/// <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="dataCacheProvider">Used to cache data</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, IDataCacheProvider dataCacheProvider, SubscriptionDataConfig config, DateTime date, bool isLiveMode)
{
ISubscriptionDataSourceReader reader;
TextSubscriptionDataSourceReader textReader = null;
switch (source.Format)
{
case FileFormat.Csv:
reader = textReader = new TextSubscriptionDataSourceReader(dataCacheProvider, config, date, isLiveMode);
break;
case FileFormat.Collection:
reader = new CollectionSubscriptionDataSourceReader(dataCacheProvider, config, date, isLiveMode);
break;
case FileFormat.ZipEntryName:
reader = new ZipEntryNameSubscriptionDataSourceReader(config, date, isLiveMode);
break;
case FileFormat.Index:
return(new IndexSubscriptionDataSourceReader(dataCacheProvider, config, date, isLiveMode));
default:
throw new NotImplementedException("SubscriptionFactory.ForSource(" + source + ") has not been implemented yet.");
}
// wire up event handlers for logging missing files
if (source.TransportMedium == SubscriptionTransportMedium.LocalFile)
{
var factory = config.GetBaseDataInstance();
if (!factory.IsSparseData())
{
reader.InvalidSource += (sender, args) => Log.Error($"SubscriptionDataSourceReader.InvalidSource(): File not found: {args.Source.Source}");
if (textReader != null)
{
textReader.CreateStreamReaderError += (sender, args) => Log.Error($"SubscriptionDataSourceReader.CreateStreamReaderError(): File not found: {args.Source.Source}");
}
}
}
return(reader);
}
public void ReadsZipEntryNames()
{
var time = new DateTime(2016, 03, 03, 12, 48, 15);
var source = Path.Combine("TestData", "20151224_quote_american.zip");
var config = new SubscriptionDataConfig(typeof (ZipEntryName), Symbol.Create("XLRE", SecurityType.Option, Market.USA), Resolution.Tick,
TimeZones.NewYork, TimeZones.NewYork, false, false, false);
var dataFileProvider = new DefaultDataFileProvider();
var factory = new ZipEntryNameSubscriptionDataSourceReader(dataFileProvider, config, time, false);
var expected = new[]
{
Symbol.CreateOption("XLRE", Market.USA, OptionStyle.American, OptionRight.Call, 21m, new DateTime(2016, 08, 19)),
Symbol.CreateOption("XLRE", Market.USA, OptionStyle.American, OptionRight.Call, 22m, new DateTime(2016, 08, 19)),
Symbol.CreateOption("XLRE", Market.USA, OptionStyle.American, OptionRight.Put, 37m, new DateTime(2016, 08, 19)),
};
var actual = factory.Read(new SubscriptionDataSource(source, SubscriptionTransportMedium.LocalFile, FileFormat.ZipEntryName)).ToList();
// we only really care about the symbols
CollectionAssert.AreEqual(expected, actual.Select(x => x.Symbol));
Assert.IsTrue(actual.All(x => x is ZipEntryName));
}
/// <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="dataCacheProvider">Used to cache data</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>
/// <param name="factory">The base data instance factory</param>
/// <param name="dataProvider">The data provider to use</param>
/// <returns>A new <see cref="ISubscriptionDataSourceReader"/> that can read the specified <paramref name="source"/></returns>
public static ISubscriptionDataSourceReader ForSource(SubscriptionDataSource source, IDataCacheProvider dataCacheProvider, SubscriptionDataConfig config, DateTime date, bool isLiveMode, BaseData factory, IDataProvider dataProvider)
{
ISubscriptionDataSourceReader reader;
switch (source.Format)
{
case FileFormat.Csv:
reader = new TextSubscriptionDataSourceReader(dataCacheProvider, config, date, isLiveMode);
break;
case FileFormat.UnfoldingCollection:
reader = new CollectionSubscriptionDataSourceReader(dataCacheProvider, config, date, isLiveMode);
break;
case FileFormat.ZipEntryName:
reader = new ZipEntryNameSubscriptionDataSourceReader(dataCacheProvider, config, date, isLiveMode);
break;
case FileFormat.Index:
return(new IndexSubscriptionDataSourceReader(dataCacheProvider, config, date, isLiveMode, dataProvider));
case FileFormat.FoldingCollection:
reader = new BaseDataCollectionAggregatorReader(dataCacheProvider, config, date, isLiveMode);
break;
default:
throw new NotImplementedException("SubscriptionFactory.ForSource(" + source + ") has not been implemented yet.");
}
// wire up event handlers for logging missing files
if (ShowMissingDataLogs && source.TransportMedium == SubscriptionTransportMedium.LocalFile)
{
if (!factory.IsSparseData())
{
reader.InvalidSource += (sender, args) => Log.Error($"SubscriptionDataSourceReader.InvalidSource(): File not found: {args.Source.Source}");
}
}
return(reader);
}
