private static IDataFeed RunLiveDataFeed(
IAlgorithm algorithm,
DateTime startDate,
IEnumerable <Symbol> symbols,
ITimeProvider timeProvider,
DataManager dataManager,
FuncDataQueueHandler funcDataQueueHandler = null)
{
var feed = new TestableLiveTradingDataFeed(funcDataQueueHandler ?? new FuncDataQueueHandler(x => Enumerable.Empty <BaseData>()),
timeProvider);
var mapFileProvider = new LocalDiskMapFileProvider();
feed.Initialize(algorithm, new LiveNodePacket(), new BacktestingResultHandler(),
mapFileProvider, new LocalDiskFactorFileProvider(mapFileProvider), new DefaultDataProvider(), dataManager);
foreach (var symbol in symbols)
{
var config = algorithm.Securities[symbol].SubscriptionDataConfig;
var request = new SubscriptionRequest(false, null, algorithm.Securities[symbol], config, startDate, Time.EndOfTime);
feed.AddSubscription(request);
}
var feedThreadStarted = new ManualResetEvent(false);
Task.Factory.StartNew(() =>
{
feedThreadStarted.Set();
feed.Run();
});
feedThreadStarted.WaitOne();
return(feed);
}
