/// <summary>
/// Gets the default consolidator for the specified symbol and resolution
/// </summary>
/// <param name="symbol">The symbo whose data is to be consolidated</param>
/// <param name="resolution">The resolution for the consolidator, if null, uses the resolution from subscription</param>
/// <returns>The new default consolidator</returns>
protected IDataConsolidator ResolveConsolidator(string symbol, Resolution?resolution)
{
symbol = symbol.ToUpper();
try
{
// find our subscription to this symbol
var subscription = SubscriptionManager.Subscriptions.First(x => x.Symbol == symbol);
if (subscription.Type == typeof(TradeBar))
{
if (!resolution.HasValue)
{
// if we want the same resolution as in the subscription then just use identity
return(new TradeBarConsolidator(1));
}
return(TradeBarConsolidator.FromResolution(resolution.Value));
}
// TODO : Add default IDataConsolidator for Tick
// if it is tick data we would need a different consolidator, what should the default consolidator of tick data be?
// I imagine it would be something that produces a TradeBar from ticks!
// if it is custom data I don't think we can resolve a default consolidator for the type
}
catch (InvalidOperationException)
{
// this will happen if wedid not find the subscription, let's give the user a decent error message
throw new Exception("Please register to receive data for symbol '" + symbol + "' using the AddSecurity() function.");
}
throw new NotSupportedException("QCAlgorithm.ResolveConsolidator(): Currently this only supports TradeBar data.");
}
/// <summary>
/// Gets the default consolidator for the specified symbol and resolution
/// </summary>
/// <param name="symbol">The symbo whose data is to be consolidated</param>
/// <param name="resolution">The resolution for the consolidator, if null, uses the resolution from subscription</param>
/// <returns>The new default consolidator</returns>
protected IDataConsolidator ResolveConsolidator(string symbol, Resolution?resolution)
{
symbol = symbol.ToUpper();
try
{
// find our subscription to this symbol
var subscription = SubscriptionManager.Subscriptions.First(x => x.Symbol == symbol);
// if the resolution is null or if the requested resolution matches the subscription, return identity
if (!resolution.HasValue || subscription.Resolution == resolution.Value)
{
// since there's a generic type parameter that we don't have access to, we'll just use the activator
var identityConsolidatorType = typeof(IdentityDataConsolidator <>).MakeGenericType(subscription.Type);
return((IDataConsolidator)Activator.CreateInstance(identityConsolidatorType));
}
// if our type can be used as a trade bar, then let's just make one of those
// we use IsAssignableFrom instead of IsSubclassOf so that we can account for types that are able to be cast to TradeBar
if (typeof(TradeBar).IsAssignableFrom(subscription.Type))
{
return(TradeBarConsolidator.FromResolution(resolution.Value));
}
// TODO : Add default IDataConsolidator for Tick
// if it is tick data we would need a different consolidator, what should the default consolidator of tick data be?
// I imagine it would be something that produces a TradeBar from ticks!
// if it is custom data I don't think we can resolve a default consolidator for the type unless it was assignable to trade bar
}
catch (InvalidOperationException)
{
// this will happen if wedid not find the subscription, let's give the user a decent error message
throw new Exception("Please register to receive data for symbol '" + symbol + "' using the AddSecurity() function.");
}
throw new NotSupportedException("QCAlgorithm.ResolveConsolidator(): Currently this only supports TradeBar data.");
}