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Minor MarketHourAwareConsolidator tweak #9517

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Minor MarketHourAwareConsolidator tweak #9517

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34 changes: 18 additions & 16 deletions Common/Data/Consolidators/MarketHourAwareConsolidator.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -85,38 +85,40 @@ public MarketHourAwareConsolidator(bool dailyStrictEndTimeEnabled, Resolution re
Period = resolution.ToTimeSpan();
_extendedMarketHours = extendedMarketHours;

Consolidator = CreateConsolidator(resolution, dataType, tickType);
Consolidator.DataConsolidated += ForwardConsolidatedBar;
}

/// <summary>
/// Creates the inner consolidator that produces the requested <paramref name="dataType"/> output.
/// </summary>
protected virtual IDataConsolidator CreateConsolidator(Resolution resolution, Type dataType, TickType tickType)
{
if (dataType == typeof(Tick))
{
if (tickType == TickType.Trade)
{
Consolidator = resolution == Resolution.Daily
return resolution == Resolution.Daily
? new TickConsolidator(DailyStrictEndTime)
: new TickConsolidator(Period);
}
else
{
Consolidator = resolution == Resolution.Daily
? new TickQuoteBarConsolidator(DailyStrictEndTime)
: new TickQuoteBarConsolidator(Period);
}
return resolution == Resolution.Daily
? new TickQuoteBarConsolidator(DailyStrictEndTime)
: new TickQuoteBarConsolidator(Period);
}
else if (dataType == typeof(TradeBar))
if (dataType == typeof(TradeBar))
{
Consolidator = resolution == Resolution.Daily
return resolution == Resolution.Daily
? new TradeBarConsolidator(DailyStrictEndTime)
: new TradeBarConsolidator(Period);
}
else if (dataType == typeof(QuoteBar))
if (dataType == typeof(QuoteBar))
{
Consolidator = resolution == Resolution.Daily
return resolution == Resolution.Daily
? new QuoteBarConsolidator(DailyStrictEndTime)
: new QuoteBarConsolidator(Period);
}
else
{
throw new ArgumentNullException(nameof(dataType), $"{dataType.Name} not supported");
}
Consolidator.DataConsolidated += ForwardConsolidatedBar;
throw new ArgumentNullException(nameof(dataType), $"{dataType.Name} not supported");
}

/// <summary>
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