wehub-resource-sync
101 lines
3.9 KiB
C#
101 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 NodaTime;
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using System.IO;
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using QuantConnect.Util;
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namespace QuantConnect.Data.Market
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{
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/// <summary>
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/// Margin interest rate data source
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/// </summary>
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/// <remarks>This is useful to model margin costs</remarks>
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public class MarginInterestRate : BaseData
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{
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/// <summary>
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/// The interest rate value
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/// </summary>
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public decimal InterestRate { get; set; }
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/// <summary>
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/// Creates a new instance
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/// </summary>
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public MarginInterestRate()
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{
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DataType = MarketDataType.Auxiliary;
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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, 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="stream">The data stream</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>Instance of the T:BaseData object generated by this line of the CSV</returns>
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[StubsIgnore]
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public override BaseData Reader(SubscriptionDataConfig config, StreamReader stream, DateTime date, bool isLiveMode)
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{
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var dateTime = stream.GetDateTime("yyyyMMdd HH:mm:ss");
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var interestRate = stream.GetDecimal();
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return new MarginInterestRate {
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Time = dateTime,
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InterestRate = Value = interestRate,
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Symbol = config.Symbol
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};
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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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var identifier = config.Symbol.ID;
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var source = Path.Combine(Globals.DataFolder,
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identifier.SecurityType.SecurityTypeToLower(),
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identifier.Market.ToLowerInvariant(),
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"margin_interest",
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$"{identifier.Symbol.ToLowerInvariant()}.csv"
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);
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return new SubscriptionDataSource(source, SubscriptionTransportMedium.LocalFile, FileFormat.Csv);
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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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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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/// Formats a string with the symbol and value.
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/// </summary>
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public override string ToString()
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{
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return $"{Symbol}: Rate {InterestRate}";
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}
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}
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}
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