/// <summary>
/// Adds a new subscription to provide data for the specified security.
/// </summary>
/// <param name="universe">The universe the subscription is to be added to</param>
/// <param name="security">The security to add a subscription for</param>
/// <param name="config">The subscription config to be added</param>
/// <param name="utcStartTime">The start time of the subscription</param>
/// <param name="utcEndTime">The end time of the subscription</param>
public bool AddSubscription(Universe universe, Security security, SubscriptionDataConfig config, DateTime utcStartTime, DateTime utcEndTime)
{
var subscription = CreateSubscription(universe, security, config, utcStartTime, utcEndTime);
if (subscription == null)
{
// subscription will be null when there's no tradeable dates for the security between the requested times, so
// don't even try to load the data
return(false);
}
Log.Debug("FileSystemDataFeed.AddSubscription(): Added " + security.Symbol.ID + " Start: " + utcStartTime + " End: " + utcEndTime);
if (_subscriptions.TryAdd(subscription))
{
UpdateFillForwardResolution();
}
return(true);
}
/// <summary>
/// Initializes the data feed for the specified job and algorithm
/// </summary>
public void Initialize(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler, IMapFileProvider mapFileProvider, IFactorFileProvider factorFileProvider)
{
if (!(job is LiveNodePacket))
{
throw new ArgumentException("The LiveTradingDataFeed requires a LiveNodePacket.");
}
_cancellationTokenSource = new CancellationTokenSource();
_algorithm = algorithm;
_job = (LiveNodePacket)job;
_resultHandler = resultHandler;
_timeProvider = GetTimeProvider();
_dataQueueHandler = GetDataQueueHandler();
_frontierTimeProvider = new ManualTimeProvider(_timeProvider.GetUtcNow());
_customExchange = new BaseDataExchange("CustomDataExchange")
{
SleepInterval = 10
};
// sleep is controlled on this exchange via the GetNextTicksEnumerator
_exchange = new BaseDataExchange("DataQueueExchange")
{
SleepInterval = 0
};
_exchange.AddEnumerator(DataQueueHandlerSymbol, GetNextTicksEnumerator());
_subscriptions = new SubscriptionCollection();
_bridge = new BusyBlockingCollection <TimeSlice>();
_universeSelection = new UniverseSelection(this, algorithm, job.Controls);
// run the exchanges
Task.Run(() => _exchange.Start(_cancellationTokenSource.Token));
Task.Run(() => _customExchange.Start(_cancellationTokenSource.Token));
// this value will be modified via calls to AddSubscription/RemoveSubscription
var ffres = Time.OneMinute;
_fillForwardResolution = Ref.Create(() => ffres, v => ffres = v);
// wire ourselves up to receive notifications when universes are added/removed
var start = _timeProvider.GetUtcNow();
algorithm.UniverseManager.CollectionChanged += (sender, args) =>
{
switch (args.Action)
{
case NotifyCollectionChangedAction.Add:
foreach (var universe in args.NewItems.OfType <Universe>())
{
if (!_subscriptions.Contains(universe.Configuration))
{
_subscriptions.TryAdd(CreateUniverseSubscription(universe, start, Time.EndOfTime));
}
// Not sure if this is needed but left here because of this:
// https://github.com/VigiothCapital.QuantTrader.commit/029d70bde6ca83a1eb0c667bb5cc4444bea05678
UpdateFillForwardResolution();
}
break;
case NotifyCollectionChangedAction.Remove:
foreach (var universe in args.OldItems.OfType <Universe>())
{
RemoveSubscription(universe.Configuration);
}
break;
default:
throw new NotImplementedException("The specified action is not implemented: " + args.Action);
}
};
}