wehub-resource-sync
53 lines
2.3 KiB
C#
53 lines
2.3 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 System.Linq;
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Logging;
|
|
using QuantConnect.Data.Market;
|
|
using System.Collections.Generic;
|
|
|
|
namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
|
|
{
|
|
/// <summary>
|
|
/// Event provider who will emit <see cref="SymbolChangedEvent"/> events
|
|
/// </summary>
|
|
/// <remarks>Only special behavior is that it will refresh map file on each new tradable date event</remarks>
|
|
public class LiveMappingEventProvider : MappingEventProvider
|
|
{
|
|
/// <summary>
|
|
/// Check for new mappings
|
|
/// </summary>
|
|
public override IEnumerable<BaseData> GetEvents(NewTradableDateEventArgs eventArgs)
|
|
{
|
|
var currentInstance = MapFile;
|
|
// refresh map file instance
|
|
InitializeMapFile();
|
|
var newInstance = MapFile;
|
|
|
|
// All future and option contracts sharing the same canonical symbol, share the same configuration too. Thus, in
|
|
// order to reduce logs, we log the configuration using the canonical symbol. See the optional parameter
|
|
// "overrideMessageFloodProtection" in Log.Trace() method for more information
|
|
var symbol = Config.Symbol.HasCanonical() ? Config.Symbol.Canonical.Value : Config.Symbol.Value;
|
|
Log.Trace($"LiveMappingEventProvider({Config.ToString(symbol)}): new tradable date {eventArgs.Date:yyyyMMdd}. " +
|
|
$"New MapFile: {!ReferenceEquals(currentInstance, newInstance)}. " +
|
|
$"MapFile.Count Old: {currentInstance?.Count()} New: {newInstance?.Count()}");
|
|
|
|
return base.GetEvents(eventArgs);
|
|
}
|
|
}
|
|
}
|