/// <summary>
/// The time bar add.
/// </summary>
/// <param name="filteredOrders">
/// The filtered orders.
/// </param>
/// <param name="subConstraint">
/// The sub constraint.
/// </param>
/// <param name="func">
/// The function.
/// </param>
/// <typeparam name="T">
/// Query type
/// </typeparam>
/// <returns>
/// The <see cref="T"/>.
/// </returns>
private IList <T> TimeBarAdd <T>(
IList <Order> filteredOrders,
IRuleDataSubConstraint subConstraint,
Func <DateTime, DateTime, InstrumentIdentifiers, T> func)
{
var timeBars = new List <T>();
if (filteredOrders == null || !filteredOrders.Any())
{
return(timeBars);
}
foreach (var order in filteredOrders)
{
if (order?.PlacedDate == null)
{
continue;
}
var query = func(
order.PlacedDate.Value - subConstraint.BackwardOffset,
order.MostRecentDateEvent() + subConstraint.ForwardOffset,
order.Instrument.Identifiers);
timeBars.Add(query);
}
return(timeBars);
}
/// <summary>
/// The map sub constraint to query.
/// </summary>
/// <param name="sub">
/// The sub.
/// </param>
/// <param name="orders">
/// The orders.
/// </param>
/// <param name="bmllTimeBar">
/// The time bar.
/// </param>
/// <param name="factsetTimeBar">
/// The fact set time bar.
/// </param>
/// <param name="refinitivIntraDayTimeBar">
/// The refinitiv intra day set time bar.
/// </param>
/// <param name="refinitivInterDayTimeBar">
/// The refinitiv inter day set time bar.
/// </param>
private void MapSubConstraintToQuery(
IRuleDataSubConstraint sub,
IReadOnlyCollection <Order> orders,
List <BmllTimeBarQuery> bmllTimeBar,
List <FactSetTimeBarQuery> factsetTimeBar,
List <RefinitivIntraDayTimeBarQuery> refinitivIntraDayTimeBar,
List <RefinitivInterDayTimeBarQuery> refinitivInterDayTimeBar)
{
var filteredOrders = orders.Where(sub.Predicate).ToList();
switch (sub.Source)
{
case DataSource.Any:
this.logger.LogError("Any data source called in data manifest builder by an engine component - currently unsupported");
break;
case DataSource.AnyInterday:
var interdayQueries = this.TimeBarAdd(
filteredOrders,
sub,
(a, b, c) => new FactSetTimeBarQuery(a, b, c));
factsetTimeBar.AddRange(interdayQueries);
break;
case DataSource.AnyIntraday:
var intradayQueries = this.TimeBarAdd(
filteredOrders,
sub,
(a, b, c) => new BmllTimeBarQuery(a, b, c));
bmllTimeBar.AddRange(intradayQueries);
break;
case DataSource.Bmll:
var bmllTimeBarQueries = this.TimeBarAdd(
filteredOrders,
sub,
(a, b, c) => new BmllTimeBarQuery(a, b, c));
bmllTimeBar.AddRange(bmllTimeBarQueries);
break;
case DataSource.Factset:
var factSetTimeBarQueries = this.TimeBarAdd(
filteredOrders,
sub,
(a, b, c) => new FactSetTimeBarQuery(a, b, c));
factsetTimeBar.AddRange(factSetTimeBarQueries);
break;
case DataSource.Markit:
this.logger.LogError("Markit data requests are being issued without support in the data manifest builder");
break;
case DataSource.None:
break;
case DataSource.RefinitivIntraday:
var refinitivIntraDayTimeBarQueries = this.TimeBarAdd(
filteredOrders,
sub,
(a, b, c) => new RefinitivIntraDayTimeBarQuery(a, b, c));
refinitivIntraDayTimeBar.AddRange(refinitivIntraDayTimeBarQueries);
break;
case DataSource.RefinitivInterday:
var refinitivInterDayTimeBarQueries = this.TimeBarAdd(
filteredOrders,
sub,
(a, b, c) => new RefinitivInterDayTimeBarQuery(a, b, c));
refinitivInterDayTimeBar.AddRange(refinitivInterDayTimeBarQueries);
break;
case DataSource.NoPrices:
break;
default:
this.logger.LogError($"Argument out of range for data source {sub.Source}");
break;
}
}
