/********************************************************
* CLASS METHODS
*********************************************************/
/// <summary>
/// Try and create a new instance of the object and return it using the MoveNext enumeration pattern ("Current" public variable).
/// </summary>
/// <remarks>This is a highly called method and should be kept lean as possible.</remarks>
/// <returns>Boolean true on successful move next. Set Current public property.</returns>
public bool MoveNext()
{
BaseData instance = null;
var instanceMarketOpen = false;
//Log.Debug("SubscriptionDataReader.MoveNext(): Starting MoveNext...");
//Calls this when no file, first "moveNext()" in refresh source.
if (_endOfStream || _reader == null || _reader.EndOfStream)
{
if (_reader == null)
{
//Handle the 1% of time:: getReader failed (e.g. missing day on S3) so skip day:
Current = null;
}
else
{
//This is a MoveNext() after reading the last line of file:
_lastBarOfStream = Current;
}
_endOfStream = true;
return(false);
}
//Log.Debug("SubscriptionDataReader.MoveNext(): Launching While-InstanceNotNull && not EOS: " + reader.EndOfStream);
//Keep looking until output's an instance:
while (instance == null && !_reader.EndOfStream)
{
//Get the next string line from file, create instance of BaseData:
var line = _reader.ReadLine();
try
{
//Using Fasterflex method invokers.
instance = _readerMethodInvoker(_dataFactory, _config, line, _date, _feedEndpoint) as BaseData;
}
catch (Exception err)
{
//Log.Debug("SubscriptionDataReader.MoveNext(): Error invoking instance: " + err.Message);
Engine.ResultHandler.RuntimeError("Error invoking " + _config.Symbol + " data reader. Line: " + line + " Error: " + err.Message, err.StackTrace);
_endOfStream = true;
}
if (instance != null)
{
instanceMarketOpen = _security.Exchange.DateTimeIsOpen(instance.Time);
//Apply custom user data filters:
try
{
if (!_security.DataFilter.Filter(_security, instance))
{
instance = null;
continue;
}
}
catch (Exception err)
{
Log.Error("SubscriptionDataReader.MoveNext(): Error applying filter: " + err.Message);
Engine.ResultHandler.RuntimeError("Runtime error applying data filter. Assuming filter pass: "******"SubscriptionDataReader.MoveNext(): Instance null, continuing...");
continue;
}
//Check if we're in date range of the data request
if (!_isQCData)
{
if (instance.Time < _periodStart)
{
_lastBarOutsideMarketHours = instance;
instance = null;
continue;
}
if (instance.Time > _periodFinish)
{
instance = null;
continue;
}
}
//Save bar for extended market hours (fill forward).
if (!instanceMarketOpen)
{
_lastBarOutsideMarketHours = instance;
}
//However, if we only want market hours data, don't return yet: Discard and continue looping.
if (!_config.ExtendedMarketHours && !instanceMarketOpen)
{
instance = null;
}
}
}
//Handle edge conditions: First Bar Read:
// -> Use previous bar from yesterday if available
if (Current == null)
{
//Handle first loop where not set yet:
if (_lastBarOfStream == null)
{
//For first bar, fill forward from premarket data where possible
_lastBarOfStream = _lastBarOutsideMarketHours ?? instance;
}
//If current not set yet, set Previous to yesterday/last bar read.
Previous = _lastBarOfStream;
}
else
{
Previous = Current;
}
Current = instance;
//End of Stream: rewind reader to last
if (_reader.EndOfStream && instance == null)
{
//Log.Debug("SubscriptionDataReader.MoveNext(): Reader EOS.");
_endOfStream = true;
if (_isFillForward && Previous != null)
{
//If instance == null, current is null, so clone previous to record the final sample:
Current = Previous.Clone();
//When market closes fastforward current bar to the last bar fill forwarded to close time.
Current.Time = _security.Exchange.TimeOfDayClosed(Previous.Time);
// Save the previous bar as last bar before next stream (for fill forwrd).
_lastBarOfStream = Previous;
}
return(false);
}
return(true);
}
