/// <summary>
/// Creates a new <see cref="AuxiliaryDataEnumerator"/> that will hold the
/// corporate event providers
/// </summary>
/// <param name="rawDataEnumerator">The underlying raw data enumerator</param>
/// <param name="config">The <see cref="SubscriptionDataConfig"/></param>
/// <param name="factorFileProvider">Used for getting factor files</param>
/// <param name="tradableDayNotifier">Tradable dates provider</param>
/// <param name="mapFileProvider">The <see cref="MapFile"/> provider to use</param>
/// <param name="startTime">Start date for the data request</param>
/// <param name="enablePriceScaling">Applies price factor</param>
/// <returns>The new auxiliary data enumerator</returns>
public static IEnumerator <BaseData> CreateEnumerators(
IEnumerator <BaseData> rawDataEnumerator,
SubscriptionDataConfig config,
IFactorFileProvider factorFileProvider,
ITradableDatesNotifier tradableDayNotifier,
IMapFileProvider mapFileProvider,
DateTime startTime,
bool enablePriceScaling = true)
{
var tradableEventProviders = new List <ITradableDateEventProvider>();
if (config.EmitSplitsAndDividends())
{
tradableEventProviders.Add(new SplitEventProvider());
tradableEventProviders.Add(new DividendEventProvider());
}
if (config.TickerShouldBeMapped())
{
tradableEventProviders.Add(new MappingEventProvider());
}
tradableEventProviders.Add(new DelistingEventProvider());
var enumerator = new AuxiliaryDataEnumerator(
config,
factorFileProvider,
mapFileProvider,
tradableEventProviders.ToArray(),
tradableDayNotifier,
startTime);
// avoid price scaling for backtesting; calculate it directly in worker
// and allow subscription to extract the the data depending on config data mode
var dataEnumerator = rawDataEnumerator;
if (enablePriceScaling && config.PricesShouldBeScaled())
{
dataEnumerator = new PriceScaleFactorEnumerator(
rawDataEnumerator,
config,
factorFileProvider);
}
return(new SynchronizingBaseDataEnumerator(dataEnumerator, enumerator));
}
/// <summary>
/// Initializes the <see cref="SubscriptionDataReader"/> instance
/// </summary>
/// <remarks>Should be called after all consumers of <see cref="NewTradableDate"/> event are set,
/// since it will produce events.</remarks>
public void Initialize()
{
if (_initialized)
{
return;
}
//Save the type of data we'll be getting from the source.
try
{
_dataFactory = _config.GetBaseDataInstance();
}
catch (ArgumentException exception)
{
OnInvalidConfigurationDetected(new InvalidConfigurationDetectedEventArgs(_config.Symbol, exception.Message));
_endOfStream = true;
return;
}
// If Tiingo data, set the access token in data factory
var tiingo = _dataFactory as TiingoPrice;
if (tiingo != null)
{
if (!Tiingo.IsAuthCodeSet)
{
Tiingo.SetAuthCode(Config.Get("tiingo-auth-token"));
}
}
// load up the map files for equities, options, and custom data if it supports it.
// Only load up factor files for equities
if (_dataFactory.RequiresMapping())
{
try
{
var mapFile = _mapFileProvider.ResolveMapFile(_config);
// only take the resolved map file if it has data, otherwise we'll use the empty one we defined above
if (mapFile.Any())
{
_mapFile = mapFile;
}
if (_config.PricesShouldBeScaled())
{
var factorFile = _factorFileProvider.Get(_config.Symbol);
_hasScaleFactors = factorFile != null;
if (_hasScaleFactors)
{
_factorFile = factorFile;
// if factor file has minimum date, update start period if before minimum date
if (!_isLiveMode && _factorFile != null && _factorFile.FactorFileMinimumDate.HasValue)
{
if (_periodStart < _factorFile.FactorFileMinimumDate.Value)
{
_periodStart = _factorFile.FactorFileMinimumDate.Value;
OnNumericalPrecisionLimited(
new NumericalPrecisionLimitedEventArgs(_config.Symbol,
$"[{_config.Symbol.Value}, {_factorFile.FactorFileMinimumDate.Value.ToShortDateString()}]"));
}
}
}
if (_periodStart < mapFile.FirstDate)
{
_periodStart = mapFile.FirstDate;
OnStartDateLimited(
new StartDateLimitedEventArgs(_config.Symbol,
$"[{_config.Symbol.Value}," +
$" {mapFile.FirstDate.ToString("yyyy-MM-dd", CultureInfo.InvariantCulture)}]"));
}
}
}
catch (Exception err)
{
Log.Error(err, "Fetching Price/Map Factors: " + _config.Symbol.ID + ": ");
}
}
_factorFile ??= _config.Symbol.GetEmptyFactorFile();
_mapFile ??= new MapFile(_config.Symbol.Value, Enumerable.Empty <MapFileRow>());
_delistingDate = _config.Symbol.GetDelistingDate(_mapFile);
// adding a day so we stop at EOD
_delistingDate = _delistingDate.AddDays(1);
UpdateDataEnumerator(true);
_initialized = true;
}