/// <summary>
/// Adds a new subscription for universe selection
/// </summary>
/// <param name="request">The subscription request</param>
private Subscription CreateUniverseSubscription(SubscriptionRequest request)
{
// define our data enumerator
var enumerator = GetEnumeratorFactory(request).CreateEnumerator(request, _dataProvider);
return(SubscriptionUtils.CreateAndScheduleWorker(request, enumerator));
}
/// <summary>
/// Creates a new subscription to provide data for the specified security.
/// </summary>
/// <param name="request">Defines the subscription to be added, including start/end times the universe and security</param>
/// <returns>The created <see cref="Subscription"/> if successful, null otherwise</returns>
public virtual Subscription CreateSubscription(SubscriptionRequest request)
{
var enumerator = CreateEnumerator(request);
if (request.IsUniverseSubscription && request.Universe is UserDefinedUniverse)
{
// for user defined universe we do not use a worker task, since calls to AddData can happen in any moment
// and we have to be able to inject selection data points into the enumerator
return(SubscriptionUtils.Create(request, enumerator));
}
return(SubscriptionUtils.CreateAndScheduleWorker(request, enumerator, _factorFileProvider, true));
}
/// <summary>
/// Adds a new subscription for universe selection
/// </summary>
/// <param name="request">The subscription request</param>
private Subscription CreateUniverseSubscription(SubscriptionRequest request)
{
ISubscriptionEnumeratorFactory factory = _subscriptionFactory;
if (request.Universe is ITimeTriggeredUniverse)
{
factory = new TimeTriggeredUniverseSubscriptionEnumeratorFactory(request.Universe as ITimeTriggeredUniverse,
MarketHoursDatabase.FromDataFolder(),
_timeProvider);
if (request.Universe is UserDefinedUniverse)
{
// for user defined universe we do not use a worker task, since calls to AddData can happen in any moment
// and we have to be able to inject selection data points into the enumerator
return(SubscriptionUtils.Create(request, factory.CreateEnumerator(request, _dataProvider)));
}
}
if (request.Configuration.Type == typeof(CoarseFundamental))
{
factory = new BaseDataCollectionSubscriptionEnumeratorFactory();
}
if (request.Universe is OptionChainUniverse)
{
factory = new OptionChainUniverseSubscriptionEnumeratorFactory((req) =>
{
if (!req.Configuration.SecurityType.IsOption())
{
var enumerator = _subscriptionFactory.CreateEnumerator(req, _dataProvider);
enumerator = new FilterEnumerator <BaseData>(enumerator, data => data.DataType != MarketDataType.Auxiliary);
return(ConfigureEnumerator(req, true, enumerator));
}
var underlyingFactory = new BaseDataSubscriptionEnumeratorFactory(false, _mapFileProvider, _cacheProvider);
return(ConfigureEnumerator(req, true, underlyingFactory.CreateEnumerator(req, _dataProvider)));
});
}
if (request.Universe is FuturesChainUniverse)
{
factory = new FuturesChainUniverseSubscriptionEnumeratorFactory((req, e) => ConfigureEnumerator(req, true, e), _cacheProvider);
}
// define our data enumerator
var enumerator = factory.CreateEnumerator(request, _dataProvider);
return(SubscriptionUtils.CreateAndScheduleWorker(request, enumerator, _factorFileProvider, true));
}
private Subscription CreateDataSubscription(SubscriptionRequest request)
{
// ReSharper disable once PossibleMultipleEnumeration
if (!request.TradableDays.Any())
{
_algorithm.Error(
$"No data loaded for {request.Security.Symbol} because there were no tradeable dates for this security."
);
return(null);
}
// ReSharper disable once PossibleMultipleEnumeration
var enumerator = _subscriptionFactory.CreateEnumerator(request, _dataProvider);
enumerator = ConfigureEnumerator(request, false, enumerator);
return(SubscriptionUtils.CreateAndScheduleWorker(request, enumerator, _factorFileProvider, true));
}
/// <summary>
/// Adds a new subscription for universe selection
/// </summary>
/// <param name="request">The subscription request</param>
private Subscription CreateUniverseSubscription(SubscriptionRequest request)
{
// grab the relevant exchange hours
var config = request.Configuration;
// define our data enumerator
var enumerator = GetEnumeratorFactory(request).CreateEnumerator(request, _dataProvider);
var lowerThreshold = GetLowerThreshold(config.Resolution);
var upperThreshold = GetUpperThreshold(config.Resolution);
if (config.Type == typeof(CoarseFundamental))
{
// the lower threshold will be when we start the worker again, if he is stopped
lowerThreshold = 200;
// the upper threshold will stop the worker from loading more data. This is roughly 1 GB
upperThreshold = 500;
}
return(SubscriptionUtils.CreateAndScheduleWorker(request, enumerator, lowerThreshold, upperThreshold));
}
/// <summary>
/// Adds a new subscription for universe selection
/// </summary>
/// <param name="request">The subscription request</param>
private Subscription CreateUniverseSubscription(SubscriptionRequest request)
{
ISubscriptionEnumeratorFactory factory = _subscriptionFactory;
if (request.Universe is ITimeTriggeredUniverse)
{
factory = new TimeTriggeredUniverseSubscriptionEnumeratorFactory(request.Universe as ITimeTriggeredUniverse,
MarketHoursDatabase.FromDataFolder(),
_timeProvider);
if (request.Universe is UserDefinedUniverse)
{
// for user defined universe we do not use a worker task, since calls to AddData can happen in any moment
// and we have to be able to inject selection data points into the enumerator
return(SubscriptionUtils.Create(request, factory.CreateEnumerator(request, _dataProvider)));
}
}
if (request.Configuration.Type == typeof(CoarseFundamental))
{
factory = new BaseDataCollectionSubscriptionEnumeratorFactory();
}
if (request.Universe is OptionChainUniverse)
{
factory = new OptionChainUniverseSubscriptionEnumeratorFactory((req, e) => ConfigureEnumerator(req, true, e),
_mapFileProvider.Get(request.Security.Symbol.ID.Market), _factorFileProvider);
}
if (request.Universe is FuturesChainUniverse)
{
factory = new FuturesChainUniverseSubscriptionEnumeratorFactory((req, e) => ConfigureEnumerator(req, true, e));
}
// define our data enumerator
var enumerator = factory.CreateEnumerator(request, _dataProvider);
return(SubscriptionUtils.CreateAndScheduleWorker(request, enumerator));
}