public void EmitsDelistingEventsBasedOnCurrentTime()
{
var config = new SubscriptionDataConfig(typeof(TradeBar),
Symbols.SPY_C_192_Feb19_2016,
Resolution.Daily,
TimeZones.NewYork,
TimeZones.NewYork,
true,
true,
false);
var delistingDate = config.Symbol.GetDelistingDate();
var time = delistingDate.AddDays(-10);
var cache = new SecurityCache();
cache.AddData(new Tick(DateTime.UtcNow, config.Symbol, 20, 10));
var timeProvider = new ManualTimeProvider(time);
IEnumerator <BaseData> enumerator;
Assert.IsTrue(LiveDelistingEventProviderEnumerator.TryCreate(config, timeProvider, null, cache, new LocalDiskMapFileProvider(), out enumerator));
Assert.IsFalse(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
// advance until delisting date, take into account 5 hour offset of NY
timeProvider.Advance(TimeSpan.FromDays(10));
timeProvider.Advance(TimeSpan.FromHours(5));
Assert.IsTrue(enumerator.MoveNext());
Assert.AreEqual(DelistingType.Warning, (enumerator.Current as Delisting).Type);
Assert.AreEqual(config.Symbol, (enumerator.Current as Delisting).Symbol);
Assert.AreEqual(delistingDate, (enumerator.Current as Delisting).Time);
Assert.AreEqual(15, (enumerator.Current as Delisting).Price);
Assert.IsFalse(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
// when the day ends the delisted event will pass through
timeProvider.Advance(TimeSpan.FromDays(1));
cache.AddData(new Tick(DateTime.UtcNow, config.Symbol, 40, 20));
Assert.IsTrue(enumerator.MoveNext());
Assert.AreEqual(DelistingType.Delisted, (enumerator.Current as Delisting).Type);
Assert.AreEqual(config.Symbol, (enumerator.Current as Delisting).Symbol);
Assert.AreEqual(delistingDate.AddDays(1), (enumerator.Current as Delisting).Time);
Assert.AreEqual(30, (enumerator.Current as Delisting).Price);
Assert.IsFalse(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
}
/// <summary>
/// Creates a new subscription for the specified security
/// </summary>
/// <param name="request">The subscription request</param>
/// <returns>A new subscription instance of the specified security</returns>
protected Subscription CreateDataSubscription(SubscriptionRequest request)
{
Subscription subscription = null;
try
{
var localEndTime = request.EndTimeUtc.ConvertFromUtc(request.Security.Exchange.TimeZone);
var timeZoneOffsetProvider = new TimeZoneOffsetProvider(request.Security.Exchange.TimeZone, request.StartTimeUtc, request.EndTimeUtc);
IEnumerator <BaseData> enumerator;
if (!_channelProvider.ShouldStreamSubscription(request.Configuration))
{
if (!Quandl.IsAuthCodeSet)
{
// we're not using the SubscriptionDataReader, so be sure to set the auth token here
Quandl.SetAuthCode(Config.Get("quandl-auth-token"));
}
if (!Tiingo.IsAuthCodeSet)
{
// we're not using the SubscriptionDataReader, so be sure to set the auth token here
Tiingo.SetAuthCode(Config.Get("tiingo-auth-token"));
}
var factory = new LiveCustomDataSubscriptionEnumeratorFactory(_timeProvider);
var enumeratorStack = factory.CreateEnumerator(request, _dataProvider);
_customExchange.AddEnumerator(request.Configuration.Symbol, enumeratorStack);
var enqueable = new EnqueueableEnumerator <BaseData>();
_customExchange.SetDataHandler(request.Configuration.Symbol, data =>
{
enqueable.Enqueue(data);
subscription.OnNewDataAvailable();
});
enumerator = enqueable;
}
else
{
EventHandler handler = (sender, args) => subscription?.OnNewDataAvailable();
enumerator = _dataQueueHandler.Subscribe(request.Configuration, handler);
var securityType = request.Configuration.SecurityType;
var auxEnumerators = new List <IEnumerator <BaseData> >();
if (securityType == SecurityType.Equity)
{
auxEnumerators.Add(_dataQueueHandler.Subscribe(new SubscriptionDataConfig(request.Configuration, typeof(Dividend)), handler));
auxEnumerators.Add(_dataQueueHandler.Subscribe(new SubscriptionDataConfig(request.Configuration, typeof(Split)), handler));
}
IEnumerator <BaseData> delistingEnumerator;
if (LiveDelistingEventProviderEnumerator.TryCreate(request.Configuration, _timeProvider, _dataQueueHandler, request.Security.Cache, _mapFileProvider, out delistingEnumerator))
{
auxEnumerators.Add(delistingEnumerator);
}
if (auxEnumerators.Count > 0)
{
enumerator = new LiveAuxiliaryDataSynchronizingEnumerator(_timeProvider, request.Configuration.ExchangeTimeZone, enumerator, auxEnumerators.ToArray());
}
}
if (request.Configuration.FillDataForward)
{
var fillForwardResolution = _subscriptions.UpdateAndGetFillForwardResolution(request.Configuration);
enumerator = new LiveFillForwardEnumerator(_frontierTimeProvider, enumerator, request.Security.Exchange, fillForwardResolution, request.Configuration.ExtendedMarketHours, localEndTime, request.Configuration.Increment, request.Configuration.DataTimeZone);
}
// define market hours and user filters to incoming data
if (request.Configuration.IsFilteredSubscription)
{
enumerator = new SubscriptionFilterEnumerator(enumerator, request.Security, localEndTime, request.Configuration.ExtendedMarketHours, true, request.ExchangeHours);
}
// finally, make our subscriptions aware of the frontier of the data feed, prevents future data from spewing into the feed
enumerator = new FrontierAwareEnumerator(enumerator, _frontierTimeProvider, timeZoneOffsetProvider);
var subscriptionDataEnumerator = new SubscriptionDataEnumerator(request.Configuration, request.Security.Exchange.Hours, timeZoneOffsetProvider, enumerator);
subscription = new Subscription(request, subscriptionDataEnumerator, timeZoneOffsetProvider);
}
catch (Exception err)
{
Log.Error(err);
}
return(subscription);
}