/// <summary>
/// Add Market Data Required - generic data typing support as long as Type implements BaseData.
/// </summary>
/// <param name="dataType">Set the type of the data we're subscribing to.</param>
/// <param name="symbol">Symbol of the asset we're like</param>
/// <param name="resolution">Resolution of Asset Required</param>
/// <param name="dataTimeZone">The time zone the subscription's data is time stamped in</param>
/// <param name="exchangeTimeZone">Specifies the time zone of the exchange for the security this subscription is for. This
/// is this output time zone, that is, the time zone that will be used on BaseData instances</param>
/// <param name="isCustomData">True if this is custom user supplied data, false for normal QC data</param>
/// <param name="fillDataForward">when there is no data pass the last tradebar forward</param>
/// <param name="extendedMarketHours">Request premarket data as well when true </param>
/// <param name="isInternalFeed">Set to true to prevent data from this subscription from being sent into the algorithm's OnData events</param>
/// <param name="isFilteredSubscription">True if this subscription should have filters applied to it (market hours/user filters from security), false otherwise</param>
/// <returns>The newly created <see cref="SubscriptionDataConfig"/></returns>
public SubscriptionDataConfig Add(Type dataType, Symbol symbol, Resolution resolution, DateTimeZone dataTimeZone, DateTimeZone exchangeTimeZone, bool isCustomData, bool fillDataForward = true, bool extendedMarketHours = false, bool isInternalFeed = false, bool isFilteredSubscription = true)
{
if (dataTimeZone == null)
{
throw new ArgumentNullException("dataTimeZone", "DataTimeZone is a required parameter for new subscriptions. Set to the time zone the raw data is time stamped in.");
}
if (exchangeTimeZone == null)
{
throw new ArgumentNullException("exchangeTimeZone", "ExchangeTimeZone is a required parameter for new subscriptions. Set to the time zone the security exchange resides in.");
}
//Create:
var newConfig = new SubscriptionDataConfig(dataType, symbol, resolution, dataTimeZone, exchangeTimeZone, fillDataForward, extendedMarketHours, isInternalFeed, isCustomData, isFilteredSubscription: isFilteredSubscription);
//Add to subscription list: make sure we don't have his symbol:
Subscriptions.Add(newConfig);
// add the time zone to our time keeper
_timeKeeper.AddTimeZone(exchangeTimeZone);
// if is custom data, sets HasCustomData to true
HasCustomData = HasCustomData || isCustomData;
return(newConfig);
}
public void AddingDuplicateTimeZoneDoesntAdd()
{
var reference = new DateTime(2000, 01, 01);
var timeKeeper = new TimeKeeper(reference, new[] { TimeZones.NewYork });
var localTimeKeeper = timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork);
timeKeeper.AddTimeZone(TimeZones.NewYork);
Assert.AreEqual(localTimeKeeper, timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
}
public void AddingDuplicateTimeZoneDoesntAdd()
{
var reference = new DateTime(2000, 01, 01);
var timeKeeper = new TimeKeeper(reference, new[] { TimeZones.NewYork });
var localTimeKeeper = timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork);
timeKeeper.AddTimeZone(TimeZones.NewYork);
Assert.AreEqual(localTimeKeeper, timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
}
/// <summary>
/// Gets existing or adds new <see cref="SubscriptionDataConfig"/>
/// </summary>
/// <returns>Returns the SubscriptionDataConfig instance used</returns>
public SubscriptionDataConfig GetOrAdd(SubscriptionDataConfig newConfig)
{
newConfig = _subscriptionManager.SubscriptionManagerGetOrAdd(newConfig);
// add the time zone to our time keeper
_timeKeeper.AddTimeZone(newConfig.ExchangeTimeZone);
// if is custom data, sets HasCustomData to true
HasCustomData = HasCustomData || newConfig.IsCustomData;
return(newConfig);
}
/// <summary>
/// Sets the time zone of the <see cref="Time"/> property in the algorithm
/// </summary>
/// <param name="timeZone">The desired time zone</param>
public void SetTimeZone(DateTimeZone timeZone)
{
if (_locked)
{
throw new Exception("Algorithm.SetTimeZone(): Cannot change time zone after algorithm running.");
}
if (timeZone == null)
{
throw new ArgumentNullException("timeZone");
}
_timeKeeper.AddTimeZone(timeZone);
_localTimeKeeper = _timeKeeper.GetLocalTimeKeeper(timeZone);
}
public SubscriptionDataConfig Add(Type dataType, Symbol symbol, Resolution resolution, DateTimeZone dataTimeZone, DateTimeZone exchangeTimeZone, bool isCustomData, bool fillDataForward = true, bool extendedMarketHours = false, bool isInternalFeed = false, bool isFilteredSubscription = true)
{
if (dataTimeZone == null)
{
throw new ArgumentNullException("dataTimeZone", "DataTimeZone is a required parameter for new subscriptions. Set to the time zone the raw data is time stamped in.");
}
if (exchangeTimeZone == null)
{
throw new ArgumentNullException("exchangeTimeZone", "ExchangeTimeZone is a required parameter for new subscriptions. Set to the time zone the security exchange resides in.");
}
var newConfig = new SubscriptionDataConfig(dataType, symbol, resolution, dataTimeZone, exchangeTimeZone, fillDataForward, extendedMarketHours, isInternalFeed, isCustomData, isFilteredSubscription: isFilteredSubscription);
Subscriptions.Add(newConfig);
_timeKeeper.AddTimeZone(exchangeTimeZone);
return(newConfig);
}
/// <summary>
/// Sets the time zone of the <see cref="Time"/> property in the algorithm
/// </summary>
/// <param name="timeZone">The desired time zone</param>
public void SetTimeZone(DateTimeZone timeZone)
{
if (_locked)
{
throw new Exception("Algorithm.SetTimeZone(): Cannot change time zone after algorithm running.");
}
if (timeZone == null)
{
throw new ArgumentNullException("timeZone");
}
_timeKeeper.AddTimeZone(timeZone);
_localTimeKeeper = _timeKeeper.GetLocalTimeKeeper(timeZone);
// the time rules need to know the default time zone as well
TimeRules.SetDefaultTimeZone(timeZone);
}
/// <summary>
/// Add Market Data Required - generic data typing support as long as Type implements BaseData.
/// </summary>
/// <param name="dataType">Set the type of the data we're subscribing to.</param>
/// <param name="tickType">Tick type for the subscription.</param>
/// <param name="symbol">Symbol of the asset we're like</param>
/// <param name="resolution">Resolution of Asset Required</param>
/// <param name="dataTimeZone">The time zone the subscription's data is time stamped in</param>
/// <param name="exchangeTimeZone">Specifies the time zone of the exchange for the security this subscription is for. This
/// is this output time zone, that is, the time zone that will be used on BaseData instances</param>
/// <param name="isCustomData">True if this is custom user supplied data, false for normal QC data</param>
/// <param name="fillDataForward">when there is no data pass the last tradebar forward</param>
/// <param name="extendedMarketHours">Request premarket data as well when true </param>
/// <param name="isInternalFeed">Set to true to prevent data from this subscription from being sent into the algorithm's OnData events</param>
/// <param name="isFilteredSubscription">True if this subscription should have filters applied to it (market hours/user filters from security), false otherwise</param>
/// <returns>The newly created <see cref="SubscriptionDataConfig"/></returns>
public SubscriptionDataConfig Add(Type dataType, TickType tickType, Symbol symbol, Resolution resolution, DateTimeZone dataTimeZone, DateTimeZone exchangeTimeZone, bool isCustomData, bool fillDataForward = true, bool extendedMarketHours = false, bool isInternalFeed = false, bool isFilteredSubscription = true)
{
if (dataTimeZone == null)
{
throw new ArgumentNullException("dataTimeZone", "DataTimeZone is a required parameter for new subscriptions. Set to the time zone the raw data is time stamped in.");
}
if (exchangeTimeZone == null)
{
throw new ArgumentNullException("exchangeTimeZone", "ExchangeTimeZone is a required parameter for new subscriptions. Set to the time zone the security exchange resides in.");
}
//Create:
var newConfig = new SubscriptionDataConfig(dataType, symbol, resolution, dataTimeZone, exchangeTimeZone, fillDataForward, extendedMarketHours, isInternalFeed, isCustomData, isFilteredSubscription: isFilteredSubscription, tickType: tickType);
//Add to subscription list: make sure we don't have this symbol:
if (Subscriptions.Contains(newConfig))
{
Log.Trace("SubscriptionManager.Add(): subscription already added: " + newConfig);
return(newConfig);
}
Subscriptions.Add(newConfig);
// count data subscriptions by symbol, ignoring multiple data types
var uniqueCount = Subscriptions
.Where(x => !x.Symbol.IsCanonical())
.DistinctBy(x => x.Symbol.Value)
.Count();
if (uniqueCount > _algorithmSettings.DataSubscriptionLimit)
{
throw new Exception(
string.Format(
"The maximum number of concurrent market data subscriptions was exceeded ({0}). Please reduce the number of symbols requested or increase the limit using Settings.DataSubscriptionLimit.",
_algorithmSettings.DataSubscriptionLimit));
}
// add the time zone to our time keeper
_timeKeeper.AddTimeZone(exchangeTimeZone);
// if is custom data, sets HasCustomData to true
HasCustomData = HasCustomData || isCustomData;
return(newConfig);
}
/// <summary>
/// Add Market Data Required - generic data typing support as long as Type implements BaseData.
/// </summary>
/// <param name="dataType">Set the type of the data we're subscribing to.</param>
/// <param name="security">Market Data Asset</param>
/// <param name="symbol">Symbol of the asset we're like</param>
/// <param name="resolution">Resolution of Asset Required</param>
/// <param name="market">The market this security resides in</param>
/// <param name="timeZone">The time zone the subscription's data is time stamped in</param>
/// <param name="fillDataForward">when there is no data pass the last tradebar forward</param>
/// <param name="extendedMarketHours">Request premarket data as well when true </param>
/// <param name="isInternalFeed">Set to true to prevent data from this subscription from being sent into the algorithm's OnData events</param>
/// <returns>The newly created <see cref="SubscriptionDataConfig"/></returns>
public SubscriptionDataConfig Add(Type dataType, SecurityType security, Symbol symbol, Resolution resolution, string market, DateTimeZone timeZone, bool fillDataForward = true, bool extendedMarketHours = false, bool isInternalFeed = false)
{
if (timeZone == null)
{
throw new ArgumentNullException("timeZone", "TimeZone is a required parameter for new subscriptions. Set to the time zone the raw data is time stamped in.");
}
//Create:
var newConfig = new SubscriptionDataConfig(dataType, security, symbol, resolution, market, timeZone, fillDataForward, extendedMarketHours, isInternalFeed);
//Add to subscription list: make sure we don't have his symbol:
Subscriptions.Add(newConfig);
// add the time zone to our time keeper
_timeKeeper.AddTimeZone(timeZone);
return(newConfig);
}
