wehub-resource-sync
97 lines
3.8 KiB
C#
97 lines
3.8 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.IO;
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using QuantConnect.Util;
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using QuantConnect.Interfaces;
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using System.Collections.Concurrent;
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namespace QuantConnect.Data.Auxiliary
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{
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/// <summary>
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/// Provides an implementation of <see cref="IFactorFileProvider"/> that searches the local disk
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/// </summary>
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public class LocalDiskFactorFileProvider : IFactorFileProvider
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{
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private IMapFileProvider _mapFileProvider;
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private IDataProvider _dataProvider;
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private readonly ConcurrentDictionary<Symbol, IFactorProvider> _cache;
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/// <summary>
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/// Creates a new instance of the <see cref="LocalDiskFactorFileProvider"/>
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/// </summary>
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public LocalDiskFactorFileProvider()
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{
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_cache = new ConcurrentDictionary<Symbol, IFactorProvider>();
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}
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/// <summary>
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/// Initializes our FactorFileProvider by supplying our mapFileProvider
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/// and dataProvider
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/// </summary>
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/// <param name="mapFileProvider">MapFileProvider to use</param>
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/// <param name="dataProvider">DataProvider to use</param>
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public void Initialize(IMapFileProvider mapFileProvider, IDataProvider dataProvider)
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{
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_mapFileProvider = mapFileProvider;
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_dataProvider = dataProvider;
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}
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/// <summary>
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/// Gets a <see cref="FactorFile{T}"/> instance for the specified symbol, or null if not found
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/// </summary>
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/// <param name="symbol">The security's symbol whose factor file we seek</param>
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/// <returns>The resolved factor file, or null if not found</returns>
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public IFactorProvider Get(Symbol symbol)
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{
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symbol = symbol.GetFactorFileSymbol();
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IFactorProvider factorFile;
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if (_cache.TryGetValue(symbol, out factorFile))
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{
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return factorFile;
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}
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// we first need to resolve the map file to get a permtick, that's how the factor files are stored
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var mapFileResolver = _mapFileProvider.Get(AuxiliaryDataKey.Create(symbol));
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if (mapFileResolver == null)
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{
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return GetFactorFile(symbol, symbol.Value);
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}
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var mapFile = mapFileResolver.ResolveMapFile(symbol);
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if (mapFile.IsNullOrEmpty())
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{
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return GetFactorFile(symbol, symbol.Value);
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}
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return GetFactorFile(symbol, mapFile.Permtick);
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}
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/// <summary>
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/// Checks that the factor file exists on disk, and if it does, loads it into memory
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/// </summary>
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private IFactorProvider GetFactorFile(Symbol symbol, string permtick)
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{
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var basePath = Globals.GetDataFolderPath(FactorFileZipHelper.GetRelativeFactorFilePath(symbol.ID.Market, symbol.SecurityType));
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var path = Path.Combine(basePath, permtick.ToLowerInvariant() + ".csv");
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var factorFile = PriceScalingExtensions.SafeRead(permtick, _dataProvider.ReadLines(path), symbol.SecurityType);
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_cache.AddOrUpdate(symbol, factorFile, (s, c) => factorFile);
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return factorFile;
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}
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}
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}
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