wehub-resource-sync
229 lines
9.1 KiB
C#
229 lines
9.1 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.Globalization;
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using System.Text;
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namespace QuantConnect.Data.Custom.Intrinio
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{
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/// <summary>
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/// TRanformation available for the Economic data.
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/// </summary>
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public enum IntrinioDataTransformation
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{
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/// <summary>
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/// The rate of change
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/// </summary>
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Roc,
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/// <summary>
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/// Rate of change from Year Ago
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/// </summary>
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AnnualyRoc,
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/// <summary>
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/// The compounded annual rate of change
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/// </summary>
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CompoundedAnnualRoc,
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/// <summary>
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/// The continuously compounded annual rate of change
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/// </summary>
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AnnualyCCRoc,
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/// <summary>
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/// The continuously compounded rateof change
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/// </summary>
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CCRoc,
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/// <summary>
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/// The level, no transformation.
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/// </summary>
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Level,
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/// <summary>
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/// The natural log
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/// </summary>
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Ln,
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/// <summary>
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/// The percent change
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/// </summary>
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Pc,
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/// <summary>
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/// The percent change from year ago
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/// </summary>
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AnnualyPc
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}
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/// <summary>
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/// Access the massive repository of economic data from the Federal Reserve Economic Data system via the Intrinio API.
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/// </summary>
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/// <seealso cref="QuantConnect.Data.BaseData" />
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public class IntrinioEconomicData : BaseData
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{
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private readonly string _baseUrl = @"https://api.intrinio.com/historical_data.csv?";
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private readonly IntrinioDataTransformation _dataTransformation;
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private bool _backtestingFirstTimeCallOrLiveMode = true;
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/// <summary>
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/// Initializes a new instance of the <see cref="IntrinioEconomicData" /> class.
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/// </summary>
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public IntrinioEconomicData() : this(IntrinioDataTransformation.Level)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="IntrinioEconomicData" /> class.
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/// </summary>
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/// <param name="dataTransformation">The item.</param>
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public IntrinioEconomicData(IntrinioDataTransformation dataTransformation)
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{
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_dataTransformation = dataTransformation;
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// If the user and the password is not set then then throw error.
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if (!IntrinioConfig.IsInitialized)
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{
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throw new
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InvalidOperationException("Please set a valid Intrinio user and password using the 'IntrinioEconomicData.SetUserAndPassword' static method. " +
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"For local backtesting, the user and password can be set in the 'parameters' fields from the 'config.json' file.");
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}
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}
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/// <summary>
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/// Return the URL string source of the file. This will be converted to a stream
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/// </summary>
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/// <param name="config">Configuration object</param>
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/// <param name="date">Date of this source file</param>
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/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
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/// <returns>
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/// String URL of source file.
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/// </returns>
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/// <remarks>
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/// Given Intrinio's API limits, we cannot make more than one CSV request per second. That's why in backtesting mode
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/// we make sure we make just one call to retrieve all the data needed. Also, to avoid the problem of many sources
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/// asking the data at the beginning of the algorithm, a pause of a second is added.
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/// </remarks>
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public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
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{
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SubscriptionDataSource subscription;
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// We want to make just one call with all the data in backtesting mode.
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// Also we want to make one call per second becasue of the API limit.
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if (_backtestingFirstTimeCallOrLiveMode)
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{
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// Force the engine to wait at least 1000 ms between API calls.
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IntrinioConfig.RateGate.WaitToProceed();
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// In backtesting mode, there is only one call at the beggining with all the data
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_backtestingFirstTimeCallOrLiveMode = false || isLiveMode;
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subscription = GetIntrinioSubscription(config, isLiveMode);
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}
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else
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{
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subscription = new SubscriptionDataSource("", SubscriptionTransportMedium.LocalFile);
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}
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return subscription;
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}
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/// <summary>
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/// Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method,
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/// and returns a new instance of the object
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/// each time it is called. The returned object is assumed to be time stamped in the config.ExchangeTimeZone.
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/// </summary>
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/// <param name="config">Subscription data config setup object</param>
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/// <param name="line">Line of the source document</param>
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/// <param name="date">Date of the requested data</param>
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/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
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/// <returns>
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/// Instance of the T:BaseData object generated by this line of the CSV
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/// </returns>
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public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
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{
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var obs = line.Split(',');
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var time = DateTime.MinValue;
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if (!DateTime.TryParseExact(obs[0], "yyyy-MM-dd", CultureInfo.InvariantCulture, DateTimeStyles.None,
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out time)) return null;
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var value = obs[1].ToDecimal();
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return new IntrinioEconomicData
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{
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Symbol = config.Symbol,
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Time = time,
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EndTime = time + QuantConnect.Time.OneDay,
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Value = value
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};
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}
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private static string GetStringForDataTransformation(IntrinioDataTransformation dataTransformation)
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{
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var item = "level";
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switch (dataTransformation)
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{
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case IntrinioDataTransformation.Roc:
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item = "change";
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break;
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case IntrinioDataTransformation.AnnualyRoc:
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item = "yr_change";
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break;
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case IntrinioDataTransformation.CompoundedAnnualRoc:
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item = "c_annual_roc";
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break;
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case IntrinioDataTransformation.AnnualyCCRoc:
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item = "cc_annual_roc";
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break;
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case IntrinioDataTransformation.CCRoc:
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item = "cc_roc";
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break;
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case IntrinioDataTransformation.Level:
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item = "level";
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break;
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case IntrinioDataTransformation.Ln:
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item = "log";
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break;
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case IntrinioDataTransformation.Pc:
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item = "percent_change";
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break;
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case IntrinioDataTransformation.AnnualyPc:
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item = "yr_percent_change";
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break;
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}
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return item;
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}
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private SubscriptionDataSource GetIntrinioSubscription(SubscriptionDataConfig config, bool isLiveMode)
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{
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// In Live mode, we only want the last observation, in backtesitng we need the data in ascending order.
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var order = isLiveMode ? "desc" : "asc";
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var item = GetStringForDataTransformation(_dataTransformation);
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var url = $"{_baseUrl}identifier={config.Symbol.Value}&item={item}&sort_order={order}";
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var byteKey = Encoding.ASCII.GetBytes($"{IntrinioConfig.User}:{IntrinioConfig.Password}");
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var authorizationHeaders = new List<KeyValuePair<string, string>>
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{
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new KeyValuePair<string, string>("Authorization",
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$"Basic ({Convert.ToBase64String(byteKey)})")
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};
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return new SubscriptionDataSource(url, SubscriptionTransportMedium.RemoteFile, FileFormat.Csv,
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authorizationHeaders);
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}
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}
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} |