was created and added successfully, false otherwise</returns>
        public bool AddSubscription(SubscriptionRequest request)
        {
            if (_subscriptions.Contains(request.Configuration))
            {
                // duplicate subscription request
                return false;
            }

            var subscription = request.IsUniverseSubscription 
                ? CreateUniverseSubscription(request) 
                : CreateSubscription(request);

            if (subscription == null)
            {
                // subscription will be null when there's no tradeable dates for the security between the requested times, so
                // don't even try to load the data
                return false;
            }

            Log.Debug("FileSystemDataFeed.AddSubscription(): Added " + request.Configuration + " Start: " + request.StartTimeUtc + " End: " + request.EndTimeUtc);

            if (_subscriptions.TryAdd(subscription))
            {
                UpdateFillForwardResolution();
            }

            return true;
        }
Example #14
0
        private Subscription CreateSubscription(SubscriptionRequest request)
        {
            // ReSharper disable once PossibleMultipleEnumeration
            if (!request.TradableDays.Any())
            {
                _algorithm.Error(string.Format("No data loaded for {0} because there were no tradeable dates for this security.", request.Security.Symbol));
                return null;
            }

            // ReSharper disable once PossibleMultipleEnumeration
            var enumeratorFactory = GetEnumeratorFactory(request);
            var enumerator = enumeratorFactory.CreateEnumerator(request);
            enumerator = ConfigureEnumerator(request, false, enumerator);

            var enqueueable = new EnqueueableEnumerator<BaseData>(true);

            // add this enumerator to our exchange
            ScheduleEnumerator(enumerator, enqueueable, GetLowerThreshold(request.Configuration.Resolution), GetUpperThreshold(request.Configuration.Resolution));

            var timeZoneOffsetProvider = new TimeZoneOffsetProvider(request.Security.Exchange.TimeZone, request.StartTimeUtc, request.EndTimeUtc);
            var subscription = new Subscription(request.Universe, request.Security, request.Configuration, enqueueable, timeZoneOffsetProvider, request.StartTimeUtc, request.EndTimeUtc, false);
            return subscription;
        }
Example #15
0
 /// <summary>
 /// Initializes a new instance of the <see cref="SubscriptionRequest"/> class
 /// </summary>
 public SubscriptionRequest(SubscriptionRequest template,
     bool? isUniverseSubscription = null,
     Universe universe = null,
     Security security = null,
     SubscriptionDataConfig configuration = null,
     DateTime? startTimeUtc = null,
     DateTime? endTimeUtc = null
     )
     : this(isUniverseSubscription ?? template.IsUniverseSubscription,
           universe ?? template.Universe,
           security ?? template.Security,
           configuration ?? template.Configuration,
           startTimeUtc ?? template.StartTimeUtc,
           endTimeUtc ?? template.EndTimeUtc
           )
 {
 }
Example #16
0
        /// <summary>
        /// Creates a new subscription for the specified security
        /// </summary>
        /// <param name="request">The subscription request</param>
        /// <returns>A new subscription instance of the specified security</returns>
        protected Subscription CreateSubscription(SubscriptionRequest request)
        {
            Subscription subscription = null;
            try
            {
                var localEndTime = request.EndTimeUtc.ConvertFromUtc(request.Security.Exchange.TimeZone);
                var timeZoneOffsetProvider = new TimeZoneOffsetProvider(request.Security.Exchange.TimeZone, request.StartTimeUtc, request.EndTimeUtc);

                IEnumerator<BaseData> enumerator;
                if (request.Configuration.IsCustomData)
                {
                    if (!Quandl.IsAuthCodeSet)
                    {
                        // we're not using the SubscriptionDataReader, so be sure to set the auth token here
                        Quandl.SetAuthCode(Config.Get("quandl-auth-token"));
                    }

                    // each time we exhaust we'll new up this enumerator stack
                    var refresher = new RefreshEnumerator<BaseData>(() =>
                    {
                        var dateInDataTimeZone = DateTime.UtcNow.ConvertFromUtc(request.Configuration.DataTimeZone).Date;
                        var enumeratorFactory = new BaseDataCollectionSubscriptionEnumeratorFactory(r => new [] {dateInDataTimeZone});
                        var factoryReadEnumerator = enumeratorFactory.CreateEnumerator(request);
                        var maximumDataAge = TimeSpan.FromTicks(Math.Max(request.Configuration.Increment.Ticks, TimeSpan.FromSeconds(5).Ticks));
                        return new FastForwardEnumerator(factoryReadEnumerator, _timeProvider, request.Security.Exchange.TimeZone, maximumDataAge);
                    });

                    // rate limit the refreshing of the stack to the requested interval
                    var minimumTimeBetweenCalls = Math.Min(request.Configuration.Increment.Ticks, TimeSpan.FromMinutes(30).Ticks);
                    var rateLimit = new RateLimitEnumerator(refresher, _timeProvider, TimeSpan.FromTicks(minimumTimeBetweenCalls));
                    var frontierAware = new FrontierAwareEnumerator(rateLimit, _timeProvider, timeZoneOffsetProvider);
                    _customExchange.AddEnumerator(request.Configuration.Symbol, frontierAware);

                    var enqueable = new EnqueueableEnumerator<BaseData>();
                    _customExchange.SetDataHandler(request.Configuration.Symbol, data =>
                    {
                        enqueable.Enqueue(data);
                        if (subscription != null) subscription.RealtimePrice = data.Value;
                    });
                    enumerator = enqueable;
                }
                else if (request.Configuration.Resolution != Resolution.Tick)
                {
                    // this enumerator allows the exchange to pump ticks into the 'back' of the enumerator,
                    // and the time sync loop can pull aggregated trade bars off the front
                    var aggregator = new TradeBarBuilderEnumerator(request.Configuration.Increment, request.Security.Exchange.TimeZone, _timeProvider);
                    _exchange.SetDataHandler(request.Configuration.Symbol, data =>
                    {
                        aggregator.ProcessData((Tick) data);
                        if (subscription != null) subscription.RealtimePrice = data.Value;
                    });
                    enumerator = aggregator;
                }
                else
                {
                    // tick subscriptions can pass right through
                    var tickEnumerator = new EnqueueableEnumerator<BaseData>();
                    _exchange.SetDataHandler(request.Configuration.Symbol, data =>
                    {
                        tickEnumerator.Enqueue(data);
                        if (subscription != null) subscription.RealtimePrice = data.Value;
                    });
                    enumerator = tickEnumerator;
                }

                if (request.Configuration.FillDataForward)
                {
                    enumerator = new LiveFillForwardEnumerator(_frontierTimeProvider, enumerator, request.Security.Exchange, _fillForwardResolution, request.Configuration.ExtendedMarketHours, localEndTime, request.Configuration.Increment);
                }

                // define market hours and user filters to incoming data
                if (request.Configuration.IsFilteredSubscription)
                {
                    enumerator = new SubscriptionFilterEnumerator(enumerator, request.Security, localEndTime);
                }

                // finally, make our subscriptions aware of the frontier of the data feed, prevents future data from spewing into the feed
                enumerator = new FrontierAwareEnumerator(enumerator, _frontierTimeProvider, timeZoneOffsetProvider);

                subscription = new Subscription(request.Universe, request.Security, request.Configuration, enumerator, timeZoneOffsetProvider, request.StartTimeUtc, request.EndTimeUtc, false);
            }
            catch (Exception err)
            {
                Log.Error(err);
            }

            return subscription;
        }
Example #17
0
        /// <summary>
        /// Creates a new subscription for universe selection
        /// </summary>
        /// <param name="request">The subscription request</param>
        private Subscription CreateUniverseSubscription(SubscriptionRequest request)
        {
            // TODO : Consider moving the creating of universe subscriptions to a separate, testable class

            // grab the relevant exchange hours
            var config = request.Universe.Configuration;

            var tzOffsetProvider = new TimeZoneOffsetProvider(request.Security.Exchange.TimeZone, request.StartTimeUtc, request.EndTimeUtc);

            IEnumerator<BaseData> enumerator;
            
            var userDefined = request.Universe as UserDefinedUniverse;
            if (userDefined != null)
            {
                Log.Trace("LiveTradingDataFeed.CreateUniverseSubscription(): Creating user defined universe: " + config.Symbol.ToString());

                // spoof a tick on the requested interval to trigger the universe selection function
                var enumeratorFactory = new UserDefinedUniverseSubscriptionEnumeratorFactory(userDefined, MarketHoursDatabase.FromDataFolder());
                enumerator = enumeratorFactory.CreateEnumerator(request);

                enumerator = new FrontierAwareEnumerator(enumerator, _timeProvider, tzOffsetProvider);

                var enqueueable = new EnqueueableEnumerator<BaseData>();
                _customExchange.AddEnumerator(new EnumeratorHandler(config.Symbol, enumerator, enqueueable));
                enumerator = enqueueable;

                // Trigger universe selection when security added/removed after Initialize
                userDefined.CollectionChanged += (sender, args) =>
                {
                    var items =
                           args.Action == NotifyCollectionChangedAction.Add ? args.NewItems :
                           args.Action == NotifyCollectionChangedAction.Remove ? args.OldItems : null;

                    if (items == null || _frontierUtc == DateTime.MinValue) return;

                    var symbol = items.OfType<Symbol>().FirstOrDefault();
                    if (symbol == null) return;

                    var collection = new BaseDataCollection(_frontierUtc, symbol);
                    var changes = _universeSelection.ApplyUniverseSelection(userDefined, _frontierUtc, collection);
                    _algorithm.OnSecuritiesChanged(changes);
                };
            }
            else if (config.Type == typeof (CoarseFundamental))
            {
                Log.Trace("LiveTradingDataFeed.CreateUniverseSubscription(): Creating coarse universe: " + config.Symbol.ToString());

                // since we're binding to the data queue exchange we'll need to let him
                // know that we expect this data
                _dataQueueHandler.Subscribe(_job, new[] {request.Security.Symbol});

                var enqueable = new EnqueueableEnumerator<BaseData>();
                _exchange.SetDataHandler(config.Symbol, data =>
                {
                    enqueable.Enqueue(data);
                });
                enumerator = enqueable;
            }
            else
            {
                Log.Trace("LiveTradingDataFeed.CreateUniverseSubscription(): Creating custom universe: " + config.Symbol.ToString());

                // each time we exhaust we'll new up this enumerator stack
                var refresher = new RefreshEnumerator<BaseDataCollection>(() =>
                {
                    var sourceProvider = (BaseData)Activator.CreateInstance(config.Type);
                    var dateInDataTimeZone = DateTime.UtcNow.ConvertFromUtc(config.DataTimeZone).Date;
                    var source = sourceProvider.GetSource(config, dateInDataTimeZone, true);
                    var factory = SubscriptionDataSourceReader.ForSource(source, config, dateInDataTimeZone, false);
                    var factorEnumerator = factory.Read(source).GetEnumerator();
                    var fastForward = new FastForwardEnumerator(factorEnumerator, _timeProvider, request.Security.Exchange.TimeZone, config.Increment);
                    var frontierAware = new FrontierAwareEnumerator(fastForward, _frontierTimeProvider, tzOffsetProvider);
                    return new BaseDataCollectionAggregatorEnumerator(frontierAware, config.Symbol);
                });
                
                // rate limit the refreshing of the stack to the requested interval
                var minimumTimeBetweenCalls = Math.Min(config.Increment.Ticks, TimeSpan.FromMinutes(30).Ticks);
                var rateLimit = new RateLimitEnumerator(refresher, _timeProvider, TimeSpan.FromTicks(minimumTimeBetweenCalls));
                var enqueueable = new EnqueueableEnumerator<BaseData>();
                _customExchange.AddEnumerator(new EnumeratorHandler(config.Symbol, rateLimit, enqueueable));
                enumerator = enqueueable;
            }

            // create the subscription
            var subscription = new Subscription(request.Universe, request.Security, config, enumerator, tzOffsetProvider, request.StartTimeUtc, request.EndTimeUtc, true);

            return subscription;
        }
Example #18
0
        /// <summary>
        /// Configure the enumerator with aggregation/fill-forward/filter behaviors. Returns new instance if re-configured
        /// </summary>
        private IEnumerator<BaseData> ConfigureEnumerator(SubscriptionRequest request, bool aggregate, IEnumerator<BaseData> enumerator)
        {
            if (aggregate)
            {
                enumerator = new BaseDataCollectionAggregatorEnumerator(enumerator, request.Configuration.Symbol);
            }

            // optionally apply fill forward logic, but never for tick data
            if (request.Configuration.FillDataForward && request.Configuration.Resolution != Resolution.Tick)
            {
                enumerator = new FillForwardEnumerator(enumerator, request.Security.Exchange, _fillForwardResolution,
                    request.Security.IsExtendedMarketHours, request.EndTimeLocal, request.Configuration.Resolution.ToTimeSpan());
            }

            // optionally apply exchange/user filters
            if (request.Configuration.IsFilteredSubscription)
            {
                enumerator = SubscriptionFilterEnumerator.WrapForDataFeed(_resultHandler, enumerator, request.Security, request.EndTimeLocal);
            }

            return enumerator;
        }