wehub-resource-sync
100 lines
4.7 KiB
C#
100 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.Interfaces;
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using System.Collections.Generic;
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using QuantConnect.Data.Auxiliary;
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using NodaTime;
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namespace QuantConnect.Data
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{
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/// <summary>
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/// Contains extension methods for the Downloader functionality.
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/// </summary>
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public static class DownloaderExtensions
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{
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/// <summary>
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/// Get <see cref="DataDownloaderGetParameters"/> for all mapped <seealso cref="Symbol"/> with appropriate ticker name in specific date time range.
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/// </summary>
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/// <param name="dataDownloaderParameter">Generated class in "Lean.Engine.DataFeeds.DownloaderDataProvider"</param>
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/// <param name="mapFileProvider">Provides instances of <see cref="MapFileResolver"/> at run time</param>
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/// <param name="exchangeTimeZone">Provides the time zone this exchange</param>
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/// <returns>
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/// Return DataDownloaderGetParameters with different
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/// <see cref="DataDownloaderGetParameters.StartUtc"/> - <seealso cref="DataDownloaderGetParameters.EndUtc"/> range
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/// and <seealso cref="Symbol"/>
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/// </returns>
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/// <exception cref="ArgumentNullException">Thrown when <paramref name="dataDownloaderParameter"/> is null.</exception>
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public static IEnumerable<DataDownloaderGetParameters> GetDataDownloaderParameterForAllMappedSymbols(
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this DataDownloaderGetParameters dataDownloaderParameter,
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IMapFileProvider mapFileProvider,
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DateTimeZone exchangeTimeZone)
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{
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if (dataDownloaderParameter == null)
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{
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throw new ArgumentNullException(nameof(dataDownloaderParameter));
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}
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if (dataDownloaderParameter.Symbol.SecurityType != SecurityType.Future
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&& dataDownloaderParameter.Symbol.RequiresMapping()
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&& dataDownloaderParameter.Resolution >= Resolution.Hour)
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{
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var yieldMappedSymbol = default(bool);
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foreach (var symbolDateRange in mapFileProvider.RetrieveAllMappedSymbolInDateRange(dataDownloaderParameter.Symbol))
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{
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var startDateTimeUtc = symbolDateRange.StartDateTimeLocal.ConvertToUtc(exchangeTimeZone);
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var endDateTimeUtc = symbolDateRange.EndDateTimeLocal.ConvertToUtc(exchangeTimeZone);
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// The first start date returns from mapFile like IPO (DateTime) and can not be greater then request StartTime
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// The Downloader doesn't know start DateTime exactly, it always download all data, except for options and index options
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if (dataDownloaderParameter.Symbol.SecurityType == SecurityType.Option ||
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dataDownloaderParameter.Symbol.SecurityType == SecurityType.IndexOption)
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{
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// The symbol was delisted before the request start time
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if (endDateTimeUtc < dataDownloaderParameter.StartUtc)
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{
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continue;
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}
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if (startDateTimeUtc < dataDownloaderParameter.StartUtc)
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{
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startDateTimeUtc = dataDownloaderParameter.StartUtc;
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}
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}
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if (endDateTimeUtc > dataDownloaderParameter.EndUtc)
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{
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endDateTimeUtc = dataDownloaderParameter.EndUtc;
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}
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yield return new DataDownloaderGetParameters(
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symbolDateRange.Symbol, dataDownloaderParameter.Resolution, startDateTimeUtc, endDateTimeUtc, dataDownloaderParameter.TickType);
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yieldMappedSymbol = true;
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}
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if (!yieldMappedSymbol)
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{
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yield return dataDownloaderParameter;
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}
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}
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else
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{
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yield return dataDownloaderParameter;
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}
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}
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}
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}
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