public void EmitsDelistingEventsBasedOnCurrentTime() { var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY_C_192_Feb19_2016, Resolution.Daily, TimeZones.NewYork, TimeZones.NewYork, true, true, false); var delistingDate = config.Symbol.GetDelistingDate(); var time = delistingDate.AddDays(-10); var cache = new SecurityCache(); cache.AddData(new Tick(DateTime.UtcNow, config.Symbol, 20, 10)); var timeProvider = new ManualTimeProvider(time); IEnumerator <BaseData> enumerator; Assert.IsTrue(LiveDelistingEventProviderEnumerator.TryCreate(config, timeProvider, null, cache, new LocalDiskMapFileProvider(), out enumerator)); Assert.IsFalse(enumerator.MoveNext()); Assert.IsNull(enumerator.Current); // advance until delisting date, take into account 5 hour offset of NY timeProvider.Advance(TimeSpan.FromDays(10)); timeProvider.Advance(TimeSpan.FromHours(5)); Assert.IsTrue(enumerator.MoveNext()); Assert.AreEqual(DelistingType.Warning, (enumerator.Current as Delisting).Type); Assert.AreEqual(config.Symbol, (enumerator.Current as Delisting).Symbol); Assert.AreEqual(delistingDate, (enumerator.Current as Delisting).Time); Assert.AreEqual(15, (enumerator.Current as Delisting).Price); Assert.IsFalse(enumerator.MoveNext()); Assert.IsNull(enumerator.Current); // when the day ends the delisted event will pass through timeProvider.Advance(TimeSpan.FromDays(1)); cache.AddData(new Tick(DateTime.UtcNow, config.Symbol, 40, 20)); Assert.IsTrue(enumerator.MoveNext()); Assert.AreEqual(DelistingType.Delisted, (enumerator.Current as Delisting).Type); Assert.AreEqual(config.Symbol, (enumerator.Current as Delisting).Symbol); Assert.AreEqual(delistingDate.AddDays(1), (enumerator.Current as Delisting).Time); Assert.AreEqual(30, (enumerator.Current as Delisting).Price); Assert.IsFalse(enumerator.MoveNext()); Assert.IsNull(enumerator.Current); }
/// <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(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")); } 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); var securityType = request.Configuration.SecurityType; var auxEnumerators = new List <IEnumerator <BaseData> >(); if (securityType == SecurityType.Equity) { auxEnumerators.Add(_dataQueueHandler.Subscribe(new SubscriptionDataConfig(request.Configuration, typeof(Dividend)), handler)); auxEnumerators.Add(_dataQueueHandler.Subscribe(new SubscriptionDataConfig(request.Configuration, typeof(Split)), handler)); } IEnumerator <BaseData> delistingEnumerator; if (LiveDelistingEventProviderEnumerator.TryCreate(request.Configuration, _timeProvider, _dataQueueHandler, request.Security.Cache, _mapFileProvider, out delistingEnumerator)) { auxEnumerators.Add(delistingEnumerator); } if (auxEnumerators.Count > 0) { enumerator = new LiveAuxiliaryDataSynchronizingEnumerator(_timeProvider, request.Configuration.ExchangeTimeZone, enumerator, auxEnumerators.ToArray()); } } 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, request.ExchangeHours); } // 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); }