/// <summary>
/// Creates a <see cref="SubscriptionDataReader"/> 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 mapFileResolver = request.Configuration.SecurityType == SecurityType.Equity ||
request.Configuration.SecurityType == SecurityType.Option
? _mapFileProvider.Get(request.Security.Symbol.ID.Market)
: MapFileResolver.Empty;
var dataReader = new SubscriptionDataReader(request.Configuration,
request.StartTimeLocal,
request.EndTimeLocal,
mapFileResolver,
_factorFileProvider,
_tradableDaysProvider(request),
_isLiveMode,
_zipDataCacheProvider,
_includeAuxiliaryData
);
dataReader.InvalidConfigurationDetected += (sender, args) => { _resultHandler.ErrorMessage(args.Message); };
dataReader.NumericalPrecisionLimited += (sender, args) => { _resultHandler.DebugMessage(args.Message); };
dataReader.DownloadFailed += (sender, args) => { _resultHandler.ErrorMessage(args.Message, args.StackTrace); };
dataReader.ReaderErrorDetected += (sender, args) => { _resultHandler.RuntimeError(args.Message, args.StackTrace); };
dataReader.Initialize();
return(dataReader);
}
/// <summary>
/// Creates a <see cref="SubscriptionDataReader"/> 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 mapFileResolver = request.Configuration.SecurityType == SecurityType.Equity ||
request.Configuration.SecurityType == SecurityType.Option
? _mapFileProvider.Get(request.Security.Symbol.ID.Market)
: MapFileResolver.Empty;
var dataReader = new SubscriptionDataReader(request.Configuration,
request.StartTimeLocal,
request.EndTimeLocal,
mapFileResolver,
_factorFileProvider,
_tradableDaysProvider(request),
_isLiveMode,
_zipDataCacheProvider
);
dataReader.InvalidConfigurationDetected += (sender, args) => { _resultHandler.ErrorMessage(args.Message); };
dataReader.NumericalPrecisionLimited += (sender, args) => { _resultHandler.DebugMessage(args.Message); };
dataReader.DownloadFailed += (sender, args) => { _resultHandler.ErrorMessage(args.Message, args.StackTrace); };
dataReader.ReaderErrorDetected += (sender, args) => { _resultHandler.RuntimeError(args.Message, args.StackTrace); };
var enumerator = CorporateEventEnumeratorFactory.CreateEnumerators(
request.Configuration,
_factorFileProvider,
dataReader,
mapFileResolver,
_includeAuxiliaryData);
// has to be initialized after adding all the enumerators since it will execute a MoveNext
dataReader.Initialize();
return(new SynchronizingEnumerator(dataReader, enumerator));
}
/// <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));
}
