chore: import upstream snapshot with attribution
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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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using System;
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Util;
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namespace QuantConnect.Securities
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{
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/// <summary>
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/// Base class for security databases, including market hours and symbol properties.
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/// </summary>
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public abstract class BaseSecurityDatabase<T, TEntry>
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where T : BaseSecurityDatabase<T, TEntry>
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{
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/// <summary>
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/// The database instance loaded from the data folder
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/// </summary>
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protected static T DataFolderDatabase { get; set; }
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/// <summary>
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/// Lock object for the data folder database
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/// </summary>
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protected static readonly object DataFolderDatabaseLock = new object();
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/// <summary>
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/// The database entries
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/// </summary>
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protected Dictionary<SecurityDatabaseKey, TEntry> Entries { get; set; }
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/// <summary>
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/// Custom entries set by the user.
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/// </summary>
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protected HashSet<SecurityDatabaseKey> CustomEntries { get; }
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// _loadFromFromDataFolder and _updateEntry are used to load the database from
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// the data folder and update an entry respectively.
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// These are not abstract or virtual methods because they might be static methods.
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private readonly Func<T> _loadFromFromDataFolder;
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private readonly Action<TEntry, TEntry> _updateEntry;
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/// <summary>
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/// Initializes a new instance of the <see cref="BaseSecurityDatabase{T, TEntry}"/> class
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/// </summary>
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/// <param name="entries">The full listing of exchange hours by key</param>
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/// <param name="fromDataFolder">Method to load the database form the data folder</param>
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/// <param name="updateEntry">Method to update a database entry</param>
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protected BaseSecurityDatabase(Dictionary<SecurityDatabaseKey, TEntry> entries,
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Func<T> fromDataFolder, Action<TEntry, TEntry> updateEntry)
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{
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Entries = entries;
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CustomEntries = new();
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_loadFromFromDataFolder = fromDataFolder;
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_updateEntry = updateEntry;
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}
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/// <summary>
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/// Resets the database, forcing a reload when reused.
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/// Called in tests where multiple algorithms are run sequentially,
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/// and we need to guarantee that every test starts with the same environment.
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/// </summary>
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#pragma warning disable CA1000 // Do not declare static members on generic types
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public static void Reset()
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#pragma warning restore CA1000 // Do not declare static members on generic types
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{
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lock (DataFolderDatabaseLock)
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{
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DataFolderDatabase = null;
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}
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}
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/// <summary>
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/// Reload entries dictionary from file and merge them with previous custom ones
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/// </summary>
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internal void UpdateDataFolderDatabase()
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{
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lock (DataFolderDatabaseLock)
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{
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Reset();
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var newDatabase = _loadFromFromDataFolder();
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Merge(newDatabase, resetCustomEntries: false);
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// Make sure we keep this as the data folder database
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DataFolderDatabase = (T)this;
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}
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}
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/// <summary>
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/// Updates the entries dictionary with the new entries from the specified database
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/// </summary>
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internal virtual void Merge(T newDatabase, bool resetCustomEntries)
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{
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var newEntries = new List<KeyValuePair<SecurityDatabaseKey, TEntry>>();
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foreach (var newEntry in newDatabase.Entries)
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{
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if (Entries.TryGetValue(newEntry.Key, out var entry))
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{
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if (resetCustomEntries || !CustomEntries.Contains(newEntry.Key))
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{
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_updateEntry(entry, newEntry.Value);
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}
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}
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else
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{
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newEntries.Add(KeyValuePair.Create(newEntry.Key, newEntry.Value));
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}
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}
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Entries = Entries
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.Where(kvp => (!resetCustomEntries && CustomEntries.Contains(kvp.Key)) || newDatabase.Entries.ContainsKey(kvp.Key))
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.Concat(newEntries)
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.ToDictionary();
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if (resetCustomEntries)
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{
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CustomEntries.Clear();
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}
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}
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/// <summary>
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/// Determines if the database contains the specified key
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/// </summary>
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/// <param name="key">The key to search for</param>
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/// <returns>True if an entry is found, otherwise false</returns>
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protected bool ContainsKey(SecurityDatabaseKey key)
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{
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return Entries.ContainsKey(key);
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}
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/// <summary>
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/// Check whether an entry exists for the specified market/symbol/security-type
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/// </summary>
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/// <param name="market">The market the exchange resides in, i.e, 'usa', 'fxcm', ect...</param>
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/// <param name="symbol">The particular symbol being traded</param>
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/// <param name="securityType">The security type of the symbol</param>
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public bool ContainsKey(string market, string symbol, SecurityType securityType)
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{
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return ContainsKey(new SecurityDatabaseKey(market, symbol, securityType));
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}
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/// <summary>
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/// Check whether an entry exists for the specified market/symbol/security-type
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/// </summary>
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/// <param name="market">The market the exchange resides in, i.e, 'usa', 'fxcm', ect...</param>
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/// <param name="symbol">The particular symbol being traded (Symbol class)</param>
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/// <param name="securityType">The security type of the symbol</param>
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public bool ContainsKey(string market, Symbol symbol, SecurityType securityType)
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{
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return ContainsKey(
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market,
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GetDatabaseSymbolKey(symbol),
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securityType);
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}
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/// <summary>
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/// Gets the correct string symbol to use as a database key
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/// </summary>
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/// <param name="symbol">The symbol</param>
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/// <returns>The symbol string used in the database ke</returns>
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#pragma warning disable CA1000 // Do not declare static members on generic types
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public static string GetDatabaseSymbolKey(Symbol symbol)
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#pragma warning restore CA1000 // Do not declare static members on generic types
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{
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string stringSymbol;
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if (symbol == null)
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{
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stringSymbol = string.Empty;
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}
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else
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{
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switch (symbol.ID.SecurityType)
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{
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case SecurityType.Option:
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stringSymbol = symbol.HasUnderlying ? symbol.Underlying.Value : string.Empty;
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break;
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case SecurityType.IndexOption:
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case SecurityType.FutureOption:
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stringSymbol = symbol.HasUnderlying ? symbol.ID.Symbol : string.Empty;
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break;
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case SecurityType.Base:
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case SecurityType.Future:
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stringSymbol = symbol.ID.Symbol;
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break;
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default:
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stringSymbol = symbol.Value;
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break;
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}
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}
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return stringSymbol;
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}
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}
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}
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