LiveTradingDataFeed
Bases: FileSystemDataFeed
Provides an implementation of IDataFeed that is designed to deal with live, remote data sources
is_active: bool
Public flag indicator that the thread is still busy.
create_subscription(
request: SubscriptionRequest,
) -> Subscription
Creates a new subscription to provide data for the specified security.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
request
|
SubscriptionRequest
|
Defines the subscription to be added, including start/end times the universe and security |
required |
Returns:
| Type | Description |
|---|---|
Subscription
|
The created Subscription if successful, null otherwise. |
exit() -> None
External controller calls to signal a terminate of the thread.
get_base_data_exchange() -> BaseDataExchange
Gets the BaseDataExchange to use
This codeEntityType is protected.
get_data_queue_handler() -> IDataQueueHandler
Gets the IDataQueueHandler to use by default DataQueueHandlerManager
This codeEntityType is protected.
Returns:
| Type | Description |
|---|---|
IDataQueueHandler
|
The loaded IDataQueueHandler. |
initialize(
algorithm: IAlgorithm,
job: AlgorithmNodePacket,
result_handler: IResultHandler,
map_file_provider: IMapFileProvider,
factor_file_provider: IFactorFileProvider,
data_provider: IDataProvider,
subscription_manager: IDataFeedSubscriptionManager,
data_feed_time_provider: IDataFeedTimeProvider,
data_channel_provider: IDataChannelProvider,
) -> None
Initializes the data feed for the specified job and algorithm
remove_subscription(subscription: Subscription) -> None
Removes the subscription from the data feed, if it exists
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
subscription
|
Subscription
|
The subscription to remove |
required |
add_schedule_wrapper(
request: SubscriptionRequest,
underlying: IEnumerator[BaseData],
time_provider: ITimeProvider,
) -> IEnumerator[BaseData]
Returns a scheduled enumerator from the given arguments. It can also return the given underlying enumerator
This codeEntityType is protected.
configure_enumerator(
request: SubscriptionRequest,
aggregate: bool,
enumerator: IEnumerator[BaseData],
fill_forward_resolution: Optional[Resolution],
last_point_tracker: LastPointTracker,
is_warm_up_enumerator: bool = False,
) -> IEnumerator[BaseData]
Configure the enumerator with aggregation/fill-forward/filter behaviors. Returns new instance if re-configured
This codeEntityType is protected.
configure_last_point_tracker(
enumerator: IEnumerator[BaseData],
last_point_tracker: LastPointTracker,
is_warm_up_enumerator: bool,
) -> IEnumerator[BaseData]
Configures the enumerator to track the last data point, if requested, and if this is a warmup enumerator
This codeEntityType is protected.
create_enumerator(
request: SubscriptionRequest,
fill_forward_resolution: Optional[Resolution] = None,
last_point_tracker: LastPointTracker = None,
is_warm_up: bool = False,
) -> IEnumerator[BaseData]
Creates a file based data enumerator for the given subscription request
This codeEntityType is protected.
create_universe_enumerator(
request: SubscriptionRequest,
) -> IEnumerator[BaseData]
Creates a universe enumerator from the Subscription request, the underlying enumerator func and the fill forward resolution (in some cases)
This codeEntityType is protected.
try_add_fill_forward_enumerator(
request: SubscriptionRequest,
enumerator: IEnumerator[BaseData],
fill_forward: bool,
fill_forward_resolution: Optional[Resolution],
last_point_tracker: LastPointTracker = None,
) -> IEnumerator[BaseData]
Will add a fill forward enumerator if requested
This codeEntityType is protected.