wehub-resource-sync
102 lines
4.0 KiB
C#
102 lines
4.0 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 QuantConnect.Securities;
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namespace QuantConnect.Data.UniverseSelection
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{
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/// <summary>
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/// Defines the parameters required to add a subscription to a data feed.
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/// </summary>
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public class SubscriptionRequest : BaseDataRequest
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{
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/// <summary>
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/// Gets true if the subscription is a universe
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/// </summary>
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public bool IsUniverseSubscription { get; }
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/// <summary>
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/// Gets the universe this subscription resides in
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/// </summary>
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public Universe Universe { get; }
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/// <summary>
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/// Gets the security. This is the destination of data for non-internal subscriptions.
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/// </summary>
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public Security Security { get; }
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/// <summary>
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/// Gets the subscription configuration. This defines how/where to read the data.
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/// </summary>
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public SubscriptionDataConfig Configuration { get; }
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/// <summary>
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/// Gets the tradable days specified by this request, in the security's data time zone
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/// </summary>
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public override IEnumerable<DateTime> TradableDaysInDataTimeZone => Time.EachTradeableDayInTimeZone(ExchangeHours,
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StartTimeLocal,
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EndTimeLocal,
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Configuration.DataTimeZone,
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Configuration.ExtendedMarketHours);
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/// <summary>
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/// Initializes a new instance of the <see cref="SubscriptionRequest"/> class
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/// </summary>
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public SubscriptionRequest(bool isUniverseSubscription,
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Universe universe,
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Security security,
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SubscriptionDataConfig configuration,
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DateTime startTimeUtc,
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DateTime endTimeUtc)
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: base(startTimeUtc, endTimeUtc, security.Exchange.Hours, configuration.TickType, configuration.IsCustomData, configuration.Type)
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{
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IsUniverseSubscription = isUniverseSubscription;
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Universe = universe;
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Security = security;
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Configuration = configuration;
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// open interest data comes in once a day before market open,
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// make the subscription start from midnight and use always open exchange
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if (Configuration.TickType == TickType.OpenInterest)
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{
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StartTimeUtc = StartTimeUtc.ConvertFromUtc(ExchangeHours.TimeZone).Date.ConvertToUtc(ExchangeHours.TimeZone);
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}
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="SubscriptionRequest"/> class
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/// </summary>
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public SubscriptionRequest(SubscriptionRequest template,
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bool? isUniverseSubscription = null,
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Universe universe = null,
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Security security = null,
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SubscriptionDataConfig configuration = null,
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DateTime? startTimeUtc = null,
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DateTime? endTimeUtc = null
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)
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: this(isUniverseSubscription ?? template.IsUniverseSubscription,
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universe ?? template.Universe,
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security ?? template.Security,
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configuration ?? template.Configuration,
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startTimeUtc ?? template.StartTimeUtc,
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endTimeUtc ?? template.EndTimeUtc
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)
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{
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}
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}
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}
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