/*
* 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 System.Collections.Generic;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Interfaces;
using QuantConnect.Securities;
namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators.Factories
{
///
/// Provides an implementation of to emit
/// ticks based on , allowing universe
/// selection to fire at planned times.
///
public class TimeTriggeredUniverseSubscriptionEnumeratorFactory : ISubscriptionEnumeratorFactory
{
private readonly ITimeTriggeredUniverse _universe;
private readonly MarketHoursDatabase _marketHoursDatabase;
///
/// Initializes a new instance of the class
///
/// The user defined universe
/// The market hours database
public TimeTriggeredUniverseSubscriptionEnumeratorFactory(ITimeTriggeredUniverse universe, MarketHoursDatabase marketHoursDatabase)
{
_universe = universe;
_marketHoursDatabase = marketHoursDatabase;
}
///
/// Creates an enumerator to read the specified request
///
/// The subscription request to be read
/// Provider used to get data when it is not present on disk
/// An enumerator reading the subscription request
public IEnumerator CreateEnumerator(SubscriptionRequest request, IDataProvider dataProvider)
{
return _universe.GetTriggerTimes(request.StartTimeUtc, request.EndTimeUtc, _marketHoursDatabase)
.Select(x => new Tick { Time = x, Symbol = request.Configuration.Symbol })
.GetEnumerator();
}
}
}