/// <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)
{
if (_isLiveMode)
{
var localTime = request.StartTimeUtc.ConvertFromUtc(request.Configuration.ExchangeTimeZone);
// loading the list of option contract and converting them into zip entries
var symbols = _symbolUniverse.LookupSymbols(request.Security.Symbol.Underlying.ToString(), request.Security.Type);
var zipEntries = symbols.Select(x => new ZipEntryName {
Time = localTime, Symbol = x
} as BaseData).ToList();
// creating trade bar builder enumerator to model underlying price change
var underlyingEnumerator = new TradeBarBuilderEnumerator(request.Configuration.Increment, request.Security.Exchange.TimeZone, _timeProvider);
// configuring the enumerator
var subscriptionConfiguration = GetSubscriptionConfigurations(request).First();
var subscriptionRequest = new SubscriptionRequest(request, configuration: subscriptionConfiguration);
var configuredEnumerator = _enumeratorConfigurator(subscriptionRequest, underlyingEnumerator);
return(new DataQueueOptionChainUniverseDataCollectionEnumerator(request.Security.Symbol, configuredEnumerator, zipEntries));
}
else
{
var factory = new BaseDataSubscriptionEnumeratorFactory(_mapFileResolver, _factorFileProvider);
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 OptionChainUniverseDataCollectionEnumerator(sync, request.Security.Symbol));
}
}
/// <summary>
/// Creates an enumerator to read the specified request
/// </summary>
/// <param name="request">The subscription request to be read</param>
/// <param name="dataProvider">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, IDataProvider dataProvider)
{
if (_isLiveMode)
{
// creating trade bar builder enumerator to model underlying price change
var underlyingEnumerator = new TradeBarBuilderEnumerator(request.Configuration.Increment, request.Security.Exchange.TimeZone, _timeProvider);
// configuring the enumerator
var subscriptionConfiguration = GetSubscriptionConfigurations(request).First();
var subscriptionRequest = new SubscriptionRequest(request, configuration: subscriptionConfiguration);
var configuredEnumerator = _enumeratorConfigurator(subscriptionRequest, underlyingEnumerator);
return(new DataQueueOptionChainUniverseDataCollectionEnumerator(subscriptionRequest, configuredEnumerator, _symbolUniverse, _timeProvider));
}
else
{
var factory = new BaseDataSubscriptionEnumeratorFactory(_isLiveMode, _mapFileResolver, _factorFileProvider);
var enumerators = GetSubscriptionConfigurations(request)
.Select(c => new SubscriptionRequest(request, configuration: c))
.Select(sr => _enumeratorConfigurator(request, factory.CreateEnumerator(sr, dataProvider)));
var sync = new SynchronizingEnumerator(enumerators);
return(new OptionChainUniverseDataCollectionEnumerator(sync, request.Security.Symbol));
}
}
/// <summary>
/// Creates an enumerator to read the specified request
/// </summary>
/// <param name="request">The subscription request to be read</param>
/// <param name="dataProvider">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, IDataProvider dataProvider)
{
if (_isLiveMode)
{
var subscriptionRequest = new SubscriptionRequest(request, configuration: GetSubscriptionConfiguration(request));
return(new DataQueueFuturesChainUniverseDataCollectionEnumerator(subscriptionRequest, _symbolUniverse, _timeProvider));
}
else
{
var factory = new BaseDataSubscriptionEnumeratorFactory(_isLiveMode, _dataCacheProvider);
var newRequest = new SubscriptionRequest(request, configuration: GetSubscriptionConfiguration(request));
var enumerator = _enumeratorConfigurator(request, factory.CreateEnumerator(newRequest, dataProvider));
return(new FuturesChainUniverseDataCollectionAggregatorEnumerator(enumerator, request.Security.Symbol));
}
}
/// <summary>
/// Creates an enumerator to read the specified request
/// </summary>
/// <param name="request">The subscription request to be read</param>
/// <param name="dataProvider">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, IDataProvider dataProvider)
{
if (_isLiveMode)
{
var subscriptionConfiguration = GetSubscriptionConfigurations(request).First();
var subscriptionRequest = new SubscriptionRequest(request, configuration: subscriptionConfiguration);
return(new DataQueueFuturesChainUniverseDataCollectionEnumerator(subscriptionRequest, _symbolUniverse, _timeProvider));
}
else
{
var factory = new BaseDataSubscriptionEnumeratorFactory(_isLiveMode);
var enumerators = GetSubscriptionConfigurations(request)
.Select(c => new SubscriptionRequest(request, configuration: c))
.Select(sr => _enumeratorConfigurator(request, factory.CreateEnumerator(sr, dataProvider)));
var sync = new SynchronizingEnumerator(enumerators);
return(new FuturesChainUniverseDataCollectionAggregatorEnumerator(sync, request.Security.Symbol));
}
}
/// <summary>
/// Creates an enumerator to read the specified request
/// </summary>
/// <param name="request">The subscription request to be read</param>
/// <param name="dataProvider">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, IDataProvider dataProvider)
{
if (_isLiveMode)
{
var localTime = request.StartTimeUtc.ConvertFromUtc(request.Configuration.ExchangeTimeZone);
// loading the list of futures contracts and converting them into zip entries
var symbols = _symbolUniverse.LookupSymbols(request.Security.Symbol.ID.Symbol, request.Security.Type);
var zipEntries = symbols.Select(x => new ZipEntryName {
Time = localTime, Symbol = x
} as BaseData).ToList();
var underlyingEnumerator = new TradeBarBuilderEnumerator(request.Configuration.Increment, request.Security.Exchange.TimeZone, _timeProvider);
underlyingEnumerator.ProcessData(new Tick {
Value = 0
});
// configuring the enumerator
var subscriptionConfiguration = GetSubscriptionConfigurations(request).First();
var subscriptionRequest = new SubscriptionRequest(request, configuration: subscriptionConfiguration);
var configuredEnumerator = _enumeratorConfigurator(subscriptionRequest, underlyingEnumerator);
return(new DataQueueFuturesChainUniverseDataCollectionEnumerator(request.Security.Symbol, configuredEnumerator, zipEntries));
}
else
{
var factory = new BaseDataSubscriptionEnumeratorFactory(_isLiveMode);
var enumerators = GetSubscriptionConfigurations(request)
.Select(c => new SubscriptionRequest(request, configuration: c))
.Select(sr => _enumeratorConfigurator(request, factory.CreateEnumerator(sr, dataProvider)));
var sync = new SynchronizingEnumerator(enumerators);
return(new FuturesChainUniverseDataCollectionAggregatorEnumerator(sync, request.Security.Symbol));
}
}
/// <summary>
/// Initializes a new instance of the <see cref="OptionChainUniverseSubscriptionEnumeratorFactory"/> class
/// </summary>
/// <param name="enumeratorConfigurator">Function used to configure the sub-enumerators before sync (fill-forward/filter/ect...)</param>
public OptionChainUniverseSubscriptionEnumeratorFactory(Func <SubscriptionRequest, IEnumerator <BaseData>, IEnumerator <BaseData> > enumeratorConfigurator)
{
_enumeratorConfigurator = enumeratorConfigurator;
_factory = new BaseDataSubscriptionEnumeratorFactory();
}
