/// <summary>
/// Initializes a new instance of the <see cref="TextSubscriptionDataSourceReader"/> class
/// </summary>
/// <param name="dataFileProvider">Attempts to fetch remote file provider</param>
/// <param name="dataFileCacheProvider">This provider caches files if needed</param>
/// <param name="config">The subscription's configuration</param>
/// <param name="date">The date this factory was produced to read data for</param>
/// <param name="isLiveMode">True if we're in live mode, false for backtesting</param>
public TextSubscriptionDataSourceReader(IDataFileProvider dataFileProvider, DataFileCacheProvider dataFileCacheProvider, SubscriptionDataConfig config, DateTime date, bool isLiveMode)
{
_dataFileProvider = dataFileProvider;
_dataFileCacheProvider = dataFileCacheProvider;
_date = date;
_config = config;
_isLiveMode = isLiveMode;
_factory = (BaseData)ObjectActivator.GetActivator(config.Type).Invoke(new object[0]);
}
/// <summary>
/// Subscription data reader takes a subscription request, loads the type, accepts the data source and enumerate on the results.
/// </summary>
/// <param name="config">Subscription configuration object</param>
/// <param name="periodStart">Start date for the data request/backtest</param>
/// <param name="periodFinish">Finish date for the data request/backtest</param>
/// <param name="resultHandler">Result handler used to push error messages and perform sampling on skipped days</param>
/// <param name="mapFileResolver">Used for resolving the correct map files</param>
/// <param name="factorFileProvider">Used for getting factor files</param>
/// <param name="dataFileProvider">Used for getting files not present on disk</param>
/// <param name="dataFileCacheProvider">Used for caching files</param>
/// <param name="tradeableDates">Defines the dates for which we'll request data, in order, in the security's exchange time zone</param>
/// <param name="isLiveMode">True if we're in live mode, false otherwise</param>
/// <param name="includeAuxilliaryData">True if we want to emit aux data, false to only emit price data</param>
public SubscriptionDataReader(SubscriptionDataConfig config,
DateTime periodStart,
DateTime periodFinish,
IResultHandler resultHandler,
MapFileResolver mapFileResolver,
IFactorFileProvider factorFileProvider,
IDataFileProvider dataFileProvider,
IEnumerable <DateTime> tradeableDates,
bool isLiveMode,
DataFileCacheProvider dataFileCacheProvider = null,
bool includeAuxilliaryData = true)
{
//Save configuration of data-subscription:
_config = config;
_auxiliaryData = new Queue <BaseData>();
//Save Start and End Dates:
_periodStart = periodStart;
_periodFinish = periodFinish;
_dataFileProvider = dataFileProvider;
_dataFileCacheProvider = dataFileCacheProvider;
//Save access to securities
_isLiveMode = isLiveMode;
_includeAuxilliaryData = includeAuxilliaryData;
//Save the type of data we'll be getting from the source.
//Create the dynamic type-activators:
var objectActivator = ObjectActivator.GetActivator(config.Type);
_resultHandler = resultHandler;
_tradeableDates = tradeableDates.GetEnumerator();
if (objectActivator == null)
{
_resultHandler.ErrorMessage("Custom data type '" + config.Type.Name + "' missing parameterless constructor E.g. public " + config.Type.Name + "() { }");
_endOfStream = true;
return;
}
//Create an instance of the "Type":
var userObj = objectActivator.Invoke(new object[] { });
_dataFactory = userObj as BaseData;
//If its quandl set the access token in data factory:
var quandl = _dataFactory as Quandl;
if (quandl != null)
{
if (!Quandl.IsAuthCodeSet)
{
Quandl.SetAuthCode(Config.Get("quandl-auth-token"));
}
}
_factorFile = new FactorFile(config.Symbol.Value, new List <FactorFileRow>());
_mapFile = new MapFile(config.Symbol.Value, new List <MapFileRow>());
// load up the map and factor files for equities
if (!config.IsCustomData && config.SecurityType == SecurityType.Equity)
{
try
{
var mapFile = mapFileResolver.ResolveMapFile(config.Symbol.ID.Symbol, config.Symbol.ID.Date);
// only take the resolved map file if it has data, otherwise we'll use the empty one we defined above
if (mapFile.Any())
{
_mapFile = mapFile;
}
var factorFile = factorFileProvider.Get(_config.Symbol);
_hasScaleFactors = factorFile != null;
if (_hasScaleFactors)
{
_factorFile = factorFile;
}
}
catch (Exception err)
{
Log.Error(err, "Fetching Price/Map Factors: " + config.Symbol.ID + ": ");
}
}
// load up the map and factor files for underlying of equity option
if (!config.IsCustomData && config.SecurityType == SecurityType.Option)
{
try
{
var mapFile = mapFileResolver.ResolveMapFile(config.Symbol.Underlying.ID.Symbol, config.Symbol.Underlying.ID.Date);
// only take the resolved map file if it has data, otherwise we'll use the empty one we defined above
if (mapFile.Any())
{
_mapFile = mapFile;
}
}
catch (Exception err)
{
Log.Error(err, "Map Factors: " + config.Symbol.ID + ": ");
}
}
_subscriptionFactoryEnumerator = ResolveDataEnumerator(true);
}
/// <summary>
/// Creates a new <see cref="ISubscriptionDataSourceReader"/> capable of handling the specified <paramref name="source"/>
/// </summary>
/// <param name="source">The subscription data source to create a factory for</param>
/// <param name="dataFileProvider">Retrieves files if not found on disk</param>
/// <param name="dataFileCacheProvider">Caches files</param>
/// <param name="config">The configuration of the subscription</param>
/// <param name="date">The date to be processed</param>
/// <param name="isLiveMode">True for live mode, false otherwise</param>
/// <returns>A new <see cref="ISubscriptionDataSourceReader"/> that can read the specified <paramref name="source"/></returns>
public static ISubscriptionDataSourceReader ForSource(SubscriptionDataSource source, IDataFileProvider dataFileProvider, DataFileCacheProvider dataFileCacheProvider, SubscriptionDataConfig config, DateTime date, bool isLiveMode)
{
switch (source.Format)
{
case FileFormat.Csv:
return(new TextSubscriptionDataSourceReader(dataFileProvider, dataFileCacheProvider, config, date, isLiveMode));
case FileFormat.Collection:
return(new CollectionSubscriptionDataSourceReader(config, date, isLiveMode));
case FileFormat.ZipEntryName:
return(new ZipEntryNameSubscriptionDataSourceReader(dataFileProvider, config, date, isLiveMode));
default:
throw new NotImplementedException("SubscriptionFactory.ForSource(" + source + ") has not been implemented yet.");
}
}
