/// <summary>
/// Creates a <see cref="SubscriptionDataReader"/> to read the specified request
/// </summary>
/// <param name="request">The subscription request to be read</param>
/// <param name="dataProvider">Provider used to get data when it is not present on disk</param>
/// <returns>An enumerator reading the subscription request</returns>
public IEnumerator <BaseData> CreateEnumerator(SubscriptionRequest request, IDataProvider dataProvider)
{
var mapFileResolver = request.Configuration.SecurityType == SecurityType.Equity ||
request.Configuration.SecurityType == SecurityType.Option
? _mapFileProvider.Get(request.Security.Symbol.ID.Market)
: MapFileResolver.Empty;
var dataReader = new SubscriptionDataReader(request.Configuration,
request.StartTimeLocal,
request.EndTimeLocal,
mapFileResolver,
_factorFileProvider,
_tradableDaysProvider(request),
_isLiveMode,
_zipDataCacheProvider
);
dataReader.InvalidConfigurationDetected += (sender, args) => { _resultHandler.ErrorMessage(args.Message); };
dataReader.NumericalPrecisionLimited += (sender, args) => { _resultHandler.DebugMessage(args.Message); };
dataReader.DownloadFailed += (sender, args) => { _resultHandler.ErrorMessage(args.Message, args.StackTrace); };
dataReader.ReaderErrorDetected += (sender, args) => { _resultHandler.RuntimeError(args.Message, args.StackTrace); };
var enumerator = CorporateEventEnumeratorFactory.CreateEnumerators(
request.Configuration,
_factorFileProvider,
dataReader,
mapFileResolver,
_includeAuxiliaryData);
// has to be initialized after adding all the enumerators since it will execute a MoveNext
dataReader.Initialize();
return(new SynchronizingEnumerator(dataReader, enumerator));
}
/// <summary>
/// Creates a <see cref="SubscriptionDataReader"/> to read the specified request
/// </summary>
/// <param name="request">The subscription request to be read</param>
/// <param name="dataProvider">Provider used to get data when it is not present on disk</param>
/// <returns>An enumerator reading the subscription request</returns>
public IEnumerator <BaseData> CreateEnumerator(SubscriptionRequest request, IDataProvider dataProvider)
{
var mapFileResolver = request.Configuration.TickerShouldBeMapped()
? _mapFileProvider.Get(request.Security.Symbol.ID.Market)
: MapFileResolver.Empty;
var dataReader = new SubscriptionDataReader(request.Configuration,
request.StartTimeLocal,
request.EndTimeLocal,
mapFileResolver,
_factorFileProvider,
_tradableDaysProvider(request),
_isLiveMode,
_zipDataCacheProvider
);
dataReader.InvalidConfigurationDetected += (sender, args) => { _resultHandler.ErrorMessage(args.Message); };
dataReader.NumericalPrecisionLimited += (sender, args) => { _resultHandler.DebugMessage(args.Message); };
dataReader.DownloadFailed += (sender, args) => { _resultHandler.ErrorMessage(args.Message, args.StackTrace); };
dataReader.ReaderErrorDetected += (sender, args) => { _resultHandler.RuntimeError(args.Message, args.StackTrace); };
var result = CorporateEventEnumeratorFactory.CreateEnumerators(
dataReader,
request.Configuration,
_factorFileProvider,
dataReader,
mapFileResolver,
_includeAuxiliaryData);
return(result);
}
/// <summary>
/// Creates a <see cref="SubscriptionDataReader"/> to read the specified request
/// </summary>
/// <param name="request">The subscription request to be read</param>
/// <param name="dataProvider">Provider used to get data when it is not present on disk</param>
/// <returns>An enumerator reading the subscription request</returns>
public IEnumerator <BaseData> CreateEnumerator(SubscriptionRequest request, IDataProvider dataProvider)
{
var mapFileResolver = request.Configuration.TickerShouldBeMapped()
? _mapFileProvider.Get(request.Security.Symbol.ID.Market)
: MapFileResolver.Empty;
var dataReader = new SubscriptionDataReader(request.Configuration,
request.StartTimeLocal,
request.EndTimeLocal,
mapFileResolver,
_factorFileProvider,
_tradableDaysProvider(request),
_isLiveMode,
_zipDataCacheProvider,
dataProvider
);
dataReader.InvalidConfigurationDetected += (sender, args) => { _resultHandler.ErrorMessage(args.Message); };
dataReader.StartDateLimited += (sender, args) =>
{
// Queue this warning into our dictionary to report on dispose
if (_startDateLimitedWarnings.Count <= _startDateLimitedWarningsMaxCount)
{
_startDateLimitedWarnings.TryAdd(args.Symbol, args.Message);
}
};
dataReader.DownloadFailed += (sender, args) => { _resultHandler.ErrorMessage(args.Message, args.StackTrace); };
dataReader.ReaderErrorDetected += (sender, args) => { _resultHandler.RuntimeError(args.Message, args.StackTrace); };
dataReader.NumericalPrecisionLimited += (sender, args) =>
{
// Set a hard limit to keep this warning list from getting unnecessarily large
if (_numericalPrecisionLimitedWarnings.Count <= _numericalPrecisionLimitedWarningsMaxCount)
{
_numericalPrecisionLimitedWarnings.TryAdd(args.Symbol, args.Message);
}
};
var result = CorporateEventEnumeratorFactory.CreateEnumerators(
dataReader,
request.Configuration,
_factorFileProvider,
dataReader,
mapFileResolver,
request.StartTimeLocal,
_enablePriceScaling);
return(result);
}
