public IdentityTickAggregator(TickType tickType) : base(Resolution.Tick, tickType) { Consolidated = new List <BaseData>(); Consolidator = FilteredIdentityDataConsolidator.ForTickType(tickType); Consolidator.DataConsolidated += (sender, consolidated) => { Consolidated.Add(consolidated as Tick); }; }
/// <summary> /// Add new subscription to current <see cref="IDataAggregator"/> instance /// </summary> /// <param name="dataConfig">defines the parameters to subscribe to a data feed</param> /// <param name="newDataAvailableHandler">handler to be fired on new data available</param> /// <returns>The new enumerator for this subscription request</returns> public IEnumerator <BaseData> Add(SubscriptionDataConfig dataConfig, EventHandler newDataAvailableHandler) { IDataConsolidator consolidator; var period = dataConfig.Resolution.ToTimeSpan(); var isPeriodBased = false; switch (dataConfig.Type.Name) { case nameof(QuoteBar): isPeriodBased = dataConfig.Resolution != Resolution.Tick; consolidator = new TickQuoteBarConsolidator(period); break; case nameof(TradeBar): isPeriodBased = dataConfig.Resolution != Resolution.Tick; consolidator = new TickConsolidator(period); break; case nameof(OpenInterest): isPeriodBased = dataConfig.Resolution != Resolution.Tick; consolidator = new OpenInterestConsolidator(period); break; case nameof(Tick): consolidator = FilteredIdentityDataConsolidator.ForTickType(dataConfig.TickType); break; case nameof(Split): consolidator = new IdentityDataConsolidator <Split>(); break; case nameof(Dividend): consolidator = new IdentityDataConsolidator <Dividend>(); break; default: // streaming custom data subscriptions can pass right through consolidator = new FilteredIdentityDataConsolidator <BaseData>(data => data.GetType() == dataConfig.Type); break; } var enumerator = new ScannableEnumerator <BaseData>(consolidator, dataConfig.ExchangeTimeZone, TimeProvider, newDataAvailableHandler, isPeriodBased); _enumerators.AddOrUpdate( dataConfig.Symbol.ID, new List <KeyValuePair <SubscriptionDataConfig, ScannableEnumerator <BaseData> > > { new KeyValuePair <SubscriptionDataConfig, ScannableEnumerator <BaseData> >(dataConfig, enumerator) }, (k, v) => { return(v.Concat(new[] { new KeyValuePair <SubscriptionDataConfig, ScannableEnumerator <BaseData> >(dataConfig, enumerator) }).ToList()); }); return(enumerator); }