wehub-resource-sync
98 lines
4.3 KiB
C#
98 lines
4.3 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.Util;
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using QuantConnect.Securities;
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using System.Collections.Generic;
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using QuantConnect.Data.UniverseSelection;
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namespace QuantConnect;
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/// <summary>
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/// Represents the parameters required for downloading universe data.
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/// </summary>
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public sealed class DataUniverseDownloaderGetParameters : DataDownloaderGetParameters
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{
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/// <summary>
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/// The initialized instance of the security exchange hours.
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/// </summary>
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private readonly SecurityExchangeHours _securityExchangeHours;
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/// <summary>
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/// The tick types supported for universe data.
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/// </summary>
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private readonly TickType[] UniverseTickTypes = { TickType.Quote, TickType.Trade, TickType.OpenInterest };
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/// <summary>
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/// Gets the underlying symbol associated with the universe.
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/// </summary>
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public Symbol UnderlyingSymbol { get => Symbol.HasUnderlying ? Symbol.Underlying : Symbol.Empty; }
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/// <summary>
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/// Initializes a new instance of the <see cref="DataUniverseDownloaderGetParameters"/> class.
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/// </summary>
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/// <param name="canonicalSymbol">The canonical symbol for the data request.</param>
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/// <param name="startDate">The start date for the data request.</param>
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/// <param name="endDate">The end date for the data request.</param>
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/// <param name="securityExchangeHours">The security exchange hours for this symbol</param>
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/// <exception cref="ArgumentException">Thrown when the provided symbol is not canonical.</exception>
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public DataUniverseDownloaderGetParameters(Symbol canonicalSymbol, DateTime startDate, DateTime endDate, SecurityExchangeHours securityExchangeHours = default)
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: base(
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canonicalSymbol.IsCanonical() ? canonicalSymbol : throw new ArgumentException("DataUniverseDownloaderGetParameters: Symbol must be canonical.", nameof(canonicalSymbol)),
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Resolution.Daily,
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startDate,
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endDate)
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{
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_securityExchangeHours = securityExchangeHours ?? MarketHoursDatabase.FromDataFolder().GetExchangeHours(canonicalSymbol.ID.Market, canonicalSymbol, canonicalSymbol.SecurityType);
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EndUtc = EndUtc.ConvertToUtc(_securityExchangeHours.TimeZone);
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StartUtc = StartUtc.ConvertToUtc(_securityExchangeHours.TimeZone);
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}
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/// <summary>
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/// Gets the file name where the universe data will be saved.
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/// </summary>
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/// <param name="processingDate">The date for which the file name is generated.</param>
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/// <returns>The universe file name.</returns>
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public string GetUniverseFileName(DateTime processingDate)
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{
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return BaseChainUniverseData.GetUniverseFullFilePath(Symbol, processingDate);
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}
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/// <summary>
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/// Creates data download parameters for each day in the range.
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/// </summary>
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public IEnumerable<(DateTime, IEnumerable<DataDownloaderGetParameters>)> CreateDataDownloaderGetParameters()
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{
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foreach (var processingDate in Time.EachTradeableDay(_securityExchangeHours, StartUtc, EndUtc))
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{
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var processingDateUtc = processingDate.ConvertToUtc(_securityExchangeHours.TimeZone);
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var requests = new List<DataDownloaderGetParameters>(3);
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if (UnderlyingSymbol != Symbol.Empty)
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{
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requests.Add(new(UnderlyingSymbol, Resolution, processingDateUtc, processingDateUtc.AddDays(1), TickType.Trade));
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}
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requests.AddRange(UniverseTickTypes.Select(tickType => new DataDownloaderGetParameters(Symbol, Resolution, processingDateUtc, processingDateUtc.AddDays(1), tickType)));
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yield return (processingDate, requests);
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}
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}
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}
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