wehub-resource-sync
103 lines
4.5 KiB
C#
103 lines
4.5 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.Linq;
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using QuantConnect.Interfaces;
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using System.Collections.Generic;
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using QuantConnect.Data.Auxiliary;
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using System.Text.RegularExpressions;
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namespace QuantConnect.Data
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{
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/// <summary>
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/// Helper extension methods for objects related with Histotical data
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/// </summary>
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public static class HistoryExtensions
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{
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private static readonly Regex _brokerageHistoryProvider = new("QuantConnect.Lean.Engine.HistoricalData.([a-zA-z]+)HistoryProvider", RegexOptions.Compiled);
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/// <summary>
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/// Helper method to get the brokerage name
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/// </summary>
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public static bool TryGetBrokerageName(string historyProviderName, out string brokerageName)
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{
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brokerageName = null;
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if (historyProviderName != "QuantConnect.Lean.Engine.HistoricalData.BrokerageHistoryProvider"
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&& historyProviderName != "QuantConnect.Lean.Engine.HistoricalData.SubscriptionDataReaderHistoryProvider")
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{
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var matches = _brokerageHistoryProvider.Match(historyProviderName);
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if (matches.Success)
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{
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brokerageName = matches.Groups[1].Value;
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return true;
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}
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}
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return false;
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}
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/// <summary>
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/// Split <see cref="HistoryRequest"/> on several request with update mapped symbol.
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/// </summary>
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/// <param name="request">Represents historical data requests</param>
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/// <param name="mapFileProvider">Provides instances of <see cref="MapFileResolver"/> at run time</param>
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/// <returns>
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/// Return HistoryRequests with different <see cref="BaseDataRequest.StartTimeUtc"/> - <seealso cref="BaseDataRequest.EndTimeUtc"/> range
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/// and <seealso cref="Symbol.Value"/>
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/// </returns>
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/// <exception cref="ArgumentNullException">Thrown when <paramref name="mapFileProvider"/> is null.</exception>
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/// <example>
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/// For instances:
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/// request = { StartTimeUtc = 2013/01/01, EndTimeUtc = 2017/02/02, Symbol = "GOOGL" } split request on:
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/// 1: request = { StartTimeUtc = 2013/01/01, EndTimeUtc = 2014/04/02, Symbol.Value = "GOOG" }
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/// 2: request = { StartTimeUtc = 2014/04/**03**, EndTimeUtc = 2017/02/02, Symbol.Value = "GOOGL" }
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/// > GOOGLE: IPO: August 19, 2004 Name = GOOG then it was restructured: from "GOOG" to "GOOGL" on April 2, 2014
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/// </example>
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public static IEnumerable<HistoryRequest> SplitHistoryRequestWithUpdatedMappedSymbol(this HistoryRequest request, IMapFileProvider mapFileProvider)
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{
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if (request == null)
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{
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throw new ArgumentNullException(nameof(request));
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}
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if (request.Symbol.SecurityType != SecurityType.Future && request.Symbol.RequiresMapping())
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{
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var isReturnHistoryRequest = default(bool);
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foreach (var tickerDateRange in mapFileProvider.RetrieveSymbolHistoricalDefinitionsInDateRange(request.Symbol, request.StartTimeLocal, request.EndTimeLocal))
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{
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isReturnHistoryRequest = true;
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var symbol = request.Symbol.UpdateMappedSymbol(tickerDateRange.Ticker);
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yield return new HistoryRequest(
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request,
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symbol,
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tickerDateRange.StartDateTimeLocal.ConvertToUtc(request.ExchangeHours.TimeZone),
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tickerDateRange.EndDateTimeLocal.ConvertToUtc(request.ExchangeHours.TimeZone)
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);
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}
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if (!isReturnHistoryRequest)
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{
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yield return request;
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}
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}
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else
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{
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yield return request;
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}
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}
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}
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}
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