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Joseph-Matteo-ScorsoneJoseph-Matteo-Scorsone
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Additions to ticker formatting, prop[er auth receiving.
1 parent 972017f commit 7e04cb4

4 files changed

Lines changed: 354 additions & 139 deletions

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‎Demonstration.cs‎

Lines changed: 5 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -49,6 +49,11 @@ public override void Initialize()
4949
/// <param name="slice">Slice object keyed by symbol containing the stock data</param>
5050
public override void OnData(Slice slice)
5151
{
52+
Log($"_esFuture Open: {_esFuture.Open}");
53+
Log($"_esFuture High: {_esFuture.High}");
54+
Log($"_esFuture Low: {_esFuture.Low}");
55+
Log($"_esFuture Close: {_esFuture.Close}");
56+
5257
if (!Portfolio.Invested)
5358
{
5459
SetHoldings(_esFuture.Symbol, 1);

‎QuantConnect.DataBento/DataBentoDataProvider.cs‎

Lines changed: 58 additions & 20 deletions
Original file line numberDiff line numberDiff line change
@@ -20,8 +20,6 @@
2020
using QuantConnect.Util;
2121
using QuantConnect.Interfaces;
2222
using System.Collections.Generic;
23-
using QuantConnect.Lean.Engine.DataFeeds;
24-
using QuantConnect.Lean.Engine.HistoricalData;
2523
using QuantConnect.Configuration;
2624
using QuantConnect.Logging;
2725
using QuantConnect.Packets;
@@ -38,7 +36,8 @@ public class DataBentoProvider : IDataQueueHandler
3836
/// <summary>
3937
/// <inheritdoc cref="IDataAggregator"/>
4038
/// </summary>
41-
private IDataAggregator _dataAggregator = null!;
39+
private readonly IDataAggregator _dataAggregator = Composer.Instance.GetExportedValueByTypeName<IDataAggregator>(
40+
Config.Get("data-aggregator", "QuantConnect.Lean.Engine.DataFeeds.AggregationManager"), forceTypeNameOnExisting: false);
4241

4342
/// <summary>
4443
/// <inheritdoc cref="EventBasedDataQueueHandlerSubscriptionManager"/>
@@ -67,7 +66,6 @@ public class DataBentoProvider : IDataQueueHandler
6766
private bool _unsupportedSecurityTypeMessageLogged;
6867
private bool _unsupportedDataTypeMessageLogged;
6968
private bool _potentialUnsupportedResolutionMessageLogged;
70-
private bool _potentialUnsupportedTickTypeMessageLogged;
7169

7270

7371
/// <summary>
@@ -80,6 +78,7 @@ public class DataBentoProvider : IDataQueueHandler
8078
/// </summary>
8179
public DataBentoProvider()
8280
{
81+
Log.Trace("From Plugin DataBentoProvider.DataBentoProvider() being initialized 1");
8382
_apiKey = Config.Get("databento-api-key");
8483
if (string.IsNullOrEmpty(_apiKey))
8584
{
@@ -96,6 +95,7 @@ public DataBentoProvider()
9695
/// <param name="apiKey">DataBento API key</param>
9796
public DataBentoProvider(string apiKey)
9897
{
98+
Log.Trace("From Plugin DataBentoProvider.DataBentoProvider() being initialized 2");
9999
_apiKey = apiKey ?? throw new ArgumentNullException(nameof(apiKey));
100100
_dataDownloader = new DataBentoDataDownloader(_apiKey);
101101
Initialize();
@@ -106,58 +106,101 @@ public DataBentoProvider(string apiKey)
106106
/// </summary>
107107
private void Initialize()
108108
{
109-
_dataAggregator = Composer.Instance.GetExportedValueByTypeName<IDataAggregator>("DataAggregator");
109+
Log.Trace("DataBentoProvider.Initialize(): Starting initialization");
110+
110111
_subscriptionManager = new EventBasedDataQueueHandlerSubscriptionManager();
111112
_subscriptionManager.SubscribeImpl = (symbols, tickType) =>
112113
{
114+
Log.Trace($"DataBentoProvider.SubscribeImpl(): Received subscription request for {symbols.Count()} symbols, TickType={tickType}");
115+
113116
foreach (var symbol in symbols)
114117
{
118+
Log.Trace($"DataBentoProvider.SubscribeImpl(): Processing symbol {symbol}");
119+
115120
if (_subscriptionConfigs.TryGetValue(symbol, out var config))
116121
{
122+
Log.Trace($"DataBentoProvider.SubscribeImpl(): Found config for {symbol}, Resolution={config.Resolution}, TickType={config.TickType}");
123+
117124
if (_client?.IsConnected == true)
118125
{
126+
Log.Trace($"DataBentoProvider.SubscribeImpl(): Client is connected, attempting async subscribe for {symbol}");
119127
Task.Run(() =>
120128
{
121129
var success = _client.Subscribe(config.Symbol, config.Resolution, config.TickType);
122-
if (!success)
130+
if (success)
123131
{
124-
Log.Error($"DataBentoProvider.Subscribe(): Failed to subscribe to live data for {config.Symbol}");
132+
Log.Trace($"DataBentoProvider.SubscribeImpl(): Successfully subscribed to {config.Symbol}");
133+
}
134+
else
135+
{
136+
Log.Error($"DataBentoProvider.SubscribeImpl(): Failed to subscribe to live data for {config.Symbol}");
125137
}
126138
});
127139
}
140+
else
141+
{
142+
Log.Trace($"DataBentoProvider.SubscribeImpl(): Client not connected, skipping subscription for {symbol}");
143+
}
144+
}
145+
else
146+
{
147+
Log.Trace($"DataBentoProvider.SubscribeImpl(): No config found for {symbol}, skipping");
128148
}
129149
}
150+
130151
return true;
131152
};
153+
132154
_subscriptionManager.UnsubscribeImpl = (symbols, tickType) =>
133155
{
156+
Log.Trace($"DataBentoProvider.UnsubscribeImpl(): Received unsubscribe request for {symbols.Count()} symbols, TickType={tickType}");
157+
134158
foreach (var symbol in symbols)
135159
{
160+
Log.Trace($"DataBentoProvider.UnsubscribeImpl(): Processing symbol {symbol}");
161+
136162
if (_client?.IsConnected == true)
137163
{
164+
Log.Trace($"DataBentoProvider.UnsubscribeImpl(): Client is connected, unsubscribing from {symbol}");
138165
Task.Run(() =>
139166
{
140167
_client.Unsubscribe(symbol);
168+
Log.Trace($"DataBentoProvider.UnsubscribeImpl(): Unsubscribed from {symbol}");
141169
});
142170
}
171+
else
172+
{
173+
Log.Trace($"DataBentoProvider.UnsubscribeImpl(): Client not connected, skipping unsubscribe for {symbol}");
174+
}
143175
}
176+
144177
return true;
145178
};
146179

147180
// Initialize the live client
181+
Log.Trace("DataBentoProvider.Initialize(): Creating DatabentoRawClient");
148182
_client = new DatabentoRawClient(_apiKey);
149183
_client.DataReceived += OnDataReceived;
150184
_client.ConnectionStatusChanged += OnConnectionStatusChanged;
151185

152186
// Connect to live gateway
187+
Log.Trace("DataBentoProvider.Initialize(): Attempting async connection to DataBento live gateway");
153188
Task.Run(async () =>
154189
{
155190
var connected = await _client.ConnectAsync();
156-
if (!connected)
191+
Log.Trace($"DataBentoProvider.Initialize(): ConnectAsync() returned {connected}");
192+
193+
if (connected)
194+
{
195+
Log.Trace("DataBentoProvider.Initialize(): Successfully connected to DataBento live gateway");
196+
}
197+
else
157198
{
158199
Log.Error("DataBentoProvider.Initialize(): Failed to connect to DataBento live gateway");
159200
}
160201
});
202+
203+
Log.Trace("DataBentoProvider.Initialize(): Initialization complete");
161204
}
162205

163206
/// <summary>
@@ -168,6 +211,7 @@ private void Initialize()
168211
/// <returns>The new enumerator for this subscription request</returns>
169212
public IEnumerator<BaseData>? Subscribe(SubscriptionDataConfig dataConfig, EventHandler newDataAvailableHandler)
170213
{
214+
Log.Trace("From Plugin Subscribed ENTER");
171215
if (!CanSubscribe(dataConfig)){
172216
return null;
173217
}
@@ -177,6 +221,7 @@ private void Initialize()
177221
_subscriptionManager.Subscribe(dataConfig);
178222
_activeSubscriptionConfigs.Add(dataConfig);
179223

224+
Log.Trace("From Plugin Subscribed DONE");
180225
return enumerator;
181226
}
182227

@@ -298,7 +343,8 @@ private bool IsSupported(SecurityType securityType, Type dataType, TickType tick
298343
// Check supported data types
299344
if (dataType != typeof(TradeBar) &&
300345
dataType != typeof(QuoteBar) &&
301-
dataType != typeof(Tick))
346+
dataType != typeof(Tick) &&
347+
dataType != typeof(OpenInterest))
302348
{
303349
if (!_unsupportedDataTypeMessageLogged)
304350
{
@@ -310,30 +356,22 @@ private bool IsSupported(SecurityType securityType, Type dataType, TickType tick
310356

311357
// Warn about potential limitations for tick data
312358
// I'm mimicing polygon implementation with this
313-
if (resolution < Resolution.Second && !_potentialUnsupportedResolutionMessageLogged)
359+
if (!_potentialUnsupportedResolutionMessageLogged)
314360
{
315361
_potentialUnsupportedResolutionMessageLogged = true;
316362
Log.Trace("DataBentoDataProvider.IsSupported(): " +
317363
$"Subscription for {securityType}-{dataType}-{tickType}-{resolution} will be attempted. " +
318364
$"An Advanced DataBento subscription plan is required to stream tick data.");
319365
}
320366

321-
// Warn about potential limitations for quote data
322-
if (tickType == TickType.Quote && !_potentialUnsupportedTickTypeMessageLogged)
323-
{
324-
_potentialUnsupportedTickTypeMessageLogged = true;
325-
Log.Trace("DataBentoDataProvider.IsSupported(): " +
326-
$"Subscription for {securityType}-{dataType}-{tickType}-{resolution} will be attempted. " +
327-
$"An Advanced DataBento subscription plan is required to stream quote data.");
328-
}
329-
330367
return true;
331368
}
332369
// <summary>
333370
/// Handles data received from the live client
334371
/// </summary>
335372
private void OnDataReceived(object? sender, BaseData data)
336373
{
374+
Log.Trace($"DataBentoProvider.OnDataReceived(): Received data: {data}");
337375
try
338376
{
339377
_dataAggregator.Update(data);
@@ -349,7 +387,7 @@ private void OnDataReceived(object? sender, BaseData data)
349387
/// </summary>
350388
private void OnConnectionStatusChanged(object? sender, bool isConnected)
351389
{
352-
Log.Debug($"DataBentoProvider.OnConnectionStatusChanged(): Connection status changed to: {isConnected}");
390+
Log.Trace($"DataBentoProvider.OnConnectionStatusChanged(): Connection status changed to: {isConnected}");
353391

354392
if (isConnected)
355393
{

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