/// <summary>
/// Clones the data, computes the utc emit time and performs exchange round down behavior, storing the result in a new <see cref="SubscriptionData"/> instance
/// </summary>
/// <param name="configuration">The subscription's configuration</param>
/// <param name="exchangeHours">The exchange hours of the security</param>
/// <param name="offsetProvider">The subscription's offset provider</param>
/// <param name="data">The data being emitted</param>
/// <param name="normalizationMode">Specifies how data is normalized</param>
/// <param name="factor">price scale factor</param>
/// <returns>A new <see cref="SubscriptionData"/> containing the specified data</returns>
public static SubscriptionData Create(SubscriptionDataConfig configuration, SecurityExchangeHours exchangeHours, TimeZoneOffsetProvider offsetProvider, BaseData data, DataNormalizationMode normalizationMode, decimal?factor = null)
{
if (data == null)
{
return(null);
}
data = data.Clone(data.IsFillForward);
var emitTimeUtc = offsetProvider.ConvertToUtc(data.EndTime);
// Let's round down for any data source that implements a time delta between
// the start of the data and end of the data (usually used with Bars).
// The time delta ensures that the time collected from `EndTime` has
// no look-ahead bias, and is point-in-time.
if (data.Time != data.EndTime)
{
data.Time = data.Time.ExchangeRoundDownInTimeZone(configuration.Increment, exchangeHours, configuration.DataTimeZone, configuration.ExtendedMarketHours);
}
if (factor.HasValue && (configuration.SecurityType != SecurityType.Equity || (factor.Value != 1 || configuration.SumOfDividends != 0)))
{
var normalizedData = data.Clone(data.IsFillForward).Normalize(factor.Value, normalizationMode, configuration.SumOfDividends);
return(new PrecalculatedSubscriptionData(configuration, data, normalizedData, normalizationMode, emitTimeUtc));
}
return(new SubscriptionData(data, emitTimeUtc));
}
public void ChangeDataNormalizationMode()
{
var tb = new TradeBar
{
Time = new DateTime(2020, 5, 21, 8, 9, 0),
Period = TimeSpan.FromHours(1),
Symbol = Symbols.SPY,
Open = 100,
High = 200,
Low = 300,
Close = 400
};
var factor = 0.5m;
var sumOfDividends = 100m;
var adjustedTb = tb.Clone(tb.IsFillForward).Adjust(factor);
var exchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.Utc);
var offsetProvider = new TimeZoneOffsetProvider(TimeZones.Utc, new DateTime(2020, 5, 21), new DateTime(2020, 5, 22));
var emitTimeUtc = offsetProvider.ConvertToUtc(tb.EndTime);
_config.SumOfDividends = sumOfDividends;
var subscriptionData = new PrecalculatedSubscriptionData(
_config,
tb,
adjustedTb,
DataNormalizationMode.Adjusted,
emitTimeUtc);
_config.DataNormalizationMode = DataNormalizationMode.Raw;
Assert.AreEqual(tb.Open, (subscriptionData.Data as TradeBar).Open);
Assert.AreEqual(tb.High, (subscriptionData.Data as TradeBar).High);
Assert.AreEqual(tb.Low, (subscriptionData.Data as TradeBar).Low);
Assert.AreEqual(tb.Close, (subscriptionData.Data as TradeBar).Close);
_config.DataNormalizationMode = DataNormalizationMode.Adjusted;
Assert.AreEqual(tb.Open * factor, (subscriptionData.Data as TradeBar).Open);
Assert.AreEqual(tb.High * factor, (subscriptionData.Data as TradeBar).High);
Assert.AreEqual(tb.Low * factor, (subscriptionData.Data as TradeBar).Low);
Assert.AreEqual(tb.Close * factor, (subscriptionData.Data as TradeBar).Close);
_config.DataNormalizationMode = DataNormalizationMode.TotalReturn;
Assert.Throws <ArgumentException>(() =>
{
var data = subscriptionData.Data;
}
);
_config.DataNormalizationMode = DataNormalizationMode.SplitAdjusted;
Assert.Throws <ArgumentException>(() =>
{
var data = subscriptionData.Data;
}
);
}
public void ConvertToUtcAfterDST()
{
// the exact instant DST goes into affect
var tzDate = new DateTime(2015, 03, 08, 2, 0, 0);
var utcDate = tzDate.AddHours(5);
var offsetProvider = new TimeZoneOffsetProvider(TimeZones.NewYork, utcDate, utcDate.AddDays(1));
var result = offsetProvider.ConvertToUtc(tzDate);
// We substract an hour due to the effect of DST
Assert.AreEqual(utcDate - TimeSpan.FromHours(1), result);
}
/// <summary>
/// Clones the data, computes the utc emit time and performs exchange round down behavior, storing the result in a new <see cref="SubscriptionData"/> instance
/// </summary>
/// <param name="configuration">The subscription's configuration</param>
/// <param name="exchangeHours">The exchange hours of the security</param>
/// <param name="offsetProvider">The subscription's offset provider</param>
/// <param name="data">The data being emitted</param>
/// <returns>A new <see cref="SubscriptionData"/> containing the specified data</returns>
public static SubscriptionData Create(SubscriptionDataConfig configuration, SecurityExchangeHours exchangeHours, TimeZoneOffsetProvider offsetProvider, BaseData data)
{
if (data == null)
{
return(null);
}
data = data.Clone(data.IsFillForward);
var emitTimeUtc = offsetProvider.ConvertToUtc(data.EndTime);
data.Time = data.Time.ExchangeRoundDownInTimeZone(configuration.Increment, exchangeHours, configuration.DataTimeZone, configuration.ExtendedMarketHours);
return(new SubscriptionData(data, emitTimeUtc));
}
/// <summary>
/// Clones the data, computes the utc emit time and performs exchange round down behavior, storing the result in a new <see cref="SubscriptionData"/> instance
/// </summary>
/// <param name="configuration">The subscription's configuration</param>
/// <param name="exchangeHours">The exchange hours of the security</param>
/// <param name="offsetProvider">The subscription's offset provider</param>
/// <param name="data">The data being emitted</param>
/// <returns>A new <see cref="SubscriptionData"/> containing the specified data</returns>
public static SubscriptionData Create(SubscriptionDataConfig configuration, SecurityExchangeHours exchangeHours, TimeZoneOffsetProvider offsetProvider, BaseData data)
{
if (data == null)
{
return(null);
}
data = data.Clone(data.IsFillForward);
var emitTimeUtc = offsetProvider.ConvertToUtc(data.EndTime);
// Let's round down for any data source that implements a time delta between
// the start of the data and end of the data (usually used with Bars).
// The time delta ensures that the time collected from `EndTime` has
// no look-ahead bias, and is point-in-time.
if (data.Time != data.EndTime)
{
data.Time = data.Time.ExchangeRoundDownInTimeZone(configuration.Increment, exchangeHours, configuration.DataTimeZone, configuration.ExtendedMarketHours);
}
return(new SubscriptionData(data, emitTimeUtc));
}