wehub-resource-sync
246 lines
10 KiB
C#
246 lines
10 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 System.Globalization;
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using System.IO;
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using System.Linq;
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using static QuantConnect.StringExtensions;
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namespace QuantConnect.Data.Custom
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{
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/// <summary>
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/// FXCM Real FOREX Volume and Transaction data from its clients base, available for the following pairs:
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/// - EURUSD, USDJPY, GBPUSD, USDCHF, EURCHF, AUDUSD, USDCAD,
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/// NZDUSD, EURGBP, EURJPY, GBPJPY, EURAUD, EURCAD, AUDJPY
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/// FXCM only provides support for FX symbols which produced over 110 million average daily volume (ADV) during 2013.
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/// This limit is imposed to ensure we do not highlight low volume/low ticket symbols in addition to other financial
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/// reporting concerns.
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/// </summary>
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/// <seealso cref="QuantConnect.Data.BaseData" />
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public class FxcmVolume : BaseData
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{
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/// <summary>
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/// Auxiliary enum used to map the pair symbol into FXCM request code.
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/// </summary>
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private enum FxcmSymbolId
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{
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EURUSD = 1,
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USDJPY = 2,
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GBPUSD = 3,
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USDCHF = 4,
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EURCHF = 5,
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AUDUSD = 6,
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USDCAD = 7,
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NZDUSD = 8,
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EURGBP = 9,
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EURJPY = 10,
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GBPJPY = 11,
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EURAUD = 14,
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EURCAD = 15,
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AUDJPY = 17
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}
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/// <summary>
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/// The request base URL.
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/// </summary>
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private readonly string _baseUrl = " http://marketsummary2.fxcorporate.com/ssisa/servlet?RT=SSI";
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/// <summary>
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/// FXCM session id.
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/// </summary>
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private readonly string _sid = "quantconnect";
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/// <summary>
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/// The columns index which should be added to obtain the transactions.
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/// </summary>
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private readonly long[] _transactionsIdx = { 27, 29, 31, 33 };
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/// <summary>
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/// Integer representing client version.
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/// </summary>
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private readonly int _ver = 1;
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/// <summary>
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/// The columns index which should be added to obtain the volume.
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/// </summary>
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private readonly int[] _volumeIdx = { 26, 28, 30, 32 };
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/// <summary>
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/// Sum of opening and closing Transactions for the entire time interval.
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/// </summary>
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/// <value>
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/// The transactions.
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/// </value>
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public int Transactions { get; set; }
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/// <summary>
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/// Sum of opening and closing Volume for the entire time interval.
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/// The volume measured in the QUOTE CURRENCY.
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/// </summary>
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/// <remarks>Please remember to convert this data to a common currency before making comparison between different pairs.</remarks>
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public long Volume { get; set; }
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/// <summary>
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/// Return the URL string source of the file. This will be converted to a stream
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/// </summary>
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/// <param name="config">Configuration object</param>
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/// <param name="date">Date of this source file</param>
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/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
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/// <returns>
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/// String URL of source file.
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/// </returns>
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/// <exception cref="System.NotImplementedException">FOREX Volume data is not available in live mode, yet.</exception>
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public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
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{
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var interval = GetIntervalFromResolution(config.Resolution);
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var symbolId = GetFxcmIDFromSymbol(config.Symbol.Value.Split('_').First());
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if (isLiveMode)
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{
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var source = Invariant($"{_baseUrl}&ver={_ver}&sid={_sid}&interval={interval}&offerID={symbolId}");
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return new SubscriptionDataSource(source, SubscriptionTransportMedium.Rest, FileFormat.Csv);
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}
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else
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{
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var source = GenerateZipFilePath(config, date);
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return new SubscriptionDataSource(source, SubscriptionTransportMedium.LocalFile);
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}
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}
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/// <summary>
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/// Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method,
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/// and returns a new instance of the object
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/// each time it is called. The returned object is assumed to be time stamped in the config.ExchangeTimeZone.
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/// </summary>
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/// <param name="config">Subscription data config setup object</param>
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/// <param name="line">Line of the source document</param>
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/// <param name="date">Date of the requested data</param>
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/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
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/// <returns>
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/// Instance of the T:BaseData object generated by this line of the CSV
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/// </returns>
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public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
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{
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var fxcmVolume = new FxcmVolume { DataType = MarketDataType.Base, Symbol = config.Symbol };
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if (isLiveMode)
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{
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try
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{
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var obs = line.Split('\n')[2].Split(';');
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var stringDate = obs[0].Substring(startIndex: 3);
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fxcmVolume.Time = DateTime.ParseExact(stringDate, "yyyyMMddHHmm", DateTimeFormatInfo.InvariantInfo);
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fxcmVolume.Volume = _volumeIdx.Select(x => Parse.Long(obs[x])).Sum();
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fxcmVolume.Transactions = _transactionsIdx.Select(x => Parse.Int(obs[x])).Sum();
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fxcmVolume.Value = fxcmVolume.Volume;
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}
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catch (Exception exception)
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{
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Logging.Log.Error($"Invalid data. Line: {line}. Exception: {exception.Message}");
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return null;
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}
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}
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else
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{
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var obs = line.Split(',');
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if (config.Resolution == Resolution.Minute)
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{
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fxcmVolume.Time = date.Date.AddMilliseconds(Parse.Int(obs[0]));
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}
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else
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{
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fxcmVolume.Time = DateTime.ParseExact(obs[0], "yyyyMMdd HH:mm", CultureInfo.InvariantCulture);
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}
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fxcmVolume.Volume = Parse.Long(obs[1]);
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fxcmVolume.Transactions = obs[2].ConvertInvariant<int>();
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fxcmVolume.Value = fxcmVolume.Volume;
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}
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return fxcmVolume;
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}
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private static string GenerateZipFilePath(SubscriptionDataConfig config, DateTime date)
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{
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var source = Path.Combine(new[] { Globals.DataFolder, "forex", "fxcm", config.Resolution.ToLower() });
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string filename;
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var symbol = config.Symbol.Value.Split('_').First().ToLowerInvariant();
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if (config.Resolution == Resolution.Minute)
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{
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filename = Invariant($"{date:yyyyMMdd}_volume.zip");
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source = Path.Combine(source, symbol, filename);
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}
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else
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{
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filename = $"{symbol}_volume.zip";
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source = Path.Combine(source, filename);
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}
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return source;
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}
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/// <summary>
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/// Gets the FXCM identifier from a FOREX pair ticker.
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/// </summary>
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/// <param name="ticker">The pair ticker.</param>
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/// <returns></returns>
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/// <exception cref="System.ArgumentException">Volume data is not available for the selected ticker. - ticker</exception>
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private int GetFxcmIDFromSymbol(string ticker)
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{
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int symbolId;
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try
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{
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symbolId = (int)Enum.Parse(typeof(FxcmSymbolId), ticker);
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}
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catch (ArgumentException)
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{
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throw new ArgumentOutOfRangeException(nameof(ticker), ticker,
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"Volume data is not available for the selected ticker.");
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}
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return symbolId;
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}
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/// <summary>
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/// Gets the string interval representation from the resolution.
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/// </summary>
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/// <param name="resolution">The requested resolution.</param>
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/// <returns></returns>
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/// <exception cref="System.ArgumentOutOfRangeException">
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/// resolution - tick or second resolution are not supported for Forex
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/// Volume.
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/// </exception>
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private string GetIntervalFromResolution(Resolution resolution)
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{
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string interval;
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switch (resolution)
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{
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case Resolution.Minute:
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interval = "M1";
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break;
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case Resolution.Hour:
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interval = "H1";
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break;
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case Resolution.Daily:
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interval = "D1";
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break;
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default:
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throw new ArgumentOutOfRangeException(nameof(resolution), resolution,
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"Tick or second resolution are not supported for Forex Volume. Available resolutions are Minute, Hour and Daily.");
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}
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return interval;
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}
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}
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} |