/// <summary>
/// Creates an enumerator to read the specified request
/// </summary>
/// <param name="request">The subscription request to be read</param>
/// <param name="dataFileProvider">Provider used to get data when it is not present on disk</param>
/// <returns>An enumerator reading the subscription request</returns>
public IEnumerator <BaseData> CreateEnumerator(SubscriptionRequest request, IDataFileProvider dataFileProvider)
{
if (_isLiveMode)
{
var localTime = request.StartTimeUtc.ConvertFromUtc(request.Configuration.ExchangeTimeZone);
// loading the list of option contract and converting them into zip entries
var symbols = _symbolUniverse.LookupSymbols(request.Security.Symbol.Underlying.ToString(), request.Security.Type);
var zipEntries = symbols.Select(x => new ZipEntryName {
Time = localTime, Symbol = x
} as BaseData).ToList();
// creating trade bar builder enumerator to model underlying price change
var underlyingEnumerator = new TradeBarBuilderEnumerator(request.Configuration.Increment, request.Security.Exchange.TimeZone, _timeProvider);
// configuring the enumerator
var subscriptionConfiguration = GetSubscriptionConfigurations(request).First();
var subscriptionRequest = new SubscriptionRequest(request, configuration: subscriptionConfiguration);
var configuredEnumerator = _enumeratorConfigurator(subscriptionRequest, underlyingEnumerator);
return(new DataQueueOptionChainUniverseDataCollectionEnumerator(request.Security.Symbol, configuredEnumerator, zipEntries));
}
else
{
var factory = new BaseDataSubscriptionEnumeratorFactory(_mapFileResolver, _factorFileProvider);
var enumerators = GetSubscriptionConfigurations(request)
.Select(c => new SubscriptionRequest(request, configuration: c))
.Select(sr => _enumeratorConfigurator(request, factory.CreateEnumerator(sr, dataFileProvider)));
var sync = new SynchronizingEnumerator(enumerators);
return(new OptionChainUniverseDataCollectionEnumerator(sync, request.Security.Symbol));
}
}
/// <summary>
/// Advances the enumerator to the next element of the collection.
/// </summary>
/// <returns>
/// true if the enumerator was successfully advanced to the next element; false if the enumerator has passed the end of the collection.
/// </returns>
public bool MoveNext()
{
Underlying.MoveNext();
if (Underlying.Current == null)
{
Current = null;
return(true);
}
if (!_needNewCurrent)
{
// refresh on date change (in exchange time zone)
_needNewCurrent = _timeProvider.GetUtcNow().ConvertFromUtc(_subscriptionRequest.Configuration.ExchangeTimeZone).Date != _lastEmitTime.Date;
}
if (_needNewCurrent)
{
var localTime = _timeProvider.GetUtcNow()
.RoundDown(_subscriptionRequest.Configuration.Increment)
.ConvertFromUtc(_subscriptionRequest.Configuration.ExchangeTimeZone);
// loading the list of futures contracts and converting them into zip entries
var symbols = _universeProvider.LookupSymbols(_subscriptionRequest.Security.Symbol.ID.Symbol, _subscriptionRequest.Security.Type);
var zipEntries = symbols.Select(x => new ZipEntryName {
Time = localTime, Symbol = x
} as BaseData).ToList();
_currentData = new OptionChainUniverseDataCollection
{
Symbol = _subscriptionRequest.Security.Symbol,
Underlying = Underlying.Current,
Data = zipEntries,
Time = localTime,
EndTime = localTime
};
_lastEmitTime = localTime;
Current = _currentData;
_needNewCurrent = false;
}
else
{
if (Current == null)
{
Current = _currentData;
}
Current.Underlying = Underlying.Current;
Current.Time = Underlying.Current.EndTime;
Current.EndTime = Underlying.Current.EndTime;
_lastEmitTime = Current.EndTime;
}
return(true);
}
/// <summary>
/// Advances the enumerator to the next element of the collection.
/// </summary>
/// <returns>
/// true if the enumerator was successfully advanced to the next element; false if the enumerator has passed the end of the collection.
/// </returns>
public bool MoveNext()
{
if (!_needNewCurrent)
{
// refresh on date change (in exchange time zone)
_needNewCurrent = _timeProvider.GetUtcNow().ConvertFromUtc(_subscriptionRequest.Configuration.ExchangeTimeZone).Date != _lastEmitTime.Date;
}
if (_needNewCurrent)
{
if (!_universeProvider.CanPerformSelection())
{
Current = null;
return(true);
}
var localTime = _timeProvider.GetUtcNow()
.RoundDown(_subscriptionRequest.Configuration.Increment)
.ConvertFromUtc(_subscriptionRequest.Configuration.ExchangeTimeZone);
// loading the list of futures contracts and converting them into zip entries
var symbols = _universeProvider.LookupSymbols(_subscriptionRequest.Security.Symbol, false);
var zipEntries = symbols.Select(x => new ZipEntryName {
Time = localTime, Symbol = x
} as BaseData).ToList();
var current = new BaseDataCollection
{
Symbol = _subscriptionRequest.Security.Symbol,
Data = zipEntries,
Time = localTime,
EndTime = localTime
};
_lastEmitTime = localTime;
Log.Trace($"DataQueueFuturesChainUniverseDataCollectionEnumerator({current.Symbol}): Emitting data point: {current.EndTime}. Count: {current.Data.Count}");
Current = current;
_needNewCurrent = false;
}
else
{
Current = null;
}
return(true);
}
/// <summary>
/// Creates an enumerator to read the specified request
/// </summary>
/// <param name="request">The subscription request to be read</param>
/// <param name="dataProvider">Provider used to get data when it is not present on disk</param>
/// <returns>An enumerator reading the subscription request</returns>
public IEnumerator <BaseData> CreateEnumerator(SubscriptionRequest request, IDataProvider dataProvider)
{
if (_isLiveMode)
{
var localTime = request.StartTimeUtc.ConvertFromUtc(request.Configuration.ExchangeTimeZone);
// loading the list of futures contracts and converting them into zip entries
var symbols = _symbolUniverse.LookupSymbols(request.Security.Symbol.ID.Symbol, request.Security.Type);
var zipEntries = symbols.Select(x => new ZipEntryName {
Time = localTime, Symbol = x
} as BaseData).ToList();
var underlyingEnumerator = new TradeBarBuilderEnumerator(request.Configuration.Increment, request.Security.Exchange.TimeZone, _timeProvider);
underlyingEnumerator.ProcessData(new Tick {
Value = 0
});
// configuring the enumerator
var subscriptionConfiguration = GetSubscriptionConfigurations(request).First();
var subscriptionRequest = new SubscriptionRequest(request, configuration: subscriptionConfiguration);
var configuredEnumerator = _enumeratorConfigurator(subscriptionRequest, underlyingEnumerator);
return(new DataQueueFuturesChainUniverseDataCollectionEnumerator(request.Security.Symbol, configuredEnumerator, zipEntries));
}
else
{
var factory = new BaseDataSubscriptionEnumeratorFactory(_isLiveMode);
var enumerators = GetSubscriptionConfigurations(request)
.Select(c => new SubscriptionRequest(request, configuration: c))
.Select(sr => _enumeratorConfigurator(request, factory.CreateEnumerator(sr, dataProvider)));
var sync = new SynchronizingEnumerator(enumerators);
return(new FuturesChainUniverseDataCollectionAggregatorEnumerator(sync, request.Security.Symbol));
}
}