/// <summary>
/// Gets the <see cref="CoarseFundamental"/> data for the specified market/date
/// </summary>
public static IEnumerable<CoarseFundamental> GetCoarseFundamentals(string market, DateTimeZone timeZone, DateTime date, bool isLiveMode)
{
var factory = new CoarseFundamental();
var config = new SubscriptionDataConfig(typeof(CoarseFundamental), SecurityType.Equity, new Symbol(market + "-coarse"), Resolution.Daily, market, timeZone, true, false, true, false);
var reader = new BaseDataSubscriptionFactory(config, date, isLiveMode);
var source = factory.GetSource(config, date, isLiveMode);
return reader.Read(source).OfType<CoarseFundamental>();
}
/// <summary>
/// Adds a new subscription for universe selection
/// </summary>
/// <param name="universe">The universe to add a subscription for</param>
/// <param name="startTimeUtc">The start time of the subscription in utc</param>
/// <param name="endTimeUtc">The end time of the subscription in utc</param>
public void AddUniverseSubscription(Universe universe, DateTime startTimeUtc, DateTime endTimeUtc)
{
// TODO : Consider moving the creating of universe subscriptions to a separate, testable class
// grab the relevant exchange hours
var config = universe.Configuration;
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var exchangeHours = marketHoursDatabase.GetExchangeHours(config);
// create a canonical security object
var security = new Security(exchangeHours, config);
var localStartTime = startTimeUtc.ConvertFromUtc(security.Exchange.TimeZone);
var localEndTime = endTimeUtc.ConvertFromUtc(security.Exchange.TimeZone);
// define our data enumerator
IEnumerator<BaseData> enumerator;
var tradeableDates = Time.EachTradeableDay(security, localStartTime, localEndTime);
var userDefined = universe as UserDefinedUniverse;
if (userDefined != null)
{
// spoof a tick on the requested interval to trigger the universe selection function
enumerator = userDefined.GetTriggerTimes(startTimeUtc, endTimeUtc, marketHoursDatabase)
.Select(x => new Tick { Time = x, Symbol = config.Symbol }).GetEnumerator();
// route these custom subscriptions through the exchange for buffering
var enqueueable = new EnqueueableEnumerator<BaseData>(true);
// add this enumerator to our exchange
ScheduleEnumerator(enumerator, enqueueable, GetLowerThreshold(config.Resolution), GetUpperThreshold(config.Resolution));
enumerator = enqueueable;
}
else if (config.Type == typeof (CoarseFundamental))
{
var cf = new CoarseFundamental();
var enqueueable = new EnqueueableEnumerator<BaseData>(true);
// load coarse data day by day
var coarse = from date in Time.EachTradeableDay(security, _algorithm.StartDate, _algorithm.EndDate)
let dateInDataTimeZone = date.ConvertTo(config.ExchangeTimeZone, config.DataTimeZone).Date
let factory = new BaseDataSubscriptionFactory(config, dateInDataTimeZone, false)
let source = cf.GetSource(config, dateInDataTimeZone, false)
let coarseFundamentalForDate = factory.Read(source)
select new BaseDataCollection(date, config.Symbol, coarseFundamentalForDate);
ScheduleEnumerator(coarse.GetEnumerator(), enqueueable, 5, 100000, 2);
enumerator = enqueueable;
}
else
{
// normal reader for all others
enumerator = new SubscriptionDataReader(config, localStartTime, localEndTime, _resultHandler, MapFileResolver.Empty, _factorFileProvider, tradeableDates, false);
// route these custom subscriptions through the exchange for buffering
var enqueueable = new EnqueueableEnumerator<BaseData>(true);
// add this enumerator to our exchange
ScheduleEnumerator(enumerator, enqueueable, GetLowerThreshold(config.Resolution), GetUpperThreshold(config.Resolution));
enumerator = enqueueable;
}
// create the subscription
var timeZoneOffsetProvider = new TimeZoneOffsetProvider(security.Exchange.TimeZone, startTimeUtc, endTimeUtc);
var subscription = new Subscription(universe, security, enumerator, timeZoneOffsetProvider, startTimeUtc, endTimeUtc, true);
_subscriptions.AddOrUpdate(subscription.Security.Symbol, subscription);
}