/// <summary> /// Configure the enumerator with aggregation/fill-forward/filter behaviors. Returns new instance if re-configured /// </summary> private IEnumerator <BaseData> ConfigureEnumerator(SubscriptionRequest request, bool aggregate, IEnumerator <BaseData> enumerator) { if (aggregate) { enumerator = new BaseDataCollectionAggregatorEnumerator(enumerator, request.Configuration.Symbol); } // optionally apply fill forward logic, but never for tick data if (request.Configuration.FillDataForward && request.Configuration.Resolution != Resolution.Tick) { // copy forward Bid/Ask bars for QuoteBars if (request.Configuration.Type == typeof(QuoteBar)) { enumerator = new QuoteBarFillForwardEnumerator(enumerator); } var fillForwardResolution = _subscriptions.UpdateAndGetFillForwardResolution(request.Configuration); enumerator = new FillForwardEnumerator(enumerator, request.Security.Exchange, fillForwardResolution, request.Configuration.ExtendedMarketHours, request.EndTimeLocal, request.Configuration.Resolution.ToTimeSpan(), request.Configuration.DataTimeZone); } // optionally apply exchange/user filters if (request.Configuration.IsFilteredSubscription) { enumerator = SubscriptionFilterEnumerator.WrapForDataFeed(_resultHandler, enumerator, request.Security, request.EndTimeLocal, request.Configuration.ExtendedMarketHours, false); } return(enumerator); }
/// <summary> /// Will add a fill forward enumerator if requested /// </summary> protected IEnumerator <BaseData> TryAddFillForwardEnumerator(SubscriptionRequest request, IEnumerator <BaseData> enumerator, bool fillForward) { // optionally apply fill forward logic, but never for tick data if (fillForward && request.Configuration.Resolution != Resolution.Tick) { // copy forward Bid/Ask bars for QuoteBars if (request.Configuration.Type == typeof(QuoteBar)) { enumerator = new QuoteBarFillForwardEnumerator(enumerator); } var fillForwardResolution = _subscriptions.UpdateAndGetFillForwardResolution(request.Configuration); enumerator = new FillForwardEnumerator(enumerator, request.Security.Exchange, fillForwardResolution, request.Configuration.ExtendedMarketHours, request.EndTimeLocal, request.Configuration.Resolution.ToTimeSpan(), request.Configuration.DataTimeZone); } return(enumerator); }
/// <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.Configuration.ExchangeTimeZone, 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 { var auxEnumerators = new List <IEnumerator <BaseData> >(); if (LiveAuxiliaryDataEnumerator.TryCreate(request.Configuration, _timeProvider, _dataQueueHandler, request.Security.Cache, _mapFileProvider, _factorFileProvider, request.StartTimeLocal, out var auxDataEnumator)) { auxEnumerators.Add(auxDataEnumator); } EventHandler handler = (_, _) => subscription?.OnNewDataAvailable(); enumerator = Subscribe(request.Configuration, handler); if (request.Configuration.EmitSplitsAndDividends()) { auxEnumerators.Add(Subscribe(new SubscriptionDataConfig(request.Configuration, typeof(Dividend)), handler)); auxEnumerators.Add(Subscribe(new SubscriptionDataConfig(request.Configuration, typeof(Split)), handler)); } if (auxEnumerators.Count > 0) { enumerator = new LiveAuxiliaryDataSynchronizingEnumerator(_timeProvider, request.Configuration.ExchangeTimeZone, enumerator, auxEnumerators); } } 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, request.IsUniverseSubscription); subscription = new Subscription(request, subscriptionDataEnumerator, timeZoneOffsetProvider); } catch (Exception err) { Log.Error(err); } 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> private Subscription CreateDataSubscription(SubscriptionRequest request) { Subscription subscription = null; try { var localEndTime = request.EndTimeUtc.ConvertFromUtc(request.Security.Exchange.TimeZone); var timeZoneOffsetProvider = new TimeZoneOffsetProvider(request.Configuration.ExchangeTimeZone, request.StartTimeUtc, request.EndTimeUtc); IEnumerator <BaseData> enumerator = null; // during warmup we might get requested to add some asset which has already expired in which case the live enumerator will be empty if (!IsExpired(request.Configuration)) { if (!_channelProvider.ShouldStreamSubscription(request.Configuration)) { 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); var enqueable = new EnqueueableEnumerator <BaseData>(); _customExchange.AddEnumerator(request.Configuration.Symbol, enumeratorStack, handleData: data => { enqueable.Enqueue(data); subscription?.OnNewDataAvailable(); }); enumerator = enqueable; } else { var auxEnumerators = new List <IEnumerator <BaseData> >(); if (LiveAuxiliaryDataEnumerator.TryCreate(request.Configuration, _timeProvider, _dataQueueHandler, request.Security.Cache, _mapFileProvider, _factorFileProvider, request.StartTimeLocal, out var auxDataEnumator)) { auxEnumerators.Add(auxDataEnumator); } EventHandler handler = (_, _) => subscription?.OnNewDataAvailable(); enumerator = Subscribe(request.Configuration, handler); if (request.Configuration.EmitSplitsAndDividends()) { auxEnumerators.Add(Subscribe(new SubscriptionDataConfig(request.Configuration, typeof(Dividend)), handler)); auxEnumerators.Add(Subscribe(new SubscriptionDataConfig(request.Configuration, typeof(Split)), handler)); } if (auxEnumerators.Count > 0) { enumerator = new LiveAuxiliaryDataSynchronizingEnumerator(_timeProvider, request.Configuration.ExchangeTimeZone, enumerator, auxEnumerators); } } // scale prices before 'SubscriptionFilterEnumerator' since it updates securities realtime price // and before fill forwarding so we don't happen to apply twice the factor if (request.Configuration.PricesShouldBeScaled(liveMode: true)) { enumerator = new PriceScaleFactorEnumerator( enumerator, request.Configuration, _factorFileProvider, liveMode: true); } 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); } // 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); // define market hours and user filters to incoming data after the frontier enumerator so during warmup we avoid any realtime data making it's way into the securities if (request.Configuration.IsFilteredSubscription) { enumerator = new SubscriptionFilterEnumerator(enumerator, request.Security, localEndTime, request.Configuration.ExtendedMarketHours, true, request.ExchangeHours); } } else { enumerator = Enumerable.Empty <BaseData>().GetEnumerator(); } enumerator = GetWarmupEnumerator(request, enumerator); var subscriptionDataEnumerator = new SubscriptionDataEnumerator(request.Configuration, request.Security.Exchange.Hours, timeZoneOffsetProvider, enumerator, request.IsUniverseSubscription); subscription = new Subscription(request, subscriptionDataEnumerator, timeZoneOffsetProvider); } catch (Exception err) { Log.Error(err); } return(subscription); }