wehub-resource-sync
89 lines
3.7 KiB
C#
89 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.IO;
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using System.Linq;
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using System.Collections.Generic;
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using static QuantConnect.StringExtensions;
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namespace QuantConnect.Data.Auxiliary
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{
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/// <summary>
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/// Provides methods for reading factor file zips
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/// </summary>
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public static class FactorFileZipHelper
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{
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/// <summary>
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/// Constructs the factor file path for the specified market and security type
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/// </summary>
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/// <param name="market">The market this symbol belongs to</param>
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/// <param name="securityType">The security type</param>
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/// <returns>The relative file path</returns>
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public static string GetRelativeFactorFilePath(string market, SecurityType securityType)
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{
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return Invariant($"{securityType.SecurityTypeToLower()}/{market}/factor_files");
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}
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/// <summary>
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/// Gets the factor file zip filename for the specified date
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/// </summary>
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public static string GetFactorFileZipFileName(string market, DateTime date, SecurityType securityType)
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{
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return Path.Combine(Globals.DataFolder, GetRelativeFactorFilePath(market, securityType), $"factor_files_{date:yyyyMMdd}.zip");
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}
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/// <summary>
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/// Reads the zip bytes as text and parses as FactorFileRows to create FactorFiles
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/// </summary>
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public static IEnumerable<KeyValuePair<Symbol, IFactorProvider>> ReadFactorFileZip(Stream file, MapFileResolver mapFileResolver, string market, SecurityType securityType)
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{
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if (file == null || file.Length == 0)
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{
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return new Dictionary<Symbol, IFactorProvider>();
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}
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var keyValuePairs = (
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from kvp in Compression.Unzip(file)
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let filename = kvp.Key
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let lines = kvp.Value
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let factorFile = PriceScalingExtensions.SafeRead(Path.GetFileNameWithoutExtension(filename), lines, securityType)
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let mapFile = mapFileResolver.GetByPermtick(factorFile.Permtick)
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where mapFile != null
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select new KeyValuePair<Symbol, IFactorProvider>(GetSymbol(mapFile, market, securityType), factorFile)
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);
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return keyValuePairs;
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}
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private static Symbol GetSymbol(MapFile mapFile, string market, SecurityType securityType)
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{
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SecurityIdentifier sid;
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switch (securityType)
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{
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case SecurityType.Equity:
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sid = SecurityIdentifier.GenerateEquity(mapFile.FirstDate, mapFile.FirstTicker, market);
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break;
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case SecurityType.Future:
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sid = SecurityIdentifier.GenerateFuture(SecurityIdentifier.DefaultDate, mapFile.Permtick, market);
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break;
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default:
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throw new ArgumentOutOfRangeException(nameof(securityType), securityType, null);
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}
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return new Symbol(sid, mapFile.Permtick);
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}
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}
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}
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