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.IO;
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using QuantConnect.Securities.Option;
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namespace QuantConnect.Util
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{
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/// <summary>
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/// Type representing the various pieces of information emebedded into a lean data file path
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/// </summary>
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public class LeanDataPathComponents
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{
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/// <summary>
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/// Gets the date component from the file name
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/// </summary>
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public DateTime Date
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{
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get; private set;
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}
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/// <summary>
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/// Gets the security type from the path
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/// </summary>
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public SecurityType SecurityType
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{
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get; private set;
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}
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/// <summary>
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/// Gets the market from the path
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/// </summary>
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public string Market
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{
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get; private set;
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}
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/// <summary>
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/// Gets the resolution from the path
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/// </summary>
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public Resolution Resolution
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{
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get; private set;
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}
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/// <summary>
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/// Gets the file name, not inluding directory information
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/// </summary>
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public string Filename
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{
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get; private set;
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}
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/// <summary>
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/// Gets the symbol object implied by the path. For options, or any
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/// multi-entry zip file, this should be the canonical symbol
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/// </summary>
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public Symbol Symbol
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{
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get; private set;
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}
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/// <summary>
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/// Gets the tick type from the file name
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/// </summary>
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public TickType TickType
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{
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get; private set;
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="LeanDataPathComponents"/> class
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/// </summary>
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public LeanDataPathComponents(SecurityType securityType, string market, Resolution resolution, Symbol symbol, string filename, DateTime date, TickType tickType)
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{
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Date = date;
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SecurityType = securityType;
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Market = market;
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Resolution = resolution;
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Filename = filename;
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Symbol = symbol;
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TickType = tickType;
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}
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/// <summary>
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/// Parses the specified path into a new instance of the <see cref="LeanDataPathComponents"/> class
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/// </summary>
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/// <param name="path">The path to be parsed</param>
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/// <returns>A new instance of the <see cref="LeanDataPathComponents"/> class representing the specified path</returns>
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public static LeanDataPathComponents Parse(string path)
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{
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//"../Data/equity/usa/hour/spy.zip"
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//"../Data/equity/usa/hour/spy/20160218_trade.zip"
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var fileinfo = new FileInfo(path);
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var filename = fileinfo.Name;
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var parts = path.Split('/', '\\');
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// defines the offsets of the security relative to the end of the path
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const int LowResSecurityTypeOffset = 4;
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const int HighResSecurityTypeOffset = 5;
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// defines other offsets relative to the beginning of the substring produce by the above offsets
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const int MarketOffset = 1;
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const int ResolutionOffset = 2;
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const int TickerOffset = 3;
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if (parts.Length < LowResSecurityTypeOffset)
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{
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throw new FormatException($"Unexpected path format: {path}");
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}
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var securityTypeOffset = LowResSecurityTypeOffset;
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SecurityType securityType;
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var rawValue = parts[parts.Length - securityTypeOffset];
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if (!Enum.TryParse(rawValue, true, out securityType))
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{
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securityTypeOffset = HighResSecurityTypeOffset;
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rawValue = parts[parts.Length - securityTypeOffset];
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if (!Enum.TryParse(rawValue, true, out securityType))
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{
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throw new FormatException($"Unexpected path format: {path}");
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}
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}
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var market = parts[parts.Length - securityTypeOffset + MarketOffset];
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var resolution = (Resolution) Enum.Parse(typeof (Resolution), parts[parts.Length - securityTypeOffset + ResolutionOffset], true);
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string ticker;
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if (securityTypeOffset == LowResSecurityTypeOffset)
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{
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ticker = Path.GetFileNameWithoutExtension(path);
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if (securityType.IsOption())
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{
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// ticker_year_trade_american
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ticker = ticker.Substring(0, ticker.IndexOf("_", StringComparison.InvariantCulture));
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}
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if (securityType == SecurityType.Future || securityType == SecurityType.CryptoFuture)
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{
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// ticker_trade
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ticker = ticker.Substring(0, ticker.LastIndexOfInvariant("_"));
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}
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if (securityType == SecurityType.Crypto &&
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(resolution == Resolution.Daily || resolution == Resolution.Hour))
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{
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// ticker_trade or ticker_quote
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ticker = ticker.Substring(0, ticker.LastIndexOfInvariant("_"));
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}
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}
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else
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{
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ticker = parts[parts.Length - securityTypeOffset + TickerOffset];
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}
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var date = securityTypeOffset == LowResSecurityTypeOffset ? DateTime.MinValue : DateTime.ParseExact(filename.Substring(0, filename.IndexOf("_", StringComparison.Ordinal)), DateFormat.EightCharacter, null);
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Symbol symbol;
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if (securityType == SecurityType.Option)
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{
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var withoutExtension = Path.GetFileNameWithoutExtension(filename);
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rawValue = withoutExtension.Substring(withoutExtension.LastIndexOf("_", StringComparison.Ordinal) + 1);
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var style = (OptionStyle) Enum.Parse(typeof (OptionStyle), rawValue, true);
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symbol = Symbol.CreateOption(ticker, market, style, default, 0, SecurityIdentifier.DefaultDate);
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}
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else if (securityType == SecurityType.FutureOption || securityType == SecurityType.IndexOption)
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{
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var withoutExtension = Path.GetFileNameWithoutExtension(filename);
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rawValue = withoutExtension.Substring(withoutExtension.LastIndexOf("_", StringComparison.Ordinal) + 1);
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var style = (OptionStyle) Enum.Parse(typeof (OptionStyle), rawValue, true);
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var underlyingSecurityType = Symbol.GetUnderlyingFromOptionType(securityType);
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var underlyingSymbol = Symbol.Create(OptionSymbol.MapToUnderlying(ticker, securityType), underlyingSecurityType, market);
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symbol = Symbol.CreateOption(underlyingSymbol, ticker, market, style, default, 0, SecurityIdentifier.DefaultDate);
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}
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else if (securityType == SecurityType.Future)
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{
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symbol = Symbol.CreateFuture(ticker, market, SecurityIdentifier.DefaultDate);
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}
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else
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{
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symbol = Symbol.Create(ticker, securityType, market);
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}
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var tickType = filename.Contains("_quote") ? TickType.Quote : (filename.Contains("_openinterest") ? TickType.OpenInterest : TickType.Trade);
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return new LeanDataPathComponents(securityType, market, resolution, symbol, filename, date, tickType);
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}
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}
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}
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