chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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+/*
+ * 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;
+using System.IO;
+using System.Linq;
+using System.Collections.Generic;
+using static QuantConnect.StringExtensions;
+
+namespace QuantConnect.Data.Auxiliary
+{
+    /// <summary>
+    /// Provides methods for reading factor file zips
+    /// </summary>
+    public static class FactorFileZipHelper
+    {
+        /// <summary>
+        /// Constructs the factor file path for the specified market and security type
+        /// </summary>
+        /// <param name="market">The market this symbol belongs to</param>
+        /// <param name="securityType">The security type</param>
+        /// <returns>The relative file path</returns>
+        public static string GetRelativeFactorFilePath(string market, SecurityType securityType)
+        {
+            return Invariant($"{securityType.SecurityTypeToLower()}/{market}/factor_files");
+        }
+
+        /// <summary>
+        /// Gets the factor file zip filename for the specified date
+        /// </summary>
+        public static string GetFactorFileZipFileName(string market, DateTime date, SecurityType securityType)
+        {
+            return Path.Combine(Globals.DataFolder, GetRelativeFactorFilePath(market, securityType), $"factor_files_{date:yyyyMMdd}.zip");
+        }
+
+        /// <summary>
+        /// Reads the zip bytes as text and parses as FactorFileRows to create FactorFiles
+        /// </summary>
+        public static IEnumerable<KeyValuePair<Symbol, IFactorProvider>> ReadFactorFileZip(Stream file, MapFileResolver mapFileResolver, string market, SecurityType securityType)
+        {
+            if (file == null || file.Length == 0)
+            {
+                return new Dictionary<Symbol, IFactorProvider>();
+            }
+
+            var keyValuePairs = (
+                    from kvp in Compression.Unzip(file)
+                    let filename = kvp.Key
+                    let lines = kvp.Value
+                    let factorFile = PriceScalingExtensions.SafeRead(Path.GetFileNameWithoutExtension(filename), lines, securityType)
+                    let mapFile = mapFileResolver.GetByPermtick(factorFile.Permtick)
+                    where mapFile != null
+                    select new KeyValuePair<Symbol, IFactorProvider>(GetSymbol(mapFile, market, securityType), factorFile)
+                );
+
+            return keyValuePairs;
+        }
+
+        private static Symbol GetSymbol(MapFile mapFile, string market, SecurityType securityType)
+        {
+            SecurityIdentifier sid;
+            switch (securityType)
+            {
+                case SecurityType.Equity:
+                    sid = SecurityIdentifier.GenerateEquity(mapFile.FirstDate, mapFile.FirstTicker, market);
+                    break;
+                case SecurityType.Future:
+                    sid = SecurityIdentifier.GenerateFuture(SecurityIdentifier.DefaultDate, mapFile.Permtick, market);
+                    break;
+                default:
+                    throw new ArgumentOutOfRangeException(nameof(securityType), securityType, null);
+            }
+            return new Symbol(sid, mapFile.Permtick);
+        }
+    }
+}