wehub-resource-sync
64 lines
2.6 KiB
C#
64 lines
2.6 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*
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*/
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using System.Collections.Concurrent;
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using System.Linq;
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using QuantConnect.Interfaces;
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namespace QuantConnect.Data.Auxiliary
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{
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/// <summary>
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/// Implementation of IPrimaryExchangeProvider from map files.
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/// </summary>
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public class MapFilePrimaryExchangeProvider : IPrimaryExchangeProvider
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{
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private readonly IMapFileProvider _mapFileProvider;
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private readonly ConcurrentDictionary<SecurityIdentifier, Exchange> _primaryExchangeBySid;
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/// <summary>
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/// Constructor for Primary Exchange Provider from MapFiles
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/// </summary>
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/// <param name="mapFileProvider">MapFile to use</param>
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public MapFilePrimaryExchangeProvider(IMapFileProvider mapFileProvider)
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{
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_mapFileProvider = mapFileProvider;
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_primaryExchangeBySid = new ConcurrentDictionary<SecurityIdentifier, Exchange>();
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}
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/// <summary>
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/// Gets the primary exchange for a given security identifier
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/// </summary>
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/// <param name="securityIdentifier">The security identifier to get the primary exchange for</param>
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/// <returns>Returns the primary exchange or null if not found</returns>
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public Exchange GetPrimaryExchange(SecurityIdentifier securityIdentifier)
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{
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Exchange primaryExchange;
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if (!_primaryExchangeBySid.TryGetValue(securityIdentifier, out primaryExchange))
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{
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var mapFile = _mapFileProvider.Get(AuxiliaryDataKey.Create(securityIdentifier))
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.ResolveMapFile(securityIdentifier.Symbol, securityIdentifier.Date);
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if (mapFile != null && mapFile.Any())
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{
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primaryExchange = mapFile.Last().PrimaryExchange;
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}
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_primaryExchangeBySid[securityIdentifier] = primaryExchange;
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}
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return primaryExchange;
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}
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}
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}
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