IDataFeed.cs

/*
 * 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.ComponentModel.Composition;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Interfaces;
using QuantConnect.Lean.Engine.Results;
using QuantConnect.Packets;
 
namespace QuantConnect.Lean.Engine.DataFeeds
{
    /// <summary>
    /// Datafeed interface for creating custom datafeed sources.
    /// </summary>
    [InheritedExport(typeof(IDataFeed))]
    public interface IDataFeed
    {
        /// <summary>
        /// Public flag indicator that the thread is still busy.
        /// </summary>
        bool IsActive
        {
            get;
        }
 
        /// <summary>
        /// Initializes the data feed for the specified job and algorithm
        /// </summary>
        void Initialize(IAlgorithm algorithm,
            AlgorithmNodePacket job,
            IResultHandler resultHandler,
            IMapFileProvider mapFileProvider,
            IFactorFileProvider factorFileProvider,
            IDataProvider dataProvider,
            IDataFeedSubscriptionManager subscriptionManager,
            IDataFeedTimeProvider dataFeedTimeProvider,
            IDataChannelProvider dataChannelProvider);
 
        /// <summary>
        /// Creates a new subscription to provide data for the specified security.
        /// </summary>
        /// <param name="request">Defines the subscription to be added, including start/end times the universe and security</param>
        /// <returns>The created <see cref="Subscription"/> if successful, null otherwise</returns>
        Subscription CreateSubscription(SubscriptionRequest request);
 
        /// <summary>
        /// Removes the subscription from the data feed, if it exists
        /// </summary>
        /// <param name="subscription">The subscription to remove</param>
        void RemoveSubscription(Subscription subscription);
 
        /// <summary>
        /// External controller calls to signal a terminate of the thread.
        /// </summary>
        void Exit();
    }
}