/********************************************************
* CLASS CONSTRUCTOR
*********************************************************/
/// <summary>
/// Subscription data reader takes a subscription request, loads the type, accepts the data source and enumerate on the results.
/// </summary>
/// <param name="config">Subscription configuration object</param>
/// <param name="security">Security asset</param>
/// <param name="feed">Feed type enum</param>
/// <param name="periodStart">Start date for the data request/backtest</param>
/// <param name="periodFinish">Finish date for the data request/backtest</param>
public SubscriptionDataReader(SubscriptionDataConfig config, Security security, DataFeedEndpoint feed, DateTime periodStart, DateTime periodFinish)
{
//Save configuration of data-subscription:
_config = config;
//Save access to fill foward flag:
_isFillForward = config.FillDataForward;
//Save Start and End Dates:
_periodStart = periodStart;
_periodFinish = periodFinish;
//Save access to securities
_security = security;
_isQCData = security.IsQuantConnectData;
_isQCEquity = (security.Type == SecurityType.Equity) && _isQCData;
//Set QC Type Flags:
IsQCTick = (config.Type.Name == "Tick" && _isQCData);
IsQCTradeBar = (config.Type.Name == "TradeBar" && _isQCData);
//Save the type of data we'll be getting from the source.
_feedEndpoint = feed;
//Create the dynamic type-activators:
_objectActivator = Loader.GetActivator(config.Type);
if (_objectActivator == null)
{
Engine.ResultHandler.ErrorMessage("Custom data type '" + config.Type.Name + "' missing parameterless constructor E.g. public " + config.Type.Name + "() { }");
_endOfStream = true;
return;
}
//Create an instance of the "Type":
var userObj = _objectActivator.Invoke(new object[] { });
_dataFactory = userObj as BaseData;
//Save Access to the "Reader" Method:
_readerMethod = _dataFactory.GetType().GetMethod("Reader", new[] { typeof(SubscriptionDataConfig), typeof(string), typeof(DateTime), typeof(DataFeedEndpoint) });
//Create a Delagate Accessor.
_readerMethodInvoker = _readerMethod.DelegateForCallMethod();
//Save access to the "GetSource" Method:
_getSourceMethod = _dataFactory.GetType().GetMethod("GetSource", new[] { typeof(SubscriptionDataConfig), typeof(DateTime), typeof(DataFeedEndpoint) });
//Load the entire factor and symbol mapping tables into memory
try
{
if (_isQCEquity)
{
_priceFactors = SubscriptionAdjustment.GetFactorTable(config.Symbol);
_symbolMap = SubscriptionAdjustment.GetMapTable(config.Symbol);
}
}
catch (Exception err)
{
Log.Error("SubscriptionDataReader(): Fetching Price/Map Factors: " + err.Message);
_priceFactors = new SortedDictionary <DateTime, decimal>();
_symbolMap = new SortedDictionary <DateTime, string>();
}
}
/********************************************************
* CLASS CONSTRUCTOR
*********************************************************/
/// <summary>
/// Subscription data reader takes a subscription request, loads the type, accepts the data source and enumerate on the results.
/// </summary>
/// <param name="config">Subscription configuration object</param>
/// <param name="security">Security asset</param>
/// <param name="feed">Feed type enum</param>
/// <param name="periodStart">Start date for the data request/backtest</param>
/// <param name="periodFinish">Finish date for the data request/backtest</param>
public SubscriptionDataReader(SubscriptionDataConfig config, Security security, DataFeedEndpoint feed, DateTime periodStart, DateTime periodFinish)
{
//Save configuration of data-subscription:
_config = config;
//Save access to fill foward flag:
_isFillForward = config.FillDataForward;
//Save Start and End Dates:
_periodStart = periodStart;
_periodFinish = periodFinish;
//Save access to securities
_security = security;
_isDynamicallyLoadedData = security.IsDynamicallyLoadedData;
// do we have factor tables?
_hasScaleFactors = SubscriptionAdjustment.HasScalingFactors(config.Symbol);
//Save the type of data we'll be getting from the source.
_feedEndpoint = feed;
//Create the dynamic type-activators:
_objectActivator = ObjectActivator.GetActivator(config.Type);
if (_objectActivator == null)
{
Engine.ResultHandler.ErrorMessage("Custom data type '" + config.Type.Name + "' missing parameterless constructor E.g. public " + config.Type.Name + "() { }");
_endOfStream = true;
return;
}
//Create an instance of the "Type":
var userObj = _objectActivator.Invoke(new object[] { });
_dataFactory = userObj as BaseData;
//If its quandl set the access token in data factory:
var quandl = _dataFactory as Quandl;
if (quandl != null)
{
quandl.SetAuthCode(Config.Get("quandl-auth-token"));
}
//Load the entire factor and symbol mapping tables into memory
try
{
if (_hasScaleFactors)
{
_priceFactors = SubscriptionAdjustment.GetFactorTable(config.Symbol);
_symbolMap = SubscriptionAdjustment.GetMapTable(config.Symbol);
}
}
catch (Exception err)
{
Log.Error("SubscriptionDataReader(): Fetching Price/Map Factors: " + err.Message);
_priceFactors = new SortedDictionary <DateTime, decimal>();
_symbolMap = new SortedDictionary <DateTime, string>();
}
}