wehub-resource-sync
674 lines
29 KiB
C#
674 lines
29 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 System.Linq;
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using QuantConnect.Util;
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using QuantConnect.Data;
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using System.Collections;
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using System.Globalization;
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using QuantConnect.Logging;
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using QuantConnect.Interfaces;
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using System.Collections.Generic;
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using QuantConnect.Configuration;
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using QuantConnect.Data.Auxiliary;
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using QuantConnect.Data.Custom.Tiingo;
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using QuantConnect.Lean.Engine.DataFeeds.Enumerators;
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using QuantConnect.Securities;
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using QuantConnect.Data.UniverseSelection;
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namespace QuantConnect.Lean.Engine.DataFeeds
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{
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/// <summary>
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/// Subscription data reader is a wrapper on the stream reader class to download, unpack and iterate over a data file.
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/// </summary>
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/// <remarks>The class accepts any subscription configuration and automatically makes it available to enumerate</remarks>
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public class SubscriptionDataReader : IEnumerator<BaseData>, ITradableDatesNotifier, IDataProviderEvents
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{
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private IDataProvider _dataProvider;
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private IObjectStore _objectStore;
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private bool _initialized;
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// Source string to create memory stream:
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private SubscriptionDataSource _source;
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private bool _endOfStream;
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private IEnumerator<BaseData> _subscriptionFactoryEnumerator;
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/// Configuration of the data-reader:
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private readonly SubscriptionDataConfig _config;
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/// true if we can find a scale factor file for the security of the form: ..\Lean\Data\equity\market\factor_files\{SYMBOL}.csv
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private bool _hasScaleFactors;
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// Location of the datafeed - the type of this data.
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// Create a single instance to invoke all Type Methods:
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private BaseData _dataFactory;
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//Start finish times of the backtest:
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private DateTime _periodStart;
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private readonly DateTime _periodFinish;
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private readonly IMapFileProvider _mapFileProvider;
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private readonly IFactorFileProvider _factorFileProvider;
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private IFactorProvider _factorFile;
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private MapFile _mapFile;
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private bool _pastDelistedDate;
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private BaseData _previous;
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private decimal? _lastRawPrice;
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private DateChangeTimeKeeper _timeKeeper;
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private readonly IEnumerable<DateTime> _tradableDatesInDataTimeZone;
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private readonly SecurityExchangeHours _exchangeHours;
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// used when emitting aux data from within while loop
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private readonly IDataCacheProvider _dataCacheProvider;
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private DateTime _delistingDate;
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private bool _updatingDataEnumerator;
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/// <summary>
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/// Event fired when an invalid configuration has been detected
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/// </summary>
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public event EventHandler<InvalidConfigurationDetectedEventArgs> InvalidConfigurationDetected;
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/// <summary>
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/// Event fired when the numerical precision in the factor file has been limited
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/// </summary>
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public event EventHandler<NumericalPrecisionLimitedEventArgs> NumericalPrecisionLimited;
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/// <summary>
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/// Event fired when the start date has been limited
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/// </summary>
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public event EventHandler<StartDateLimitedEventArgs> StartDateLimited;
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/// <summary>
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/// Event fired when there was an error downloading a remote file
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/// </summary>
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public event EventHandler<DownloadFailedEventArgs> DownloadFailed;
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/// <summary>
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/// Event fired when there was an error reading the data
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/// </summary>
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public event EventHandler<ReaderErrorDetectedEventArgs> ReaderErrorDetected;
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/// <summary>
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/// Event fired when there is a new tradable date
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/// </summary>
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public event EventHandler<NewTradableDateEventArgs> NewTradableDate;
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/// <summary>
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/// Last read BaseData object from this type and source
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/// </summary>
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public BaseData Current
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{
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get;
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private set;
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}
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/// <summary>
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/// Explicit Interface Implementation for Current
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/// </summary>
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object IEnumerator.Current
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{
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get { return Current; }
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}
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/// <summary>
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/// Subscription data reader takes a subscription request, loads the type, accepts the data source and enumerate on the results.
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/// </summary>
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/// <param name="config">Subscription configuration object</param>
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/// <param name="dataRequest">The data request</param>
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/// <param name="mapFileProvider">Used for resolving the correct map files</param>
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/// <param name="factorFileProvider">Used for getting factor files</param>
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/// <param name="dataCacheProvider">Used for caching files</param>
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/// <param name="dataProvider">The data provider to use</param>
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public SubscriptionDataReader(SubscriptionDataConfig config,
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BaseDataRequest dataRequest,
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IMapFileProvider mapFileProvider,
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IFactorFileProvider factorFileProvider,
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IDataCacheProvider dataCacheProvider,
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IDataProvider dataProvider,
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IObjectStore objectStore)
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{
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//Save configuration of data-subscription:
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_config = config;
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//Save Start and End Dates:
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_periodStart = dataRequest.StartTimeLocal;
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_periodFinish = dataRequest.EndTimeLocal;
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_mapFileProvider = mapFileProvider;
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_factorFileProvider = factorFileProvider;
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_dataCacheProvider = dataCacheProvider;
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_dataProvider = dataProvider;
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_objectStore = objectStore;
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_tradableDatesInDataTimeZone = dataRequest.TradableDaysInDataTimeZone;
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_exchangeHours = dataRequest.ExchangeHours;
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}
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/// <summary>
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/// Initializes the <see cref="SubscriptionDataReader"/> instance
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/// </summary>
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/// <remarks>Should be called after all consumers of <see cref="NewTradableDate"/> event are set,
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/// since it will produce events.</remarks>
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public void Initialize()
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{
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if (_initialized)
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{
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return;
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}
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//Save the type of data we'll be getting from the source.
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try
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{
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_dataFactory = _config.GetBaseDataInstance();
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}
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catch (ArgumentException exception)
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{
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OnInvalidConfigurationDetected(new InvalidConfigurationDetectedEventArgs(_config.Symbol, exception.Message));
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_endOfStream = true;
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return;
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}
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// If Tiingo data, set the access token in data factory
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var tiingo = _dataFactory as TiingoPrice;
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if (tiingo != null)
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{
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if (!Tiingo.IsAuthCodeSet)
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{
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Tiingo.SetAuthCode(Config.Get("tiingo-auth-token"));
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}
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}
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// load up the map files for equities, options, and custom data if it supports it.
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// Only load up factor files for equities
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if (_dataFactory.RequiresMapping())
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{
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try
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{
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var mapFile = _mapFileProvider.ResolveMapFile(_config);
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// only take the resolved map file if it has data, otherwise we'll use the empty one we defined above
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if (mapFile.Any()) _mapFile = mapFile;
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if (_config.PricesShouldBeScaled())
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{
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var factorFile = _factorFileProvider.Get(_config.Symbol);
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_hasScaleFactors = factorFile != null;
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if (_hasScaleFactors)
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{
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_factorFile = factorFile;
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// if factor file has minimum date, update start period if before minimum date
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if (_factorFile != null && _factorFile.FactorFileMinimumDate.HasValue)
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{
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if (_periodStart < _factorFile.FactorFileMinimumDate.Value)
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{
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_periodStart = _factorFile.FactorFileMinimumDate.Value;
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OnNumericalPrecisionLimited(
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new NumericalPrecisionLimitedEventArgs(_config.Symbol,
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$"[{_config.Symbol.Value}, {_factorFile.FactorFileMinimumDate.Value.ToShortDateString()}]"));
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}
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}
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}
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if (_periodStart < mapFile.FirstDate)
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{
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_periodStart = mapFile.FirstDate;
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OnStartDateLimited(
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new StartDateLimitedEventArgs(_config.Symbol,
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$"[{_config.Symbol.Value}," +
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$" {mapFile.FirstDate.ToString("yyyy-MM-dd", CultureInfo.InvariantCulture)}]"));
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}
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}
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}
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catch (Exception err)
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{
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Log.Error(err, "Fetching Price/Map Factors: " + _config.Symbol.ID + ": ");
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}
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}
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_factorFile ??= _config.Symbol.GetEmptyFactorFile();
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_mapFile ??= new MapFile(_config.Symbol.Value, Enumerable.Empty<MapFileRow>());
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_delistingDate = _config.Symbol.GetDelistingDate(_mapFile);
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_timeKeeper = new DateChangeTimeKeeper(_tradableDatesInDataTimeZone, _config, _exchangeHours, _delistingDate);
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_timeKeeper.NewExchangeDate += HandleNewTradableDate;
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// we now have the map file associated and the delisting date. In some cases during warm up,
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// the non warmup enumerator does not make sense cause the asset got delisted already
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_endOfStream = _periodStart.Date > _delistingDate;
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if (!_endOfStream)
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{
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UpdateDataEnumerator(true);
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}
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_initialized = true;
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}
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/// <summary>
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/// Advances the enumerator to the next element of the collection.
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/// </summary>
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/// <returns>
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/// true if the enumerator was successfully advanced to the next element; false if the enumerator has passed the end of the collection.
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/// </returns>
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/// <exception cref="T:System.InvalidOperationException">The collection was modified after the enumerator was created. </exception><filterpriority>2</filterpriority>
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public bool MoveNext()
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{
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if (!_initialized)
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{
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// Late initialization so it is performed in the data feed stack
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// and not in the algorithm thread
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Initialize();
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}
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if (_endOfStream)
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{
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return false;
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}
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if (Current != null)
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{
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// only save previous price data
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_previous = Current;
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}
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if (_subscriptionFactoryEnumerator == null)
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{
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_endOfStream = true;
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return false;
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}
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do
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{
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if (_pastDelistedDate)
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{
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break;
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}
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// keep enumerating until we find something that is within our time frame
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while (_subscriptionFactoryEnumerator.MoveNext())
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{
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var instance = _subscriptionFactoryEnumerator.Current;
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if (instance == null)
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{
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// keep reading until we get valid data
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continue;
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}
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// We rely on symbol change to detect a mapping or symbol change, instead of using SubscriptionDataConfig.NewSymbol
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// because only one of the configs with the same symbol will trigger a symbol change event.
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var previousMappedSymbol = _config.MappedSymbol;
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// Advance the time keeper either until the current instance time (to synchronize) or until the source changes.
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// Note: use time instead of end time to avoid skipping instances that all have the same timestamps in the same file (e.g. universe data)
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var currentSource = _source;
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var nextExchangeDate = _config.Resolution == Resolution.Daily
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&& _timeKeeper.IsExchangeBehindData()
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&& !_config.Type.IsAssignableTo(typeof(BaseDataCollection))
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// If daily and exchange is behind data, data for date X will have a start time within date X-1,
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// so we use the actual date from end time. e.g. a daily bar for Jan15 can have a start time of Jan14 8PM
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// (exchange tz 4 hours behind data tz) and end time would be Jan15 8PM.
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// This doesn't apply to universe files (BaseDataCollection check) because they are not read in the same way
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// price daily files are read: they are read in a collection with end time of X+1. We don't want to skip them or advance time yet.
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? instance.EndTime
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: instance.Time;
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while (_timeKeeper.ExchangeTime < nextExchangeDate && currentSource == _source)
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{
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_timeKeeper.AdvanceTowardsExchangeTime(nextExchangeDate);
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}
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// Source change, check if we should emit the current instance
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if (currentSource != _source
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&& (
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// After a mapping for every resolution except daily:
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// For other resolutions, the instance that triggered the exchange date change should be skipped,
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// it's end time will be either midnight or for a future date. The new source might have a data point with this times.
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(_config.MappedSymbol != previousMappedSymbol && _config.Resolution != Resolution.Daily)
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// Skip if the exchange time zone is behind of the data time zone:
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// The new source might have data for these same times, we want data for the new symbol
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|| (_config.Resolution == Resolution.Daily && _timeKeeper.IsExchangeBehindData())
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// skip if the instance if it's beyond what the previous source should have.
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// e.g. A file mistakenly has data for the next day
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// (see SubscriptionDataReaderTests.DoesNotEmitDataBeyondTradableDate unit test)
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// or the instance that triggered the exchange date change is for a future date (no data found in between)
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|| instance.EndTime.ConvertTo(_config.ExchangeTimeZone, _config.DataTimeZone).Date >= _timeKeeper.DataTime.Date
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))
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{
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continue;
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}
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// This can happen after a mapping, we already have data but we need to skip some points that belong to a previous date.
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if (Current != null && instance.EndTime < _timeKeeper.ExchangeTime)
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{
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continue;
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}
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// prevent emitting past data, this can happen when switching symbols on daily data
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if (_previous != null && _config.Resolution != Resolution.Tick)
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{
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if (_config.IsCustomData)
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{
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// Skip the point if time went backwards for custom data?
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// TODO: Should this be the case for all datapoints?
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if (instance.EndTime < _previous.EndTime) continue;
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}
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else
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{
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// all other resolutions don't allow duplicate end times
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if (instance.EndTime <= _previous.EndTime) continue;
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}
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}
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if (instance.EndTime < _periodStart)
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{
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// keep reading until we get a value on or after the start
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_previous = instance;
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continue;
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}
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// We have to perform this check after refreshing the enumerator, if appropriate
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// 'instance' could be a data point far in the future due to remapping (GH issue 5232) in which case it will be dropped
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if (instance.Time > _periodFinish)
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{
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// stop reading when we get a value after the end
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_endOfStream = true;
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return false;
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}
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// we've made it past all of our filters, we're withing the requested start/end of the subscription,
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// we've satisfied user and market hour filters, so this data is good to go as current
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Current = instance;
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// we keep the last raw price registered before we return so we are not affected by anyone (price scale) modifying our current
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_lastRawPrice = Current.Price;
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return true;
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}
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// we've ended the enumerator, time to refresh
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UpdateDataEnumerator(true);
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}
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while (_subscriptionFactoryEnumerator != null);
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_endOfStream = true;
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return false;
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}
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/// <summary>
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/// Emits a new tradable date event and tries to update the data enumerator if necessary
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/// </summary>
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private void HandleNewTradableDate(object sender, DateTime date)
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{
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OnNewTradableDate(new NewTradableDateEventArgs(date, _previous, _config.Symbol, _lastRawPrice));
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UpdateDataEnumerator(false);
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}
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/// <summary>
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/// Resolves the next enumerator to be used in <see cref="MoveNext"/> and updates
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/// <see cref="_subscriptionFactoryEnumerator"/>
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/// </summary>
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/// <returns>True, if the enumerator has been updated (even if updated to null)</returns>
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private bool UpdateDataEnumerator(bool endOfEnumerator)
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{
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// Guard for infinite recursion: during an enumerator update, we might ask for a new date,
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// which might end up with a new exchange date being detected and another update being requested.
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// Just skip that update and let's do it ourselves after the date is resolved
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if (_updatingDataEnumerator)
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{
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return false;
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}
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_updatingDataEnumerator = true;
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try
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{
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do
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{
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var date = _timeKeeper.DataTime.Date;
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// Update current date only if the enumerator has ended, else we might just need to change files
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// (e.g. same date, but symbol was mapped)
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if (endOfEnumerator && !TryGetNextDate(out date))
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{
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_subscriptionFactoryEnumerator = null;
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// if we run out of dates then we're finished with this subscription
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return true;
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}
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// fetch the new source, using the data time zone for the date
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var newSource = _dataFactory.GetSource(_config, date, false);
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if (newSource == null)
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{
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// move to the next day
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continue;
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}
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// check if we should create a new subscription factory
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var sourceChanged = _source != newSource && !string.IsNullOrEmpty(newSource.Source);
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if (sourceChanged)
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{
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// dispose of the current enumerator before creating a new one
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_subscriptionFactoryEnumerator.DisposeSafely();
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// save off for comparison next time
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_source = newSource;
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var subscriptionFactory = CreateSubscriptionFactory(newSource, _dataFactory, _dataProvider);
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_subscriptionFactoryEnumerator = SortEnumerator<DateTime>.TryWrapSortEnumerator(newSource.Sort, subscriptionFactory.Read(newSource));
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return true;
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}
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// if there's still more in the enumerator and we received the same source from the GetSource call
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// above, then just keep using the same enumerator as we were before
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if (!endOfEnumerator) // && !sourceChanged is always true here
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{
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return false;
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}
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// keep churning until we find a new source or run out of tradeable dates
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// in live mode tradeable dates won't advance beyond today's date, but
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// TryGetNextDate will return false if it's already at today
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}
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while (true);
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}
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finally
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{
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_updatingDataEnumerator = false;
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}
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}
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private ISubscriptionDataSourceReader CreateSubscriptionFactory(SubscriptionDataSource source, BaseData baseDataInstance, IDataProvider dataProvider)
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{
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var factory = SubscriptionDataSourceReader.ForSource(source, _dataCacheProvider, _config, _timeKeeper.DataTime.Date, false, baseDataInstance, dataProvider, _objectStore);
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AttachEventHandlers(factory, source);
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return factory;
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}
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private void AttachEventHandlers(ISubscriptionDataSourceReader dataSourceReader, SubscriptionDataSource source)
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{
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dataSourceReader.InvalidSource += (sender, args) =>
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{
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if (_config.IsCustomData && !_config.Type.GetBaseDataInstance().IsSparseData())
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{
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OnDownloadFailed(
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new DownloadFailedEventArgs(_config.Symbol,
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"We could not fetch the requested data. " +
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"This may not be valid data, or a failed download of custom data. " +
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$"Skipping source ({args.Source.Source})."));
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return;
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}
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switch (args.Source.TransportMedium)
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|
{
|
|
case SubscriptionTransportMedium.LocalFile:
|
|
// the local uri doesn't exist, write an error and return null so we we don't try to get data for today
|
|
// Log.Trace(string.Format("SubscriptionDataReader.GetReader(): Could not find QC Data, skipped: {0}", source));
|
|
break;
|
|
|
|
case SubscriptionTransportMedium.RemoteFile:
|
|
OnDownloadFailed(
|
|
new DownloadFailedEventArgs(_config.Symbol,
|
|
$"Error downloading custom data source file, skipped: {source} " +
|
|
$"Error: {args.Exception.Message}", args.Exception.StackTrace));
|
|
break;
|
|
|
|
case SubscriptionTransportMedium.Rest:
|
|
break;
|
|
|
|
case SubscriptionTransportMedium.ObjectStore:
|
|
break;
|
|
|
|
default:
|
|
throw new ArgumentOutOfRangeException();
|
|
}
|
|
};
|
|
|
|
if (dataSourceReader is TextSubscriptionDataSourceReader)
|
|
{
|
|
// handle empty files/instantiation errors
|
|
var textSubscriptionFactory = (TextSubscriptionDataSourceReader)dataSourceReader;
|
|
// handle parser errors
|
|
textSubscriptionFactory.ReaderError += (sender, args) =>
|
|
{
|
|
OnReaderErrorDetected(
|
|
new ReaderErrorDetectedEventArgs(_config.Symbol,
|
|
$"Error invoking {_config.Symbol} data reader. " +
|
|
$"Line: {args.Line} Error: {args.Exception.Message}",
|
|
args.Exception.StackTrace));
|
|
};
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Iterates the tradeable dates enumerator
|
|
/// </summary>
|
|
/// <param name="date">The next tradeable date</param>
|
|
/// <returns>True if we got a new date from the enumerator, false if it's exhausted, or in live mode if we're already at today</returns>
|
|
private bool TryGetNextDate(out DateTime date)
|
|
{
|
|
while (_timeKeeper.TryAdvanceUntilNextDataDate())
|
|
{
|
|
date = _timeKeeper.DataTime.Date;
|
|
|
|
if (!_mapFile.HasData(date))
|
|
{
|
|
continue;
|
|
}
|
|
|
|
// don't do other checks if we haven't gotten data for this date yet
|
|
if (_previous != null && _previous.EndTime.ConvertTo(_config.ExchangeTimeZone, _config.DataTimeZone) > date)
|
|
{
|
|
continue;
|
|
}
|
|
|
|
// we've passed initial checks,now go get data for this date!
|
|
return true;
|
|
}
|
|
|
|
if (_timeKeeper.ExchangeTime.Date > _delistingDate)
|
|
{
|
|
_pastDelistedDate = true;
|
|
}
|
|
|
|
// no more tradeable dates, we've exhausted the enumerator
|
|
date = DateTime.MaxValue.Date;
|
|
return false;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Reset the IEnumeration
|
|
/// </summary>
|
|
/// <remarks>Not used</remarks>
|
|
public void Reset()
|
|
{
|
|
throw new NotImplementedException("Reset method not implemented. Assumes loop will only be used once.");
|
|
}
|
|
|
|
/// <summary>
|
|
/// Dispose of the Stream Reader and close out the source stream and file connections.
|
|
/// </summary>
|
|
public void Dispose()
|
|
{
|
|
_subscriptionFactoryEnumerator.DisposeSafely();
|
|
|
|
if (_initialized)
|
|
{
|
|
_timeKeeper.NewExchangeDate -= HandleNewTradableDate;
|
|
_timeKeeper.DisposeSafely();
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Event invocator for the <see cref="InvalidConfigurationDetected"/> event
|
|
/// </summary>
|
|
/// <param name="e">Event arguments for the <see cref="InvalidConfigurationDetected"/> event</param>
|
|
protected virtual void OnInvalidConfigurationDetected(InvalidConfigurationDetectedEventArgs e)
|
|
{
|
|
InvalidConfigurationDetected?.Invoke(this, e);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Event invocator for the <see cref="NumericalPrecisionLimited"/> event
|
|
/// </summary>
|
|
/// <param name="e">Event arguments for the <see cref="NumericalPrecisionLimited"/> event</param>
|
|
protected virtual void OnNumericalPrecisionLimited(NumericalPrecisionLimitedEventArgs e)
|
|
{
|
|
NumericalPrecisionLimited?.Invoke(this, e);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Event invocator for the <see cref="StartDateLimited"/> event
|
|
/// </summary>
|
|
/// <param name="e">Event arguments for the <see cref="StartDateLimited"/> event</param>
|
|
protected virtual void OnStartDateLimited(StartDateLimitedEventArgs e)
|
|
{
|
|
StartDateLimited?.Invoke(this, e);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Event invocator for the <see cref="DownloadFailed"/> event
|
|
/// </summary>
|
|
/// <param name="e">Event arguments for the <see cref="DownloadFailed"/> event</param>
|
|
protected virtual void OnDownloadFailed(DownloadFailedEventArgs e)
|
|
{
|
|
DownloadFailed?.Invoke(this, e);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Event invocator for the <see cref="ReaderErrorDetected"/> event
|
|
/// </summary>
|
|
/// <param name="e">Event arguments for the <see cref="ReaderErrorDetected"/> event</param>
|
|
protected virtual void OnReaderErrorDetected(ReaderErrorDetectedEventArgs e)
|
|
{
|
|
ReaderErrorDetected?.Invoke(this, e);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Event invocator for the <see cref="NewTradableDate"/> event
|
|
/// </summary>
|
|
/// <param name="e">Event arguments for the <see cref="NewTradableDate"/> event</param>
|
|
protected virtual void OnNewTradableDate(NewTradableDateEventArgs e)
|
|
{
|
|
NewTradableDate?.Invoke(this, e);
|
|
}
|
|
}
|
|
}
|