/// <summary>
/// Creates and adds a list of <see cref="SubscriptionDataConfig" /> for a given symbol and configuration.
/// Can optionally pass in desired subscription data types to use.
/// If the config already existed will return existing instance instead
/// </summary>
public List <SubscriptionDataConfig> Add(
Symbol symbol,
Resolution?resolution = null,
bool fillForward = true,
bool extendedMarketHours = false,
bool isFilteredSubscription = true,
bool isInternalFeed = false,
bool isCustomData = false,
List <Tuple <Type, TickType> > subscriptionDataTypes = null,
DataNormalizationMode dataNormalizationMode = DataNormalizationMode.Adjusted
)
{
var dataTypes = subscriptionDataTypes ??
LookupSubscriptionConfigDataTypes(symbol.SecurityType, resolution ?? Resolution.Minute, symbol.IsCanonical());
if (!dataTypes.Any())
{
throw new ArgumentNullException(nameof(dataTypes), "At least one type needed to create new subscriptions");
}
var resolutionWasProvided = resolution.HasValue;
foreach (var typeTuple in dataTypes)
{
var baseInstance = typeTuple.Item1.GetBaseDataInstance();
baseInstance.Symbol = symbol;
if (!resolutionWasProvided)
{
var defaultResolution = baseInstance.DefaultResolution();
if (resolution.HasValue && resolution != defaultResolution)
{
// we are here because there are multiple 'dataTypes'.
// if we get different default resolutions lets throw, this shouldn't happen
throw new InvalidOperationException(
$"Different data types ({string.Join(",", dataTypes.Select(tuple => tuple.Item1))})" +
$" provided different default resolutions {defaultResolution} and {resolution}, this is an unexpected invalid operation.");
}
resolution = defaultResolution;
}
else
{
// only assert resolution in backtesting, live can use other data source
// for example daily data for options
if (!_liveMode)
{
var supportedResolutions = baseInstance.SupportedResolutions();
if (supportedResolutions.Contains(resolution.Value))
{
continue;
}
throw new ArgumentException($"Sorry {resolution.ToStringInvariant()} is not a supported resolution for {typeTuple.Item1.Name}" +
$" and SecurityType.{symbol.SecurityType.ToStringInvariant()}." +
$" Please change your AddData to use one of the supported resolutions ({string.Join(",", supportedResolutions)}).");
}
}
}
MarketHoursDatabase.Entry marketHoursDbEntry;
if (!_marketHoursDatabase.TryGetEntry(symbol.ID.Market, symbol, symbol.ID.SecurityType, out marketHoursDbEntry))
{
if (symbol.SecurityType == SecurityType.Base)
{
var baseInstance = dataTypes.Single().Item1.GetBaseDataInstance();
baseInstance.Symbol = symbol;
_marketHoursDatabase.SetEntryAlwaysOpen(symbol.ID.Market, null, SecurityType.Base, baseInstance.DataTimeZone());
}
marketHoursDbEntry = _marketHoursDatabase.GetEntry(symbol.ID.Market, symbol, symbol.ID.SecurityType);
}
var exchangeHours = marketHoursDbEntry.ExchangeHours;
if (symbol.ID.SecurityType.IsOption() ||
symbol.ID.SecurityType == SecurityType.Future ||
symbol.ID.SecurityType == SecurityType.Index)
{
dataNormalizationMode = DataNormalizationMode.Raw;
}
if (marketHoursDbEntry.DataTimeZone == null)
{
throw new ArgumentNullException(nameof(marketHoursDbEntry.DataTimeZone),
"DataTimeZone is a required parameter for new subscriptions. Set to the time zone the raw data is time stamped in.");
}
if (exchangeHours.TimeZone == null)
{
throw new ArgumentNullException(nameof(exchangeHours.TimeZone),
"ExchangeTimeZone is a required parameter for new subscriptions. Set to the time zone the security exchange resides in.");
}
var result = (from subscriptionDataType in dataTypes
let dataType = subscriptionDataType.Item1
let tickType = subscriptionDataType.Item2
select new SubscriptionDataConfig(
dataType,
symbol,
resolution.Value,
marketHoursDbEntry.DataTimeZone,
exchangeHours.TimeZone,
fillForward,
extendedMarketHours,
// if the subscription data types were not provided and the tick type is OpenInterest we make it internal
subscriptionDataTypes == null && tickType == TickType.OpenInterest || isInternalFeed,
isCustomData,
isFilteredSubscription: isFilteredSubscription,
tickType: tickType,
dataNormalizationMode: dataNormalizationMode)).ToList();
for (int i = 0; i < result.Count; i++)
{
result[i] = SubscriptionManagerGetOrAdd(result[i]);
// track all registered data types
_registeredTypesProvider.RegisterType(result[i].Type);
}
return(result);
}
/// <summary>
/// Creates and adds a list of <see cref="SubscriptionDataConfig" /> for a given symbol and configuration.
/// Can optionally pass in desired subscription data types to use.
/// If the config already existed will return existing instance instead
/// </summary>
public List <SubscriptionDataConfig> Add(
Symbol symbol,
Resolution resolution,
bool fillForward,
bool extendedMarketHours,
bool isFilteredSubscription = true,
bool isInternalFeed = false,
bool isCustomData = false,
List <Tuple <Type, TickType> > subscriptionDataTypes = null,
DataNormalizationMode dataNormalizationMode = DataNormalizationMode.Adjusted
)
{
var dataTypes = subscriptionDataTypes ??
LookupSubscriptionConfigDataTypes(symbol.SecurityType, resolution, symbol.IsCanonical());
var marketHoursDbEntry = _marketHoursDatabase.GetEntry(symbol.ID.Market, symbol, symbol.ID.SecurityType);
var exchangeHours = marketHoursDbEntry.ExchangeHours;
if (symbol.ID.SecurityType == SecurityType.Option || symbol.ID.SecurityType == SecurityType.Future)
{
dataNormalizationMode = DataNormalizationMode.Raw;
}
if (marketHoursDbEntry.DataTimeZone == null)
{
throw new ArgumentNullException(nameof(marketHoursDbEntry.DataTimeZone),
"DataTimeZone is a required parameter for new subscriptions. Set to the time zone the raw data is time stamped in.");
}
if (exchangeHours.TimeZone == null)
{
throw new ArgumentNullException(nameof(exchangeHours.TimeZone),
"ExchangeTimeZone is a required parameter for new subscriptions. Set to the time zone the security exchange resides in.");
}
if (!dataTypes.Any())
{
throw new ArgumentNullException(nameof(dataTypes), "At least one type needed to create new subscriptions");
}
var result = (from subscriptionDataType in dataTypes
let dataType = subscriptionDataType.Item1
let tickType = subscriptionDataType.Item2
select new SubscriptionDataConfig(
dataType,
symbol,
resolution,
marketHoursDbEntry.DataTimeZone,
exchangeHours.TimeZone,
fillForward,
extendedMarketHours,
isInternalFeed,
isCustomData,
isFilteredSubscription: isFilteredSubscription,
tickType: tickType,
dataNormalizationMode: dataNormalizationMode)).ToList();
for (int i = 0; i < result.Count; i++)
{
result[i] = SubscriptionManagerGetOrAdd(result[i]);
// track all registered data types
_registeredTypesProvider.RegisterType(result[i].Type);
}
return(result);
}