/// <summary>
/// Adds a new subscription for universe selection
/// </summary>
/// <param name="request">The subscription request</param>
private Subscription CreateUniverseSubscription(SubscriptionRequest request)
{
ISubscriptionEnumeratorFactory factory = _subscriptionFactory;
if (request.Universe is ITimeTriggeredUniverse)
{
factory = new TimeTriggeredUniverseSubscriptionEnumeratorFactory(request.Universe as ITimeTriggeredUniverse,
MarketHoursDatabase.FromDataFolder(),
_timeProvider);
if (request.Universe is UserDefinedUniverse)
{
// for user defined universe we do not use a worker task, since calls to AddData can happen in any moment
// and we have to be able to inject selection data points into the enumerator
return(SubscriptionUtils.Create(request, factory.CreateEnumerator(request, _dataProvider)));
}
}
if (request.Configuration.Type == typeof(CoarseFundamental))
{
factory = new BaseDataCollectionSubscriptionEnumeratorFactory();
}
if (request.Universe is OptionChainUniverse)
{
factory = new OptionChainUniverseSubscriptionEnumeratorFactory((req) =>
{
if (!req.Configuration.SecurityType.IsOption())
{
var enumerator = _subscriptionFactory.CreateEnumerator(req, _dataProvider);
enumerator = new FilterEnumerator <BaseData>(enumerator, data => data.DataType != MarketDataType.Auxiliary);
return(ConfigureEnumerator(req, true, enumerator));
}
var underlyingFactory = new BaseDataSubscriptionEnumeratorFactory(false, _mapFileProvider, _cacheProvider);
return(ConfigureEnumerator(req, true, underlyingFactory.CreateEnumerator(req, _dataProvider)));
});
}
if (request.Universe is FuturesChainUniverse)
{
factory = new FuturesChainUniverseSubscriptionEnumeratorFactory((req, e) => ConfigureEnumerator(req, true, e), _cacheProvider);
}
// define our data enumerator
var enumerator = factory.CreateEnumerator(request, _dataProvider);
return(SubscriptionUtils.CreateAndScheduleWorker(request, enumerator, _factorFileProvider, true));
}
protected IEnumerator <BaseData> CreateUniverseEnumerator(SubscriptionRequest request, Func <SubscriptionRequest, IEnumerator <BaseData> > createUnderlyingEnumerator)
{
ISubscriptionEnumeratorFactory factory = _subscriptionFactory;
if (request.Universe is ITimeTriggeredUniverse)
{
factory = new TimeTriggeredUniverseSubscriptionEnumeratorFactory(request.Universe as ITimeTriggeredUniverse,
MarketHoursDatabase.FromDataFolder(),
_timeProvider);
if (request.Universe is UserDefinedUniverse)
{
return(factory.CreateEnumerator(request, _dataProvider));
}
}
else if (request.Configuration.Type == typeof(CoarseFundamental))
{
factory = new BaseDataCollectionSubscriptionEnumeratorFactory();
}
else if (request.Configuration.Type == typeof(ZipEntryName))
{
// TODO: subscription should already come in correctly built
var resolution = request.Configuration.Resolution == Resolution.Tick ? Resolution.Second : request.Configuration.Resolution;
// TODO: subscription should already come in as fill forward true
request = new SubscriptionRequest(request, configuration: new SubscriptionDataConfig(request.Configuration, fillForward: true, resolution: resolution));
var result = new BaseDataSubscriptionEnumeratorFactory(_algorithm.OptionChainProvider, _algorithm.FutureChainProvider)
.CreateEnumerator(request, _dataProvider);
result = ConfigureEnumerator(request, true, result);
return(TryAppendUnderlyingEnumerator(request, result, createUnderlyingEnumerator));
}
// define our data enumerator
var enumerator = factory.CreateEnumerator(request, _dataProvider);
return(enumerator);
}
/// <summary>
/// Adds a new subscription for universe selection
/// </summary>
/// <param name="request">The subscription request</param>
private Subscription CreateUniverseSubscription(SubscriptionRequest request)
{
ISubscriptionEnumeratorFactory factory = _subscriptionFactory;
if (request.Universe is ITimeTriggeredUniverse)
{
factory = new TimeTriggeredUniverseSubscriptionEnumeratorFactory(request.Universe as ITimeTriggeredUniverse,
MarketHoursDatabase.FromDataFolder(),
_timeProvider);
if (request.Universe is UserDefinedUniverse)
{
// for user defined universe we do not use a worker task, since calls to AddData can happen in any moment
// and we have to be able to inject selection data points into the enumerator
return(SubscriptionUtils.Create(request, factory.CreateEnumerator(request, _dataProvider)));
}
}
if (request.Configuration.Type == typeof(CoarseFundamental))
{
factory = new BaseDataCollectionSubscriptionEnumeratorFactory();
}
if (request.Universe is OptionChainUniverse)
{
factory = new OptionChainUniverseSubscriptionEnumeratorFactory((req, e) => ConfigureEnumerator(req, true, e),
_mapFileProvider.Get(request.Security.Symbol.ID.Market), _factorFileProvider);
}
if (request.Universe is FuturesChainUniverse)
{
factory = new FuturesChainUniverseSubscriptionEnumeratorFactory((req, e) => ConfigureEnumerator(req, true, e));
}
// define our data enumerator
var enumerator = factory.CreateEnumerator(request, _dataProvider);
return(SubscriptionUtils.CreateAndScheduleWorker(request, enumerator));
}
/// <summary>
/// Initializes a new instance of the <see cref="PostCreateConfigureSubscriptionEnumeratorFactory"/> class
/// </summary>
/// <param name="factory">The factory being wrapped</param>
/// <param name="configurator">The configuration to be applied</param>
public PostCreateConfigureSubscriptionEnumeratorFactory(ISubscriptionEnumeratorFactory factory, Func<IEnumerator<BaseData>, IEnumerator<BaseData>> configurator)
{
_factory = factory;
_configurator = configurator;
}
/// <summary>
/// Initializes a new instance of the <see cref="PostCreateConfigureSubscriptionEnumeratorFactory"/> class
/// </summary>
/// <param name="factory">The factory being wrapped</param>
/// <param name="configurator">The configuration to be applied</param>
public PostCreateConfigureSubscriptionEnumeratorFactory(ISubscriptionEnumeratorFactory factory, Func <IEnumerator <BaseData>, IEnumerator <BaseData> > configurator)
{
_factory = factory;
_configurator = configurator;
}
