/// <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)
{
var enumerator = (IEnumerator <BaseData>)_universe.GetTriggerTimes(request.StartTimeUtc, request.EndTimeUtc, _marketHoursDatabase)
.Select(x => new Tick {
Time = x, Symbol = request.Configuration.Symbol
})
.GetEnumerator();
var universe = request.Universe as UserDefinedUniverse;
if (universe != null)
{
enumerator = new InjectionEnumerator(enumerator);
// Trigger universe selection when security added/removed after Initialize
universe.CollectionChanged += (sender, args) =>
{
// If it is an add we will set time 1 tick ahead to properly sync data
// with next timeslice, if it is a remove then we will set time to now
IList items;
DateTime time;
if (args.Action == NotifyCollectionChangedAction.Add)
{
items = args.NewItems;
time = _timeProvider.GetUtcNow().AddTicks(1);
}
else if (args.Action == NotifyCollectionChangedAction.Remove)
{
items = args.OldItems;
time = _timeProvider.GetUtcNow();
}
else
{
items = null;
time = DateTime.MinValue;
}
// Check that we have our items and time
if (items == null || time == DateTime.MinValue)
{
return;
}
var symbol = items.OfType <Symbol>().FirstOrDefault();
if (symbol == null)
{
return;
}
// the data point time should always be in exchange timezone
time = time.ConvertFromUtc(request.Configuration.ExchangeTimeZone);
var collection = new BaseDataCollection(time, symbol);
((InjectionEnumerator)enumerator).InjectDataPoint(collection);
};
}
return(enumerator);
}
/// <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)
{
var enumerator = (IEnumerator <BaseData>)_universe.GetTriggerTimes(request.StartTimeUtc, request.EndTimeUtc, _marketHoursDatabase)
.Select(x => new Tick {
Time = x, Symbol = request.Configuration.Symbol
})
.GetEnumerator();
var universe = request.Universe as UserDefinedUniverse;
if (universe != null)
{
enumerator = new InjectionEnumerator(enumerator);
// Trigger universe selection when security added/removed after Initialize
universe.CollectionChanged += (sender, args) =>
{
var items =
args.Action == NotifyCollectionChangedAction.Add ? args.NewItems :
args.Action == NotifyCollectionChangedAction.Remove ? args.OldItems : null;
var time = _timeProvider.GetUtcNow();
if (items == null || time == DateTime.MinValue)
{
return;
}
var symbol = items.OfType <Symbol>().FirstOrDefault();
if (symbol == null)
{
return;
}
// the data point time should always be in exchange timezone
time = time.ConvertFromUtc(request.Configuration.ExchangeTimeZone);
var collection = new BaseDataCollection(time, symbol);
((InjectionEnumerator)enumerator).InjectDataPoint(collection);
};
}
return(enumerator);
}