public override object getResponseData()
{
InfDisplayInfoData rc = new InfDisplayInfoData();
BogeyCounterData bogey1 = new BogeyCounterData();
BogeyCounterData bogey2 = new BogeyCounterData();
SignalStrengthData signal = new SignalStrengthData();
BandAndArrowIndicatorData bandAndArrow1 = new BandAndArrowIndicatorData();
BandAndArrowIndicatorData bandAndArrow2 = new BandAndArrowIndicatorData();
AuxiliaryData auxData = new AuxiliaryData();
bogey1.SetFromByte(payloadData[0]);
bogey2.SetFromByte(payloadData[1]);
signal.SetFromByte(payloadData[2]);
bandAndArrow1.SetFromByte(payloadData[3]);
bandAndArrow2.SetFromByte(payloadData[4]);
auxData.SetFromByte(payloadData[5]);
rc.Aux1Data = payloadData[6];
rc.Aux2Data = payloadData[7];
rc.BogeyCounterData1 = bogey1;
rc.BogeyCounterData2 = bogey2;
rc.SignalStrengthData = signal;
rc.BandAndArrowIndicator1 = bandAndArrow1;
rc.BandAndArrowIndicator2 = bandAndArrow2;
rc.AuxData = auxData;
return(rc);
}
/// <summary>
/// Retrieves some auxiliary data previously set to this skeleton.
/// </summary>
/// <typeparam name="T">The type of the array, which should match the type passed in</typeparam>
public T[] GetData <T>(string name)
{
if (!AuxiliaryData.ContainsKey(name))
{
return(null);
}
return((T[])AuxiliaryData[name].Data);
}
public AuxiliaryData GetAuxData()
{
AuxiliaryData data = new AuxiliaryData();
data.B_auxiliary_data_type = Type;
data.B_auxiliary_data = TableData.TableDataHelper.GetFileData(DisplayData);
return(data);
}
/// <summary>
/// Check for dividends and emit them into the aux data queue
/// </summary>
private void CheckForSplit(DateTime date)
{
if (_splitFactor != null)
{
var close = GetRawClose();
var split = new Split(_config.Symbol, date, close, _splitFactor.Value);
AuxiliaryData.Enqueue(split);
_splitFactor = null;
}
decimal splitFactor;
if (_factorFile.HasSplitEventOnNextTradingDay(date, out splitFactor))
{
_splitFactor = splitFactor;
}
}
/// <summary>
/// Check for dividends and emit them into the aux data queue
/// </summary>
private void CheckForDividend(DateTime date)
{
if (_priceFactorRatio != null)
{
var close = GetRawClose();
var dividend = new Dividend(_config.Symbol, date, close, _priceFactorRatio.Value);
// let the config know about it for normalization
_config.SumOfDividends += dividend.Distribution;
AuxiliaryData.Enqueue(dividend);
_priceFactorRatio = null;
}
// check the factor file to see if we have a dividend event tomorrow
decimal priceFactorRatio;
if (_factorFile.HasDividendEventOnNextTradingDay(date, out priceFactorRatio))
{
_priceFactorRatio = priceFactorRatio;
}
}
/********************************************************
* CLASS METHODS
*********************************************************/
/// <summary>
/// Try and create a new instance of the object and return it using the MoveNext enumeration pattern ("Current" public variable).
/// </summary>
/// <remarks>This is a highly called method and should be kept lean as possible.</remarks>
/// <returns>Boolean true on successful move next. Set Current public property.</returns>
public bool MoveNext()
{
// yield the aux data first
if (AuxiliaryData.Count != 0)
{
Previous = Current;
Current = AuxiliaryData.Dequeue();
return(true);
}
BaseData instance = null;
var instanceMarketOpen = false;
//Log.Debug("SubscriptionDataReader.MoveNext(): Starting MoveNext...");
try
{
//Calls this when no file, first "moveNext()" in refresh source.
if (_endOfStream || _reader == null || _reader.EndOfStream)
{
if (_reader == null)
{
//Handle the 1% of time:: getReader failed e.g. missing day so skip day:
Current = null;
}
else
{
//This is a MoveNext() after reading the last line of file:
_lastBarOfStream = Current;
}
_endOfStream = true;
return(false);
}
//Log.Debug("SubscriptionDataReader.MoveNext(): Launching While-InstanceNotNull && not EOS: " + reader.EndOfStream);
//Keep looking until output's an instance:
while (instance == null && !_reader.EndOfStream)
{
//Get the next string line from file, create instance of BaseData:
var line = _reader.ReadLine();
try
{
instance = _dataFactory.Reader(_config, line, _date, _feedEndpoint);
}
catch (Exception err)
{
//Log.Debug("SubscriptionDataReader.MoveNext(): Error invoking instance: " + err.Message);
Engine.ResultHandler.RuntimeError("Error invoking " + _config.Symbol + " data reader. Line: " + line + " Error: " + err.Message, err.StackTrace);
_endOfStream = true;
continue;
}
if (instance != null)
{
instanceMarketOpen = _security.Exchange.DateTimeIsOpen(instance.Time);
//Apply custom user data filters:
try
{
if (!_security.DataFilter.Filter(_security, instance))
{
instance = null;
continue;
}
}
catch (Exception err)
{
Log.Error("SubscriptionDataReader.MoveNext(): Error applying filter: " + err.Message);
Engine.ResultHandler.RuntimeError("Runtime error applying data filter. Assuming filter pass: "******"SubscriptionDataReader.MoveNext(): Instance null, continuing...");
continue;
}
//Check if we're in date range of the data request
if (instance.Time < _periodStart)
{
_lastBarOutsideMarketHours = instance;
instance = null;
continue;
}
if (instance.Time > _periodFinish)
{
instance = null;
continue;
}
//Save bar for extended market hours (fill forward).
if (!instanceMarketOpen)
{
_lastBarOutsideMarketHours = instance;
}
//However, if we only want market hours data, don't return yet: Discard and continue looping.
if (!_config.ExtendedMarketHours && !instanceMarketOpen)
{
instance = null;
}
}
}
//Handle edge conditions: First Bar Read:
// -> Use previous bar from yesterday if available
if (Current == null)
{
//Handle first loop where not set yet:
if (_lastBarOfStream == null)
{
//For first bar, fill forward from premarket data where possible
_lastBarOfStream = _lastBarOutsideMarketHours ?? instance;
}
//If current not set yet, set Previous to yesterday/last bar read.
Previous = _lastBarOfStream;
}
else
{
Previous = Current;
}
Current = instance;
//End of Stream: rewind reader to last
if (_reader.EndOfStream && instance == null)
{
//Log.Debug("SubscriptionDataReader.MoveNext(): Reader EOS.");
_endOfStream = true;
if (_isFillForward && Previous != null)
{
//If instance == null, current is null, so clone previous to record the final sample:
Current = Previous.Clone(true);
//When market closes fastforward current bar to the last bar fill forwarded to close time.
Current.Time = _security.Exchange.TimeOfDayClosed(Previous.Time);
// Save the previous bar as last bar before next stream (for fill forwrd).
_lastBarOfStream = Previous;
}
return(false);
}
return(true);
}
catch (Exception err)
{
Log.Error("SubscriptionDataReader.MoveNext(): " + err.Message);
return(false);
}
}
