/// <summary>
/// Creates a new <see cref="AuxiliaryDataEnumerator"/> that will hold the
/// corporate event providers
/// </summary>
/// <param name="config">The <see cref="SubscriptionDataConfig"/></param>
/// <param name="factorFileProvider">Used for getting factor files</param>
/// <param name="tradableDayNotifier">Tradable dates provider</param>
/// <param name="mapFileResolver">Used for resolving the correct map files</param>
/// <param name="includeAuxiliaryData">True to emit auxiliary data</param>
/// <returns>The new auxiliary data enumerator</returns>
public static IEnumerator <BaseData> CreateEnumerators(
SubscriptionDataConfig config,
IFactorFileProvider factorFileProvider,
ITradableDatesNotifier tradableDayNotifier,
MapFileResolver mapFileResolver,
bool includeAuxiliaryData)
{
var mapFileToUse = GetMapFileToUse(config, mapFileResolver);
var factorFile = GetFactorFileToUse(config, factorFileProvider);
var enumerator = new AuxiliaryDataEnumerator(
config,
factorFile,
mapFileToUse,
new ITradableDateEventProvider[]
{
new MappingEventProvider(),
new SplitEventProvider(),
new DividendEventProvider(),
new DelistingEventProvider()
},
tradableDayNotifier,
includeAuxiliaryData);
return(enumerator);
}
/// <summary>
/// Creates a new instance
/// </summary>
/// <param name="config">The <see cref="SubscriptionDataConfig"/></param>
/// <param name="factorFile">The factor file to use</param>
/// <param name="mapFile">The <see cref="MapFile"/> to use</param>
/// <param name="tradableDateEventProviders">The tradable dates event providers</param>
/// <param name="tradableDayNotifier">Tradable dates provider</param>
/// <param name="includeAuxiliaryData">True to emit auxiliary data</param>
/// <param name="startTime">Start date for the data request</param>
public AuxiliaryDataEnumerator(
SubscriptionDataConfig config,
Lazy <FactorFile> factorFile,
Lazy <MapFile> mapFile,
ITradableDateEventProvider [] tradableDateEventProviders,
ITradableDatesNotifier tradableDayNotifier,
bool includeAuxiliaryData,
DateTime startTime)
{
_auxiliaryData = new Queue <BaseData>();
tradableDayNotifier.NewTradableDate += (sender, eventArgs) =>
{
if (!_initialized)
{
Initialize(config, factorFile, mapFile, tradableDateEventProviders, startTime);
}
foreach (var tradableDateEventProvider in tradableDateEventProviders)
{
// Call implementation
// and materialize list since we need symbol changes applied to the config
// regardless of the includeAuxiliaryData argument
var newEvents = tradableDateEventProvider.GetEvents(eventArgs).ToList();
if (includeAuxiliaryData)
{
foreach (var newEvent in newEvents)
{
_auxiliaryData.Enqueue(newEvent);
}
}
}
};
}
/// <summary>
/// Creates a new <see cref="AuxiliaryDataEnumerator"/> that will hold the
/// corporate event providers
/// </summary>
/// <param name="rawDataEnumerator">The underlying raw data enumerator</param>
/// <param name="config">The <see cref="SubscriptionDataConfig"/></param>
/// <param name="factorFileProvider">Used for getting factor files</param>
/// <param name="tradableDayNotifier">Tradable dates provider</param>
/// <param name="mapFileResolver">Used for resolving the correct map files</param>
/// <param name="includeAuxiliaryData">True to emit auxiliary data</param>
/// <param name="startTime">Start date for the data request</param>
/// <returns>The new auxiliary data enumerator</returns>
public static IEnumerator <BaseData> CreateEnumerators(
IEnumerator <BaseData> rawDataEnumerator,
SubscriptionDataConfig config,
IFactorFileProvider factorFileProvider,
ITradableDatesNotifier tradableDayNotifier,
MapFileResolver mapFileResolver,
bool includeAuxiliaryData,
DateTime startTime)
{
var lazyFactorFile =
new Lazy <FactorFile>(() => GetFactorFileToUse(config, factorFileProvider));
var enumerator = new AuxiliaryDataEnumerator(
config,
lazyFactorFile,
new Lazy <MapFile>(() => GetMapFileToUse(config, mapFileResolver)),
new ITradableDateEventProvider[]
{
new MappingEventProvider(),
new SplitEventProvider(),
new DividendEventProvider(),
new DelistingEventProvider()
},
tradableDayNotifier,
includeAuxiliaryData,
startTime);
var priceScaleFactorEnumerator = new PriceScaleFactorEnumerator(
rawDataEnumerator,
config,
lazyFactorFile);
return(new SynchronizingEnumerator(priceScaleFactorEnumerator, enumerator));
}
/// <summary>
/// Creates a new instance
/// </summary>
/// <param name="config">The <see cref="SubscriptionDataConfig"/></param>
/// <param name="factorFile">The factor file to use</param>
/// <param name="mapFile">The <see cref="MapFile"/> to use</param>
/// <param name="tradableDateEventProviders">The tradable dates event providers</param>
/// <param name="tradableDayNotifier">Tradable dates provider</param>
/// <param name="startTime">Start date for the data request</param>
public AuxiliaryDataEnumerator(
SubscriptionDataConfig config,
Lazy <FactorFile> factorFile,
Lazy <MapFile> mapFile,
ITradableDateEventProvider [] tradableDateEventProviders,
ITradableDatesNotifier tradableDayNotifier,
DateTime startTime)
{
_auxiliaryData = new Queue <BaseData>();
tradableDayNotifier.NewTradableDate += (sender, eventArgs) =>
{
if (!_initialized)
{
Initialize(config, factorFile, mapFile, tradableDateEventProviders, startTime);
}
foreach (var tradableDateEventProvider in tradableDateEventProviders)
{
var newEvents = tradableDateEventProvider.GetEvents(eventArgs).ToList();
foreach (var newEvent in newEvents)
{
_auxiliaryData.Enqueue(newEvent);
}
}
};
}
/// <summary>
/// Creates a new instance
/// </summary>
/// <param name="config">The <see cref="SubscriptionDataConfig"/></param>
/// <param name="factorFile">The factor file to use</param>
/// <param name="mapFile">The <see cref="MapFile"/> to use</param>
/// <param name="tradableDateEventProviders">The tradable dates event providers</param>
/// <param name="tradableDayNotifier">Tradable dates provider</param>
/// <param name="includeAuxiliaryData">True to emit auxiliary data</param>
public AuxiliaryDataEnumerator(
SubscriptionDataConfig config,
FactorFile factorFile,
MapFile mapFile,
ITradableDateEventProvider [] tradableDateEventProviders,
ITradableDatesNotifier tradableDayNotifier,
bool includeAuxiliaryData)
{
_auxiliaryData = new Queue <BaseData>();
foreach (var tradableDateEventProvider in tradableDateEventProviders)
{
tradableDateEventProvider.Initialize(
config,
factorFile,
mapFile);
}
tradableDayNotifier.NewTradableDate += (sender, eventArgs) =>
{
foreach (var tradableDateEventProvider in tradableDateEventProviders)
{
// Call implementation
var newEvents = tradableDateEventProvider.GetEvents(eventArgs);
if (includeAuxiliaryData)
{
foreach (var newEvent in newEvents)
{
_auxiliaryData.Enqueue(newEvent);
}
}
}
};
}
/// <summary>
/// Creates a new <see cref="AuxiliaryDataEnumerator"/> that will hold the
/// corporate event providers
/// </summary>
/// <param name="rawDataEnumerator">The underlying raw data enumerator</param>
/// <param name="config">The <see cref="SubscriptionDataConfig"/></param>
/// <param name="factorFileProvider">Used for getting factor files</param>
/// <param name="tradableDayNotifier">Tradable dates provider</param>
/// <param name="mapFileResolver">Used for resolving the correct map files</param>
/// <param name="includeAuxiliaryData">True to emit auxiliary data</param>
/// <param name="startTime">Start date for the data request</param>
/// <param name="enablePriceScaling">Applies price factor</param>
/// <returns>The new auxiliary data enumerator</returns>
public static IEnumerator <BaseData> CreateEnumerators(
IEnumerator <BaseData> rawDataEnumerator,
SubscriptionDataConfig config,
IFactorFileProvider factorFileProvider,
ITradableDatesNotifier tradableDayNotifier,
MapFileResolver mapFileResolver,
bool includeAuxiliaryData,
DateTime startTime,
bool enablePriceScaling = true)
{
var lazyFactorFile =
new Lazy <FactorFile>(() => SubscriptionUtils.GetFactorFileToUse(config, factorFileProvider));
var tradableEventProviders = new List <ITradableDateEventProvider>();
if (config.Symbol.SecurityType == SecurityType.Equity)
{
tradableEventProviders.Add(new SplitEventProvider());
tradableEventProviders.Add(new DividendEventProvider());
}
if (config.Symbol.SecurityType == SecurityType.Equity ||
config.Symbol.SecurityType == SecurityType.Base ||
config.Symbol.SecurityType == SecurityType.Option)
{
tradableEventProviders.Add(new MappingEventProvider());
}
tradableEventProviders.Add(new DelistingEventProvider());
var enumerator = new AuxiliaryDataEnumerator(
config,
lazyFactorFile,
new Lazy <MapFile>(() => GetMapFileToUse(config, mapFileResolver)),
tradableEventProviders.ToArray(),
tradableDayNotifier,
includeAuxiliaryData,
startTime);
// avoid price scaling for backtesting; calculate it directly in worker
// and allow subscription to extract the the data depending on config data mode
var dataEnumerator = rawDataEnumerator;
if (enablePriceScaling)
{
dataEnumerator = new PriceScaleFactorEnumerator(
rawDataEnumerator,
config,
lazyFactorFile);
}
return(new SynchronizingEnumerator(dataEnumerator, enumerator));
}
/// <summary>
/// Creates a new <see cref="AuxiliaryDataEnumerator"/> that will hold the
/// corporate event providers
/// </summary>
/// <param name="rawDataEnumerator">The underlying raw data enumerator</param>
/// <param name="config">The <see cref="SubscriptionDataConfig"/></param>
/// <param name="factorFileProvider">Used for getting factor files</param>
/// <param name="tradableDayNotifier">Tradable dates provider</param>
/// <param name="mapFileProvider">The <see cref="MapFile"/> provider to use</param>
/// <param name="startTime">Start date for the data request</param>
/// <param name="enablePriceScaling">Applies price factor</param>
/// <returns>The new auxiliary data enumerator</returns>
public static IEnumerator <BaseData> CreateEnumerators(
IEnumerator <BaseData> rawDataEnumerator,
SubscriptionDataConfig config,
IFactorFileProvider factorFileProvider,
ITradableDatesNotifier tradableDayNotifier,
IMapFileProvider mapFileProvider,
DateTime startTime,
bool enablePriceScaling = true)
{
var tradableEventProviders = new List <ITradableDateEventProvider>();
if (config.EmitSplitsAndDividends())
{
tradableEventProviders.Add(new SplitEventProvider());
tradableEventProviders.Add(new DividendEventProvider());
}
if (config.TickerShouldBeMapped())
{
tradableEventProviders.Add(new MappingEventProvider());
}
tradableEventProviders.Add(new DelistingEventProvider());
var enumerator = new AuxiliaryDataEnumerator(
config,
factorFileProvider,
mapFileProvider,
tradableEventProviders.ToArray(),
tradableDayNotifier,
startTime);
// avoid price scaling for backtesting; calculate it directly in worker
// and allow subscription to extract the the data depending on config data mode
var dataEnumerator = rawDataEnumerator;
if (enablePriceScaling && config.PricesShouldBeScaled())
{
dataEnumerator = new PriceScaleFactorEnumerator(
rawDataEnumerator,
config,
factorFileProvider);
}
return(new SynchronizingBaseDataEnumerator(dataEnumerator, enumerator));
}
/// <summary>
/// Creates a new instance
/// </summary>
/// <param name="config">The <see cref="SubscriptionDataConfig"/></param>
/// <param name="factorFileProvider">The factor file provider to use</param>
/// <param name="mapFileProvider">The <see cref="MapFile"/> provider to use</param>
/// <param name="tradableDateEventProviders">The tradable dates event providers</param>
/// <param name="tradableDayNotifier">Tradable dates provider</param>
/// <param name="startTime">Start date for the data request</param>
public AuxiliaryDataEnumerator(
SubscriptionDataConfig config,
IFactorFileProvider factorFileProvider,
IMapFileProvider mapFileProvider,
ITradableDateEventProvider [] tradableDateEventProviders,
ITradableDatesNotifier tradableDayNotifier,
DateTime startTime)
{
Config = config;
_startTime = startTime;
_mapFileProvider = mapFileProvider;
_auxiliaryData = new Queue <BaseData>();
_factorFileProvider = factorFileProvider;
_tradableDateEventProviders = tradableDateEventProviders;
if (tradableDayNotifier != null)
{
tradableDayNotifier.NewTradableDate += NewTradableDate;
}
}
