/// <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(_job, 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")); } if (!USEnergyAPI.IsAuthCodeSet) { // we're not using the SubscriptionDataReader, so be sure to set the auth token here USEnergyAPI.SetAuthCode(Config.Get("us-energy-information-auth-token")); } if (!FredApi.IsAuthCodeSet) { // we're not using the SubscriptionDataReader, so be sure to set the auth token here FredApi.SetAuthCode(Config.Get("fred-auth-token")); } if (!TradingEconomicsCalendar.IsAuthCodeSet) { // we're not using the SubscriptionDataReader, so be sure to set the auth token here TradingEconomicsCalendar.SetAuthCode(Config.Get("trading-economics-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); if (request.Configuration.SecurityType == SecurityType.Equity && CorporateEventEnumeratorFactory.ShouldEmitAuxiliaryBaseData(request.Configuration)) { var dividends = _dataQueueHandler.Subscribe(new SubscriptionDataConfig(request.Configuration, typeof(Dividend)), handler); var splits = _dataQueueHandler.Subscribe(new SubscriptionDataConfig(request.Configuration, typeof(Split)), handler); enumerator = new LiveEquityDataSynchronizingEnumerator(_timeProvider, request.Configuration.ExchangeTimeZone, enumerator, dividends, splits); } } 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); } // 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); }
/// <summary> /// Creates a new subscription for universe selection /// </summary> /// <param name="request">The subscription request</param> private Subscription CreateUniverseSubscription(SubscriptionRequest request) { Subscription subscription = null; // TODO : Consider moving the creating of universe subscriptions to a separate, testable class // grab the relevant exchange hours var config = request.Universe.Configuration; var localEndTime = request.EndTimeUtc.ConvertFromUtc(request.Security.Exchange.TimeZone); var tzOffsetProvider = new TimeZoneOffsetProvider(request.Security.Exchange.TimeZone, request.StartTimeUtc, request.EndTimeUtc); IEnumerator <BaseData> enumerator = null; var timeTriggered = request.Universe as ITimeTriggeredUniverse; if (timeTriggered != null) { Log.Trace($"LiveTradingDataFeed.CreateUniverseSubscription(): Creating user defined universe: {config.Symbol.ID}"); // spoof a tick on the requested interval to trigger the universe selection function var enumeratorFactory = new TimeTriggeredUniverseSubscriptionEnumeratorFactory(timeTriggered, MarketHoursDatabase.FromDataFolder(), _frontierTimeProvider); enumerator = enumeratorFactory.CreateEnumerator(request, _dataProvider); enumerator = new FrontierAwareEnumerator(enumerator, _timeProvider, tzOffsetProvider); var enqueueable = new EnqueueableEnumerator <BaseData>(); _customExchange.AddEnumerator(new EnumeratorHandler(config.Symbol, enumerator, enqueueable)); enumerator = enqueueable; } else if (config.Type == typeof(CoarseFundamental)) { Log.Trace($"LiveTradingDataFeed.CreateUniverseSubscription(): Creating coarse universe: {config.Symbol.ID}"); // we subscribe using a normalized symbol, without a random GUID, // since the ticker plant will send the coarse data using this symbol var normalizedSymbol = CoarseFundamental.CreateUniverseSymbol(config.Symbol.ID.Market, false); // Will try to pull coarse data from the data folder every 30min, file with today's date. // If lean is started today it will trigger initial coarse universe selection var factory = new LiveCustomDataSubscriptionEnumeratorFactory(_timeProvider, // we adjust time to the previous tradable date time => Time.GetStartTimeForTradeBars(request.Security.Exchange.Hours, time, Time.OneDay, 1, false, config.DataTimeZone) ); var enumeratorStack = factory.CreateEnumerator(request, _dataProvider); // aggregates each coarse data point into a single BaseDataCollection var aggregator = new BaseDataCollectionAggregatorEnumerator(enumeratorStack, normalizedSymbol, true); _customExchange.AddEnumerator(normalizedSymbol, aggregator); var enqueable = new EnqueueableEnumerator <BaseData>(); _customExchange.SetDataHandler(normalizedSymbol, data => { var coarseData = data as BaseDataCollection; enqueable.Enqueue(new BaseDataCollection(coarseData.Time, config.Symbol, coarseData.Data)); subscription.OnNewDataAvailable(); }); enumerator = GetConfiguredFrontierAwareEnumerator(enqueable, tzOffsetProvider, // advance time if before 23pm or after 5am and not on Saturdays time => time.Hour < 23 && time.Hour > 5 && time.DayOfWeek != DayOfWeek.Saturday); } else if (request.Universe is OptionChainUniverse) { Log.Trace("LiveTradingDataFeed.CreateUniverseSubscription(): Creating option chain universe: " + config.Symbol.ID); Func <SubscriptionRequest, IEnumerator <BaseData> > configure = (subRequest) => { var fillForwardResolution = _subscriptions.UpdateAndGetFillForwardResolution(subRequest.Configuration); var input = _dataQueueHandler.Subscribe(subRequest.Configuration, (sender, args) => subscription.OnNewDataAvailable()); return(new LiveFillForwardEnumerator(_frontierTimeProvider, input, subRequest.Security.Exchange, fillForwardResolution, subRequest.Configuration.ExtendedMarketHours, localEndTime, subRequest.Configuration.Increment, subRequest.Configuration.DataTimeZone)); }; var symbolUniverse = _dataQueueHandler as IDataQueueUniverseProvider; if (symbolUniverse == null) { throw new NotSupportedException("The DataQueueHandler does not support Options."); } var enumeratorFactory = new OptionChainUniverseSubscriptionEnumeratorFactory(configure, symbolUniverse, _timeProvider); enumerator = enumeratorFactory.CreateEnumerator(request, _dataProvider); enumerator = new FrontierAwareEnumerator(enumerator, _frontierTimeProvider, tzOffsetProvider); } else if (request.Universe is FuturesChainUniverse) { Log.Trace("LiveTradingDataFeed.CreateUniverseSubscription(): Creating futures chain universe: " + config.Symbol.ID); var symbolUniverse = _dataQueueHandler as IDataQueueUniverseProvider; if (symbolUniverse == null) { throw new NotSupportedException("The DataQueueHandler does not support Futures."); } var enumeratorFactory = new FuturesChainUniverseSubscriptionEnumeratorFactory(symbolUniverse, _timeProvider); enumerator = enumeratorFactory.CreateEnumerator(request, _dataProvider); enumerator = new FrontierAwareEnumerator(enumerator, _frontierTimeProvider, tzOffsetProvider); } else { Log.Trace("LiveTradingDataFeed.CreateUniverseSubscription(): Creating custom universe: " + config.Symbol.ID); var factory = new LiveCustomDataSubscriptionEnumeratorFactory(_timeProvider); var enumeratorStack = factory.CreateEnumerator(request, _dataProvider); enumerator = new BaseDataCollectionAggregatorEnumerator(enumeratorStack, config.Symbol, liveMode: true); var enqueueable = new EnqueueableEnumerator <BaseData>(); _customExchange.AddEnumerator(new EnumeratorHandler(config.Symbol, enumerator, enqueueable)); enumerator = enqueueable; } // create the subscription var subscriptionDataEnumerator = new SubscriptionDataEnumerator(request.Configuration, request.Security.Exchange.Hours, tzOffsetProvider, enumerator); subscription = new Subscription(request, subscriptionDataEnumerator, tzOffsetProvider); // send the subscription for the new symbol through to the data queuehandler if (_channelProvider.ShouldStreamSubscription(_job, subscription.Configuration)) { _dataQueueHandler.Subscribe(request.Configuration, (sender, args) => subscription.OnNewDataAvailable()); } return(subscription); }
/// <summary> /// Creates a new subscription for universe selection /// </summary> /// <param name="request">The subscription request</param> private Subscription CreateUniverseSubscription(SubscriptionRequest request) { Subscription subscription = null; // TODO : Consider moving the creating of universe subscriptions to a separate, testable class // grab the relevant exchange hours var config = request.Universe.Configuration; var localEndTime = request.EndTimeUtc.ConvertFromUtc(request.Security.Exchange.TimeZone); var tzOffsetProvider = new TimeZoneOffsetProvider(request.Security.Exchange.TimeZone, request.StartTimeUtc, request.EndTimeUtc); IEnumerator <BaseData> enumerator; var timeTriggered = request.Universe as ITimeTriggeredUniverse; if (timeTriggered != null) { Log.Trace("LiveTradingDataFeed.CreateUniverseSubscription(): Creating user defined universe: " + config.Symbol.ToString()); // spoof a tick on the requested interval to trigger the universe selection function var enumeratorFactory = new TimeTriggeredUniverseSubscriptionEnumeratorFactory(timeTriggered, MarketHoursDatabase.FromDataFolder()); enumerator = enumeratorFactory.CreateEnumerator(request, _dataProvider); enumerator = new FrontierAwareEnumerator(enumerator, _timeProvider, tzOffsetProvider); var enqueueable = new EnqueueableEnumerator <BaseData>(); _customExchange.AddEnumerator(new EnumeratorHandler(config.Symbol, enumerator, enqueueable)); enumerator = enqueueable; // Trigger universe selection when security added/removed after Initialize if (timeTriggered is UserDefinedUniverse) { var userDefined = (UserDefinedUniverse)timeTriggered; userDefined.CollectionChanged += (sender, args) => { var items = args.Action == NotifyCollectionChangedAction.Add ? args.NewItems : args.Action == NotifyCollectionChangedAction.Remove ? args.OldItems : null; var currentFrontierUtcTime = _frontierTimeProvider.GetUtcNow(); if (items == null || currentFrontierUtcTime == DateTime.MinValue) { return; } var symbol = items.OfType <Symbol>().FirstOrDefault(); if (symbol == null) { return; } var collection = new BaseDataCollection(currentFrontierUtcTime, symbol); var changes = _universeSelection.ApplyUniverseSelection(userDefined, currentFrontierUtcTime, collection); _algorithm.OnSecuritiesChanged(changes); subscription.OnNewDataAvailable(); }; } } else if (config.Type == typeof(CoarseFundamental)) { Log.Trace("LiveTradingDataFeed.CreateUniverseSubscription(): Creating coarse universe: " + config.Symbol.ToString()); // we subscribe using a normalized symbol, without a random GUID, // since the ticker plant will send the coarse data using this symbol var normalizedSymbol = CoarseFundamental.CreateUniverseSymbol(config.Symbol.ID.Market, false); // since we're binding to the data queue exchange we'll need to let him // know that we expect this data _dataQueueHandler.Subscribe(_job, new[] { normalizedSymbol }); var enqueable = new EnqueueableEnumerator <BaseData>(); // We `AddDataHandler` not `Set` so we can have multiple handlers for the coarse data _exchange.AddDataHandler(normalizedSymbol, data => { enqueable.Enqueue(data); subscription.OnNewDataAvailable(); }); enumerator = enqueable; } else if (request.Universe is OptionChainUniverse) { Log.Trace("LiveTradingDataFeed.CreateUniverseSubscription(): Creating option chain universe: " + config.Symbol.ToString()); Func <SubscriptionRequest, IEnumerator <BaseData>, IEnumerator <BaseData> > configure = (subRequest, input) => { // we check if input enumerator is an underlying enumerator. If yes, we subscribe it to the data. var aggregator = input as TradeBarBuilderEnumerator; if (aggregator != null) { _exchange.SetDataHandler(request.Configuration.Symbol, data => { aggregator.ProcessData((Tick)data); }); } var fillForwardResolution = _subscriptions.UpdateAndGetFillForwardResolution(request.Configuration); return(new LiveFillForwardEnumerator(_frontierTimeProvider, input, request.Security.Exchange, fillForwardResolution, request.Configuration.ExtendedMarketHours, localEndTime, request.Configuration.Increment, request.Configuration.DataTimeZone)); }; var symbolUniverse = _dataQueueHandler as IDataQueueUniverseProvider; if (symbolUniverse == null) { throw new NotSupportedException("The DataQueueHandler does not support Options."); } var enumeratorFactory = new OptionChainUniverseSubscriptionEnumeratorFactory(configure, symbolUniverse, _timeProvider); enumerator = enumeratorFactory.CreateEnumerator(request, _dataProvider); enumerator = new FrontierAwareEnumerator(enumerator, _frontierTimeProvider, tzOffsetProvider); } else if (request.Universe is FuturesChainUniverse) { Log.Trace("LiveTradingDataFeed.CreateUniverseSubscription(): Creating futures chain universe: " + config.Symbol.ToString()); var symbolUniverse = _dataQueueHandler as IDataQueueUniverseProvider; if (symbolUniverse == null) { throw new NotSupportedException("The DataQueueHandler does not support Futures."); } var enumeratorFactory = new FuturesChainUniverseSubscriptionEnumeratorFactory(symbolUniverse, _timeProvider); enumerator = enumeratorFactory.CreateEnumerator(request, _dataProvider); enumerator = new FrontierAwareEnumerator(enumerator, _frontierTimeProvider, tzOffsetProvider); } else { Log.Trace("LiveTradingDataFeed.CreateUniverseSubscription(): Creating custom universe: " + config.Symbol.ToString()); var factory = new LiveCustomDataSubscriptionEnumeratorFactory(_timeProvider); var enumeratorStack = factory.CreateEnumerator(request, _dataProvider); enumerator = new BaseDataCollectionAggregatorEnumerator(enumeratorStack, config.Symbol); var enqueueable = new EnqueueableEnumerator <BaseData>(); _customExchange.AddEnumerator(new EnumeratorHandler(config.Symbol, enumerator, enqueueable)); enumerator = enqueueable; } // create the subscription var subscriptionDataEnumerator = SubscriptionData.Enumerator(request.Configuration, request.Security, tzOffsetProvider, enumerator); subscription = new Subscription(request, subscriptionDataEnumerator, tzOffsetProvider); return(subscription); }
/// <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 (request.Configuration.IsCustomData) { 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")); } if (!USEnergyInformation.IsAuthCodeSet) { // we're not using the SubscriptionDataReader, so be sure to set the auth token here USEnergyInformation.SetAuthCode(Config.Get("us-energy-information-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(); UpdateSubscriptionRealTimePrice( subscription, timeZoneOffsetProvider, request.Security.Exchange.Hours, data); }); enumerator = enqueable; } else if (request.Configuration.Resolution != Resolution.Tick) { // this enumerator allows the exchange to pump ticks into the 'back' of the enumerator, // and the time sync loop can pull aggregated trade bars off the front switch (request.Configuration.TickType) { case TickType.Quote: var quoteBarAggregator = new QuoteBarBuilderEnumerator( request.Configuration.Increment, request.Security.Exchange.TimeZone, _timeProvider, true, (sender, args) => subscription.OnNewDataAvailable()); _exchange.AddDataHandler(request.Configuration.Symbol, data => { var tick = data as Tick; if (tick.TickType == TickType.Quote) { quoteBarAggregator.ProcessData(tick); UpdateSubscriptionRealTimePrice( subscription, timeZoneOffsetProvider, request.Security.Exchange.Hours, data); } }); enumerator = quoteBarAggregator; break; case TickType.Trade: default: var tradeBarAggregator = new TradeBarBuilderEnumerator( request.Configuration.Increment, request.Security.Exchange.TimeZone, _timeProvider, true, (sender, args) => subscription.OnNewDataAvailable()); var auxDataEnumerator = new LiveAuxiliaryDataEnumerator(request.Security.Exchange.TimeZone, _timeProvider); _exchange.AddDataHandler(request.Configuration.Symbol, data => { if (data.DataType == MarketDataType.Auxiliary) { auxDataEnumerator.Enqueue(data); subscription.OnNewDataAvailable(); } else { var tick = data as Tick; if (tick.TickType == TickType.Trade) { tradeBarAggregator.ProcessData(tick); UpdateSubscriptionRealTimePrice( subscription, timeZoneOffsetProvider, request.Security.Exchange.Hours, data); } } }); enumerator = request.Configuration.SecurityType == SecurityType.Equity ? (IEnumerator <BaseData>) new LiveEquityDataSynchronizingEnumerator(_frontierTimeProvider, request.Security.Exchange.TimeZone, auxDataEnumerator, tradeBarAggregator) : tradeBarAggregator; break; case TickType.OpenInterest: var oiAggregator = new OpenInterestEnumerator( request.Configuration.Increment, request.Security.Exchange.TimeZone, _timeProvider, true, (sender, args) => subscription.OnNewDataAvailable()); _exchange.AddDataHandler(request.Configuration.Symbol, data => { var tick = data as Tick; if (tick.TickType == TickType.OpenInterest) { oiAggregator.ProcessData(tick); } }); enumerator = oiAggregator; break; } } else { // tick subscriptions can pass right through var tickEnumerator = new EnqueueableEnumerator <BaseData>(); _exchange.SetDataHandler(request.Configuration.Symbol, data => { tickEnumerator.Enqueue(data); subscription.OnNewDataAvailable(); if (data.DataType != MarketDataType.Auxiliary) { UpdateSubscriptionRealTimePrice( subscription, timeZoneOffsetProvider, request.Security.Exchange.Hours, data); } }); enumerator = tickEnumerator; } 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); } // 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 = SubscriptionData.Enumerator(request.Configuration, request.Security, timeZoneOffsetProvider, enumerator); subscription = new Subscription(request, subscriptionDataEnumerator, timeZoneOffsetProvider); } catch (Exception err) { Log.Error(err); } return(subscription); }
/// <summary> /// Creates a new subscription for universe selection /// </summary> /// <param name="request">The subscription request</param> private Subscription CreateUniverseSubscription(SubscriptionRequest request) { // TODO : Consider moving the creating of universe subscriptions to a separate, testable class // grab the relevant exchange hours var config = request.Universe.Configuration; var localEndTime = request.EndTimeUtc.ConvertFromUtc(request.Security.Exchange.TimeZone); var tzOffsetProvider = new TimeZoneOffsetProvider(request.Security.Exchange.TimeZone, request.StartTimeUtc, request.EndTimeUtc); IEnumerator <BaseData> enumerator; var userDefined = request.Universe as UserDefinedUniverse; if (userDefined != null) { Log.Trace("LiveTradingDataFeed.CreateUniverseSubscription(): Creating user defined universe: " + config.Symbol.ToString()); // spoof a tick on the requested interval to trigger the universe selection function var enumeratorFactory = new UserDefinedUniverseSubscriptionEnumeratorFactory(userDefined, MarketHoursDatabase.FromDataFolder()); enumerator = enumeratorFactory.CreateEnumerator(request, _dataFileProvider); enumerator = new FrontierAwareEnumerator(enumerator, _timeProvider, tzOffsetProvider); var enqueueable = new EnqueueableEnumerator <BaseData>(); _customExchange.AddEnumerator(new EnumeratorHandler(config.Symbol, enumerator, enqueueable)); enumerator = enqueueable; // Trigger universe selection when security added/removed after Initialize userDefined.CollectionChanged += (sender, args) => { var items = args.Action == NotifyCollectionChangedAction.Add ? args.NewItems : args.Action == NotifyCollectionChangedAction.Remove ? args.OldItems : null; if (items == null || _frontierUtc == DateTime.MinValue) { return; } var symbol = items.OfType <Symbol>().FirstOrDefault(); if (symbol == null) { return; } var collection = new BaseDataCollection(_frontierUtc, symbol); var changes = _universeSelection.ApplyUniverseSelection(userDefined, _frontierUtc, collection); _algorithm.OnSecuritiesChanged(changes); }; } else if (config.Type == typeof(CoarseFundamental)) { Log.Trace("LiveTradingDataFeed.CreateUniverseSubscription(): Creating coarse universe: " + config.Symbol.ToString()); // since we're binding to the data queue exchange we'll need to let him // know that we expect this data _dataQueueHandler.Subscribe(_job, new[] { request.Security.Symbol }); var enqueable = new EnqueueableEnumerator <BaseData>(); _exchange.SetDataHandler(config.Symbol, data => { enqueable.Enqueue(data); }); enumerator = enqueable; } else if (request.Universe is OptionChainUniverse) { Log.Trace("LiveTradingDataFeed.CreateUniverseSubscription(): Creating option chain universe: " + config.Symbol.ToString()); Func <SubscriptionRequest, IEnumerator <BaseData>, IEnumerator <BaseData> > configure = (subRequest, input) => { // we check if input enumerator is an underlying enumerator. If yes, we subscribe it to the data. var aggregator = input as TradeBarBuilderEnumerator; if (aggregator != null) { _exchange.SetDataHandler(request.Configuration.Symbol, data => { aggregator.ProcessData((Tick)data); }); } return(new LiveFillForwardEnumerator(_frontierTimeProvider, input, request.Security.Exchange, _fillForwardResolution, request.Configuration.ExtendedMarketHours, localEndTime, request.Configuration.Increment)); }; var symbolUniverse = _dataQueueHandler as IDataQueueUniverseProvider; var enumeratorFactory = new OptionChainUniverseSubscriptionEnumeratorFactory(configure, symbolUniverse, _timeProvider); enumerator = enumeratorFactory.CreateEnumerator(request, _dataFileProvider); enumerator = new FrontierAwareEnumerator(enumerator, _frontierTimeProvider, tzOffsetProvider); } else if (request.Universe is FuturesChainUniverse) { Log.Trace("LiveTradingDataFeed.CreateUniverseSubscription(): Creating futures chain universe: " + config.Symbol.ToString()); var symbolUniverse = _dataQueueHandler as IDataQueueUniverseProvider; var enumeratorFactory = new FuturesChainUniverseSubscriptionEnumeratorFactory(symbolUniverse, _timeProvider); enumerator = enumeratorFactory.CreateEnumerator(request, _dataFileProvider); enumerator = new FrontierAwareEnumerator(enumerator, _frontierTimeProvider, tzOffsetProvider); } else { Log.Trace("LiveTradingDataFeed.CreateUniverseSubscription(): Creating custom universe: " + config.Symbol.ToString()); // each time we exhaust we'll new up this enumerator stack var refresher = new RefreshEnumerator <BaseDataCollection>(() => { var sourceProvider = (BaseData)Activator.CreateInstance(config.Type); var dateInDataTimeZone = DateTime.UtcNow.ConvertFromUtc(config.DataTimeZone).Date; var source = sourceProvider.GetSource(config, dateInDataTimeZone, true); var factory = SubscriptionDataSourceReader.ForSource(source, _dataFileProvider, config, dateInDataTimeZone, false); var factorEnumerator = factory.Read(source).GetEnumerator(); var fastForward = new FastForwardEnumerator(factorEnumerator, _timeProvider, request.Security.Exchange.TimeZone, config.Increment); var frontierAware = new FrontierAwareEnumerator(fastForward, _frontierTimeProvider, tzOffsetProvider); return(new BaseDataCollectionAggregatorEnumerator(frontierAware, config.Symbol)); }); // rate limit the refreshing of the stack to the requested interval var minimumTimeBetweenCalls = Math.Min(config.Increment.Ticks, TimeSpan.FromMinutes(30).Ticks); var rateLimit = new RateLimitEnumerator(refresher, _timeProvider, TimeSpan.FromTicks(minimumTimeBetweenCalls)); var enqueueable = new EnqueueableEnumerator <BaseData>(); _customExchange.AddEnumerator(new EnumeratorHandler(config.Symbol, rateLimit, enqueueable)); enumerator = enqueueable; } // create the subscription var subscription = new Subscription(request.Universe, request.Security, config, enumerator, tzOffsetProvider, request.StartTimeUtc, request.EndTimeUtc, true); return(subscription); }
/// <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 CreateSubscription(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 (request.Configuration.IsCustomData) { 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")); } // each time we exhaust we'll new up this enumerator stack var refresher = new RefreshEnumerator <BaseData>(() => { var dateInDataTimeZone = DateTime.UtcNow.ConvertFromUtc(request.Configuration.DataTimeZone).Date; var enumeratorFactory = new BaseDataSubscriptionEnumeratorFactory(r => new[] { dateInDataTimeZone }); var factoryReadEnumerator = enumeratorFactory.CreateEnumerator(request, _dataFileProvider); var maximumDataAge = TimeSpan.FromTicks(Math.Max(request.Configuration.Increment.Ticks, TimeSpan.FromSeconds(5).Ticks)); var fastForward = new FastForwardEnumerator(factoryReadEnumerator, _timeProvider, request.Security.Exchange.TimeZone, maximumDataAge); return(new FrontierAwareEnumerator(fastForward, _frontierTimeProvider, timeZoneOffsetProvider)); }); // rate limit the refreshing of the stack to the requested interval // At Tick resolution, it will refresh at full speed // At Second and Minute resolution, it will refresh every second and minute respectively // At Hour and Daily resolutions, it will refresh every 30 minutes var minimumTimeBetweenCalls = Math.Min(request.Configuration.Increment.Ticks, TimeSpan.FromMinutes(30).Ticks); var rateLimit = new RateLimitEnumerator(refresher, _timeProvider, TimeSpan.FromTicks(minimumTimeBetweenCalls)); _customExchange.AddEnumerator(request.Configuration.Symbol, rateLimit); var enqueable = new EnqueueableEnumerator <BaseData>(); _customExchange.SetDataHandler(request.Configuration.Symbol, data => { enqueable.Enqueue(data); if (subscription != null) { subscription.RealtimePrice = data.Value; } }); enumerator = enqueable; } else if (request.Configuration.Resolution != Resolution.Tick) { // this enumerator allows the exchange to pump ticks into the 'back' of the enumerator, // and the time sync loop can pull aggregated trade bars off the front switch (request.Configuration.TickType) { case TickType.Quote: var quoteBarAggregator = new QuoteBarBuilderEnumerator(request.Configuration.Increment, request.Security.Exchange.TimeZone, _timeProvider); _exchange.AddDataHandler(request.Configuration.Symbol, data => { var tick = data as Tick; if (tick.TickType == TickType.Quote) { quoteBarAggregator.ProcessData(tick); if (subscription != null) { subscription.RealtimePrice = data.Value; } } }); enumerator = quoteBarAggregator; break; case TickType.Trade: default: var tradeBarAggregator = new TradeBarBuilderEnumerator(request.Configuration.Increment, request.Security.Exchange.TimeZone, _timeProvider); _exchange.AddDataHandler(request.Configuration.Symbol, data => { var tick = data as Tick; if (tick.TickType == TickType.Trade) { tradeBarAggregator.ProcessData(tick); if (subscription != null) { subscription.RealtimePrice = data.Value; } } }); enumerator = tradeBarAggregator; break; case TickType.OpenInterest: var oiAggregator = new OpenInterestEnumerator(request.Configuration.Increment, request.Security.Exchange.TimeZone, _timeProvider); _exchange.AddDataHandler(request.Configuration.Symbol, data => { var tick = data as Tick; if (tick.TickType == TickType.OpenInterest) { oiAggregator.ProcessData(tick); } }); enumerator = oiAggregator; break; } } else { // tick subscriptions can pass right through var tickEnumerator = new EnqueueableEnumerator <BaseData>(); _exchange.SetDataHandler(request.Configuration.Symbol, data => { tickEnumerator.Enqueue(data); if (subscription != null) { subscription.RealtimePrice = data.Value; } }); enumerator = tickEnumerator; } if (request.Configuration.FillDataForward) { enumerator = new LiveFillForwardEnumerator(_frontierTimeProvider, enumerator, request.Security.Exchange, _fillForwardResolution, request.Configuration.ExtendedMarketHours, localEndTime, request.Configuration.Increment); } // define market hours and user filters to incoming data if (request.Configuration.IsFilteredSubscription) { enumerator = new SubscriptionFilterEnumerator(enumerator, request.Security, localEndTime); } // 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); subscription = new Subscription(request.Universe, request.Security, request.Configuration, enumerator, timeZoneOffsetProvider, request.StartTimeUtc, request.EndTimeUtc, false); } catch (Exception err) { Log.Error(err); } return(subscription); }
public void RemoveSubscription(Subscription subscription) { }