/// <summary>
/// Gets the data of the specified symbol and type.
/// </summary>
/// <remarks>Supports both C# and Python use cases</remarks>
protected static dynamic GetImpl(Type type, Slice instance)
{
Lazy <object> dictionary;
if (!instance._dataByType.TryGetValue(type, out dictionary))
{
if (type == typeof(Tick))
{
dictionary = new Lazy <object>(() =>
{
var dataDictionaryCache = GenericDataDictionary.Get(type);
var dic = Activator.CreateInstance(dataDictionaryCache.GenericType);
foreach (var data in
instance._data.Value.Values.SelectMany <dynamic, dynamic>(x => x.GetData()).Where(o => o != null && (Type)o.GetType() == type))
{
dataDictionaryCache.MethodInfo.Invoke(dic, new[] { data.Symbol, data });
}
return(dic);
}
);
}
else if (type == typeof(TradeBar))
{
dictionary = new Lazy <object>(() => new DataDictionary <TradeBar>(
instance._data.Value.Values.Where(x => x.TradeBar != null).Select(x => x.TradeBar),
x => x.Symbol));
}
else if (type == typeof(QuoteBar))
{
dictionary = new Lazy <object>(() => new DataDictionary <QuoteBar>(
instance._data.Value.Values.Where(x => x.QuoteBar != null).Select(x => x.QuoteBar),
x => x.Symbol));
}
else
{
dictionary = new Lazy <object>(() =>
{
var dataDictionaryCache = GenericDataDictionary.Get(type);
var dic = Activator.CreateInstance(dataDictionaryCache.GenericType);
foreach (var data in instance._data.Value.Values.Select(x => x.GetData()).Where(o => o != null && (Type)o.GetType() == type))
{
dataDictionaryCache.MethodInfo.Invoke(dic, new[] { data.Symbol, data });
}
return(dic);
}
);
}
instance._dataByType[type] = dictionary;
}
return(dictionary.Value);
}
/// <summary>
/// Gets the data of the specified type.
/// </summary>
/// <remarks>Supports both C# and Python use cases</remarks>
protected static dynamic GetImpl(Type type, Slice instance)
{
if (instance._dataByType == null)
{
// for performance we only really create this collection if someone used it
instance._dataByType = new Dictionary <Type, object>(1);
}
object dictionary;
if (!instance._dataByType.TryGetValue(type, out dictionary))
{
var requestedOpenInterest = type == typeof(OpenInterest);
if (type == typeof(Tick) || requestedOpenInterest)
{
var dataDictionaryCache = GenericDataDictionary.Get(type);
dictionary = Activator.CreateInstance(dataDictionaryCache.GenericType);
foreach (var data in instance.Ticks)
{
var symbol = data.Key;
// preserving existing behavior we will return the last data point, users expect a 'DataDictionary<Tick> : IDictionary<Symbol, Tick>'.
// openInterest is stored with the Ticks collection
var lastDataPoint = data.Value.LastOrDefault(tick => requestedOpenInterest && tick.TickType == TickType.OpenInterest || !requestedOpenInterest && tick.TickType != TickType.OpenInterest);
if (lastDataPoint == null)
{
continue;
}
dataDictionaryCache.MethodInfo.Invoke(dictionary, new object[] { symbol, lastDataPoint });
}
}
else if (type == typeof(TradeBar))
{
dictionary = instance.Bars;
}
else if (type == typeof(QuoteBar))
{
dictionary = instance.QuoteBars;
}
else if (type == typeof(Delisting))
{
dictionary = instance.Delistings;
}
else if (type == typeof(Split))
{
dictionary = instance.Splits;
}
else if (type == typeof(OptionChain))
{
dictionary = instance.OptionChains;
}
else if (type == typeof(FuturesChain))
{
dictionary = instance.FuturesChains;
}
else if (type == typeof(Dividend))
{
dictionary = instance.Dividends;
}
else if (type == typeof(SymbolChangedEvent))
{
dictionary = instance.SymbolChangedEvents;
}
else
{
var dataDictionaryCache = GenericDataDictionary.Get(type);
dictionary = Activator.CreateInstance(dataDictionaryCache.GenericType);
foreach (var data in instance._data.Value.Values.Select(x => x.Custom).Where(o => o != null && o.GetType() == type))
{
dataDictionaryCache.MethodInfo.Invoke(dictionary, new object[] { data.Symbol, data });
}
}
instance._dataByType[type] = dictionary;
}
return(dictionary);
}
/// <summary>
/// Gets the data of the specified type.
/// </summary>
/// <remarks>Supports both C# and Python use cases</remarks>
protected static dynamic GetImpl(Type type, Slice instance)
{
object dictionary;
if (!instance._dataByType.TryGetValue(type, out dictionary))
{
if (type == typeof(Tick))
{
var dataDictionaryCache = GenericDataDictionary.Get(type);
dictionary = Activator.CreateInstance(dataDictionaryCache.GenericType);
foreach (var data in instance.Ticks)
{
var symbol = data.Key;
var listOfTicks = data.Value;
// preserving existing behavior we will return the last data point, users expect a 'DataDictionary<Tick> : IDictionary<Symbol, Tick>'
var lastDataPoint = listOfTicks[listOfTicks.Count - 1];
dataDictionaryCache.MethodInfo.Invoke(dictionary, new object[] { symbol, lastDataPoint });
}
}
else if (type == typeof(TradeBar))
{
dictionary = instance.Bars;
}
else if (type == typeof(QuoteBar))
{
dictionary = instance.QuoteBars;
}
else if (type == typeof(Delisting))
{
dictionary = instance.Delistings;
}
else if (type == typeof(Split))
{
dictionary = instance.Splits;
}
else if (type == typeof(OptionChain))
{
dictionary = instance.OptionChains;
}
else if (type == typeof(FuturesChain))
{
dictionary = instance.FuturesChains;
}
else if (type == typeof(Dividend))
{
dictionary = instance.Dividends;
}
else if (type == typeof(SymbolChangedEvent))
{
dictionary = instance.SymbolChangedEvents;
}
else
{
var dataDictionaryCache = GenericDataDictionary.Get(type);
dictionary = Activator.CreateInstance(dataDictionaryCache.GenericType);
foreach (var data in instance._data.Value.Values.Select(x => x.Custom).Where(o => o != null && o.GetType() == type))
{
dataDictionaryCache.MethodInfo.Invoke(dictionary, new object[] { data.Symbol, data });
}
}
instance._dataByType[type] = dictionary;
}
return(dictionary);
}
