/// <summary>
/// Syncs the specified subscriptions. The frontier time used for synchronization is
/// managed internally and dependent upon previous synchronization operations.
/// </summary>
/// <param name="subscriptions">The subscriptions to sync</param>
public TimeSlice Sync(IEnumerable <Subscription> subscriptions)
{
var delayedSubscriptionFinished = false;
var changes = SecurityChanges.None;
var data = new List <DataFeedPacket>();
// NOTE: Tight coupling in UniverseSelection.ApplyUniverseSelection
var universeData = new Dictionary <Universe, BaseDataCollection>();
var universeDataForTimeSliceCreate = new Dictionary <Universe, BaseDataCollection>();
_frontierTimeProvider.SetCurrentTimeUtc(_timeProvider.GetUtcNow());
var frontierUtc = _frontierTimeProvider.GetUtcNow();
SecurityChanges newChanges;
do
{
newChanges = SecurityChanges.None;
foreach (var subscription in subscriptions)
{
if (subscription.EndOfStream)
{
OnSubscriptionFinished(subscription);
continue;
}
// prime if needed
if (subscription.Current == null)
{
if (!subscription.MoveNext())
{
OnSubscriptionFinished(subscription);
continue;
}
}
var packet = new DataFeedPacket(subscription.Security, subscription.Configuration, subscription.RemovedFromUniverse);
while (subscription.Current != null && subscription.Current.EmitTimeUtc <= frontierUtc)
{
packet.Add(subscription.Current.Data);
if (!subscription.MoveNext())
{
delayedSubscriptionFinished = true;
break;
}
}
if (packet.Count > 0)
{
// we have new universe data to select based on, store the subscription data until the end
if (!subscription.IsUniverseSelectionSubscription)
{
data.Add(packet);
}
else
{
// assume that if the first item is a base data collection then the enumerator handled the aggregation,
// otherwise, load all the the data into a new collection instance
var packetBaseDataCollection = packet.Data[0] as BaseDataCollection;
var packetData = packetBaseDataCollection == null
? packet.Data
: packetBaseDataCollection.Data;
BaseDataCollection collection;
if (universeData.TryGetValue(subscription.Universes.Single(), out collection))
{
collection.Data.AddRange(packetData);
}
else
{
if (packetBaseDataCollection is OptionChainUniverseDataCollection)
{
var current = packetBaseDataCollection as OptionChainUniverseDataCollection;
collection = new OptionChainUniverseDataCollection(frontierUtc, subscription.Configuration.Symbol, packetData, current?.Underlying);
}
else if (packetBaseDataCollection is FuturesChainUniverseDataCollection)
{
collection = new FuturesChainUniverseDataCollection(frontierUtc, subscription.Configuration.Symbol, packetData);
}
else
{
collection = new BaseDataCollection(frontierUtc, subscription.Configuration.Symbol, packetData);
}
universeData[subscription.Universes.Single()] = collection;
}
}
}
if (subscription.IsUniverseSelectionSubscription &&
subscription.Universes.Single().DisposeRequested ||
delayedSubscriptionFinished)
{
delayedSubscriptionFinished = false;
// we need to do this after all usages of subscription.Universes
OnSubscriptionFinished(subscription);
}
}
foreach (var kvp in universeData)
{
var universe = kvp.Key;
var baseDataCollection = kvp.Value;
universeDataForTimeSliceCreate[universe] = baseDataCollection;
newChanges += _universeSelection.ApplyUniverseSelection(universe, frontierUtc, baseDataCollection);
}
universeData.Clear();
changes += newChanges;
}while (newChanges != SecurityChanges.None ||
_universeSelection.AddPendingCurrencyDataFeeds(frontierUtc));
var timeSlice = _timeSliceFactory.Create(frontierUtc, data, changes, universeDataForTimeSliceCreate);
return(timeSlice);
}
