Subscription data reader is a wrapper on the stream reader class to download, unpack and iterate over a data file. More...

Inheritance diagram for QuantConnect.Lean.Engine.DataFeeds.SubscriptionDataReader:

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Public Member Functions
	SubscriptionDataReader (SubscriptionDataConfig config, BaseDataRequest dataRequest, IMapFileProvider mapFileProvider, IFactorFileProvider factorFileProvider, IDataCacheProvider dataCacheProvider, IDataProvider dataProvider, IObjectStore objectStore)
	Subscription data reader takes a subscription request, loads the type, accepts the data source and enumerate on the results. More...

void	Initialize ()
	Initializes the SubscriptionDataReader instance More...

bool	MoveNext ()
	Advances the enumerator to the next element of the collection. More...

void	Reset ()
	Reset the IEnumeration More...

void	Dispose ()
	Dispose of the Stream Reader and close out the source stream and file connections. More...

Protected Member Functions
virtual void	OnInvalidConfigurationDetected (InvalidConfigurationDetectedEventArgs e)
	Event invocator for the InvalidConfigurationDetected event More...

virtual void	OnNumericalPrecisionLimited (NumericalPrecisionLimitedEventArgs e)
	Event invocator for the NumericalPrecisionLimited event More...

virtual void	OnStartDateLimited (StartDateLimitedEventArgs e)
	Event invocator for the StartDateLimited event More...

virtual void	OnDownloadFailed (DownloadFailedEventArgs e)
	Event invocator for the DownloadFailed event More...

virtual void	OnReaderErrorDetected (ReaderErrorDetectedEventArgs e)
	Event invocator for the ReaderErrorDetected event More...

virtual void	OnNewTradableDate (NewTradableDateEventArgs e)
	Event invocator for the NewTradableDate event More...

Properties
BaseData	Current `[get]`
	Last read BaseData object from this type and source More...

Events
EventHandler< InvalidConfigurationDetectedEventArgs >	InvalidConfigurationDetected
	Event fired when an invalid configuration has been detected More...

EventHandler< NumericalPrecisionLimitedEventArgs >	NumericalPrecisionLimited
	Event fired when the numerical precision in the factor file has been limited More...

EventHandler< StartDateLimitedEventArgs >	StartDateLimited
	Event fired when the start date has been limited More...

EventHandler< DownloadFailedEventArgs >	DownloadFailed
	Event fired when there was an error downloading a remote file More...

EventHandler< ReaderErrorDetectedEventArgs >	ReaderErrorDetected
	Event fired when there was an error reading the data More...

EventHandler< NewTradableDateEventArgs >	NewTradableDate
	Event fired when there is a new tradable date More...

Events inherited from QuantConnect.Lean.Engine.DataFeeds.Enumerators.ITradableDatesNotifier
EventHandler< NewTradableDateEventArgs >	NewTradableDate
	Event fired when there is a new tradable date More...

Events inherited from QuantConnect.Interfaces.IDataProviderEvents
EventHandler< InvalidConfigurationDetectedEventArgs >	InvalidConfigurationDetected
	Event fired when an invalid configuration has been detected More...

EventHandler< NumericalPrecisionLimitedEventArgs >	NumericalPrecisionLimited
	Event fired when the numerical precision in the factor file has been limited More...

EventHandler< DownloadFailedEventArgs >	DownloadFailed
	Event fired when there was an error downloading a remote file More...

EventHandler< ReaderErrorDetectedEventArgs >	ReaderErrorDetected
	Event fired when there was an error reading the data More...

EventHandler< StartDateLimitedEventArgs >	StartDateLimited
	Event fired when the start date has been limited More...

Detailed Description

Subscription data reader is a wrapper on the stream reader class to download, unpack and iterate over a data file.

The class accepts any subscription configuration and automatically makes it available to enumerate

Definition at line 39 of file SubscriptionDataReader.cs.

Constructor & Destructor Documentation

◆ SubscriptionDataReader()

QuantConnect.Lean.Engine.DataFeeds.SubscriptionDataReader.SubscriptionDataReader	(	SubscriptionDataConfig	config,
		BaseDataRequest	dataRequest,
		IMapFileProvider	mapFileProvider,
		IFactorFileProvider	factorFileProvider,
		IDataCacheProvider	dataCacheProvider,
		IDataProvider	dataProvider,
		IObjectStore	objectStore
	)

Subscription data reader takes a subscription request, loads the type, accepts the data source and enumerate on the results.

Parameters

config	Subscription configuration object
dataRequest	The data request
mapFileProvider	Used for resolving the correct map files
factorFileProvider	Used for getting factor files
dataCacheProvider	Used for caching files
dataProvider	The data provider to use

Definition at line 142 of file SubscriptionDataReader.cs.

Member Function Documentation

◆ Initialize()

void QuantConnect.Lean.Engine.DataFeeds.SubscriptionDataReader.Initialize ( )

Initializes the SubscriptionDataReader instance

Should be called after all consumers of NewTradableDate event are set, since it will produce events.

Definition at line 172 of file SubscriptionDataReader.cs.

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◆ MoveNext()

bool QuantConnect.Lean.Engine.DataFeeds.SubscriptionDataReader.MoveNext ( )

Advances the enumerator to the next element of the collection.

Returns: true if the enumerator was successfully advanced to the next element; false if the enumerator has passed the end of the collection.

Exceptions

T:System.InvalidOperationException The collection was modified after the enumerator was created.

Definition at line 274 of file SubscriptionDataReader.cs.

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◆ Reset()

void QuantConnect.Lean.Engine.DataFeeds.SubscriptionDataReader.Reset ( )

Reset the IEnumeration

Not used

Definition at line 600 of file SubscriptionDataReader.cs.

◆ Dispose()

void QuantConnect.Lean.Engine.DataFeeds.SubscriptionDataReader.Dispose ( )

Dispose of the Stream Reader and close out the source stream and file connections.

Definition at line 608 of file SubscriptionDataReader.cs.

◆ OnInvalidConfigurationDetected()

virtual void QuantConnect.Lean.Engine.DataFeeds.SubscriptionDataReader.OnInvalidConfigurationDetected ( InvalidConfigurationDetectedEventArgs e )

protectedvirtual

Event invocator for the InvalidConfigurationDetected event

Parameters

e	Event arguments for the InvalidConfigurationDetected event

Definition at line 623 of file SubscriptionDataReader.cs.

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◆ OnNumericalPrecisionLimited()

virtual void QuantConnect.Lean.Engine.DataFeeds.SubscriptionDataReader.OnNumericalPrecisionLimited ( NumericalPrecisionLimitedEventArgs e )

protectedvirtual

Event invocator for the NumericalPrecisionLimited event

Parameters

e	Event arguments for the NumericalPrecisionLimited event

Definition at line 632 of file SubscriptionDataReader.cs.

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◆ OnStartDateLimited()

virtual void QuantConnect.Lean.Engine.DataFeeds.SubscriptionDataReader.OnStartDateLimited ( StartDateLimitedEventArgs e )

protectedvirtual

Event invocator for the StartDateLimited event

Parameters

e	Event arguments for the StartDateLimited event

Definition at line 641 of file SubscriptionDataReader.cs.

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◆ OnDownloadFailed()

virtual void QuantConnect.Lean.Engine.DataFeeds.SubscriptionDataReader.OnDownloadFailed ( DownloadFailedEventArgs e )

protectedvirtual

Event invocator for the DownloadFailed event

Parameters

e	Event arguments for the DownloadFailed event

Definition at line 650 of file SubscriptionDataReader.cs.

◆ OnReaderErrorDetected()

virtual void QuantConnect.Lean.Engine.DataFeeds.SubscriptionDataReader.OnReaderErrorDetected ( ReaderErrorDetectedEventArgs e )

protectedvirtual

Event invocator for the ReaderErrorDetected event

Parameters

e	Event arguments for the ReaderErrorDetected event

Definition at line 659 of file SubscriptionDataReader.cs.

◆ OnNewTradableDate()

virtual void QuantConnect.Lean.Engine.DataFeeds.SubscriptionDataReader.OnNewTradableDate ( NewTradableDateEventArgs e )

protectedvirtual

Event invocator for the NewTradableDate event

Parameters

e	Event arguments for the NewTradableDate event

Definition at line 668 of file SubscriptionDataReader.cs.

Property Documentation

◆ Current

BaseData QuantConnect.Lean.Engine.DataFeeds.SubscriptionDataReader.Current

get

Last read BaseData object from this type and source

Definition at line 120 of file SubscriptionDataReader.cs.

Event Documentation

◆ InvalidConfigurationDetected

EventHandler<InvalidConfigurationDetectedEventArgs> QuantConnect.Lean.Engine.DataFeeds.SubscriptionDataReader.InvalidConfigurationDetected

Event fired when an invalid configuration has been detected

Definition at line 89 of file SubscriptionDataReader.cs.

◆ NumericalPrecisionLimited

EventHandler<NumericalPrecisionLimitedEventArgs> QuantConnect.Lean.Engine.DataFeeds.SubscriptionDataReader.NumericalPrecisionLimited

Event fired when the numerical precision in the factor file has been limited

Definition at line 94 of file SubscriptionDataReader.cs.

◆ StartDateLimited

EventHandler<StartDateLimitedEventArgs> QuantConnect.Lean.Engine.DataFeeds.SubscriptionDataReader.StartDateLimited

Event fired when the start date has been limited

Definition at line 99 of file SubscriptionDataReader.cs.

◆ DownloadFailed

EventHandler<DownloadFailedEventArgs> QuantConnect.Lean.Engine.DataFeeds.SubscriptionDataReader.DownloadFailed

Event fired when there was an error downloading a remote file

Definition at line 104 of file SubscriptionDataReader.cs.

◆ ReaderErrorDetected

EventHandler<ReaderErrorDetectedEventArgs> QuantConnect.Lean.Engine.DataFeeds.SubscriptionDataReader.ReaderErrorDetected

Event fired when there was an error reading the data

Definition at line 109 of file SubscriptionDataReader.cs.

◆ NewTradableDate

EventHandler<NewTradableDateEventArgs> QuantConnect.Lean.Engine.DataFeeds.SubscriptionDataReader.NewTradableDate

Event fired when there is a new tradable date

Definition at line 114 of file SubscriptionDataReader.cs.

The documentation for this class was generated from the following file:

Engine/DataFeeds/SubscriptionDataReader.cs

Public Member Functions

Protected Member Functions

Properties

Events

Detailed Description

Constructor & Destructor Documentation

◆ SubscriptionDataReader()

Member Function Documentation

◆ Initialize()

◆ MoveNext()

◆ Reset()

◆ Dispose()

◆ OnInvalidConfigurationDetected()

◆ OnNumericalPrecisionLimited()

◆ OnStartDateLimited()

◆ OnDownloadFailed()

◆ OnReaderErrorDetected()

◆ OnNewTradableDate()

Property Documentation

◆ Current

Event Documentation

◆ InvalidConfigurationDetected

◆ NumericalPrecisionLimited

◆ StartDateLimited

◆ DownloadFailed

◆ ReaderErrorDetected

◆ NewTradableDate