private static PipeDataProcessor AddResolution(string dataDirectory, TickType tickType, PipeDataProcessor root, Resolution resolution, bool sourceIsTick)
{
var second = new CsvDataProcessor(dataDirectory, resolution, tickType);
var secondRoot = new PipeDataProcessor(second);
var aggregator = new ConsolidatorDataProcessor(secondRoot, data => CreateConsolidator(resolution, tickType, data, sourceIsTick));
root.PipeTo(aggregator);
return(secondRoot);
}
/// <summary>
/// Creates a data processor that will aggregate and zip the requested resolutions of data
/// </summary>
public static IDataProcessor Zip(string dataDirectory, IEnumerable <Resolution> resolutions, TickType tickType, bool sourceIsTick)
{
var set = resolutions.ToHashSet();
var root = new PipeDataProcessor();
// only filter tick sources
var stack = !sourceIsTick ? root
: (IDataProcessor) new FilteredDataProcessor(root, x => ((Tick)x).TickType == tickType);
if (set.Contains(Resolution.Tick))
{
// tick is filtered via trade/quote
var tick = new CsvDataProcessor(dataDirectory, Resolution.Tick, tickType);
root.PipeTo(tick);
}
if (set.Contains(Resolution.Second))
{
root = AddResolution(dataDirectory, tickType, root, Resolution.Second, sourceIsTick);
sourceIsTick = false;
}
if (set.Contains(Resolution.Minute))
{
root = AddResolution(dataDirectory, tickType, root, Resolution.Minute, sourceIsTick);
sourceIsTick = false;
}
if (set.Contains(Resolution.Hour))
{
root = AddResolution(dataDirectory, tickType, root, Resolution.Hour, sourceIsTick);
sourceIsTick = false;
}
if (set.Contains(Resolution.Daily))
{
AddResolution(dataDirectory, tickType, root, Resolution.Daily, sourceIsTick);
}
return(stack);
}