/// <summary>
/// Private constructor used to keep track of how a user defined the insight period.
/// </summary>
/// <param name="symbol">The symbol this insight is for</param>
/// <param name="periodSpec">A specification defining how the insight's period was defined, via time span, via resolution/barcount, via close time</param>
/// <param name="type">The type of insight, price/volatility</param>
/// <param name="direction">The predicted direction</param>
/// <param name="magnitude">The predicted magnitude as a percentage change</param>
/// <param name="confidence">The confidence in this insight</param>
/// <param name="sourceModel">An identifier defining the model that generated this insight</param>
/// <param name="weight">The portfolio weight of this insight</param>
private Insight(Symbol symbol, IPeriodSpecification periodSpec, InsightType type, InsightDirection direction, double?magnitude, double?confidence, string sourceModel = null, double?weight = null)
{
Id = Guid.NewGuid();
Score = new InsightScore();
SourceModel = sourceModel;
Symbol = symbol;
Type = type;
Direction = direction;
// Optional
Magnitude = magnitude;
Confidence = confidence;
Weight = weight;
_periodSpecification = periodSpec;
// keep existing behavior of Insight.Price such that we set the period immediately
var period = (periodSpec as TimeSpanPeriodSpecification)?.Period;
if (period != null)
{
Period = period.Value;
}
}
/// <summary>
/// Initializes a new instance of the <see cref="Insight"/> class
/// </summary>
/// <param name="symbol">The symbol this insight is for</param>
/// <param name="period">The period over which the prediction will come true</param>
/// <param name="type">The type of insight, price/volatility</param>
/// <param name="direction">The predicted direction</param>
/// <param name="magnitude">The predicted magnitude as a percentage change</param>
/// <param name="confidence">The confidence in this insight</param>
/// <param name="sourceModel">An identifier defining the model that generated this insight</param>
public Insight(Symbol symbol, TimeSpan period, InsightType type, InsightDirection direction, double? magnitude, double? confidence, string sourceModel = null)
{
Id = Guid.NewGuid();
Score = new InsightScore();
SourceModel = sourceModel;
Symbol = symbol;
Type = type;
Direction = direction;
Period = period;
// Optional
Magnitude = magnitude;
Confidence = confidence;
_periodSpecification = new TimeSpanPeriodSpecification(period);
}
private PeriodCountConsolidatorBase(IPeriodSpecification periodSpecification)
{
_periodSpecification = periodSpecification;
_period = _periodSpecification.Period;
}
/// <summary>
/// Updates this consolidator with the specified data. This method is
/// responsible for raising the DataConsolidated event
/// In time span mode, the bar range is closed on the left and open on the right: [T, T+TimeSpan).
/// For example, if time span is 1 minute, we have [10:00, 10:01): so data at 10:01 is not
/// included in the bar starting at 10:00.
/// </summary>
/// <exception cref="InvalidOperationException">Thrown when multiple symbols are being consolidated.</exception>
/// <param name="data">The new data for the consolidator</param>
public override void Update(T data)
{
if (!_securityIdentifierIsSet)
{
_securityIdentifierIsSet = true;
_securityIdentifier = data.Symbol.ID;
}
else if (!data.Symbol.ID.Equals(_securityIdentifier))
{
throw new InvalidOperationException($"Consolidators can only be used with a single symbol. The previous consolidated SecurityIdentifier ({_securityIdentifier}) is not the same as in the current data ({data.Symbol.ID}).");
}
if (!ShouldProcess(data))
{
// first allow the base class a chance to filter out data it doesn't want
// before we start incrementing counts and what not
return;
}
if (!_validateTimeSpan && _period.HasValue && _periodSpecification is TimeSpanPeriodSpecification)
{
// only do this check once
_validateTimeSpan = true;
var dataLength = data.EndTime - data.Time;
if (dataLength == _period)
{
// if the user is consolidating period 'X' with data of length 'X', be gentle, and transform into a bar of count 1 consolidation, we want to avoid issues like #3062
_maxCount = 1;
_periodSpecification = new BarCountPeriodSpecification();
_period = _periodSpecification.Period;
}
else if (dataLength > _period)
{
throw new ArgumentException($"For Symbol {data.Symbol} can not consolidate bars of period: {_period}, using data of the same or higher period: {data.EndTime - data.Time}");
}
}
//Decide to fire the event
var fireDataConsolidated = false;
// decide to aggregate data before or after firing OnDataConsolidated event
// always aggregate before firing in counting mode
bool aggregateBeforeFire = _maxCount.HasValue;
if (_maxCount.HasValue)
{
// we're in count mode
_currentCount++;
if (_currentCount >= _maxCount.Value)
{
_currentCount = 0;
fireDataConsolidated = true;
}
}
if (!_lastEmit.HasValue)
{
// initialize this value for period computations
_lastEmit = IsTimeBased ? DateTime.MinValue : data.Time;
}
if (_period.HasValue)
{
// we're in time span mode and initialized
if (_workingBar != null && data.Time - _workingBar.Time >= _period.Value && GetRoundedBarTime(data.Time) > _lastEmit)
{
fireDataConsolidated = true;
}
// special case: always aggregate before event trigger when TimeSpan is zero
if (_period.Value == TimeSpan.Zero)
{
fireDataConsolidated = true;
aggregateBeforeFire = true;
}
}
if (aggregateBeforeFire)
{
if (data.Time >= _lastEmit)
{
AggregateBar(ref _workingBar, data);
}
}
//Fire the event
if (fireDataConsolidated)
{
var workingTradeBar = _workingBar as TradeBar;
if (workingTradeBar != null)
{
// we kind of are cheating here...
if (_period.HasValue)
{
workingTradeBar.Period = _period.Value;
}
// since trade bar has period it aggregates this properly
else if (!(data is TradeBar))
{
workingTradeBar.Period = data.Time - _lastEmit.Value;
}
}
// Set _lastEmit first because OnDataConsolidated will set _workingBar to null
_lastEmit = IsTimeBased && _workingBar != null ? _workingBar.EndTime : data.Time;
OnDataConsolidated(_workingBar);
}
if (!aggregateBeforeFire)
{
if (data.Time >= _lastEmit)
{
AggregateBar(ref _workingBar, data);
}
}
}
