/// <summary>
/// Initializes a new instance of the <see cref="DataFeedPacket"/> class
/// </summary>
/// <param name="security">The security whose data is held in this packet</param>
/// <param name="configuration">The subscription configuration that produced this data</param>
/// <param name="isSubscriptionRemoved">Reference to whether or not the subscription has since been removed, defaults to false</param>
public DataFeedPacket(ISecurityPrice security, SubscriptionDataConfig configuration, IReadOnlyRef <bool> isSubscriptionRemoved = null)
: this(security,
configuration,
new List <BaseData>(4), // performance: by default the list has 0 capacity, so lets initialize it with at least 4 (which is the default)
isSubscriptionRemoved)
{
}
/// <summary>
/// Initializes a new instance of the <see cref="DataFeedPacket"/> class
/// </summary>
/// <param name="security">The security whose data is held in this packet</param>
/// <param name="configuration">The subscription configuration that produced this data</param>
/// <param name="data">The data to add to this packet. The list reference is reused
/// internally and NOT copied.</param>
/// <param name="isSubscriptionRemoved">Reference to whether or not the subscription has since been removed, defaults to false</param>
public DataFeedPacket(ISecurityPrice security, SubscriptionDataConfig configuration, List <BaseData> data, IReadOnlyRef <bool> isSubscriptionRemoved = null)
{
Security = security;
Configuration = configuration;
Data = data;
_isRemoved = isSubscriptionRemoved ?? Ref.Create(false);
}
public void SetSecurityPriceData(ISecurityPrice price)
{
if (price != null)
{
this.SecurityPriceData = new SecurityPriceData(price);
}
else
{
throw new ArgumentNullException("null ISecurityPrice was passed to SetSecurityPriceData Method");
}
}
public SecurityPriceData(ISecurityPrice priceData)
{
if (priceData != null)
{
this.Id = priceData.Id;
this.Index = priceData.Index;
this.Price = priceData.Price;
this.PriceDate = priceData.PriceDate;
this.IsIdentified = priceData.IsIdentified;
}
}
/// <summary>
/// Initializes a new instance of the <see cref="Subscription"/> class with a universe
/// </summary>
/// <param name="subscriptionRequest">Specified for universe subscriptions</param>
/// <param name="enumerator">The subscription's data source</param>
/// <param name="timeZoneOffsetProvider">The offset provider used to convert data local times to utc</param>
public Subscription(
SubscriptionRequest subscriptionRequest,
IEnumerator <SubscriptionData> enumerator,
TimeZoneOffsetProvider timeZoneOffsetProvider)
{
_subscriptionRequests = new List <SubscriptionRequest> {
subscriptionRequest
};
_enumerator = enumerator;
Security = subscriptionRequest.Security;
IsUniverseSelectionSubscription = subscriptionRequest.IsUniverseSubscription;
Configuration = subscriptionRequest.Configuration;
OffsetProvider = timeZoneOffsetProvider;
TimeZone = subscriptionRequest.Security.Exchange.TimeZone;
UtcStartTime = subscriptionRequest.StartTimeUtc;
UtcEndTime = subscriptionRequest.EndTimeUtc;
RemovedFromUniverse = Ref.CreateReadOnly(() => _removedFromUniverse);
}
private bool HandleFuturesData(DateTime algorithmTime, BaseData baseData, FuturesChains futuresChains, ISecurityPrice security)
{
var symbol = baseData.Symbol;
FuturesChain chain;
var canonical = symbol.Canonical;
if (!futuresChains.TryGetValue(canonical, out chain))
{
chain = new FuturesChain(canonical, algorithmTime);
futuresChains[canonical] = chain;
}
var universeData = baseData as FuturesChainUniverseDataCollection;
if (universeData != null)
{
foreach (var contractSymbol in universeData.FilteredContracts)
{
chain.FilteredContracts.Add(contractSymbol);
}
return(false);
}
FuturesContract contract;
if (!chain.Contracts.TryGetValue(baseData.Symbol, out contract))
{
var underlyingSymbol = baseData.Symbol.Underlying;
contract = new FuturesContract(baseData.Symbol, underlyingSymbol)
{
Time = baseData.EndTime,
LastPrice = security.Close,
Volume = (long)security.Volume,
BidPrice = security.BidPrice,
BidSize = (long)security.BidSize,
AskPrice = security.AskPrice,
AskSize = (long)security.AskSize,
OpenInterest = security.OpenInterest
};
chain.Contracts[baseData.Symbol] = contract;
}
// populate ticks and tradebars dictionaries with no aux data
switch (baseData.DataType)
{
case MarketDataType.Tick:
var tick = (Tick)baseData;
chain.Ticks.Add(tick.Symbol, tick);
UpdateContract(contract, tick);
break;
case MarketDataType.TradeBar:
var tradeBar = (TradeBar)baseData;
chain.TradeBars[symbol] = tradeBar;
UpdateContract(contract, tradeBar);
break;
case MarketDataType.QuoteBar:
var quote = (QuoteBar)baseData;
chain.QuoteBars[symbol] = quote;
UpdateContract(contract, quote);
break;
case MarketDataType.Base:
chain.AddAuxData(baseData);
break;
}
return(true);
}
private bool HandleOptionData(DateTime algorithmTime, BaseData baseData, OptionChains optionChains, ISecurityPrice security, Lazy <Slice> sliceFuture, IReadOnlyDictionary <Symbol, BaseData> optionUnderlyingUpdates)
{
var symbol = baseData.Symbol;
OptionChain chain;
var canonical = symbol.Canonical;
if (!optionChains.TryGetValue(canonical, out chain))
{
chain = new OptionChain(canonical, algorithmTime);
optionChains[canonical] = chain;
}
// set the underlying current data point in the option chain
var option = security as IOptionPrice;
if (option != null)
{
if (option.Underlying == null)
{
Log.Error($"TimeSlice.HandleOptionData(): {algorithmTime}: Option underlying is null");
return(false);
}
BaseData underlyingData;
if (!optionUnderlyingUpdates.TryGetValue(option.Underlying.Symbol, out underlyingData))
{
underlyingData = option.Underlying.GetLastData();
}
if (underlyingData == null)
{
Log.Error($"TimeSlice.HandleOptionData(): {algorithmTime}: Option underlying GetLastData returned null");
return(false);
}
chain.Underlying = underlyingData;
}
var universeData = baseData as OptionChainUniverseDataCollection;
if (universeData != null)
{
if (universeData.Underlying != null)
{
foreach (var addedContract in chain.Contracts)
{
addedContract.Value.UnderlyingLastPrice = chain.Underlying.Price;
}
}
foreach (var contractSymbol in universeData.FilteredContracts)
{
chain.FilteredContracts.Add(contractSymbol);
}
return(false);
}
OptionContract contract;
if (!chain.Contracts.TryGetValue(baseData.Symbol, out contract))
{
var underlyingSymbol = baseData.Symbol.Underlying;
contract = new OptionContract(baseData.Symbol, underlyingSymbol)
{
Time = baseData.EndTime,
LastPrice = security.Close,
Volume = (long)security.Volume,
BidPrice = security.BidPrice,
BidSize = (long)security.BidSize,
AskPrice = security.AskPrice,
AskSize = (long)security.AskSize,
OpenInterest = security.OpenInterest,
UnderlyingLastPrice = chain.Underlying.Price
};
chain.Contracts[baseData.Symbol] = contract;
if (option != null)
{
contract.SetOptionPriceModel(() => option.EvaluatePriceModel(sliceFuture.Value, contract));
}
}
// populate ticks and tradebars dictionaries with no aux data
switch (baseData.DataType)
{
case MarketDataType.Tick:
var tick = (Tick)baseData;
chain.Ticks.Add(tick.Symbol, tick);
UpdateContract(contract, tick);
break;
case MarketDataType.TradeBar:
var tradeBar = (TradeBar)baseData;
chain.TradeBars[symbol] = tradeBar;
UpdateContract(contract, tradeBar);
break;
case MarketDataType.QuoteBar:
var quote = (QuoteBar)baseData;
chain.QuoteBars[symbol] = quote;
UpdateContract(contract, quote);
break;
case MarketDataType.Base:
chain.AddAuxData(baseData);
break;
}
return(true);
}
/// <summary>
/// Initializes a new instance of the <see cref="DataFeedPacket"/> class
/// </summary>
/// <param name="security">The security whose data is held in this packet</param>
/// <param name="configuration">The subscription configuration that produced this data</param>
/// <param name="isSubscriptionRemoved">Reference to whether or not the subscription has since been removed, defaults to false</param>
public DataFeedPacket(ISecurityPrice security, SubscriptionDataConfig configuration, IReadOnlyRef <bool> isSubscriptionRemoved = null)
: this(security, configuration, new List <BaseData>(), isSubscriptionRemoved)
{
}
