chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,182 @@
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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 QuantConnect.Util;
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using System.Globalization;
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using QuantConnect.Logging;
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using QuantConnect.Brokerages;
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using QuantConnect.Configuration;
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using QuantConnect.DownloaderDataProvider.Launcher.Models.Constants;
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namespace QuantConnect.DownloaderDataProvider.Launcher.Models;
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/// <summary>
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/// Abstract base class for configuring data download parameters, including common properties and initialization logic.
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/// </summary>
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public abstract class BaseDataDownloadConfig
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{
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/// <summary>
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/// Gets the start date for the data download.
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/// </summary>
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public DateTime StartDate { get; set; }
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/// <summary>
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/// Gets the end date for the data download.
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/// </summary>
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public DateTime EndDate { get; set; }
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/// <summary>
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/// Gets or sets the resolution of the downloaded data.
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/// </summary>
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public Resolution Resolution { get; protected set; }
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/// <summary>
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/// Gets or sets the market name for which the data will be downloaded.
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/// </summary>
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public string MarketName { get; protected set; }
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/// <summary>
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/// Gets the type of security for which the data is being downloaded.
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/// </summary>
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public SecurityType SecurityType { get; set; }
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/// <summary>
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/// Gets or sets the type of tick data to be downloaded.
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/// </summary>
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public TickType TickType { get; protected set; }
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/// <summary>
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/// The type of data based on <see cref="TickTypes"/>
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/// </summary>
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public abstract Type DataType { get; }
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/// <summary>
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/// Gets the list of symbols for which the data will be downloaded.
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/// </summary>
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public IReadOnlyCollection<Symbol> Symbols { get; protected set; } = [];
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/// <summary>
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/// Initializes a new instance of the <see cref="BaseDataDownloadConfig"/> class.
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/// </summary>
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protected BaseDataDownloadConfig()
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{
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StartDate = ParseDate(Config.Get(DownloaderCommandArguments.CommandStartDate).ToString());
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EndDate = ParseDate(Config.Get(DownloaderCommandArguments.CommandEndDate).ToString());
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SecurityType = ParseEnum<SecurityType>(Config.Get(DownloaderCommandArguments.CommandSecurityType).ToString());
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MarketName = Config.Get(DownloaderCommandArguments.CommandMarketName).ToString().ToLower(CultureInfo.InvariantCulture);
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if (string.IsNullOrEmpty(MarketName))
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{
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MarketName = DefaultBrokerageModel.DefaultMarketMap[SecurityType];
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Log.Trace($"{nameof(BaseDataDownloadConfig)}: Default market '{MarketName}' applied for SecurityType '{SecurityType}'");
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}
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if (!Market.SupportedMarkets().Contains(MarketName))
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{
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throw new ArgumentException($"The specified market '{MarketName}' is not supported. Supported markets are: {string.Join(", ", Market.SupportedMarkets())}.");
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}
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Symbols = LoadSymbols(Config.GetValue<Dictionary<string, string>>(DownloaderCommandArguments.CommandTickers), SecurityType, MarketName);
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="DataDownloadConfig"/> class with the specified parameters.
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/// </summary>
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/// <param name="tickType">The type of tick data to be downloaded.</param>
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/// <param name="securityType">The type of security for which data is being downloaded.</param>
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/// <param name="resolution">The resolution of the data being downloaded.</param>
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/// <param name="startDate">The start date for the data download range.</param>
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/// <param name="endDate">The end date for the data download range.</param>
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/// <param name="marketName">The name of the market from which the data is being downloaded.</param>
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/// <param name="symbols">A list of symbols for which data is being downloaded.</param>
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protected BaseDataDownloadConfig(TickType tickType, SecurityType securityType, Resolution resolution, DateTime startDate, DateTime endDate, string marketName, List<Symbol> symbols)
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{
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StartDate = startDate;
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EndDate = endDate;
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Resolution = resolution;
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MarketName = marketName;
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SecurityType = securityType;
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TickType = tickType;
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Symbols = symbols;
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}
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/// <summary>
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/// Loads the symbols for which data will be downloaded.
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/// </summary>
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/// <param name="tickers">A dictionary of tickers to load symbols for.</param>
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/// <param name="securityType">The type of security to download data for.</param>
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/// <param name="market">The market for which the symbols are valid.</param>
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/// <returns>A collection of symbols for the specified market and security type.</returns>
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/// <summary>
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private static IReadOnlyCollection<Symbol> LoadSymbols(Dictionary<string, string> tickers, SecurityType securityType, string market)
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{
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if (tickers == null || tickers.Count == 0)
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{
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throw new ArgumentException($"{nameof(BaseDataDownloadConfig)}.{nameof(LoadSymbols)}: The tickers dictionary cannot be null or empty.");
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}
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return tickers.Keys.ToList((ticker) => ParseTicker(ticker, securityType, market));
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}
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/// <summary>
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/// Parse input 'ticker' to a Symbol or Canonical Symbol based on the provided security type and market.
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/// </summary>
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/// <param name="ticker">The ticker string input by the user.</param>
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/// <param name="securityType">The security type.</param>
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/// <param name="market">The market name.</param>
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/// <returns>A <see cref="Symbol"/> representing the specified security.</returns>
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private static Symbol ParseTicker(string ticker, SecurityType securityType, string market)
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{
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var symbol = default(Symbol);
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try
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{
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symbol = SymbolRepresentation.ParseTickerFromUserInput(ticker, securityType, market);
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}
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catch (Exception ex)
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{
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Log.Debug($"{nameof(BaseDataDownloadConfig)}.{nameof(ParseTicker)}: Failed to parse symbol. Exception: {ex.Message}");
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}
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return symbol ?? Symbol.Create(ticker, securityType, market);
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}
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/// <summary>
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/// Parses a string to a <see cref="DateTime"/> using a specific date format.
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/// </summary>
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/// <param name="date">The date string to parse.</param>
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/// <returns>The parsed <see cref="DateTime"/> value.</returns>
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protected static DateTime ParseDate(string date) => DateTime.ParseExact(date, DateFormat.EightCharacter, CultureInfo.InvariantCulture);
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/// <summary>
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/// Parses a string value into an enum of the specified type.
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/// </summary>
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/// <typeparam name="TEnum">The enum type to parse the value into.</typeparam>
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/// <param name="value">The string value to parse.</param>
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/// <returns>The parsed enum value.</returns>
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/// <exception cref="ArgumentException">Thrown if the value cannot be parsed or is not a valid enum value.</exception>
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protected static TEnum ParseEnum<TEnum>(string value) where TEnum : struct, Enum
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{
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if (!Enum.TryParse(value, true, out TEnum result) || !Enum.IsDefined(result))
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{
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throw new ArgumentException($"Invalid {typeof(TEnum).Name} specified: '{value}'. Please provide a valid {typeof(TEnum).Name}. " +
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$"Valid values are: {string.Join(", ", Enum.GetNames<TEnum>())}.");
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}
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return result;
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}
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}
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@@ -0,0 +1,149 @@
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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 QuantConnect.Util;
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using QuantConnect.Data;
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using QuantConnect.Packets;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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using QuantConnect.Configuration;
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namespace QuantConnect.DownloaderDataProvider.Launcher.Models
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{
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/// <summary>
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/// Class for downloading data from a brokerage.
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/// </summary>
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public class BrokerageDataDownloader : IDataDownloader, IDisposable
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{
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/// <summary>
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/// Represents the Brokerage implementation.
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/// </summary>
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private IBrokerage _brokerage;
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/// <summary>
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/// Provides access to exchange hours and raw data times zones in various markets
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/// </summary>
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private readonly MarketHoursDatabase _marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
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/// <summary>
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/// Initializes a new instance of the <see cref="BrokerageDataDownloader"/> class.
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/// </summary>
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public BrokerageDataDownloader()
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{
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var liveNodeConfiguration = new LiveNodePacket()
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{
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Brokerage = Config.Get("data-downloader-brokerage"),
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UserToken = Globals.UserToken,
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UserId = Globals.UserId,
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ProjectId = Globals.ProjectId,
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OrganizationId = Globals.OrganizationID,
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Version = Globals.Version,
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DeploymentTarget = DeploymentTarget.LocalPlatform
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};
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try
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{
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// import the brokerage data for the configured brokerage
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var brokerageFactory = Composer.Instance.Single<IBrokerageFactory>(factory => factory.BrokerageType.MatchesTypeName(liveNodeConfiguration.Brokerage));
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liveNodeConfiguration.BrokerageData = brokerageFactory.BrokerageData;
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}
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catch (InvalidOperationException error)
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{
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throw new InvalidOperationException($"{nameof(BrokerageDataDownloader)}.An error occurred while resolving brokerage data for a live job. Brokerage: {liveNodeConfiguration.Brokerage}.", error);
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}
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_brokerage = Composer.Instance.GetExportedValueByTypeName<IBrokerage>(liveNodeConfiguration.Brokerage);
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_brokerage.Message += (object _, Brokerages.BrokerageMessageEvent e) =>
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{
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if (e.Type == Brokerages.BrokerageMessageType.Error)
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{
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Logging.Log.Error(e.Message);
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}
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else
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{
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Logging.Log.Trace(e.Message);
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}
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};
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((IDataQueueHandler)_brokerage).SetJob(liveNodeConfiguration);
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}
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/// <summary>
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/// Get historical data enumerable for a single symbol, type and resolution given this start and end time (in UTC).
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/// </summary>
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/// <param name="dataDownloaderGetParameters">model class for passing in parameters for historical data</param>
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/// <returns>Enumerable of base data for this symbol</returns>
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public IEnumerable<BaseData>? Get(DataDownloaderGetParameters dataDownloaderGetParameters)
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{
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var symbol = dataDownloaderGetParameters.Symbol;
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var resolution = dataDownloaderGetParameters.Resolution;
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var startUtc = dataDownloaderGetParameters.StartUtc;
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var endUtc = dataDownloaderGetParameters.EndUtc;
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var tickType = dataDownloaderGetParameters.TickType;
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var dataType = LeanData.GetDataType(resolution, tickType);
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var exchangeHours = _marketHoursDatabase.GetExchangeHours(symbol.ID.Market, symbol, symbol.SecurityType);
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var dataTimeZone = _marketHoursDatabase.GetDataTimeZone(symbol.ID.Market, symbol, symbol.SecurityType);
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var symbols = new List<Symbol> { symbol };
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if (symbol.IsCanonical())
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{
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symbols = GetChainSymbols(symbol, true).ToList();
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}
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return symbols
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.Select(symbol =>
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{
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var request = new Data.HistoryRequest(startUtc, endUtc, dataType, symbol, resolution, exchangeHours: exchangeHours, dataTimeZone: dataTimeZone, resolution,
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// let's not ask for extended market hours for hour and daily resolutions to match lean
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includeExtendedMarketHours: resolution != Resolution.Hour && resolution != Resolution.Daily, false, DataNormalizationMode.Raw, tickType);
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var history = _brokerage.GetHistory(request);
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if (history == null)
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{
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Logging.Log.Trace($"{nameof(BrokerageDataDownloader)}.{nameof(Get)}: Ignoring history request for unsupported symbol {symbol}");
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}
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return history;
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})
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.Where(history => history != null)
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.SelectMany(history => history);
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}
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/// <summary>
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/// Returns an IEnumerable of Future/Option contract symbols for the given root ticker
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/// </summary>
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/// <param name="symbol">The Symbol to get futures/options chain for</param>
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/// <param name="includeExpired">Include expired contracts</param>
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private IEnumerable<Symbol> GetChainSymbols(Symbol symbol, bool includeExpired)
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{
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if (_brokerage is IDataQueueUniverseProvider universeProvider)
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{
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return universeProvider.LookupSymbols(symbol, includeExpired);
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}
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else
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{
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throw new InvalidOperationException($"{nameof(BrokerageDataDownloader)}.{nameof(GetChainSymbols)}: The current brokerage does not support fetching canonical symbols. Please ensure your brokerage instance supports this feature.");
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}
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}
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public void Dispose()
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{
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_brokerage.DisposeSafely();
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}
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}
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}
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@@ -0,0 +1,37 @@
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/*
|
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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.
|
||||
*/
|
||||
|
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namespace QuantConnect.DownloaderDataProvider.Launcher.Models.Constants
|
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{
|
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public sealed class DownloaderCommandArguments
|
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{
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public const string CommandDownloaderDataDownloader = "data-downloader";
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public const string CommandDataType = "data-type";
|
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public const string CommandTickers = "tickers";
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|
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public const string CommandSecurityType = "security-type";
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|
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public const string CommandMarketName = "market";
|
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|
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public const string CommandResolution = "resolution";
|
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|
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public const string CommandStartDate = "start-date";
|
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public const string CommandEndDate = "end-date";
|
||||
}
|
||||
}
|
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@@ -0,0 +1,55 @@
|
||||
/*
|
||||
* 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 QuantConnect.Util;
|
||||
using QuantConnect.Configuration;
|
||||
using QuantConnect.DownloaderDataProvider.Launcher.Models.Constants;
|
||||
|
||||
namespace QuantConnect.DownloaderDataProvider.Launcher.Models;
|
||||
|
||||
/// <summary>
|
||||
/// Represents the configuration for downloading data.
|
||||
/// </summary>
|
||||
public sealed class DataDownloadConfig : BaseDataDownloadConfig
|
||||
{
|
||||
/// <summary>
|
||||
/// Gets the type of data download.
|
||||
/// </summary>
|
||||
public override Type DataType { get => LeanData.GetDataType(Resolution, TickType); }
|
||||
|
||||
/// <summary>
|
||||
/// Initializes a new instance of the <see cref="DataDownloadConfig"/> class.
|
||||
/// </summary>s
|
||||
public DataDownloadConfig()
|
||||
{
|
||||
TickType = ParseEnum<TickType>(Config.Get(DownloaderCommandArguments.CommandDataType));
|
||||
Resolution = ParseEnum<Resolution>(Config.Get(DownloaderCommandArguments.CommandResolution));
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Initializes a new instance of the <see cref="DataDownloadConfig"/> class with the specified parameters.
|
||||
/// </summary>
|
||||
/// <param name="tickType">The type of tick data to be downloaded.</param>
|
||||
/// <param name="securityType">The type of security for which data is being downloaded.</param>
|
||||
/// <param name="resolution">The resolution of the data being downloaded.</param>
|
||||
/// <param name="startDate">The start date for the data download range.</param>
|
||||
/// <param name="endDate">The end date for the data download range.</param>
|
||||
/// <param name="marketName">The name of the market from which the data is being downloaded.</param>
|
||||
/// <param name="symbols">A list of symbols for which data is being downloaded.</param>
|
||||
public DataDownloadConfig(TickType tickType, SecurityType securityType, Resolution resolution, DateTime startDate, DateTime endDate, string marketName, List<Symbol> symbols)
|
||||
: base(tickType, securityType, resolution, startDate, endDate, marketName, symbols)
|
||||
{ }
|
||||
}
|
||||
@@ -0,0 +1,60 @@
|
||||
/*
|
||||
* 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 QuantConnect.Data.UniverseSelection;
|
||||
|
||||
namespace QuantConnect.DownloaderDataProvider.Launcher.Models;
|
||||
|
||||
/// <summary>
|
||||
/// Represents the configuration for downloading data for a universe of securities.
|
||||
/// </summary>
|
||||
public sealed class DataUniverseDownloadConfig : BaseDataDownloadConfig
|
||||
{
|
||||
/// <summary>
|
||||
/// Gets the type of data universe download.
|
||||
/// </summary>
|
||||
public override Type DataType { get; }
|
||||
|
||||
/// <summary>
|
||||
/// Initializes a new instance of the <see cref="DataUniverseDownloadConfig"/> class using configuration settings.
|
||||
/// </summary>
|
||||
/// <exception cref="ArgumentException">Thrown when an unsupported security type is specified.</exception>
|
||||
public DataUniverseDownloadConfig()
|
||||
{
|
||||
Resolution = Resolution.Daily;
|
||||
DataType = GetDataUniverseType(SecurityType);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Retrieves the corresponding data universe type based on the specified security type.
|
||||
/// </summary>
|
||||
/// <param name="securityType">The security type for which the data universe type is determined.</param>
|
||||
/// <returns>The corresponding <see cref="Type"/> of the data universe.</returns>
|
||||
/// <exception cref="NotImplementedException">
|
||||
/// Thrown when the specified <paramref name="securityType"/> is not supported.
|
||||
/// </exception>
|
||||
private static Type GetDataUniverseType(SecurityType securityType)
|
||||
{
|
||||
switch (securityType)
|
||||
{
|
||||
case SecurityType.Option:
|
||||
case SecurityType.IndexOption:
|
||||
return typeof(OptionUniverse);
|
||||
default:
|
||||
throw new NotImplementedException($"DataUniverseDownloadConfig.GetDataUniverseType(): The data universe type for SecurityType '{securityType}' is not implemented.");
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user