/// <summary>
/// QuoteBar Reader: Fetch the data from the QC storage and feed it line by line into the engine.
/// </summary>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="line">Line from the data file requested</param>
/// <param name="date">Date of this reader request</param>
/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
/// <returns>Enumerable iterator for returning each line of the required data.</returns>
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
var quoteBar = new QuoteBar
{
Period = config.Increment,
Symbol = config.Symbol
};
var csv = line.ToCsv(10);
if (config.Resolution == Resolution.Daily || config.Resolution == Resolution.Hour)
{
// hourly and daily have different time format, and can use slow, robust c# parser.
quoteBar.Time = DateTime.ParseExact(csv[0], DateFormat.TwelveCharacter, CultureInfo.InvariantCulture).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
}
else
{
// Using custom "ToDecimal" conversion for speed on high resolution data.
quoteBar.Time = date.Date.AddMilliseconds(csv[0].ToInt32()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
}
// only create the bid if it exists in the file
if (csv[1].Length != 0 || csv[2].Length != 0 || csv[3].Length != 0 || csv[4].Length != 0)
{
quoteBar.Bid = new Bar
{
Open = config.GetNormalizedPrice(csv[1].ToDecimal() * _scaleFactor),
High = config.GetNormalizedPrice(csv[2].ToDecimal() * _scaleFactor),
Low = config.GetNormalizedPrice(csv[3].ToDecimal() * _scaleFactor),
Close = config.GetNormalizedPrice(csv[4].ToDecimal() * _scaleFactor)
};
quoteBar.LastBidSize = csv[5].ToInt64();
}
else
{
quoteBar.Bid = null;
}
// only create the ask if it exists in the file
if (csv[6].Length != 0 || csv[7].Length != 0 || csv[8].Length != 0 || csv[9].Length != 0)
{
quoteBar.Ask = new Bar
{
Open = config.GetNormalizedPrice(csv[6].ToDecimal() * _scaleFactor),
High = config.GetNormalizedPrice(csv[7].ToDecimal() * _scaleFactor),
Low = config.GetNormalizedPrice(csv[8].ToDecimal() * _scaleFactor),
Close = config.GetNormalizedPrice(csv[9].ToDecimal() * _scaleFactor)
};
quoteBar.LastAskSize = csv[10].ToInt64();
}
else
{
quoteBar.Ask = null;
}
quoteBar.Value = quoteBar.Close;
return(quoteBar);
}
/// <summary>
/// Initializes a new instance of the <see cref="OptionChain"/> class
/// </summary>
/// <param name="canonicalOptionSymbol">The symbol for this chain.</param>
/// <param name="time">The time of this chain</param>
public OptionChain(Symbol canonicalOptionSymbol, DateTime time)
{
Time = time;
Symbol = canonicalOptionSymbol;
DataType = MarketDataType.OptionChain;
Ticks = new Ticks(time);
TradeBars = new TradeBars(time);
QuoteBars = new QuoteBars(time);
Contracts = new OptionContracts(time);
FilteredContracts = new HashSet <Symbol>();
Underlying = new QuoteBar();
}
/// <summary>
/// Cloner constructor for implementing fill forward.
/// Return a new instance with the same values as this original.
/// </summary>
/// <param name="original">Original quotebar object we seek to clone</param>
public QuoteBar(QuoteBar original)
{
Symbol = original.Symbol;
Time = new DateTime(original.Time.Ticks);
var bid = original.Bid;
Bid = bid == null ? null : new Bar(bid.Open, bid.High, bid.Low, bid.Close);
var ask = original.Ask;
Ask = ask == null ? null : new Bar(ask.Open, ask.High, ask.Low, ask.Close);
AvgBidSize = original.AvgBidSize;
AvgAskSize = original.AvgAskSize;
Value = original.Close;
Period = original.Period;
DataType = MarketDataType.QuoteBar;
}
private QuoteBar ParseTradeAsQuoteBar(SubscriptionDataConfig config, DateTime date, string line)
{
if (!HasShownWarning)
{
Logging.Log.Error("QuoteBar.ParseTradeAsQuoteBar(): Data formatted as Trade when Quote format was expected. Support for this will disappear June 2017.");
HasShownWarning = true;
}
var quoteBar = new QuoteBar
{
Period = config.Increment,
Symbol = config.Symbol
};
var csv = line.ToCsv(5);
if (config.Resolution == Resolution.Daily || config.Resolution == Resolution.Hour)
{
// hourly and daily have different time format, and can use slow, robust c# parser.
quoteBar.Time = DateTime.ParseExact(csv[0], DateFormat.TwelveCharacter, CultureInfo.InvariantCulture).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
}
else
{
//Fast decimal conversion
quoteBar.Time = date.Date.AddMilliseconds(csv[0].ToInt32()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
}
var bid = new Bar
{
Open = csv[1].ToDecimal(),
High = csv[2].ToDecimal(),
Low = csv[3].ToDecimal(),
Close = csv[4].ToDecimal()
};
var ask = new Bar
{
Open = csv[1].ToDecimal(),
High = csv[2].ToDecimal(),
Low = csv[3].ToDecimal(),
Close = csv[4].ToDecimal()
};
quoteBar.Ask = ask;
quoteBar.Bid = bid;
quoteBar.Value = quoteBar.Close;
return(quoteBar);
}
/// <summary>
/// Cloner constructor for implementing fill forward.
/// Return a new instance with the same values as this original.
/// </summary>
/// <param name="original">Original quotebar object we seek to clone</param>
public QuoteBar(QuoteBar original)
{
Symbol = original.Symbol;
Time = new DateTime(original.Time.Ticks);
var bid = original.Bid;
Bid = bid == null ? null : new Bar(bid.Open, bid.High, bid.Low, bid.Close);
var ask = original.Ask;
Ask = ask == null ? null : new Bar(ask.Open, ask.High, ask.Low, ask.Close);
AvgBidSize = original.AvgBidSize;
AvgAskSize = original.AvgAskSize;
Value = original.Close;
Period = original.Period;
DataType = MarketDataType.QuoteBar;
}
public void AggregatesNewQuoteBarProperly()
{
QuoteBar quoteBar = null;
var creator = new QuoteBarConsolidator(4);
creator.DataConsolidated += (sender, args) =>
{
quoteBar = args;
};
var time = DateTime.Today;
var bar1 = new QuoteBar
{
Time = time,
Symbol = Symbols.SPY,
Bid = new Bar(1, 2, 0.75m, 1.25m),
LastBidSize = 3,
Ask = null,
LastAskSize = 0
};
creator.Update(bar1);
Assert.IsNull(quoteBar);
var bar2 = new QuoteBar
{
Time = time,
Symbol = Symbols.SPY,
Bid = new Bar(1.1m, 2.2m, 0.9m, 2.1m),
LastBidSize = 3,
Ask = new Bar(2.2m, 4.4m, 3.3m, 3.3m),
LastAskSize = 0
};
creator.Update(bar2);
Assert.IsNull(quoteBar);
var bar3 = new QuoteBar
{
Time = time,
Symbol = Symbols.SPY,
Bid = new Bar(1, 2, 0.5m, 1.75m),
LastBidSize = 3,
Ask = null,
LastAskSize = 0
};
creator.Update(bar3);
Assert.IsNull(quoteBar);
var bar4 = new QuoteBar
{
Time = time,
Symbol = Symbols.SPY,
Bid = null,
LastBidSize = 0,
Ask = new Bar(1, 7, 0.5m, 4.4m),
LastAskSize = 4
};
creator.Update(bar4);
Assert.IsNotNull(quoteBar);
Assert.AreEqual(bar1.Symbol, quoteBar.Symbol);
Assert.AreEqual(bar1.Bid.Open, quoteBar.Bid.Open);
Assert.AreEqual(bar2.Ask.Open, quoteBar.Ask.Open);
Assert.AreEqual(bar2.Bid.High, quoteBar.Bid.High);
Assert.AreEqual(bar4.Ask.High, quoteBar.Ask.High);
Assert.AreEqual(bar3.Bid.Low, quoteBar.Bid.Low);
Assert.AreEqual(bar4.Ask.Low, quoteBar.Ask.Low);
Assert.AreEqual(bar3.Bid.Close, quoteBar.Bid.Close);
Assert.AreEqual(bar4.Ask.Close, quoteBar.Ask.Close);
Assert.AreEqual(bar3.LastBidSize, quoteBar.LastBidSize);
Assert.AreEqual(bar4.LastAskSize, quoteBar.LastAskSize);
}
/// <summary>
/// "Scaffold" code - If the data being read is formatted as a QuoteBar, use this method to deserialize it
/// </summary>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="streamReader">The data stream of the requested file</param>
/// <param name="date">Date of this reader request</param>
/// <param name="useScaleFactor">Whether the data has a scaling factor applied</param>
/// <returns><see cref="QuoteBar"/> with the bid/ask prices set appropriately</returns>
private QuoteBar ParseQuote(SubscriptionDataConfig config, DateTime date, StreamReader streamReader, bool useScaleFactor)
{
// Non-equity asset classes will not use scaling, including options that have a non-equity underlying asset class.
var scaleFactor = useScaleFactor
? _scaleFactor
: 1;
var quoteBar = new QuoteBar
{
Period = config.Increment,
Symbol = config.Symbol
};
if (config.Resolution == Resolution.Daily || config.Resolution == Resolution.Hour)
{
// hourly and daily have different time format, and can use slow, robust c# parser.
quoteBar.Time = streamReader.GetDateTime().ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
}
else
{
// Using custom int conversion for speed on high resolution data.
quoteBar.Time = date.Date.AddMilliseconds(streamReader.GetInt32()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
}
var open = streamReader.GetDecimal();
var high = streamReader.GetDecimal();
var low = streamReader.GetDecimal();
var close = streamReader.GetDecimal();
var lastSize = streamReader.GetDecimal();
// only create the bid if it exists in the file
if (open != 0 || high != 0 || low != 0 || close != 0)
{
quoteBar.Bid = new Bar
{
Open = open * scaleFactor,
High = high * scaleFactor,
Low = low * scaleFactor,
Close = close * scaleFactor
};
quoteBar.LastBidSize = lastSize;
}
else
{
quoteBar.Bid = null;
}
open = streamReader.GetDecimal();
high = streamReader.GetDecimal();
low = streamReader.GetDecimal();
close = streamReader.GetDecimal();
lastSize = streamReader.GetDecimal();
// only create the ask if it exists in the file
if (open != 0 || high != 0 || low != 0 || close != 0)
{
quoteBar.Ask = new Bar
{
Open = open * scaleFactor,
High = high * scaleFactor,
Low = low * scaleFactor,
Close = close * scaleFactor
};
quoteBar.LastAskSize = lastSize;
}
else
{
quoteBar.Ask = null;
}
quoteBar.Value = quoteBar.Close;
return(quoteBar);
}
private static void UpdateContract(OptionContract contract, QuoteBar quote)
{
if (quote.Ask != null && quote.Ask.Close != 0m)
{
contract.AskPrice = quote.Ask.Close;
contract.AskSize = quote.LastAskSize;
}
if (quote.Bid != null && quote.Bid.Close != 0m)
{
contract.BidPrice = quote.Bid.Close;
contract.BidSize = quote.LastBidSize;
}
}
/// <summary>
/// QuoteBar Reader: Fetch the data from the QC storage and feed it line by line into the engine.
/// </summary>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="line">Line from the data file requested</param>
/// <param name="date">Date of this reader request</param>
/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
/// <returns>Enumerable iterator for returning each line of the required data.</returns>
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
var quoteBar = new QuoteBar
{
Period = config.Increment,
Symbol = config.Symbol
};
var csv = line.ToCsv(10);
if (config.Resolution == Resolution.Daily || config.Resolution == Resolution.Hour)
{
// hourly and daily have different time format, and can use slow, robust c# parser.
quoteBar.Time = DateTime.ParseExact(csv[0], DateFormat.TwelveCharacter, CultureInfo.InvariantCulture).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
}
else
{
// Using custom "ToDecimal" conversion for speed on high resolution data.
quoteBar.Time = date.Date.AddMilliseconds(csv[0].ToInt32()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
}
// only create the bid if it exists in the file
if (csv[1].Length != 0 || csv[2].Length != 0 || csv[3].Length != 0 || csv[4].Length != 0)
{
quoteBar.Bid = new Bar
{
Open = config.GetNormalizedPrice(csv[1].ToDecimal()*_scaleFactor),
High = config.GetNormalizedPrice(csv[2].ToDecimal()*_scaleFactor),
Low = config.GetNormalizedPrice(csv[3].ToDecimal()*_scaleFactor),
Close = config.GetNormalizedPrice(csv[4].ToDecimal()*_scaleFactor)
};
quoteBar.LastBidSize = csv[5].ToInt64();
}
else
{
quoteBar.Bid = null;
}
// only create the ask if it exists in the file
if (csv[6].Length != 0 || csv[7].Length != 0 || csv[8].Length != 0 || csv[9].Length != 0)
{
quoteBar.Ask = new Bar
{
Open = config.GetNormalizedPrice(csv[6].ToDecimal()*_scaleFactor),
High = config.GetNormalizedPrice(csv[7].ToDecimal()*_scaleFactor),
Low = config.GetNormalizedPrice(csv[8].ToDecimal()*_scaleFactor),
Close = config.GetNormalizedPrice(csv[9].ToDecimal()*_scaleFactor)
};
quoteBar.LastAskSize = csv[10].ToInt64();
}
else
{
quoteBar.Ask = null;
}
quoteBar.Value = quoteBar.Close;
return quoteBar;
}
