chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,31 @@
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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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namespace QuantConnect.Data.Shortable
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{
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/// <summary>
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/// Sources the InteractiveBrokers short availability data from the local disk for the given brokerage
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/// </summary>
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public class InteractiveBrokersShortableProvider : LocalDiskShortableProvider
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{
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/// <summary>
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/// Creates a new instance
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/// </summary>
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public InteractiveBrokersShortableProvider()
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: base("interactivebrokers")
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{
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}
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}
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}
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@@ -0,0 +1,175 @@
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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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using System;
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using System.IO;
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using QuantConnect.Util;
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using System.Threading.Tasks;
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using QuantConnect.Interfaces;
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using System.Collections.Generic;
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using System.Globalization;
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namespace QuantConnect.Data.Shortable
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{
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/// <summary>
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/// Sources short availability data from the local disk for the given brokerage
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/// </summary>
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public class LocalDiskShortableProvider : IShortableProvider
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{
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/// <summary>
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/// The data provider instance to use
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/// </summary>
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protected static IDataProvider DataProvider = Composer.Instance.GetPart<IDataProvider>();
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private string _ticker;
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private bool _scheduledCleanup;
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private Dictionary<DateTime, ShortableData> _shortableDataPerDate;
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/// <summary>
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/// The short availability provider
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/// </summary>
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protected string Brokerage { get; set; }
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/// <summary>
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/// Creates an instance of the class. Establishes the directory to read from.
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/// </summary>
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/// <param name="brokerage">Brokerage to read the short availability data</param>
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public LocalDiskShortableProvider(string brokerage)
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{
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Brokerage = brokerage.ToLowerInvariant();
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}
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/// <summary>
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/// Gets interest rate charged on borrowed shares for a given asset.
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/// </summary>
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/// <param name="symbol">Symbol to lookup fee rate</param>
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/// <param name="localTime">Time of the algorithm</param>
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/// <returns>Fee rate. Zero if the data for the brokerage/date does not exist.</returns>
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public decimal FeeRate(Symbol symbol, DateTime localTime)
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{
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if (symbol != null && GetCacheData(symbol).TryGetValue(localTime.Date, out var result))
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{
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return result.FeeRate;
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}
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// Any missing entry will be considered to be zero.
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return 0m;
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}
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/// <summary>
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/// Gets the Fed funds or other currency-relevant benchmark rate minus the interest rate charged on borrowed shares for a given asset.
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/// E.g.: Interest rate - borrow fee rate = borrow rebate rate: 5.32% - 0.25% = 5.07%.
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/// </summary>
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/// <param name="symbol">Symbol to lookup rebate rate</param>
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/// <param name="localTime">Time of the algorithm</param>
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/// <returns>Rebate fee. Zero if the data for the brokerage/date does not exist.</returns>
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public decimal RebateRate(Symbol symbol, DateTime localTime)
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{
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if (symbol != null && GetCacheData(symbol).TryGetValue(localTime.Date, out var result))
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{
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return result.RebateFee;
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}
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// Any missing entry will be considered to be zero.
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return 0m;
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}
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/// <summary>
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/// Gets the quantity shortable for the Symbol at the given date.
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/// </summary>
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/// <param name="symbol">Symbol to lookup shortable quantity</param>
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/// <param name="localTime">Time of the algorithm</param>
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/// <returns>Quantity shortable. Null if the data for the brokerage/date does not exist.</returns>
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public long? ShortableQuantity(Symbol symbol, DateTime localTime)
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{
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if (symbol != null && GetCacheData(symbol).TryGetValue(localTime.Date, out var result))
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{
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return result.ShortableQuantity;
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}
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// Any missing entry will be considered to be Shortable.
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return null;
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}
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/// <summary>
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/// We cache data per ticker
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/// </summary>
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/// <param name="symbol">The requested symbol</param>
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private Dictionary<DateTime, ShortableData> GetCacheData(Symbol symbol)
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{
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var result = _shortableDataPerDate;
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if (_ticker == symbol.Value)
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{
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return result;
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}
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if (!_scheduledCleanup)
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{
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// we schedule it once
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_scheduledCleanup = true;
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ClearCache();
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}
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// create a new collection
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_ticker = symbol.Value;
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result = _shortableDataPerDate = new();
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// Implicitly trusts that Symbol.Value has been mapped and updated to the latest ticker
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var shortableSymbolFile = Path.Combine(Globals.DataFolder, symbol.SecurityType.SecurityTypeToLower(), symbol.ID.Market,
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"shortable", Brokerage, "symbols", $"{_ticker.ToLowerInvariant()}.csv");
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foreach (var line in DataProvider.ReadLines(shortableSymbolFile))
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{
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if (string.IsNullOrEmpty(line) || line.StartsWith("#"))
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{
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// ignore empty or comment lines
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continue;
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}
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// Data example. The rates, if available, are expressed in percentage.
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// 20201221,2000,5.0700,0.2500
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var csv = line.Split(',');
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var date = Parse.DateTimeExact(csv[0], "yyyyMMdd");
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var lenght = csv.Length;
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var shortableQuantity = csv[1].IfNotNullOrEmpty(s => long.Parse(s, NumberStyles.Any, CultureInfo.InvariantCulture));
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var rebateRate = csv.Length > 2 ? csv[2].IfNotNullOrEmpty(s => decimal.Parse(s, NumberStyles.Any, CultureInfo.InvariantCulture)) : 0;
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var feeRate = csv.Length > 3 ? csv[3].IfNotNullOrEmpty(s => decimal.Parse(s, NumberStyles.Any, CultureInfo.InvariantCulture)) : 0;
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result[date] = new ShortableData(shortableQuantity, rebateRate / 100, feeRate / 100);
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}
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return result;
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}
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/// <summary>
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/// For live deployments we don't want to have stale short quantity so we refresh them every day
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/// </summary>
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private void ClearCache()
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{
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var now = DateTime.UtcNow;
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var tomorrowMidnight = now.Date.AddDays(1);
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var delayToClean = tomorrowMidnight - now;
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Task.Delay(delayToClean).ContinueWith((_) =>
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{
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// create new instances so we don't need to worry about locks
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_ticker = null;
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_shortableDataPerDate = new();
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ClearCache();
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});
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}
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/// <summary>
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/// Gets the shortable data
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/// </summary>
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protected record ShortableData(long? ShortableQuantity, decimal RebateFee, decimal FeeRate);
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}
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}
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@@ -0,0 +1,66 @@
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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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using System;
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using QuantConnect.Interfaces;
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namespace QuantConnect.Data.Shortable
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{
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/// <summary>
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/// Defines the default shortable provider in the case that no local data exists.
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/// This will allow for all assets to be infinitely shortable, with no restrictions.
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/// </summary>
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public class NullShortableProvider : IShortableProvider
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{
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/// <summary>
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/// The null shortable provider instance
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/// </summary>
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public static NullShortableProvider Instance { get; } = new ();
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/// <summary>
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/// Gets interest rate charged on borrowed shares for a given asset.
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/// </summary>
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/// <param name="symbol">Symbol to lookup fee rate</param>
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/// <param name="localTime">Time of the algorithm</param>
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/// <returns>zero indicating that it is does have borrowing costs</returns>
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public decimal FeeRate(Symbol symbol, DateTime localTime)
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{
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return 0m;
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}
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/// <summary>
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/// Gets the Fed funds or other currency-relevant benchmark rate minus the interest rate charged on borrowed shares for a given asset.
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/// E.g.: Interest rate - borrow fee rate = borrow rebate rate: 5.32% - 0.25% = 5.07%.
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/// </summary>
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/// <param name="symbol">Symbol to lookup rebate rate</param>
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/// <param name="localTime">Time of the algorithm</param>
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/// <returns>zero indicating that it is does have borrowing costs</returns>
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public decimal RebateRate(Symbol symbol, DateTime localTime)
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{
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return 0m;
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}
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/// <summary>
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/// Gets the quantity shortable for the Symbol at the given time.
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/// </summary>
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/// <param name="symbol">Symbol to check</param>
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/// <param name="localTime">Local time of the algorithm</param>
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/// <returns>null, indicating that it is infinitely shortable</returns>
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public long? ShortableQuantity(Symbol symbol, DateTime localTime)
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{
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return null;
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}
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}
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}
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@@ -0,0 +1,72 @@
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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 Python.Runtime;
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using QuantConnect.Interfaces;
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using QuantConnect.Python;
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using System;
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namespace QuantConnect.Data.Shortable
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{
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/// <summary>
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/// Python wrapper for custom shortable providers
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/// </summary>
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public class ShortableProviderPythonWrapper : BasePythonWrapper<IShortableProvider>, IShortableProvider
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{
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/// <summary>
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/// Creates a new instance
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/// </summary>
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/// <param name="shortableProvider">The python custom shortable provider</param>
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public ShortableProviderPythonWrapper(PyObject shortableProvider)
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: base(shortableProvider)
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{
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}
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/// <summary>
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/// Gets the fee rate for the Symbol at the given date.
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/// </summary>
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/// <param name="symbol">Symbol to lookup fee rate</param>
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/// <param name="localTime">Time of the algorithm</param>
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/// <returns>zero indicating that it is does have borrowing costs</returns>
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public decimal FeeRate(Symbol symbol, DateTime localTime)
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{
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return InvokeMethod<decimal>(nameof(FeeRate), symbol, localTime);
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}
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/// <summary>
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/// Gets the Fed funds or other currency-relevant benchmark rate minus the interest rate charged on borrowed shares for a given asset.
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/// E.g.: Interest rate - borrow fee rate = borrow rebate rate: 5.32% - 0.25% = 5.07%.
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/// </summary>
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/// <param name="symbol">Symbol to lookup rebate rate</param>
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/// <param name="localTime">Time of the algorithm</param>
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/// <returns>zero indicating that it is does have borrowing costs</returns>
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public decimal RebateRate(Symbol symbol, DateTime localTime)
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{
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return InvokeMethod<decimal>(nameof(RebateRate), symbol, localTime);
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}
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/// <summary>
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/// Gets the quantity shortable for a <see cref="Symbol"/>, from python custom shortable provider
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/// </summary>
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/// <param name="symbol">Symbol to check shortable quantity</param>
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/// <param name="localTime">Local time of the algorithm</param>
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/// <returns>The quantity shortable for the given Symbol as a positive number. Null if the Symbol is shortable without restrictions.</returns>
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public long? ShortableQuantity(Symbol symbol, DateTime localTime)
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{
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return InvokeMethod<long?>(nameof(ShortableQuantity), symbol, localTime);
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}
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}
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}
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