wehub-resource-sync
116 lines
4.7 KiB
C#
116 lines
4.7 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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using System;
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using QuantConnect.Data.Market;
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namespace QuantConnect.Data.Consolidators
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{
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/// <summary>
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/// A data csolidator that can make trade bars from DynamicData derived types. This is useful for
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/// aggregating Quandl and other highly flexible dynamic custom data types.
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/// </summary>
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public class DynamicDataConsolidator : TradeBarConsolidatorBase<DynamicData>
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{
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/// <summary>
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/// Creates a consolidator to produce a new 'TradeBar' representing the period.
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/// </summary>
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/// <param name="period">The minimum span of time before emitting a consolidated bar</param>
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public DynamicDataConsolidator(TimeSpan period)
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: base(period)
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{
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}
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/// <summary>
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/// Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data.
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/// </summary>
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/// <param name="maxCount">The number of pieces to accept before emiting a consolidated bar</param>
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public DynamicDataConsolidator(int maxCount)
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: base(maxCount)
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{
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}
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/// <summary>
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/// Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data or the period, whichever comes first.
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/// </summary>
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/// <param name="maxCount">The number of pieces to accept before emiting a consolidated bar</param>
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/// <param name="period">The minimum span of time before emitting a consolidated bar</param>
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public DynamicDataConsolidator(int maxCount, TimeSpan period)
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: base(maxCount, period)
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{
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}
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/// <summary>
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/// Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data or the period, whichever comes first.
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/// </summary>
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/// <param name="func">Func that defines the start time of a consolidated data</param>
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public DynamicDataConsolidator(Func<DateTime, CalendarInfo> func)
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: base(func)
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{
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}
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/// <summary>
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/// Aggregates the new 'data' into the 'workingBar'. The 'workingBar' will be
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/// null following the event firing
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/// </summary>
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/// <param name="workingBar">The bar we're building, null if the event was just fired and we're starting a new trade bar</param>
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/// <param name="data">The new data</param>
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protected override void AggregateBar(ref TradeBar workingBar, DynamicData data)
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{
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// grab the properties, if they don't exist just use the .Value property
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var open = GetNamedPropertyOrValueProperty(data, "Open");
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var high = GetNamedPropertyOrValueProperty(data, "High");
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var low = GetNamedPropertyOrValueProperty(data, "Low");
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var close = GetNamedPropertyOrValueProperty(data, "Close");
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// if we have volume, use it, otherwise just use zero
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var volume = data.HasProperty("Volume")
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? data.GetProperty("Volume").ConvertInvariant<long>()
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: 0L;
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if (workingBar == null)
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{
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workingBar = new TradeBar
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{
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Symbol = data.Symbol,
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Time = GetRoundedBarTime(data),
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Open = open,
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High = high,
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Low = low,
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Close = close,
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Volume = volume
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};
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}
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else
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{
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//Aggregate the working bar
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workingBar.Close = close;
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workingBar.Volume += volume;
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if (low < workingBar.Low) workingBar.Low = low;
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if (high > workingBar.High) workingBar.High = high;
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}
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}
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private static decimal GetNamedPropertyOrValueProperty(DynamicData data, string propertyName)
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{
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if (!data.HasProperty(propertyName))
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{
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return data.Value;
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}
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return data.GetProperty(propertyName).ConvertInvariant<decimal>();
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}
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}
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}
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