/// <summary>
/// returns true if more data to process, false otherwise
/// </summary>
/// <returns></returns>
public bool NextDataPoint()
{
//Check if we have header of file
if (!_haveheader)
{
ReadHeader();
}
try
{
// get line type
byte linetype = ReadByte();
// prepare a datapoiny
DataPoint d;
// get the tick
switch (linetype)
{
case DataConst.EndData: return(false);
case DataConst.StartData: return(true);
case DataConst.FileVersion: return(true);
case DataConst.DatapointStart:
{
//Get data point data
List <byte> data = new List <byte>();
bool ended = false;
while (!ended)
{
var lastbyte = ReadByte();
if (lastbyte == DataConst.DatapointEnd)
{
ended = true;
}
else
{
data.Add(lastbyte);
}
}
//Convert data
d = DataPointImpl.Deserialize(data.ToArray(), true);
}
;
break;
default:
{
// weird data, try to keep reading
ReadByte();
// but don't send this data, just get next record
return(true);
}
}
// send any data we have
if (d != null)
{
GotData?.Invoke(this, d);
}
// count it
Count++;
// assume there is more
return(true);
}
catch (EndOfStreamException)
{
return(false);
}
catch (ObjectDisposedException)
{
return(false);
}
catch (Exception exc)
{
_log.Error(exc, $"Unexpected error while reading file in datareader: {exc.Message}");
return(false);
}
}
/// <summary>
/// Initialize new internal live data feed
/// </summary>
public void Initialize(MessageInstance initialmessage)
{
//Set data
_endpoint = Config.TryGetEnvVariable("hist.endpoint", Config.GlobalConfig.HistEndpoint);
_startDateTime = DateTime.Parse(Config.TryGetEnvVariable("hist.start", Config.GlobalConfig.HistStart));
_endDateTime = DateTime.Parse(Config.TryGetEnvVariable("hist.end", Config.GlobalConfig.HistEnd));
//Set conversion method
Conversion = (data) => new[] { DataPointImpl.Deserialize(data as byte[], true) };
//Set socket
_histRequestSocket = new RequestSocket(_endpoint);
_histRequestSocket.ReceiveReady += OnReceive;
_histRequestSocket.Options.ReceiveHighWatermark = 1000;
//Set poller
_timeoutTimer = new NetMQTimer(_timeoutTimerSpan);
_timeoutTimer.Elapsed += OnTimeoutTimer;
_timeoutTimer.Enable = false;
_poller = new NetMQPoller();
_poller.Add(_histRequestSocket);
//Set allowed tickers
_allowedTickers = Config.SecurityConfig.Select(x => x.Ticker).ToArray();
//Set source
string brokertype = (initialmessage is LiveTradingMessage liveTradingMessage)
? liveTradingMessage.BrokerType
: (initialmessage is SimulationMessage backtestmessage)
? backtestmessage.BrokerType
: "";
switch ((BrokerType)Enum.Parse(typeof(BrokerType), brokertype))
{
case BrokerType.Robinhood:
_source = "IEX";
break;
case BrokerType.Bittrex:
_source = "Bittrex";
break;
case BrokerType.HitBtc:
_source = "HitBtc";
break;
case BrokerType.Cobinhood:
_source = "CobinHood";
break;
case BrokerType.FreeTrade:
_source = "IEX";
break;
case BrokerType.Unknown:
throw new Exception($"Data source is unknown, cannot retrieve data from an unknown data source");
default:
throw new ArgumentOutOfRangeException($"{brokertype} is unknown, cannot derive data source from an unknown broker type");
}
}
/// <summary>
/// Initializes this instance.
/// </summary>
public void Initialize(MessageInstance initialmessage)
{
//Set data
_endpoint = Config.TryGetEnvVariable("datafeedendpoint", Config.GlobalConfig.DataFeedEndpoint);
//Set conversion method
Conversion = data => new[] { DataPointImpl.Deserialize(data as byte[], true) };;
//Set socket
_subscriberSocket = new SubscriberSocket(_endpoint);
_subscriberSocket.ReceiveReady += OnReceive;
_subscriberSocket.Options.ReceiveHighWatermark = 1000;
_subscriberSocket.Subscribe(Topic.HeartBeatMessage);
_subscriberSocket.Subscribe(Topic.WelcomeMessage);
//Set poller
_timeoutTimer = new NetMQTimer(_timeoutTimerSpan);
_timeoutTimer.Elapsed += OnTimeoutTimer;
_timeoutTimer.Enable = false;
_poller = new NetMQPoller();
_poller.Add(_subscriberSocket);
//Set allowed tickers
_allowedTickers = Config.SecurityConfig.Select(x => x.Ticker).ToArray();
//Set allowed currency conversion tickers
//TODO: set allowed currency conversion tickers (all combinations possible)
//Set source
string brokertype = (initialmessage is LiveTradingMessage liveTradingMessage)
? liveTradingMessage.BrokerType
: (initialmessage is SimulationMessage backtestmessage)
? backtestmessage.BrokerType
: "";
switch ((BrokerType)Enum.Parse(typeof(BrokerType), brokertype))
{
case BrokerType.Robinhood:
_source = "IEX";
break;
case BrokerType.Bittrex:
_source = "Bittrex";
break;
case BrokerType.HitBtc:
_source = "HitBtc";
break;
case BrokerType.Cobinhood:
_source = "CobinHood";
break;
case BrokerType.FreeTrade:
_source = "IEX";
break;
case BrokerType.Unknown:
throw new Exception($"Data source is unknown, cannot retrieve data from an unknown data source");
default:
throw new ArgumentOutOfRangeException($"{brokertype} is unknown, cannot derive data source from an unknown broker type");
}
}
