/// <summary>
/// Execute the primary thread for retrieving stock data.
/// 1. Subscribe to the streams requested.
/// 2. Build bars or tick data requested, primary loop increment smallest possible.
/// </summary>
public void Run()
{
//Initialize:
// Set up separate thread to handle stream and building packets:
var streamThread = new Thread(StreamStoreConsumer);
streamThread.Start();
Thread.Sleep(5); // Wait a little for the other thread to init.
// This thread converts data into bars "on" the second - assuring the bars are close as
// possible to a second unit tradebar (starting at 0 milliseconds).
var realtime = new RealTimeSynchronizedTimer(TimeSpan.FromSeconds(1), utcTriggerTime =>
{
// determine if we're on even time boundaries for data emit
var onMinute = utcTriggerTime.Second == 0;
var onHour = onMinute && utcTriggerTime.Minute == 0;
// Determine if this subscription needs to be archived:
var items = new List <KeyValuePair <Security, List <BaseData> > >();
var changes = SecurityChanges.None;
var performedUniverseSelection = new HashSet <string>();
foreach (var kvp in _subscriptions)
{
var subscription = kvp.Value;
if (subscription.Configuration.Resolution == Resolution.Tick)
{
continue;
}
var localTime = new DateTime(utcTriggerTime.Ticks - subscription.OffsetProvider.GetOffsetTicks(utcTriggerTime));
var onDay = onHour && localTime.Hour == 0;
// perform universe selection if requested on day changes (don't perform multiple times per market)
if (onDay && _algorithm.Universe != null && performedUniverseSelection.Add(subscription.Configuration.Market))
{
var coarse = UniverseSelection.GetCoarseFundamentals(subscription.Configuration.Market, subscription.TimeZone, localTime.Date, true);
OnFundamental(FundamentalType.Coarse, utcTriggerTime, subscription.Configuration, coarse.ToList());
}
var triggerArchive = false;
switch (subscription.Configuration.Resolution)
{
case Resolution.Second:
triggerArchive = true;
break;
case Resolution.Minute:
triggerArchive = onMinute;
break;
case Resolution.Hour:
triggerArchive = onHour;
break;
case Resolution.Daily:
triggerArchive = onDay;
break;
}
if (triggerArchive)
{
var data = subscription.StreamStore.TriggerArchive(utcTriggerTime);
if (data != null)
{
items.Add(new KeyValuePair <Security, List <BaseData> >(subscription.Security, new List <BaseData> {
data
}));
}
}
}
// don't try to add if we're already cancelling
if (_cancellationTokenSource.IsCancellationRequested)
{
return;
}
Bridge.Add(TimeSlice.Create(utcTriggerTime, _algorithm.TimeZone, _algorithm.Portfolio.CashBook, items, changes));
});
//Start the realtime sampler above
realtime.Start();
while (!_cancellationTokenSource.IsCancellationRequested && !_endOfBridges)
{
// main work of this class is done in the realtime and stream store consumer threads
Thread.Sleep(1000);
}
//Dispose of the realtime clock.
realtime.Stop();
//Stop thread
_isActive = false;
//Exit Live DataStream Feed:
Log.Trace("LiveTradingDataFeed.Run(): Exiting LiveTradingDataFeed Run Method");
}
