public void LeanData_CanDetermineTheCorrectCommonDataTypes()
{
Assert.IsTrue(LeanData.IsCommonLeanDataType(typeof(OpenInterest)));
Assert.IsTrue(LeanData.IsCommonLeanDataType(typeof(TradeBar)));
Assert.IsTrue(LeanData.IsCommonLeanDataType(typeof(QuoteBar)));
Assert.IsFalse(LeanData.IsCommonLeanDataType(typeof(Bitcoin)));
}
/// <summary>
/// Creates a new history request
/// </summary>
/// <param name="subscription">The config </param>
/// <param name="startAlgoTz">History request start time in algorithm time zone</param>
/// <param name="endAlgoTz">History request end time in algorithm time zone</param>
/// <param name="exchangeHours">Security exchange hours</param>
/// <param name="resolution">The resolution to use. If null will use <see cref="SubscriptionDataConfig.Resolution"/></param>
/// <returns>The new <see cref="HistoryRequest"/></returns>
public HistoryRequest CreateHistoryRequest(SubscriptionDataConfig subscription,
DateTime startAlgoTz,
DateTime endAlgoTz,
SecurityExchangeHours exchangeHours,
Resolution?resolution)
{
resolution ??= subscription.Resolution;
var dataType = subscription.Type;
// if we change resolution the data type can change, for example subscription being Tick type and resolution daily
// data type here won't be Tick anymore, but TradeBar/QuoteBar
if (resolution.Value != subscription.Resolution && LeanData.IsCommonLeanDataType(dataType))
{
dataType = LeanData.GetDataType(resolution.Value, subscription.TickType);
}
var request = new HistoryRequest(subscription,
exchangeHours,
startAlgoTz.ConvertToUtc(_algorithm.TimeZone),
endAlgoTz.ConvertToUtc(_algorithm.TimeZone))
{
DataType = dataType,
Resolution = resolution.Value,
FillForwardResolution = subscription.FillDataForward ? resolution : null,
TickType = subscription.TickType
};
return(request);
}
/// <summary>
/// Checks if the subscription is valid for the consolidator
/// </summary>
/// <param name="subscription">The subscription configuration</param>
/// <param name="consolidator">The consolidator</param>
/// <returns>true if the subscription is valid for the consolidator</returns>
public static bool IsSubscriptionValidForConsolidator(SubscriptionDataConfig subscription, IDataConsolidator consolidator)
{
if (subscription.Type == typeof(Tick) &&
LeanData.IsCommonLeanDataType(consolidator.OutputType))
{
var tickType = LeanData.GetCommonTickTypeForCommonDataTypes(
consolidator.OutputType,
subscription.Symbol.SecurityType);
return(subscription.TickType == tickType);
}
return(consolidator.InputType.IsAssignableFrom(subscription.Type));
}
/// <summary>
/// Will determine if price scaling should be used for this subscription configuration
/// </summary>
/// <param name="config">The subscription data configuration we are processing</param>
/// <remarks>One of the objectives of this method is to normalize the 'use price scale'
/// check and void code duplication and related issues</remarks>
/// <param name="liveMode">True, is this is a live mode data stream</param>
/// <returns>True if ticker prices should be scaled</returns>
public static bool PricesShouldBeScaled(this SubscriptionDataConfig config, bool liveMode = false)
{
if (config.IsCustomData || config.Symbol.Value.Contains("UNIVERSE"))
{
return(false);
}
if (config.SecurityType == SecurityType.Equity && !liveMode)
{
return(true);
}
if (config.SecurityType == SecurityType.Future && config.Symbol.IsCanonical())
{
return(LeanData.IsCommonLeanDataType(config.Type));
}
return(false);
}