Adalyat Nazirov
7bb143b215
* Calculate both raw and adjuasted prices for backtesting * disable second price factoring * move and reuse method * test coverage for new methods * reuse scaling method * reuse subscriptionData.Create method * removed unused code * regression test * switch to aapl * fix regression test output * more asserts * fix comments - reduce shortcuts and abbrevation * more comments * merge parameters * reduce number of getting price factors * fix tests * fix tests * fix regression tests * calculate TotalReturn on demand * include TotalReturn calculations * perf tuning * more unit tests for SubscriptionData.Create * simplify things - store and return only raw and precalculated data * fix regression tests; change it back * factor equals 1 for Raw data * small changes * follow code style * implement backward compatibility
70 lines
2.9 KiB
C#
70 lines
2.9 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using QuantConnect.Data;
|
|
using System;
|
|
|
|
namespace QuantConnect.Lean.Engine.DataFeeds
|
|
{
|
|
/// <summary>
|
|
/// Store data both raw and adjusted and the time at which it should be synchronized
|
|
/// </summary>
|
|
public class PrecalculatedSubscriptionData : SubscriptionData
|
|
{
|
|
private BaseData _normalizedData;
|
|
private SubscriptionDataConfig _config;
|
|
private readonly DataNormalizationMode _mode;
|
|
|
|
/// <summary>
|
|
/// Gets the data
|
|
/// </summary>
|
|
public override BaseData Data
|
|
{
|
|
get
|
|
{
|
|
if (_config.DataNormalizationMode == DataNormalizationMode.Raw)
|
|
{
|
|
return _data;
|
|
}
|
|
else if (_config.DataNormalizationMode == _mode)
|
|
{
|
|
return _normalizedData;
|
|
}
|
|
else
|
|
{
|
|
throw new ArgumentException($"DataNormalizationMode.{_config.DataNormalizationMode} was requested for "
|
|
+ $"symbol {_data.Symbol} but only {_mode} and Raw DataNormalizationMode are available. "
|
|
+ "Please configure the desired DataNormalizationMode initially when adding the Symbol");
|
|
}
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the <see cref="PrecalculatedSubscriptionData"/> class
|
|
/// </summary>
|
|
/// <param name="configuration">The subscription's configuration</param>
|
|
/// <param name="rawData">The base data</param>
|
|
/// <param name="normalizedData">The normalized calculated based on raw data</param>
|
|
/// <param name="normalizationMode">Specifies how data is normalized</param>
|
|
/// <param name="emitTimeUtc">The emit time for the data</param>
|
|
public PrecalculatedSubscriptionData(SubscriptionDataConfig configuration, BaseData rawData, BaseData normalizedData, DataNormalizationMode normalizationMode, DateTime emitTimeUtc)
|
|
: base(rawData, emitTimeUtc)
|
|
{
|
|
_config = configuration;
|
|
_normalizedData = normalizedData;
|
|
_mode = normalizationMode;
|
|
}
|
|
}
|
|
} |