private Subscription CreateSubscription(Resolution resolution, string symbol = "AAPL", bool isInternalFeed = false,
SecurityType type = SecurityType.Equity, TickType tickType = TickType.Trade)
{
var start = DateTime.UtcNow;
var end = start.AddSeconds(10);
Security security;
Symbol _symbol;
if (type == SecurityType.Equity)
{
_symbol = new Symbol(SecurityIdentifier.GenerateEquity(DateTime.Now, symbol, Market.USA), symbol);
security = new Equity(
_symbol,
SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
new Cash("USD", 0, 1),
SymbolProperties.GetDefault("USD"),
ErrorCurrencyConverter.Instance
);
}
else if (type == SecurityType.Option)
{
_symbol = new Symbol(SecurityIdentifier.GenerateOption(DateTime.Now,
SecurityIdentifier.GenerateEquity(DateTime.Now, symbol, Market.USA),
Market.USA, 0.0m, OptionRight.Call, OptionStyle.American), symbol);
security = new Option(
_symbol,
SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
new Cash("USD", 0, 1),
new OptionSymbolProperties(SymbolProperties.GetDefault("USD")),
ErrorCurrencyConverter.Instance
);
}
else if (type == SecurityType.Future)
{
_symbol = new Symbol(SecurityIdentifier.GenerateFuture(DateTime.Now, symbol, Market.USA), symbol);
security = new Future(
_symbol,
SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
new Cash("USD", 0, 1),
SymbolProperties.GetDefault("USD"),
ErrorCurrencyConverter.Instance
);
}
else
{
throw new Exception("SecurityType not implemented");
}
var config = new SubscriptionDataConfig(typeof(TradeBar), _symbol, resolution, DateTimeZone.Utc, DateTimeZone.Utc, true, false, isInternalFeed, false, tickType);
var timeZoneOffsetProvider = new TimeZoneOffsetProvider(DateTimeZone.Utc, start, end);
var enumerator = new EnqueueableEnumerator <BaseData>();
var subscriptionDataEnumerator = SubscriptionData.Enumerator(config, security, timeZoneOffsetProvider, enumerator);
var subscriptionRequest = new SubscriptionRequest(false, null, security, config, start, end);
return(new Subscription(subscriptionRequest, subscriptionDataEnumerator, timeZoneOffsetProvider));
}
/// <summary>
/// Creates a subscription to process the history request
/// </summary>
private static Subscription CreateSubscription(HistoryRequest request, IEnumerable <BaseData> history)
{
// data reader expects these values in local times
var start = request.StartTimeUtc.ConvertFromUtc(request.ExchangeHours.TimeZone);
var end = request.EndTimeUtc.ConvertFromUtc(request.ExchangeHours.TimeZone);
var config = new SubscriptionDataConfig(request.DataType,
request.Symbol,
request.Resolution,
request.DataTimeZone,
request.ExchangeHours.TimeZone,
request.FillForwardResolution.HasValue,
request.IncludeExtendedMarketHours,
false,
request.IsCustomData,
request.TickType,
true,
request.DataNormalizationMode
);
var security = new Security(
request.ExchangeHours,
config,
new Cash(Currencies.NullCurrency, 0, 1m),
SymbolProperties.GetDefault(Currencies.NullCurrency),
ErrorCurrencyConverter.Instance
);
var reader = history.GetEnumerator();
// optionally apply fill forward behavior
if (request.FillForwardResolution.HasValue)
{
// copy forward Bid/Ask bars for QuoteBars
if (request.DataType == typeof(QuoteBar))
{
reader = new QuoteBarFillForwardEnumerator(reader);
}
var readOnlyRef = Ref.CreateReadOnly(() => request.FillForwardResolution.Value.ToTimeSpan());
reader = new FillForwardEnumerator(reader, security.Exchange, readOnlyRef, security.IsExtendedMarketHours, end, config.Increment, config.DataTimeZone);
}
var timeZoneOffsetProvider = new TimeZoneOffsetProvider(security.Exchange.TimeZone, start, end);
var subscriptionDataEnumerator = SubscriptionData.Enumerator(config, security, timeZoneOffsetProvider, reader);
var subscriptionRequest = new SubscriptionRequest(false, null, security, config, start, end);
return(new Subscription(subscriptionRequest, subscriptionDataEnumerator, timeZoneOffsetProvider));
}
/// <summary>
/// Creates a subscription to process the request
/// </summary>
private Subscription CreateSubscription(HistoryRequest request, DateTime start, DateTime end)
{
// data reader expects these values in local times
start = start.ConvertFromUtc(request.ExchangeHours.TimeZone);
end = end.ConvertFromUtc(request.ExchangeHours.TimeZone);
var config = new SubscriptionDataConfig(request.DataType,
request.Symbol,
request.Resolution,
request.DataTimeZone,
request.ExchangeHours.TimeZone,
request.FillForwardResolution.HasValue,
request.IncludeExtendedMarketHours,
false,
request.IsCustomData,
request.TickType,
true,
request.DataNormalizationMode
);
var security = new Security(
request.ExchangeHours,
config,
new Cash(CashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(CashBook.AccountCurrency),
ErrorCurrencyConverter.Instance
);
var dataReader = new SubscriptionDataReader(config,
start,
end,
config.SecurityType == SecurityType.Equity ? _mapFileProvider.Get(config.Market) : MapFileResolver.Empty,
_factorFileProvider,
Time.EachTradeableDay(request.ExchangeHours, start, end),
false,
_dataCacheProvider,
false
);
dataReader.InvalidConfigurationDetected += (sender, args) => { OnInvalidConfigurationDetected(new InvalidConfigurationDetectedEventArgs(args.Message)); };
dataReader.NumericalPrecisionLimited += (sender, args) => { OnNumericalPrecisionLimited(new NumericalPrecisionLimitedEventArgs(args.Message)); };
dataReader.DownloadFailed += (sender, args) => { OnDownloadFailed(new DownloadFailedEventArgs(args.Message, args.StackTrace)); };
dataReader.ReaderErrorDetected += (sender, args) => { OnReaderErrorDetected(new ReaderErrorDetectedEventArgs(args.Message, args.StackTrace)); };
dataReader.Initialize();
IEnumerator <BaseData> reader = dataReader;
// optionally apply fill forward behavior
if (request.FillForwardResolution.HasValue)
{
// copy forward Bid/Ask bars for QuoteBars
if (request.DataType == typeof(QuoteBar))
{
reader = new QuoteBarFillForwardEnumerator(reader);
}
var readOnlyRef = Ref.CreateReadOnly(() => request.FillForwardResolution.Value.ToTimeSpan());
reader = new FillForwardEnumerator(reader, security.Exchange, readOnlyRef, security.IsExtendedMarketHours, end, config.Increment, config.DataTimeZone);
}
// since the SubscriptionDataReader performs an any overlap condition on the trade bar's entire
// range (time->end time) we can end up passing the incorrect data (too far past, possibly future),
// so to combat this we deliberately filter the results from the data reader to fix these cases
// which only apply to non-tick data
reader = new SubscriptionFilterEnumerator(reader, security, end);
reader = new FilterEnumerator <BaseData>(reader, data =>
{
// allow all ticks
if (config.Resolution == Resolution.Tick)
{
return(true);
}
// filter out future data
if (data.EndTime > end)
{
return(false);
}
// filter out data before the start
return(data.EndTime > start);
});
var timeZoneOffsetProvider = new TimeZoneOffsetProvider(security.Exchange.TimeZone, start, end);
var subscriptionDataEnumerator = SubscriptionData.Enumerator(config, security, timeZoneOffsetProvider, reader);
var subscriptionRequest = new SubscriptionRequest(false, null, security, config, start, end);
return(new Subscription(subscriptionRequest, subscriptionDataEnumerator, timeZoneOffsetProvider));
}
public void EnumerationWhileUpdatingDoesNotThrow()
{
var cts = new CancellationTokenSource();
var subscriptions = new SubscriptionCollection();
var start = DateTime.UtcNow;
var end = start.AddSeconds(10);
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, DateTimeZone.Utc, DateTimeZone.Utc, true, false, false);
var security = new Equity(Symbols.SPY, SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc), new Cash("USD", 0, 1), SymbolProperties.GetDefault("USD"));
var timeZoneOffsetProvider = new TimeZoneOffsetProvider(DateTimeZone.Utc, start, end);
var enumerator = new EnqueueableEnumerator <BaseData>();
var subscriptionDataEnumerator = SubscriptionData.Enumerator(config, security, timeZoneOffsetProvider, enumerator);
var subscription = new Subscription(null, security, config, subscriptionDataEnumerator, timeZoneOffsetProvider, start, end, false);
var addTask = new TaskFactory().StartNew(() =>
{
Console.WriteLine("Add task started");
while (DateTime.UtcNow < end)
{
if (!subscriptions.Contains(config))
{
subscriptions.TryAdd(subscription);
}
Thread.Sleep(1);
}
Console.WriteLine("Add task ended");
}, cts.Token);
var removeTask = new TaskFactory().StartNew(() =>
{
Console.WriteLine("Remove task started");
while (DateTime.UtcNow < end)
{
Subscription removed;
subscriptions.TryRemove(config, out removed);
Thread.Sleep(1);
}
Console.WriteLine("Remove task ended");
}, cts.Token);
var readTask = new TaskFactory().StartNew(() =>
{
Console.WriteLine("Read task started");
while (DateTime.UtcNow < end)
{
foreach (var sub in subscriptions)
{
}
Thread.Sleep(1);
}
Console.WriteLine("Read task ended");
}, cts.Token);
Task.WaitAll(addTask, removeTask, readTask);
}