wehub-resource-sync
104 lines
3.9 KiB
C#
104 lines
3.9 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;
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using System.Linq;
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using Newtonsoft.Json;
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using System.Collections.Generic;
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namespace QuantConnect.Data.Auxiliary
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{
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/// <summary>
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/// Collection of factors for continuous contracts and their back months contracts for a specific mapping mode <see cref="DataMappingMode"/> and date
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/// </summary>
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public class MappingContractFactorRow : IFactorRow
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{
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/// <summary>
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/// Gets the date associated with this data
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/// </summary>
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public DateTime Date { get; set; }
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/// <summary>
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/// Backwards ratio price scaling factors for the front month [index 0] and it's 'i' back months [index 0 + i]
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/// <see cref="DataNormalizationMode.BackwardsRatio"/>
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/// </summary>
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public IReadOnlyList<decimal> BackwardsRatioScale { get; set; } = new List<decimal>();
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/// <summary>
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/// Backwards Panama Canal price scaling factors for the front month [index 0] and it's 'i' back months [index 0 + i]
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/// <see cref="DataNormalizationMode.BackwardsPanamaCanal"/>
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/// </summary>
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public IReadOnlyList<decimal> BackwardsPanamaCanalScale { get; set; } = new List<decimal>();
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/// <summary>
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/// Forward Panama Canal price scaling factors for the front month [index 0] and it's 'i' back months [index 0 + i]
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/// <see cref="DataNormalizationMode.ForwardPanamaCanal"/>
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/// </summary>
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public IReadOnlyList<decimal> ForwardPanamaCanalScale { get; set; } = new List<decimal>();
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/// <summary>
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/// Allows the consumer to specify a desired mapping mode
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/// </summary>
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public DataMappingMode? DataMappingMode { get; set; }
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/// <summary>
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/// Empty constructor for json converter
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/// </summary>
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public MappingContractFactorRow()
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{
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}
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/// <summary>
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/// Writes factor file row into it's file format
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/// </summary>
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/// <remarks>Json formatted</remarks>
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public string GetFileFormat(string source = null)
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{
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return JsonConvert.SerializeObject(this);
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}
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/// <summary>
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/// Parses the lines as factor files rows while properly handling inf entries
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/// </summary>
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/// <param name="lines">The lines from the factor file to be parsed</param>
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/// <param name="factorFileMinimumDate">The minimum date from the factor file</param>
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/// <returns>An enumerable of factor file rows</returns>
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public static List<MappingContractFactorRow> Parse(IEnumerable<string> lines, out DateTime? factorFileMinimumDate)
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{
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factorFileMinimumDate = null;
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var rows = new List<MappingContractFactorRow>();
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// parse factor file lines
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foreach (var line in lines)
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{
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var row = JsonConvert.DeserializeObject<MappingContractFactorRow>(line);
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if(!row.DataMappingMode.HasValue || Enum.IsDefined(typeof(DataMappingMode), row.DataMappingMode.Value))
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{
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rows.Add(row);
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}
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}
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if (rows.Count > 0)
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{
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factorFileMinimumDate = rows.Min(ffr => ffr.Date).AddDays(-1);
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}
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return rows;
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}
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}
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}
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