Пример #1
0
        /// <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 && (factor.Value != 1 || configuration.SumOfDividends != 0))
            {
                var sumOfDividends = configuration.SumOfDividends;

                BaseData normalizedData = data.Clone();

                if (normalizationMode == DataNormalizationMode.Adjusted || normalizationMode == DataNormalizationMode.SplitAdjusted)
                {
                    normalizedData.Adjust(factor.Value);
                }
                else if (normalizationMode == DataNormalizationMode.TotalReturn)
                {
                    normalizedData.Scale(p => p * factor.Value + sumOfDividends);
                }

                return(new PrecalculatedSubscriptionData(configuration, data, normalizedData, normalizationMode, emitTimeUtc));
            }

            return(new SubscriptionData(data, emitTimeUtc));
        }