/// <summary>
/// Creates a subscription to process the request
/// </summary>
private Subscription CreateSubscription(HistoryRequest request, DateTime startUtc, DateTime endUtc)
{
// data reader expects these values in local times
var startTimeLocal = startUtc.ConvertFromUtc(request.ExchangeHours.TimeZone);
var endTimeLocal = endUtc.ConvertFromUtc(request.ExchangeHours.TimeZone);
var config = new SubscriptionDataConfig(request.DataType,
request.Symbol,
request.Resolution,
request.DataTimeZone,
request.ExchangeHours.TimeZone,
request.FillForwardResolution.HasValue,
request.IncludeExtendedMarketHours,
false,
request.IsCustomData,
request.TickType,
true,
request.DataNormalizationMode
);
_dataPermissionManager.AssertConfiguration(config);
var security = new Security(
request.ExchangeHours,
config,
new Cash(Currencies.NullCurrency, 0, 1m),
SymbolProperties.GetDefault(Currencies.NullCurrency),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
var mapFileResolver = MapFileResolver.Empty;
if (config.TickerShouldBeMapped())
{
mapFileResolver = _mapFileProvider.Get(config.Market);
var mapFile = mapFileResolver.ResolveMapFile(config.Symbol.ID.Symbol, config.Symbol.ID.Date);
config.MappedSymbol = mapFile.GetMappedSymbol(startTimeLocal, config.MappedSymbol);
}
// Tradable dates are defined with the data time zone to access the right source
var tradableDates = Time.EachTradeableDayInTimeZone(request.ExchangeHours, startTimeLocal, endTimeLocal, request.DataTimeZone, request.IncludeExtendedMarketHours);
var dataReader = new SubscriptionDataReader(config,
startTimeLocal,
endTimeLocal,
mapFileResolver,
_factorFileProvider,
tradableDates,
false,
_dataCacheProvider
);
dataReader.InvalidConfigurationDetected += (sender, args) => { OnInvalidConfigurationDetected(args); };
dataReader.NumericalPrecisionLimited += (sender, args) => { OnNumericalPrecisionLimited(args); };
dataReader.StartDateLimited += (sender, args) => { OnStartDateLimited(args); };
dataReader.DownloadFailed += (sender, args) => { OnDownloadFailed(args); };
dataReader.ReaderErrorDetected += (sender, args) => { OnReaderErrorDetected(args); };
IEnumerator <BaseData> reader = dataReader;
var intraday = GetIntradayDataEnumerator(dataReader, request);
if (intraday != null)
{
// we optionally concatenate the intraday data enumerator
reader = new ConcatEnumerator(true, reader, intraday);
}
reader = CorporateEventEnumeratorFactory.CreateEnumerators(
reader,
config,
_factorFileProvider,
dataReader,
mapFileResolver,
false,
startTimeLocal);
// optionally apply fill forward behavior
if (request.FillForwardResolution.HasValue)
{
// copy forward Bid/Ask bars for QuoteBars
if (request.DataType == typeof(QuoteBar))
{
reader = new QuoteBarFillForwardEnumerator(reader);
}
var readOnlyRef = Ref.CreateReadOnly(() => request.FillForwardResolution.Value.ToTimeSpan());
reader = new FillForwardEnumerator(reader, security.Exchange, readOnlyRef, request.IncludeExtendedMarketHours, endTimeLocal, config.Increment, config.DataTimeZone, startTimeLocal);
}
// since the SubscriptionDataReader performs an any overlap condition on the trade bar's entire
// range (time->end time) we can end up passing the incorrect data (too far past, possibly future),
// so to combat this we deliberately filter the results from the data reader to fix these cases
// which only apply to non-tick data
reader = new SubscriptionFilterEnumerator(reader, security, endTimeLocal, config.ExtendedMarketHours, false);
reader = new FilterEnumerator <BaseData>(reader, data =>
{
// allow all ticks
if (config.Resolution == Resolution.Tick)
{
return(true);
}
// filter out future data
if (data.EndTime > endTimeLocal)
{
return(false);
}
// filter out data before the start
return(data.EndTime > startTimeLocal);
});
var subscriptionRequest = new SubscriptionRequest(false, null, security, config, request.StartTimeUtc, request.EndTimeUtc);
if (_parallelHistoryRequestsEnabled)
{
return(SubscriptionUtils.CreateAndScheduleWorker(subscriptionRequest, reader, _factorFileProvider, false));
}
return(SubscriptionUtils.Create(subscriptionRequest, reader));
}
/// <summary>
/// Creates a subscription to process the request
/// </summary>
private Subscription CreateSubscription(HistoryRequest request, DateTime start, DateTime end)
{
// data reader expects these values in local times
start = start.ConvertFromUtc(request.ExchangeHours.TimeZone);
end = end.ConvertFromUtc(request.ExchangeHours.TimeZone);
var config = new SubscriptionDataConfig(request.DataType,
request.Symbol,
request.Resolution,
request.DataTimeZone,
request.ExchangeHours.TimeZone,
request.FillForwardResolution.HasValue,
request.IncludeExtendedMarketHours,
false,
request.IsCustomData,
request.TickType,
true,
request.DataNormalizationMode
);
var security = new Security(
request.ExchangeHours,
config,
new Cash(Currencies.NullCurrency, 0, 1m),
SymbolProperties.GetDefault(Currencies.NullCurrency),
ErrorCurrencyConverter.Instance
);
var mapFileResolver = config.SecurityType == SecurityType.Equity
? _mapFileProvider.Get(config.Market)
: MapFileResolver.Empty;
if (config.SecurityType == SecurityType.Equity)
{
var mapFile = mapFileResolver.ResolveMapFile(config.Symbol.ID.Symbol, config.Symbol.ID.Date);
config.MappedSymbol = mapFile.GetMappedSymbol(start, config.MappedSymbol);
}
var dataReader = new SubscriptionDataReader(config,
start,
end,
mapFileResolver,
_factorFileProvider,
Time.EachTradeableDay(request.ExchangeHours, start, end),
false,
_dataCacheProvider
);
dataReader.InvalidConfigurationDetected += (sender, args) => { OnInvalidConfigurationDetected(new InvalidConfigurationDetectedEventArgs(args.Message)); };
dataReader.NumericalPrecisionLimited += (sender, args) => { OnNumericalPrecisionLimited(new NumericalPrecisionLimitedEventArgs(args.Message)); };
dataReader.DownloadFailed += (sender, args) => { OnDownloadFailed(new DownloadFailedEventArgs(args.Message, args.StackTrace)); };
dataReader.ReaderErrorDetected += (sender, args) => { OnReaderErrorDetected(new ReaderErrorDetectedEventArgs(args.Message, args.StackTrace)); };
var reader = CorporateEventEnumeratorFactory.CreateEnumerators(
dataReader,
config,
_factorFileProvider,
dataReader,
mapFileResolver,
false);
// has to be initialized after adding all the enumerators since it will execute a MoveNext
dataReader.Initialize();
// optionally apply fill forward behavior
if (request.FillForwardResolution.HasValue)
{
// copy forward Bid/Ask bars for QuoteBars
if (request.DataType == typeof(QuoteBar))
{
reader = new QuoteBarFillForwardEnumerator(reader);
}
var readOnlyRef = Ref.CreateReadOnly(() => request.FillForwardResolution.Value.ToTimeSpan());
reader = new FillForwardEnumerator(reader, security.Exchange, readOnlyRef, security.IsExtendedMarketHours, end, config.Increment, config.DataTimeZone);
}
// since the SubscriptionDataReader performs an any overlap condition on the trade bar's entire
// range (time->end time) we can end up passing the incorrect data (too far past, possibly future),
// so to combat this we deliberately filter the results from the data reader to fix these cases
// which only apply to non-tick data
reader = new SubscriptionFilterEnumerator(reader, security, end);
reader = new FilterEnumerator <BaseData>(reader, data =>
{
// allow all ticks
if (config.Resolution == Resolution.Tick)
{
return(true);
}
// filter out future data
if (data.EndTime > end)
{
return(false);
}
// filter out data before the start
return(data.EndTime > start);
});
var timeZoneOffsetProvider = new TimeZoneOffsetProvider(security.Exchange.TimeZone, start, end);
var subscriptionDataEnumerator = SubscriptionData.Enumerator(config, security, timeZoneOffsetProvider, reader);
var subscriptionRequest = new SubscriptionRequest(false, null, security, config, start, end);
return(new Subscription(subscriptionRequest, subscriptionDataEnumerator, timeZoneOffsetProvider));
}
/// <summary>
/// Creates a new subscription for the specified security
/// </summary>
/// <param name="request">The subscription request</param>
/// <returns>A new subscription instance of the specified security</returns>
protected Subscription CreateDataSubscription(SubscriptionRequest request)
{
Subscription subscription = null;
try
{
var localEndTime = request.EndTimeUtc.ConvertFromUtc(request.Security.Exchange.TimeZone);
var timeZoneOffsetProvider = new TimeZoneOffsetProvider(request.Security.Exchange.TimeZone, request.StartTimeUtc, request.EndTimeUtc);
IEnumerator <BaseData> enumerator;
if (!_channelProvider.ShouldStreamSubscription(_job, request.Configuration))
{
if (!Quandl.IsAuthCodeSet)
{
// we're not using the SubscriptionDataReader, so be sure to set the auth token here
Quandl.SetAuthCode(Config.Get("quandl-auth-token"));
}
if (!Tiingo.IsAuthCodeSet)
{
// we're not using the SubscriptionDataReader, so be sure to set the auth token here
Tiingo.SetAuthCode(Config.Get("tiingo-auth-token"));
}
if (!USEnergyAPI.IsAuthCodeSet)
{
// we're not using the SubscriptionDataReader, so be sure to set the auth token here
USEnergyAPI.SetAuthCode(Config.Get("us-energy-information-auth-token"));
}
if (!FredApi.IsAuthCodeSet)
{
// we're not using the SubscriptionDataReader, so be sure to set the auth token here
FredApi.SetAuthCode(Config.Get("fred-auth-token"));
}
if (!TradingEconomicsCalendar.IsAuthCodeSet)
{
// we're not using the SubscriptionDataReader, so be sure to set the auth token here
TradingEconomicsCalendar.SetAuthCode(Config.Get("trading-economics-auth-token"));
}
var factory = new LiveCustomDataSubscriptionEnumeratorFactory(_timeProvider);
var enumeratorStack = factory.CreateEnumerator(request, _dataProvider);
_customExchange.AddEnumerator(request.Configuration.Symbol, enumeratorStack);
var enqueable = new EnqueueableEnumerator <BaseData>();
_customExchange.SetDataHandler(request.Configuration.Symbol, data =>
{
enqueable.Enqueue(data);
subscription.OnNewDataAvailable();
});
enumerator = enqueable;
}
else
{
EventHandler handler = (sender, args) => subscription?.OnNewDataAvailable();
enumerator = _dataQueueHandler.Subscribe(request.Configuration, handler);
if (request.Configuration.SecurityType == SecurityType.Equity && CorporateEventEnumeratorFactory.ShouldEmitAuxiliaryBaseData(request.Configuration))
{
var dividends = _dataQueueHandler.Subscribe(new SubscriptionDataConfig(request.Configuration, typeof(Dividend)), handler);
var splits = _dataQueueHandler.Subscribe(new SubscriptionDataConfig(request.Configuration, typeof(Split)), handler);
enumerator = new LiveEquityDataSynchronizingEnumerator(_timeProvider, request.Configuration.ExchangeTimeZone, enumerator, dividends, splits);
}
}
if (request.Configuration.FillDataForward)
{
var fillForwardResolution = _subscriptions.UpdateAndGetFillForwardResolution(request.Configuration);
enumerator = new LiveFillForwardEnumerator(_frontierTimeProvider, enumerator, request.Security.Exchange, fillForwardResolution, request.Configuration.ExtendedMarketHours, localEndTime, request.Configuration.Increment, request.Configuration.DataTimeZone);
}
// define market hours and user filters to incoming data
if (request.Configuration.IsFilteredSubscription)
{
enumerator = new SubscriptionFilterEnumerator(enumerator, request.Security, localEndTime, request.Configuration.ExtendedMarketHours, true);
}
// finally, make our subscriptions aware of the frontier of the data feed, prevents future data from spewing into the feed
enumerator = new FrontierAwareEnumerator(enumerator, _frontierTimeProvider, timeZoneOffsetProvider);
var subscriptionDataEnumerator = new SubscriptionDataEnumerator(request.Configuration, request.Security.Exchange.Hours, timeZoneOffsetProvider, enumerator);
subscription = new Subscription(request, subscriptionDataEnumerator, timeZoneOffsetProvider);
}
catch (Exception err)
{
Log.Error(err);
}
return(subscription);
}
/// <summary>
/// Creates a subscription to process the request
/// </summary>
private Subscription CreateSubscription(HistoryRequest request)
{
var config = request.ToSubscriptionDataConfig();
DataPermissionManager.AssertConfiguration(config, request.StartTimeLocal, request.EndTimeLocal);
var security = new Security(
request.ExchangeHours,
config,
new Cash(Currencies.NullCurrency, 0, 1m),
SymbolProperties.GetDefault(Currencies.NullCurrency),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
var dataReader = new SubscriptionDataReader(config,
request,
_mapFileProvider,
_factorFileProvider,
_dataCacheProvider,
_dataProvider
);
dataReader.InvalidConfigurationDetected += (sender, args) => { OnInvalidConfigurationDetected(args); };
dataReader.NumericalPrecisionLimited += (sender, args) => { OnNumericalPrecisionLimited(args); };
dataReader.StartDateLimited += (sender, args) => { OnStartDateLimited(args); };
dataReader.DownloadFailed += (sender, args) => { OnDownloadFailed(args); };
dataReader.ReaderErrorDetected += (sender, args) => { OnReaderErrorDetected(args); };
IEnumerator <BaseData> reader = dataReader;
var intraday = GetIntradayDataEnumerator(dataReader, request);
if (intraday != null)
{
// we optionally concatenate the intraday data enumerator
reader = new ConcatEnumerator(true, reader, intraday);
}
reader = CorporateEventEnumeratorFactory.CreateEnumerators(
reader,
config,
_factorFileProvider,
dataReader,
_mapFileProvider,
request.StartTimeLocal);
// optionally apply fill forward behavior
if (request.FillForwardResolution.HasValue)
{
// copy forward Bid/Ask bars for QuoteBars
if (request.DataType == typeof(QuoteBar))
{
reader = new QuoteBarFillForwardEnumerator(reader);
}
var readOnlyRef = Ref.CreateReadOnly(() => request.FillForwardResolution.Value.ToTimeSpan());
reader = new FillForwardEnumerator(reader, security.Exchange, readOnlyRef, request.IncludeExtendedMarketHours, request.EndTimeLocal, config.Increment, config.DataTimeZone);
}
// since the SubscriptionDataReader performs an any overlap condition on the trade bar's entire
// range (time->end time) we can end up passing the incorrect data (too far past, possibly future),
// so to combat this we deliberately filter the results from the data reader to fix these cases
// which only apply to non-tick data
reader = new SubscriptionFilterEnumerator(reader, security, request.EndTimeLocal, config.ExtendedMarketHours, false, request.ExchangeHours);
reader = new FilterEnumerator <BaseData>(reader, data =>
{
// allow all ticks
if (config.Resolution == Resolution.Tick)
{
return(true);
}
// filter out all aux data
if (data.DataType == MarketDataType.Auxiliary)
{
return(false);
}
// filter out future data
if (data.EndTime > request.EndTimeLocal)
{
return(false);
}
// filter out data before the start
return(data.EndTime > request.StartTimeLocal);
});
var subscriptionRequest = new SubscriptionRequest(false, null, security, config, request.StartTimeUtc, request.EndTimeUtc);
if (_parallelHistoryRequestsEnabled)
{
return(SubscriptionUtils.CreateAndScheduleWorker(subscriptionRequest, reader, _factorFileProvider, false));
}
return(SubscriptionUtils.Create(subscriptionRequest, reader));
}
