private void AddSubscriptionForUniverseSelectionMarket(string market)
{
var exchangeHours = SecurityExchangeHoursProvider.FromDataFolder().GetExchangeHours(market, null, SecurityType.Equity);
var symbolName = market + "-market";
var subscriptionDataConfig = new SubscriptionDataConfig(typeof(CoarseFundamental), SecurityType.Equity, symbolName, Resolution.Daily, market, exchangeHours.TimeZone,
true, false, true);
var security = new Security(exchangeHours, subscriptionDataConfig, 1);
var cf = new CoarseFundamental();
var list = new List <BaseData>();
foreach (var date in Time.EachTradeableDay(security, _algorithm.StartDate, _algorithm.EndDate))
{
var factory = new BaseDataSubscriptionFactory(subscriptionDataConfig, date, false);
var source = cf.GetSource(subscriptionDataConfig, date, false);
var coarseFundamentalForDate = factory.Read(source);
list.AddRange(coarseFundamentalForDate);
}
// spoof a subscription for the market that emits at midnight of each tradeable day
var subscription = new Subscription(security,
list.GetEnumerator(),
_algorithm.StartDate.ConvertToUtc(exchangeHours.TimeZone),
_algorithm.EndDate.ConvertToUtc(exchangeHours.TimeZone),
false,
true
);
// let user know if we fail to load the universe subscription, very important for when understanding backtest results!
PrimeSubscriptionPump(subscription, true);
_subscriptions.AddOrUpdate(new SymbolSecurityType(subscription), subscription);
}
/// <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>
/// 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>());
}
private ISubscriptionFactory HandleCsvFileFormat(SubscriptionDataSource source)
{
// convert the date to the data time zone
var dateInDataTimeZone = _tradeableDates.Current.ConvertTo(_config.ExchangeTimeZone, _config.DataTimeZone).Date;
var factory = new BaseDataSubscriptionFactory(_config, dateInDataTimeZone, _isLiveMode);
// handle missing files
factory.InvalidSource += (sender, args) =>
{
switch (args.Source.TransportMedium)
{
case SubscriptionTransportMedium.LocalFile:
// the local uri doesn't exist, write an error and return null so we we don't try to get data for today
Log.Trace(string.Format("SubscriptionDataReader.GetReader(): Could not find QC Data, skipped: {0}", source));
_resultHandler.SamplePerformance(_tradeableDates.Current, 0);
break;
case SubscriptionTransportMedium.RemoteFile:
_resultHandler.ErrorMessage(string.Format("Error downloading custom data source file, skipped: {0} Error: {1}", source, args.Exception.Message), args.Exception.StackTrace);
_resultHandler.SamplePerformance(_tradeableDates.Current.Date, 0);
break;
case SubscriptionTransportMedium.Rest:
break;
default:
throw new ArgumentOutOfRangeException();
}
};
// handle empty files/instantiation errors
factory.CreateStreamReaderError += (sender, args) =>
{
Log.Error(string.Format("Failed to get StreamReader for data source({0}), symbol({1}). Skipping date({2}). Reader is null.", args.Source.Source, _mappedSymbol, args.Date.ToShortDateString()));
if (_config.IsCustomData)
{
_resultHandler.ErrorMessage(string.Format("We could not fetch the requested data. This may not be valid data, or a failed download of custom data. Skipping source ({0}).", args.Source.Source));
}
};
// handle parser errors
factory.ReaderError += (sender, args) =>
{
_resultHandler.RuntimeError(string.Format("Error invoking {0} data reader. Line: {1} Error: {2}", _config.Symbol, args.Line, args.Exception.Message), args.Exception.StackTrace);
};
return(factory);
}
/// <summary>
/// Creates 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>
protected virtual Subscription CreateUniverseSubscription(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 localStartTime = startTimeUtc.ConvertFromUtc(config.TimeZone);
var localEndTime = endTimeUtc.ConvertFromUtc(config.TimeZone);
var exchangeHours = SecurityExchangeHoursProvider.FromDataFolder().GetExchangeHours(config);
// create a canonical security object
var security = new Security(exchangeHours, config, universe.SubscriptionSettings.Leverage);
IEnumerator <BaseData> enumerator;
var userDefined = universe as UserDefinedUniverse;
if (userDefined != null)
{
// spoof a tick on the requested interval to trigger the universe selection function
enumerator = LinqExtensions.Range(localStartTime, localEndTime, dt => dt + userDefined.Interval)
.Where(dt => security.Exchange.IsOpenDuringBar(dt, dt + userDefined.Interval, config.ExtendedMarketHours))
.Select(dt => new Tick {
Time = dt
}).GetEnumerator();
}
else if (config.Type == typeof(CoarseFundamental))
{
// 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 Dictionary <SecurityType, List <string> >
{
{ config.SecurityType, new List <string> {
config.Symbol
} }
});
var enqueable = new EnqueableEnumerator <BaseData>();
_exchange.SetHandler(config.Symbol, data =>
{
var universeData = data as BaseDataCollection;
if (universeData != null)
{
enqueable.EnqueueRange(universeData.Data);
}
});
enumerator = enqueable;
}
else
{
// each time we exhaust we'll new up this enumerator stack
var refresher = new RefreshEnumerator <BaseDataCollection>(() =>
{
var sourceProvider = (BaseData)Activator.CreateInstance(config.Type);
var currentLocalDate = DateTime.UtcNow.ConvertFromUtc(config.TimeZone).Date;
var factory = new BaseDataSubscriptionFactory(config, currentLocalDate, true);
var source = sourceProvider.GetSource(config, currentLocalDate, true);
var factorEnumerator = factory.Read(source).GetEnumerator();
var fastForward = new FastForwardEnumerator(factorEnumerator, _timeProvider, config.TimeZone, config.Increment);
var timeZoneOffsetProvider = new TimeZoneOffsetProvider(config.TimeZone, startTimeUtc, endTimeUtc);
var frontierAware = new FrontierAwareEnumerator(fastForward, _frontierTimeProvider, timeZoneOffsetProvider);
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));
_customExchange.AddEnumerator(rateLimit);
var enqueable = new EnqueableEnumerator <BaseData>();
_customExchange.SetHandler(config.Symbol, data =>
{
var universeData = data as BaseDataCollection;
if (universeData != null)
{
enqueable.EnqueueRange(universeData.Data);
}
else
{
enqueable.Enqueue(data);
}
});
enumerator = enqueable;
}
// create the subscription
var subscription = new Subscription(universe, security, enumerator, new TimeZoneOffsetProvider(security.SubscriptionDataConfig.TimeZone, startTimeUtc, endTimeUtc), startTimeUtc, endTimeUtc, true);
return(subscription);
}
/// <summary>
/// Creates a new subscription for the specified security
/// </summary>
/// <param name="universe"></param>
/// <param name="security">The security to create a subscription for</param>
/// <param name="utcStartTime">The start time of the subscription in UTC</param>
/// <param name="utcEndTime">The end time of the subscription in UTC</param>
/// <returns>A new subscription instance of the specified security</returns>
protected Subscription CreateSubscription(Universe universe, Security security, DateTime utcStartTime, DateTime utcEndTime)
{
Subscription subscription = null;
try
{
var config = security.SubscriptionDataConfig;
var localStartTime = utcStartTime.ConvertFromUtc(config.TimeZone);
var localEndTime = utcEndTime.ConvertFromUtc(config.TimeZone);
var timeZoneOffsetProvider = new TimeZoneOffsetProvider(security.SubscriptionDataConfig.TimeZone, utcStartTime, utcEndTime);
IEnumerator <BaseData> enumerator;
if (config.IsCustomData)
{
// each time we exhaust we'll new up this enumerator stack
var refresher = new RefreshEnumerator <BaseData>(() =>
{
var sourceProvider = (BaseData)Activator.CreateInstance(config.Type);
var currentLocalDate = DateTime.UtcNow.ConvertFromUtc(config.TimeZone).Date;
var factory = new BaseDataSubscriptionFactory(config, currentLocalDate, true);
var source = sourceProvider.GetSource(config, currentLocalDate, true);
var factoryReadEnumerator = factory.Read(source).GetEnumerator();
var maximumDataAge = TimeSpan.FromTicks(Math.Max(config.Increment.Ticks, TimeSpan.FromSeconds(5).Ticks));
var fastForward = new FastForwardEnumerator(factoryReadEnumerator, _timeProvider, config.TimeZone, maximumDataAge);
return(new FrontierAwareEnumerator(fastForward, _timeProvider, timeZoneOffsetProvider));
});
// 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));
_customExchange.AddEnumerator(rateLimit);
var enqueable = new EnqueableEnumerator <BaseData>();
_customExchange.SetHandler(config.Symbol, data =>
{
enqueable.Enqueue(data);
if (subscription != null)
{
subscription.RealtimePrice = data.Value;
}
});
enumerator = enqueable;
}
else if (config.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
var aggregator = new TradeBarBuilderEnumerator(config.Increment, config.TimeZone, _timeProvider);
_exchange.SetHandler(config.Symbol, data =>
{
aggregator.ProcessData((Tick)data);
if (subscription != null)
{
subscription.RealtimePrice = data.Value;
}
});
enumerator = aggregator;
}
else
{
// tick subscriptions can pass right through
var tickEnumerator = new EnqueableEnumerator <BaseData>();
_exchange.SetHandler(config.Symbol, data =>
{
tickEnumerator.Enqueue(data);
if (subscription != null)
{
subscription.RealtimePrice = data.Value;
}
});
enumerator = tickEnumerator;
}
if (config.FillDataForward)
{
// TODO : Properly resolve fill forward resolution like in FileSystemDataFeed (make considerations for universe-only)
enumerator = new LiveFillForwardEnumerator(_frontierTimeProvider, enumerator, security.Exchange, _fillForwardResolution, config.ExtendedMarketHours, localEndTime, config.Increment);
}
// define market hours and user filters to incoming data
enumerator = new SubscriptionFilterEnumerator(enumerator, security, localEndTime);
// finally, make our subscriptions aware of the frontier of the data feed, this will help
enumerator = new FrontierAwareEnumerator(enumerator, _frontierTimeProvider, timeZoneOffsetProvider);
subscription = new Subscription(universe, security, enumerator, timeZoneOffsetProvider, utcStartTime, utcEndTime, false);
}
catch (Exception err)
{
Log.Error(err);
}
return(subscription);
}
/// <summary>
/// Creates 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>
protected virtual Subscription CreateUniverseSubscription(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 exchangeHours = MarketHoursDatabase.FromDataFolder().GetExchangeHours(universe.Market, config.Symbol, universe.SecurityType);
var localStartTime = startTimeUtc.ConvertFromUtc(exchangeHours.TimeZone);
var localEndTime = endTimeUtc.ConvertFromUtc(exchangeHours.TimeZone);
// create a canonical security object
var security = new Security(exchangeHours, config, universe.SubscriptionSettings.Leverage);
IEnumerator<BaseData> enumerator;
var userDefined = universe as UserDefinedUniverse;
if (userDefined != null)
{
// spoof a tick on the requested interval to trigger the universe selection function
enumerator = LinqExtensions.Range(localStartTime, localEndTime, dt => dt + userDefined.Interval)
.Where(dt => security.Exchange.IsOpenDuringBar(dt, dt + userDefined.Interval, config.ExtendedMarketHours))
.Select(dt => new Tick { Time = dt }).GetEnumerator();
}
else if (config.Type == typeof (CoarseFundamental))
{
// 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 Dictionary<SecurityType, List<Symbol>>
{
{config.SecurityType, new List<Symbol>{config.Symbol}}
});
var enqueable = new EnqueableEnumerator<BaseData>();
_exchange.SetHandler(config.Symbol, data =>
{
var universeData = data as BaseDataCollection;
if (universeData != null)
{
enqueable.EnqueueRange(universeData.Data);
}
});
enumerator = enqueable;
}
else
{
// each time we exhaust we'll new up this enumerator stack
var refresher = new RefreshEnumerator<BaseDataCollection>(() =>
{
var sourceProvider = (BaseData)Activator.CreateInstance(config.Type);
var currentLocalDate = DateTime.UtcNow.ConvertFromUtc(security.Exchange.TimeZone).Date;
var factory = new BaseDataSubscriptionFactory(config, currentLocalDate, true);
var source = sourceProvider.GetSource(config, currentLocalDate, true);
var factorEnumerator = factory.Read(source).GetEnumerator();
var fastForward = new FastForwardEnumerator(factorEnumerator, _timeProvider, security.Exchange.TimeZone, config.Increment);
var tzOffsetProvider = new TimeZoneOffsetProvider(security.Exchange.TimeZone, startTimeUtc, endTimeUtc);
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));
_customExchange.AddEnumerator(rateLimit);
var enqueable = new EnqueableEnumerator<BaseData>();
_customExchange.SetHandler(config.Symbol, data =>
{
var universeData = data as BaseDataCollection;
if (universeData != null)
{
enqueable.EnqueueRange(universeData.Data);
}
else
{
enqueable.Enqueue(data);
}
});
enumerator = enqueable;
}
// create the subscription
var timeZoneOffsetProvider = new TimeZoneOffsetProvider(security.Exchange.TimeZone, startTimeUtc, endTimeUtc);
var subscription = new Subscription(universe, security, enumerator, timeZoneOffsetProvider, startTimeUtc, endTimeUtc, true);
return subscription;
}
/// <summary>
/// Creates a new subscription for the specified security
/// </summary>
/// <param name="universe"></param>
/// <param name="security">The security to create a subscription for</param>
/// <param name="utcStartTime">The start time of the subscription in UTC</param>
/// <param name="utcEndTime">The end time of the subscription in UTC</param>
/// <returns>A new subscription instance of the specified security</returns>
protected Subscription CreateSubscription(Universe universe, Security security, DateTime utcStartTime, DateTime utcEndTime)
{
Subscription subscription = null;
try
{
var config = security.SubscriptionDataConfig;
var localEndTime = utcEndTime.ConvertFromUtc(security.Exchange.TimeZone);
var timeZoneOffsetProvider = new TimeZoneOffsetProvider(security.Exchange.TimeZone, utcStartTime, utcEndTime);
IEnumerator<BaseData> enumerator;
if (config.IsCustomData)
{
// each time we exhaust we'll new up this enumerator stack
var refresher = new RefreshEnumerator<BaseData>(() =>
{
var sourceProvider = (BaseData)Activator.CreateInstance(config.Type);
var currentLocalDate = DateTime.UtcNow.ConvertFromUtc(security.Exchange.TimeZone).Date;
var factory = new BaseDataSubscriptionFactory(config, currentLocalDate, true);
var source = sourceProvider.GetSource(config, currentLocalDate, true);
var factoryReadEnumerator = factory.Read(source).GetEnumerator();
var maximumDataAge = TimeSpan.FromTicks(Math.Max(config.Increment.Ticks, TimeSpan.FromSeconds(5).Ticks));
var fastForward = new FastForwardEnumerator(factoryReadEnumerator, _timeProvider, security.Exchange.TimeZone, maximumDataAge);
return new FrontierAwareEnumerator(fastForward, _timeProvider, timeZoneOffsetProvider);
});
// 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));
_customExchange.AddEnumerator(rateLimit);
var enqueable = new EnqueableEnumerator<BaseData>();
_customExchange.SetHandler(config.Symbol, data =>
{
enqueable.Enqueue(data);
if (subscription != null) subscription.RealtimePrice = data.Value;
});
enumerator = enqueable;
}
else if (config.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
var aggregator = new TradeBarBuilderEnumerator(config.Increment, security.Exchange.TimeZone, _timeProvider);
_exchange.SetHandler(config.Symbol, data =>
{
aggregator.ProcessData((Tick) data);
if (subscription != null) subscription.RealtimePrice = data.Value;
});
enumerator = aggregator;
}
else
{
// tick subscriptions can pass right through
var tickEnumerator = new EnqueableEnumerator<BaseData>();
_exchange.SetHandler(config.Symbol, data =>
{
tickEnumerator.Enqueue(data);
if (subscription != null) subscription.RealtimePrice = data.Value;
});
enumerator = tickEnumerator;
}
if (config.FillDataForward)
{
// TODO : Properly resolve fill forward resolution like in FileSystemDataFeed (make considerations for universe-only)
enumerator = new LiveFillForwardEnumerator(_frontierTimeProvider, enumerator, security.Exchange, _fillForwardResolution, config.ExtendedMarketHours, localEndTime, config.Increment);
}
// define market hours and user filters to incoming data
enumerator = new SubscriptionFilterEnumerator(enumerator, security, localEndTime);
// finally, make our subscriptions aware of the frontier of the data feed, this will help
enumerator = new FrontierAwareEnumerator(enumerator, _frontierTimeProvider, timeZoneOffsetProvider);
subscription = new Subscription(universe, security, enumerator, timeZoneOffsetProvider, utcStartTime, utcEndTime, false);
}
catch (Exception err)
{
Log.Error(err);
}
return subscription;
}
private void AddSubscriptionForUniverseSelectionMarket(string market)
{
var exchangeHours = SecurityExchangeHoursProvider.FromDataFolder().GetExchangeHours(market, null, SecurityType.Equity);
var symbolName = new Symbol(market + "-coarse");
var subscriptionDataConfig = new SubscriptionDataConfig(typeof (CoarseFundamental), SecurityType.Equity, symbolName, Resolution.Daily, market, exchangeHours.TimeZone,
true, false, true);
var security = new Security(exchangeHours, subscriptionDataConfig, 1);
var cf = new CoarseFundamental();
var list = new List<BaseData>();
foreach (var date in Time.EachTradeableDay(security, _algorithm.StartDate, _algorithm.EndDate))
{
var factory = new BaseDataSubscriptionFactory(subscriptionDataConfig, date, false);
var source = cf.GetSource(subscriptionDataConfig, date, false);
var coarseFundamentalForDate = factory.Read(source);
list.AddRange(coarseFundamentalForDate);
}
// spoof a subscription for the market that emits at midnight of each tradeable day
var subscription = new Subscription(security,
list.GetEnumerator(),
_algorithm.StartDate.ConvertToUtc(exchangeHours.TimeZone),
_algorithm.EndDate.ConvertToUtc(exchangeHours.TimeZone),
false,
true
);
// let user know if we fail to load the universe subscription, very important for when understanding backtest results!
PrimeSubscriptionPump(subscription, true);
_subscriptions.AddOrUpdate(new SymbolSecurityType(subscription), subscription);
}
/// <summary>
/// Creates 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>
protected virtual Subscription CreateUniverseSubscription(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 tzOffsetProvider = new TimeZoneOffsetProvider(security.Exchange.TimeZone, startTimeUtc, endTimeUtc);
IEnumerator<BaseData> enumerator;
var userDefined = 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
enumerator = userDefined.GetTriggerTimes(startTimeUtc, endTimeUtc, marketHoursDatabase)
.Select(dt => new Tick { Time = dt }).GetEnumerator();
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.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[] {security.Symbol});
var enqueable = new EnqueueableEnumerator<BaseData>();
_exchange.SetDataHandler(config.Symbol, data =>
{
enqueable.Enqueue(data);
});
enumerator = enqueable;
}
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 factory = new BaseDataSubscriptionFactory(config, dateInDataTimeZone, true);
var source = sourceProvider.GetSource(config, dateInDataTimeZone, true);
var factorEnumerator = factory.Read(source).GetEnumerator();
var fastForward = new FastForwardEnumerator(factorEnumerator, _timeProvider, 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(universe, security, enumerator, tzOffsetProvider, startTimeUtc, endTimeUtc, true);
return subscription;
}
private void AddSubscriptionForUniverseSelectionMarket(string market)
{
var usaMarket = SecurityExchangeHoursProvider.FromDataFolder().GetExchangeHours(market, null, SecurityType.Equity);
var symbolName = market + "-market";
var usaConfig = new SubscriptionDataConfig(typeof (CoarseFundamental), SecurityType.Equity, symbolName, Resolution.Daily, market, usaMarket.TimeZone,
true, false, false, false, true);
var usaMarketSecurity = new Security(usaMarket, usaConfig, 1);
var cf = new CoarseFundamental();
var list = new List<BaseData>();
foreach (var date in Time.EachTradeableDay(usaMarketSecurity, _algorithm.StartDate, _algorithm.EndDate))
{
var factory = new BaseDataSubscriptionFactory(usaConfig, date, false);
var source = cf.GetSource(usaConfig, date, false);
var coarseFundamentalForDate = factory.Read(source);
list.AddRange(coarseFundamentalForDate);
}
// spoof a subscription for the USA market that emits at midnight of each tradeable day
var usaMarketSubscription = new Subscription(usaMarketSecurity,
list.GetEnumerator(),
_algorithm.StartDate.ConvertToUtc(usaMarket.TimeZone),
_algorithm.EndDate.ConvertToUtc(usaMarket.TimeZone),
false,
true
);
// prime the pump
usaMarketSubscription.MoveNext();
_subscriptions.AddOrUpdate(new SymbolSecurityType(usaMarketSubscription), usaMarketSubscription);
}
/// <summary>
/// Creates 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>
protected virtual Subscription CreateUniverseSubscription(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, _algorithm.Portfolio.CashBook[CashBook.AccountCurrency], SymbolProperties.GetDefault(CashBook.AccountCurrency));
var tzOffsetProvider = new TimeZoneOffsetProvider(security.Exchange.TimeZone, startTimeUtc, endTimeUtc);
IEnumerator <BaseData> enumerator;
var userDefined = 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
enumerator = userDefined.GetTriggerTimes(startTimeUtc, endTimeUtc, marketHoursDatabase)
.Select(dt => new Tick {
Time = dt
}).GetEnumerator();
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.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[] { security.Symbol });
var enqueable = new EnqueueableEnumerator <BaseData>();
_exchange.SetDataHandler(config.Symbol, data =>
{
enqueable.Enqueue(data);
});
enumerator = enqueable;
}
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 factory = new BaseDataSubscriptionFactory(config, dateInDataTimeZone, true);
var source = sourceProvider.GetSource(config, dateInDataTimeZone, true);
var factorEnumerator = factory.Read(source).GetEnumerator();
var fastForward = new FastForwardEnumerator(factorEnumerator, _timeProvider, 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(universe, security, enumerator, tzOffsetProvider, startTimeUtc, endTimeUtc, true);
return(subscription);
}
