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.IO;
+using QuantConnect.Util;
+using QuantConnect.Interfaces;
+using System.Collections.Concurrent;
+
+namespace QuantConnect.Data.Auxiliary
+{
+    /// <summary>
+    /// Provides an implementation of <see cref="IFactorFileProvider"/> that searches the local disk
+    /// </summary>
+    public class LocalDiskFactorFileProvider : IFactorFileProvider
+    {
+        private IMapFileProvider _mapFileProvider;
+        private IDataProvider _dataProvider;
+        private readonly ConcurrentDictionary<Symbol, IFactorProvider> _cache;
+
+        /// <summary>
+        /// Creates a new instance of the <see cref="LocalDiskFactorFileProvider"/>
+        /// </summary>
+        public LocalDiskFactorFileProvider()
+        {
+            _cache = new ConcurrentDictionary<Symbol, IFactorProvider>();
+        }
+
+        /// <summary>
+        /// Initializes our FactorFileProvider by supplying our mapFileProvider
+        /// and dataProvider
+        /// </summary>
+        /// <param name="mapFileProvider">MapFileProvider to use</param>
+        /// <param name="dataProvider">DataProvider to use</param>
+        public void Initialize(IMapFileProvider mapFileProvider, IDataProvider dataProvider)
+        {
+            _mapFileProvider = mapFileProvider;
+            _dataProvider = dataProvider;
+        }
+
+        /// <summary>
+        /// Gets a <see cref="FactorFile{T}"/> instance for the specified symbol, or null if not found
+        /// </summary>
+        /// <param name="symbol">The security's symbol whose factor file we seek</param>
+        /// <returns>The resolved factor file, or null if not found</returns>
+        public IFactorProvider Get(Symbol symbol)
+        {
+            symbol = symbol.GetFactorFileSymbol();
+            IFactorProvider factorFile;
+            if (_cache.TryGetValue(symbol, out factorFile))
+            {
+                return factorFile;
+            }
+
+            // we first need to resolve the map file to get a permtick, that's how the factor files are stored
+            var mapFileResolver = _mapFileProvider.Get(AuxiliaryDataKey.Create(symbol));
+            if (mapFileResolver == null)
+            {
+                return GetFactorFile(symbol, symbol.Value);
+            }
+
+            var mapFile = mapFileResolver.ResolveMapFile(symbol);
+            if (mapFile.IsNullOrEmpty())
+            {
+                return GetFactorFile(symbol, symbol.Value);
+            }
+
+            return GetFactorFile(symbol, mapFile.Permtick);
+        }
+
+        /// <summary>
+        /// Checks that the factor file exists on disk, and if it does, loads it into memory
+        /// </summary>
+        private IFactorProvider GetFactorFile(Symbol symbol, string permtick)
+        {
+            var basePath = Globals.GetDataFolderPath(FactorFileZipHelper.GetRelativeFactorFilePath(symbol.ID.Market, symbol.SecurityType));
+            var path = Path.Combine(basePath, permtick.ToLowerInvariant() + ".csv");
+
+            var factorFile = PriceScalingExtensions.SafeRead(permtick, _dataProvider.ReadLines(path), symbol.SecurityType);
+            _cache.AddOrUpdate(symbol, factorFile, (s, c) => factorFile);
+            return factorFile;
+        }
+    }
+}