wehub-resource-sync
95 lines
3.7 KiB
C#
95 lines
3.7 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 System.Collections.Generic;
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using System.IO;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Util;
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namespace QuantConnect.ToolBox
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{
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/// <summary>
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/// Provides an implementation of <see cref="IStreamParser"/> that reads files in the lean format
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/// </summary>
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public class LeanParser : IStreamParser
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{
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/// <summary>
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/// Parses the specified input stream into an enumerable of data
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/// </summary>
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/// <param name="source">The source file corresponding the the stream</param>
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/// <param name="stream">The input stream to be parsed</param>
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/// <returns>An enumerable of base data</returns>
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public IEnumerable<BaseData> Parse(string source, Stream stream)
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{
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var pathComponents = LeanDataPathComponents.Parse(source);
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var tickType = pathComponents.Filename.ToLowerInvariant().Contains("_trade")
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? TickType.Trade
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: TickType.Quote;
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var dataType = GetDataType(pathComponents.SecurityType, pathComponents.Resolution, tickType);
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var factory = (BaseData) Activator.CreateInstance(dataType);
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// ignore time zones here, i.e, we're going to emit data in the data time zone
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var config = new SubscriptionDataConfig(dataType, pathComponents.Symbol, pathComponents.Resolution, TimeZones.Utc, TimeZones.Utc, false, true, false);
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using (var reader = new StreamReader(stream))
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{
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string line;
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while ((line = reader.ReadLine()) != null)
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{
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yield return factory.Reader(config, line, pathComponents.Date, false);
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}
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}
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}
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/// <summary>
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/// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
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/// </summary>
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public void Dispose()
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{
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}
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private Type GetDataType(SecurityType securityType, Resolution resolution, TickType tickType)
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{
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if (resolution == Resolution.Tick)
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{
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return typeof (Tick);
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}
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switch (securityType)
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{
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case SecurityType.Base:
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case SecurityType.Equity:
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return typeof (TradeBar);
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case SecurityType.Cfd:
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case SecurityType.Forex:
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case SecurityType.Crypto:
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return typeof (QuoteBar);
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case SecurityType.Option:
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case SecurityType.FutureOption:
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case SecurityType.IndexOption:
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if (tickType == TickType.Trade) return typeof (TradeBar);
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if (tickType == TickType.Quote) return typeof (QuoteBar);
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break;
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}
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var parameters = string.Join(" | ", securityType, resolution, tickType);
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throw new NotImplementedException("LeanParser.GetDataType has not yet implemented: " + parameters);
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}
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}
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}
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