Adalyat Nazirov
75eac27795
* bitfinex unsubscribe impl * IB implementation * Alpaca Brokerage * Fxcm Brokerage * Bitfinex remake * GDAX Brokerage * move & rename DataQueueHandler subscription manager to better place for using in ToolBox * performance tuning use unified Channel class everywhere BaseWebsocketBrokerage.GetSubscribed method relies on DQHSubscriptionManager * TradierBrokerage implementation * OandaBrokerage implementation * FakeDataQueue subcription manager * Fake SubscriptionManager for testing * CoinApi implementation * IEXDataQueueHandler implementation * IQFeed Implementation * unit tests * fix SubscribeSymbols params * thread safe subscribed symbols * don't need to lock Keys prop, because it's thread safe * accurate PolygonDataQueueHandler subscribe/unsubscribe methods * Alpaca isnt DataQueueHAndler anymore * remove unused variable * remove redundant hashset * fix coin api subscribe method * disclaimer * prettify code * race condition? * fix symbol conversion * log if unsubscribed; change Channel Id type * requested changes * pass GetChannelName func as required parameter * centralized logs * use single name for all idqh with no difference in tick type * change Oanda resubscribe method * CanSubscribe doesn't change instance state - can be marked as static. * change Oanda Subscription tracking * style changes * bitfinex fix * fix spelling
93 lines
3.7 KiB
C#
93 lines
3.7 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Logging;
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namespace QuantConnect.Data
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{
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/// <summary>
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/// Overrides <see cref="DataQueueHandlerSubscriptionManager"/> methods using events
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/// </summary>
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public class EventBasedDataQueueHandlerSubscriptionManager : DataQueueHandlerSubscriptionManager
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{
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/// <summary>
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/// Creates an instance of <see cref="EventBasedDataQueueHandlerSubscriptionManager"/> with a single channel name
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/// </summary>
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public EventBasedDataQueueHandlerSubscriptionManager() : this(t => Channel.Single) {}
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/// <summary>
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/// Creates an instance of <see cref="EventBasedDataQueueHandlerSubscriptionManager"/>
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/// </summary>
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/// <param name="getChannelName">Convert TickType into string</param>
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public EventBasedDataQueueHandlerSubscriptionManager(Func<TickType, string> getChannelName)
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{
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_getChannelName = getChannelName;
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}
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/// <summary>
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/// Subscription method implementation
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/// </summary>
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public Func<IEnumerable<Symbol>, TickType, bool> SubscribeImpl;
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/// <summary>
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/// Unsubscription method implementation
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/// </summary>
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public Func<IEnumerable<Symbol>, TickType, bool> UnsubscribeImpl;
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/// <summary>
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/// Socket channel name
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/// </summary>
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private Func<TickType, string> _getChannelName;
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/// <summary>
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/// The way Brokerage subscribes to symbol tickers
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/// </summary>
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/// <param name="symbols">Symbols to subscribe</param>
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/// <param name="tickType">Type of tick data</param>
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/// <returns></returns>
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protected override bool Subscribe(IEnumerable<Symbol> symbols, TickType tickType)
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{
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Log.Trace("EventBasedDataQueueHandlerSubscriptionManager.Subscribe(): {0}", string.Join(",", symbols.Select(x => x.Value)));
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return SubscribeImpl?.Invoke(symbols, tickType) == true;
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}
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/// <summary>
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/// The way Brokerage unsubscribes from symbol tickers
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/// </summary>
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/// <param name="symbols">Symbols to unsubscribe</param>
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/// <param name="tickType">Type of tick data</param>
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/// <returns></returns>
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protected override bool Unsubscribe(IEnumerable<Symbol> symbols, TickType tickType)
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{
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Log.Trace("EventBasedDataQueueHandlerSubscriptionManager.Unsubscribe(): {0}", string.Join(",", symbols.Select(x => x.Value)));
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return UnsubscribeImpl?.Invoke(symbols, tickType) == true;
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}
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/// <summary>
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/// Channel name
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/// </summary>
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/// <param name="tickType">Type of tick data</param>
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/// <returns>Returns Socket channel name corresponding <paramref name="tickType"/></returns>
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protected override string ChannelNameFromTickType(TickType tickType)
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{
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return _getChannelName?.Invoke(tickType);
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}
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}
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}
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