wehub-resource-sync
96 lines
3.4 KiB
C#
96 lines
3.4 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using System;
|
|
using System.IO;
|
|
using Newtonsoft.Json;
|
|
using QuantConnect.Util;
|
|
using QuantConnect.Interfaces;
|
|
using QuantConnect.Configuration;
|
|
using System.Collections.Generic;
|
|
|
|
namespace QuantConnect.Lean.Engine.DataFeeds
|
|
{
|
|
/// <summary>
|
|
/// This data provider will wrap and use multiple data providers internally in the provided order
|
|
/// </summary>
|
|
public class CompositeDataProvider : IDataProvider
|
|
{
|
|
/// <summary>
|
|
/// Event raised each time data fetch is finished (successfully or not)
|
|
/// </summary>
|
|
public event EventHandler<DataProviderNewDataRequestEventArgs> NewDataRequest;
|
|
|
|
private readonly List<IDataProvider> _dataProviders;
|
|
|
|
/// <summary>
|
|
/// Creates a new instance and initialize data providers used
|
|
/// </summary>
|
|
public CompositeDataProvider()
|
|
{
|
|
_dataProviders = new List<IDataProvider>();
|
|
|
|
var dataProvidersConfig = Config.Get("composite-data-providers");
|
|
if (!string.IsNullOrEmpty(dataProvidersConfig))
|
|
{
|
|
var dataProviders = JsonConvert.DeserializeObject<List<string>>(dataProvidersConfig);
|
|
foreach (var dataProvider in dataProviders)
|
|
{
|
|
_dataProviders.Add(Composer.Instance.GetExportedValueByTypeName<IDataProvider>(dataProvider));
|
|
}
|
|
|
|
if (_dataProviders.Count == 0)
|
|
{
|
|
throw new ArgumentException("CompositeDataProvider(): requires at least 1 valid data provider in 'composite-data-providers'");
|
|
}
|
|
}
|
|
else
|
|
{
|
|
throw new ArgumentException("CompositeDataProvider(): requires 'composite-data-providers' to be set with a valid type name");
|
|
}
|
|
|
|
_dataProviders.ForEach(x => x.NewDataRequest += OnNewDataRequest);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Retrieves data to be used in an algorithm
|
|
/// </summary>
|
|
/// <param name="key">A string representing where the data is stored</param>
|
|
/// <returns>A <see cref="Stream"/> of the data requested</returns>
|
|
public Stream Fetch(string key)
|
|
{
|
|
for (var i = 0; i < _dataProviders.Count; i++)
|
|
{
|
|
var result = _dataProviders[i].Fetch(key);
|
|
|
|
if (result != null)
|
|
{
|
|
return result;
|
|
}
|
|
}
|
|
|
|
return null;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Event invocator for the <see cref="NewDataRequest"/> event
|
|
/// </summary>
|
|
private void OnNewDataRequest(object sender, DataProviderNewDataRequestEventArgs e)
|
|
{
|
|
NewDataRequest?.Invoke(this, e);
|
|
}
|
|
}
|
|
}
|