/// <summary>
/// Adds the base currency conversion feed.
/// </summary>
/// <param name="security">The security.</param>
private void AddBaseCurrencyConversionFeed(Security security)
{
//get both ways
string tickerbase = $"{security.BaseCurrency}/{_basecurrency}";
string tickerreversed = $"{_basecurrency}/{security.BaseCurrency}";
//Check both subscriptions
var tickerbasesubscription =
DataSubscriptionRequest.CreateSubscriptionRequest(new TickerSymbol(tickerbase, _basecurrency.ToString(), security.BaseCurrency), _datafeed.DataSource, null, DataType.Tick);
var tickerreversesubscription =
DataSubscriptionRequest.CreateSubscriptionRequest(new TickerSymbol(tickerreversed, security.BaseCurrency.ToString(), _basecurrency), _datafeed.DataSource, null, DataType.Tick);
//Add to subscription if needed possible
string warningmessage(string ticker) =>
$"Cannot get live updates for currency {ticker} from feed {_datafeed.Name}, currency conversion will not be based on live data as the feed does not provide this conversion";
if (_datafeed.CanSubscribe(tickerbasesubscription.Ticker))
{
AddSubscription(tickerbasesubscription);
}
else
{
_log.Warn(warningmessage(tickerbase));
}
if (_datafeed.CanSubscribe(tickerreversesubscription.Ticker))
{
AddSubscription(tickerreversesubscription);
}
else
{
_log.Warn(warningmessage(tickerreversed));
}
}
/// <summary>
/// Adds a datasubscription for all non market price data available (delisting, splits, trading status etc)
/// </summary>
/// <param name="security">The security.</param>
/// <param name="quantfund"></param>
public void AddSubscription(IQuantFund quantfund, Security security)
{
//Helper function
void AddSubscriptionType(DataType datatype)
{
var subscriptionrequest =
DataSubscriptionRequest.CreateSubscriptionRequest(security.Ticker, _datafeed.DataSource, null, datatype);
AddSubscription(subscriptionrequest);
//Add subscription to registered subscriptions
if (!_registeredsubscriptions.ContainsKey(quantfund.FundId))
{
_registeredsubscriptions.Add(quantfund.FundId, new List <DataSubscription>()
{
new DataSubscription(quantfund.FundId, subscriptionrequest, security, TimeZone.Utc, null)
});
}
else if (_registeredsubscriptions[quantfund.FundId].Count(x =>
x.Request.GetSubscriptionName() == subscriptionrequest.GetSubscriptionName()) == 0)
{
_registeredsubscriptions[quantfund.FundId].Add(new DataSubscription(quantfund.FundId, subscriptionrequest, security, TimeZone.Utc, null));
}
}
//Add delisting information
AddSubscriptionType(DataType.Delisting);
//Add dividend notifications
AddSubscriptionType(DataType.Dividend);
//Add earning reports
AddSubscriptionType(DataType.Earning);
//Add financial reports
AddSubscriptionType(DataType.Financial);
//Add key stats
AddSubscriptionType(DataType.KeyStat);
//Add stock splits
AddSubscriptionType(DataType.Split);
//Add trading status updates
AddSubscriptionType(DataType.TradingStatus);
//Check base conversion
AddBaseCurrencyConversionFeed(security);
}
/// <summary>
/// Adds a datasubscription which is derived from the requested data aggregator instance
/// Force tick will force the data to contain the highest granularity (otherwise it might be based on 1-minute data)
/// TODO: add unit test, if we request 1 minute data and than request tick data we should keep the tick data request and replace all 1 minute request with the tick data request? (so that we only keep the tick data request)
/// TODO: we will only do ticks or tradebars! (where a trade bar is based on any data)
/// </summary>
/// <param name="quantfund"></param>
/// <param name="security">The security.</param>
/// <param name="aggregator">The aggregator.</param>
/// <param name="forcetick">if set to <c>true</c> [forcetick].</param>
/// <returns>Can be a different dataggregator due to change in data requested</returns>
public DataAggregator AddSubscription(IQuantFund quantfund, Security security, DataAggregator aggregator, bool forcetick = false)
{
//Initial values
TimeSpan?aggregationneeded = null;
DataType datatypeneeded = DataType.Tick;
TimeSpan preaggregated = TimeSpan.FromMinutes(1);
if (!forcetick)
{
//TradeBar -> TradeBar
if (aggregator is TimeSerieAggregator <TradeBar, TradeBar> tradetotrade && tradetotrade.IsTimeBased)
{
if (tradetotrade.Period.Value.TotalSeconds % 60 == 0D)
{
aggregator = new TradeAggregator(tradetotrade.Period.Value);
aggregationneeded = preaggregated;
datatypeneeded = DataType.TradeBar;
}
}
//Tick -> TradeBar
if (aggregator is TimeSerieAggregator <Tick, TradeBar> ticktobar && ticktobar.IsTimeBased)
{
if (ticktobar.Period.Value.TotalSeconds % 60 == 0D)
{
aggregator = new TickQuoteBarAggregator(ticktobar.Period.Value);
aggregationneeded = TimeSpan.FromMinutes(1);
datatypeneeded = DataType.TradeBar;
}
}
}
//get and add subscription
var subscription = DataSubscriptionRequest.CreateSubscriptionRequest(security.Ticker, _datafeed.DataSource,
aggregationneeded, datatypeneeded);
subscription = AddSubscription(subscription);
//Add base currency conversion
AddBaseCurrencyConversionFeed(security);
//Check if we already have a similar data aggregator, reuse the existing version if possible
if (_registeredsubscriptions.ContainsKey(quantfund.FundId))
{
var found = _registeredsubscriptions[quantfund.FundId].FirstOrDefault(x => x.Request.GetSubscriptionName() == subscription.GetSubscriptionName());
var existing = found?.Aggregators.FirstOrDefault(x => x.Name == aggregator.Name);
if (existing != null)
{
return(existing);
}
else if (found == null)
{
_registeredsubscriptions[quantfund.FundId].Add(new DataSubscription(quantfund.FundId, subscription,
security, security.Exchange.TimeZone, aggregator));
}
else
{
found.Aggregators.Add(aggregator);
}
}
else
{
//Add new
_registeredsubscriptions.Add(quantfund.FundId, new List <DataSubscription>());
_registeredsubscriptions[quantfund.FundId].Add(new DataSubscription(quantfund.FundId, subscription, security, security.Exchange.TimeZone, aggregator));
}
//Return our current aggregator
return(aggregator);
}