/// <summary>
/// Clones the data, computes the utc emit time and performs exchange round down behavior, storing the result in a new <see cref="SubscriptionData"/> instance
/// </summary>
/// <param name="configuration">The subscription's configuration</param>
/// <param name="exchangeHours">The exchange hours of the security</param>
/// <param name="offsetProvider">The subscription's offset provider</param>
/// <param name="data">The data being emitted</param>
/// <param name="normalizationMode">Specifies how data is normalized</param>
/// <param name="factor">price scale factor</param>
/// <returns>A new <see cref="SubscriptionData"/> containing the specified data</returns>
public static SubscriptionData Create(SubscriptionDataConfig configuration, SecurityExchangeHours exchangeHours, TimeZoneOffsetProvider offsetProvider, BaseData data, DataNormalizationMode normalizationMode, decimal?factor = null)
{
if (data == null)
{
return(null);
}
data = data.Clone(data.IsFillForward);
var emitTimeUtc = offsetProvider.ConvertToUtc(data.EndTime);
// Let's round down for any data source that implements a time delta between
// the start of the data and end of the data (usually used with Bars).
// The time delta ensures that the time collected from `EndTime` has
// no look-ahead bias, and is point-in-time.
if (data.Time != data.EndTime)
{
data.Time = data.Time.ExchangeRoundDownInTimeZone(configuration.Increment, exchangeHours, configuration.DataTimeZone, configuration.ExtendedMarketHours);
}
if (factor.HasValue && (factor.Value != 1 || configuration.SumOfDividends != 0))
{
var sumOfDividends = configuration.SumOfDividends;
BaseData normalizedData = data.Clone();
if (normalizationMode == DataNormalizationMode.Adjusted || normalizationMode == DataNormalizationMode.SplitAdjusted)
{
normalizedData.Adjust(factor.Value);
}
else if (normalizationMode == DataNormalizationMode.TotalReturn)
{
normalizedData.Scale(p => p * factor.Value + sumOfDividends);
}
return(new PrecalculatedSubscriptionData(configuration, data, normalizedData, normalizationMode, emitTimeUtc));
}
return(new SubscriptionData(data, emitTimeUtc));
}