wehub-resource-sync
221 lines
8.4 KiB
C#
221 lines
8.4 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.Collections.Concurrent;
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using System.Collections.Generic;
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using Newtonsoft.Json;
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using NodaTime;
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using QuantConnect.Data.Market;
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using QuantConnect.Data.UniverseSelection;
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using static QuantConnect.StringExtensions;
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namespace QuantConnect.Data.Custom.Tiingo
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{
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/// <summary>
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/// Tiingo daily price data
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/// https://api.tiingo.com/docs/tiingo/daily
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/// </summary>
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/// <remarks>Requires setting <see cref="Tiingo.AuthCode"/></remarks>
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public class TiingoPrice : TradeBar
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{
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private readonly ConcurrentDictionary<string, DateTime> _startDates = new ConcurrentDictionary<string, DateTime>();
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/// <summary>
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/// The end time of this data. Some data covers spans (trade bars) and as such we want
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/// to know the entire time span covered
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/// </summary>
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public override DateTime EndTime
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{
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get { return Time + Period; }
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set { Time = value - Period; }
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}
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/// <summary>
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/// The period of this trade bar, (second, minute, daily, ect...)
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/// </summary>
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public override TimeSpan Period => QuantConnect.Time.OneDay;
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/// <summary>
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/// The date this data pertains to
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/// </summary>
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[JsonProperty("date")]
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public DateTime Date { get; set; }
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/// <summary>
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/// The actual (not adjusted) open price of the asset on the specific date
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/// </summary>
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[JsonProperty("open")]
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public override decimal Open { get; set; }
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/// <summary>
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/// The actual (not adjusted) high price of the asset on the specific date
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/// </summary>
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[JsonProperty("high")]
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public override decimal High { get; set; }
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/// <summary>
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/// The actual (not adjusted) low price of the asset on the specific date
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/// </summary>
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[JsonProperty("low")]
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public override decimal Low { get; set; }
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/// <summary>
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/// The actual (not adjusted) closing price of the asset on the specific date
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/// </summary>
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[JsonProperty("close")]
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public override decimal Close { get; set; }
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/// <summary>
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/// The actual (not adjusted) number of shares traded during the day
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/// </summary>
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[JsonProperty("volume")]
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public override decimal Volume { get; set; }
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/// <summary>
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/// The adjusted opening price of the asset on the specific date. Returns null if not available.
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/// </summary>
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[JsonProperty("adjOpen")]
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public decimal AdjustedOpen { get; set; }
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/// <summary>
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/// The adjusted high price of the asset on the specific date. Returns null if not available.
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/// </summary>
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[JsonProperty("adjHigh")]
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public decimal AdjustedHigh { get; set; }
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/// <summary>
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/// The adjusted low price of the asset on the specific date. Returns null if not available.
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/// </summary>
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[JsonProperty("adjLow")]
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public decimal AdjustedLow { get; set; }
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/// <summary>
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/// The adjusted close price of the asset on the specific date. Returns null if not available.
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/// </summary>
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[JsonProperty("adjClose")]
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public decimal AdjustedClose { get; set; }
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/// <summary>
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/// The adjusted number of shares traded during the day - adjusted for splits. Returns null if not available
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/// </summary>
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[JsonProperty("adjVolume")]
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public long AdjustedVolume { get; set; }
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/// <summary>
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/// The dividend paid out on "date" (note that "date" will be the "exDate" for the dividend)
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/// </summary>
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[JsonProperty("divCash")]
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public decimal Dividend { get; set; }
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/// <summary>
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/// A factor used when a company splits or reverse splits. On days where there is ONLY a split (no dividend payment),
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/// you can calculate the adjusted close as follows: adjClose = "Previous Close"/splitFactor
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/// </summary>
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[JsonProperty("splitFactor")]
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public decimal SplitFactor { get; set; }
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/// <summary>
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/// Initializes an instance of the <see cref="TiingoPrice"/> class.
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/// </summary>
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public TiingoPrice()
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{
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Symbol = Symbol.Empty;
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DataType = MarketDataType.Base;
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}
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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>String URL of source file.</returns>
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public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
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{
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DateTime startDate;
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if (!_startDates.TryGetValue(config.Symbol.Value, out startDate))
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{
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startDate = date;
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_startDates.TryAdd(config.Symbol.Value, startDate);
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}
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var tiingoTicker = TiingoSymbolMapper.GetTiingoTicker(config.Symbol);
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var source = Invariant($"https://api.tiingo.com/tiingo/daily/{tiingoTicker}/prices?startDate={startDate:yyyy-MM-dd}&token={Tiingo.AuthCode}");
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return new SubscriptionDataSource(source, SubscriptionTransportMedium.RemoteFile, FileFormat.UnfoldingCollection);
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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">Content 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 list = JsonConvert.DeserializeObject<List<TiingoPrice>>(line);
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foreach (var item in list)
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{
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item.Symbol = config.Symbol;
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item.Time = item.Date;
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item.Value = item.Close;
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}
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return new BaseDataCollection(date, config.Symbol, list);
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}
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/// <summary>
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/// Indicates if there is support for mapping
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/// </summary>
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/// <returns>True indicates mapping should be used</returns>
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public override bool RequiresMapping()
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{
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return true;
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}
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/// <summary>
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/// Specifies the data time zone for this data type. This is useful for custom data types
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/// </summary>
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/// <returns>The <see cref="DateTimeZone"/> of this data type</returns>
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public override DateTimeZone DataTimeZone()
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{
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return TimeZones.Utc;
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}
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/// <summary>
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/// Gets the default resolution for this data and security type
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/// </summary>
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public override Resolution DefaultResolution()
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{
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return Resolution.Daily;
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}
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/// <summary>
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/// Gets the supported resolution for this data and security type
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/// </summary>
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public override List<Resolution> SupportedResolutions()
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{
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return DailyResolution;
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}
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}
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}
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