chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*
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*/
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using System;
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using System.Collections;
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using System.Collections.Generic;
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using System.Data;
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using System.IO;
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using System.Linq;
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using QuantConnect.Interfaces;
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using QuantConnect.Util;
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namespace QuantConnect.Data.Auxiliary
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{
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/// <summary>
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/// Provides a means of mapping a symbol at a point in time to the map file
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/// containing that share class's mapping information
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/// </summary>
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public class MapFileResolver : IEnumerable<MapFile>
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{
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private readonly Dictionary<string, MapFile> _mapFilesByPermtick;
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private readonly Dictionary<string, SortedList<DateTime, MapFileRowEntry>> _bySymbol;
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/// <summary>
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/// Gets an empty <see cref="MapFileResolver"/>, that is an instance that contains
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/// zero mappings
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/// </summary>
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public static readonly MapFileResolver Empty = new MapFileResolver(Enumerable.Empty<MapFile>());
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/// <summary>
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/// Initializes a new instance of the <see cref="MapFileResolver"/> by reading
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/// in all files in the specified directory.
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/// </summary>
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/// <param name="mapFiles">The data used to initialize this resolver.</param>
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public MapFileResolver(IEnumerable<MapFile> mapFiles)
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{
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_mapFilesByPermtick = new Dictionary<string, MapFile>(StringComparer.InvariantCultureIgnoreCase);
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_bySymbol = new Dictionary<string, SortedList<DateTime, MapFileRowEntry>>(StringComparer.InvariantCultureIgnoreCase);
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foreach (var mapFile in mapFiles)
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{
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// add to our by path map
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_mapFilesByPermtick.Add(mapFile.Permtick, mapFile);
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foreach (var row in mapFile)
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{
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SortedList<DateTime, MapFileRowEntry> entries;
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var mapFileRowEntry = new MapFileRowEntry(mapFile.Permtick, row);
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if (!_bySymbol.TryGetValue(row.MappedSymbol, out entries))
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{
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entries = new SortedList<DateTime, MapFileRowEntry>();
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_bySymbol[row.MappedSymbol] = entries;
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}
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if (entries.ContainsKey(mapFileRowEntry.MapFileRow.Date))
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{
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// check to verify it' the same data
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if (!entries[mapFileRowEntry.MapFileRow.Date].Equals(mapFileRowEntry))
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{
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throw new DuplicateNameException("Attempted to assign different history for symbol.");
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}
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}
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else
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{
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entries.Add(mapFileRowEntry.MapFileRow.Date, mapFileRowEntry);
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}
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}
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}
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}
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/// <summary>
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/// Gets the map file matching the specified permtick
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/// </summary>
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/// <param name="permtick">The permtick to match on</param>
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/// <returns>The map file matching the permtick, or null if not found</returns>
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public MapFile GetByPermtick(string permtick)
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{
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MapFile mapFile;
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_mapFilesByPermtick.TryGetValue(permtick.LazyToUpper(), out mapFile);
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return mapFile;
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}
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/// <summary>
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/// Resolves the map file path containing the mapping information for the symbol defined at <paramref name="date"/>
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/// </summary>
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/// <param name="symbol">The symbol as of <paramref name="date"/> to be mapped</param>
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/// <param name="date">The date associated with the <paramref name="symbol"/></param>
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/// <returns>The map file responsible for mapping the symbol, if no map file is found, null is returned</returns>
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public MapFile ResolveMapFile(string symbol, DateTime date)
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{
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// lookup the symbol's history
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SortedList<DateTime, MapFileRowEntry> entries;
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if (_bySymbol.TryGetValue(symbol, out entries))
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{
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if (entries.Count == 0)
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{
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return new MapFile(symbol, Enumerable.Empty<MapFileRow>());
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}
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// Return value of BinarySearch (from MSDN):
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// The zero-based index of item in the sorted List<T>, if item is found;
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// otherwise, a negative number that is the bitwise complement of the index of the next element that is larger than item
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// or, if there is no larger element, the bitwise complement of Count.
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var indexOf = entries.Keys.BinarySearch(date);
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if (indexOf >= 0)
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{
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symbol = entries.Values[indexOf].EntitySymbol;
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}
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else
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{
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if (indexOf == ~entries.Keys.Count)
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{
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// the searched date is greater than the last date in the list, return the last entry
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indexOf = entries.Keys.Count - 1;
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}
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else
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{
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// if negative, it's the bitwise complement of where it should be
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indexOf = ~indexOf;
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}
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symbol = entries.Values[indexOf].EntitySymbol;
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}
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}
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// secondary search for exact mapping, find path than ends with symbol.csv
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MapFile mapFile;
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if (!_mapFilesByPermtick.TryGetValue(symbol, out mapFile)
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|| mapFile.FirstDate > date && date != SecurityIdentifier.DefaultDate)
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{
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return new MapFile(symbol, Enumerable.Empty<MapFileRow>());
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}
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return mapFile;
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}
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/// <summary>
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/// Combines the map file row with the map file path that produced the row
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/// </summary>
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class MapFileRowEntry : IEquatable<MapFileRowEntry>
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{
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/// <summary>
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/// Gets the map file row
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/// </summary>
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public MapFileRow MapFileRow { get; private set; }
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/// <summary>
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/// Gets the full path to the map file that produced this row
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/// </summary>
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public string EntitySymbol { get; private set; }
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/// <summary>
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/// Initializes a new instance of the <see cref="MapFileRowEntry"/> class
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/// </summary>
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/// <param name="entitySymbol">The map file that produced this row</param>
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/// <param name="mapFileRow">The map file row data</param>
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public MapFileRowEntry(string entitySymbol, MapFileRow mapFileRow)
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{
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MapFileRow = mapFileRow;
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EntitySymbol = entitySymbol;
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}
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/// <summary>
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/// Indicates whether the current object is equal to another object of the same type.
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/// </summary>
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/// <returns>
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/// true if the current object is equal to the <paramref name="other"/> parameter; otherwise, false.
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/// </returns>
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/// <param name="other">An object to compare with this object.</param>
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public bool Equals(MapFileRowEntry other)
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{
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if (other == null) return false;
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return other.MapFileRow.Date == MapFileRow.Date
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&& other.MapFileRow.MappedSymbol == MapFileRow.MappedSymbol;
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}
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/// <summary>
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/// Returns a string that represents the current object.
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/// </summary>
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/// <returns>
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/// A string that represents the current object.
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/// </returns>
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/// <filterpriority>2</filterpriority>
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public override string ToString()
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{
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return MapFileRow.Date + ": " + MapFileRow.MappedSymbol + ": " + EntitySymbol;
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}
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}
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#region Implementation of IEnumerable
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/// <summary>
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/// Returns an enumerator that iterates through the collection.
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/// </summary>
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/// <returns>
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/// A <see cref="T:System.Collections.Generic.IEnumerator`1"/> that can be used to iterate through the collection.
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/// </returns>
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/// <filterpriority>1</filterpriority>
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public IEnumerator<MapFile> GetEnumerator()
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{
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return _mapFilesByPermtick.Values.GetEnumerator();
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}
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/// <summary>
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/// Returns an enumerator that iterates through a collection.
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/// </summary>
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/// <returns>
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/// An <see cref="T:System.Collections.IEnumerator"/> object that can be used to iterate through the collection.
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/// </returns>
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/// <filterpriority>2</filterpriority>
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IEnumerator IEnumerable.GetEnumerator()
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{
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return GetEnumerator();
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}
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#endregion
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}
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}
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