/// <summary>
/// Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object
/// each time it is called.
/// </summary>
/// <param name="config">Subscription data config setup object</param>
/// <param name="line">Line of the source document</param>
/// <param name="date">Date of the requested data</param>
/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
/// <returns>Instance of the T:BaseData object generated by this line of the CSV</returns>
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
try
{
var csv = line.Split(',');
var coarse = new CoarseFundamental
{
Symbol = new Symbol(SecurityIdentifier.Parse(csv[0]), csv[1]),
Time = date,
Market = config.Market,
Value = csv[2].ToDecimal(),
Volume = csv[3].ToInt64(),
DollarVolume = csv[4].ToDecimal()
};
if (csv.Length > 5)
{
coarse.HasFundamentalData = Convert.ToBoolean(csv[5]);
}
if (csv.Length > 7)
{
coarse.PriceFactor = csv[6].ToDecimal();
coarse.SplitFactor = csv[7].ToDecimal();
}
return(coarse);
}
catch (Exception)
{
return(null);
}
}
/// <summary>
/// Gets the <see cref="CoarseFundamental"/> data for the specified market/date
/// </summary>
public static IEnumerable<CoarseFundamental> GetCoarseFundamentals(string market, DateTimeZone timeZone, DateTime date, bool isLiveMode)
{
var factory = new CoarseFundamental();
var config = new SubscriptionDataConfig(typeof(CoarseFundamental), SecurityType.Equity, new Symbol(market + "-coarse"), Resolution.Daily, market, timeZone, true, false, true, false);
var reader = new BaseDataSubscriptionFactory(config, date, isLiveMode);
var source = factory.GetSource(config, date, isLiveMode);
return reader.Read(source).OfType<CoarseFundamental>();
}
/// <summary>
/// Initializes a new instance of the <see cref="CoarseFundamentalUniverse"/> class
/// </summary>
/// <param name="universeSettings">The settings used for new subscriptions generated by this universe</param>
/// <param name="securityInitializer">Initializes securities when they're added to the universe</param>
/// <param name="selector">Returns the symbols that should be included in the universe</param>
public CoarseFundamentalUniverse(UniverseSettings universeSettings, ISecurityInitializer securityInitializer, PyObject selector)
: base(CreateConfiguration(CoarseFundamental.CreateUniverseSymbol(QuantConnect.Market.USA)), securityInitializer)
{
_universeSettings = universeSettings;
Func <IEnumerable <CoarseFundamental>, Symbol[]> func;
if (selector.TryConvertToDelegate(out func))
{
_selector = func;
}
}
/// <summary>
/// Converts a given fundamental data point into row format
/// </summary>
public static string ToRow(CoarseFundamental coarse)
{
// sid,symbol,close,volume,dollar volume,has fundamental data,price factor,split factor
var values = new object[]
{
coarse.Symbol.ID,
coarse.Symbol.Value,
coarse.Value,
coarse.Volume,
coarse.DollarVolume,
coarse.HasFundamentalData,
coarse.PriceFactor,
coarse.SplitFactor
};
return(string.Join(",", values.Select(s => Convert.ToString(s, CultureInfo.InvariantCulture))));
}
/// <summary>
/// Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object
/// each time it is called.
/// </summary>
/// <param name="config">Subscription data config setup object</param>
/// <param name="line">Line of the source document</param>
/// <param name="date">Date of the requested data</param>
/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
/// <returns>Instance of the T:BaseData object generated by this line of the CSV</returns>
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
try
{
var csv = line.Split(',');
var coarse = new CoarseFundamental
{
Symbol = new Symbol(SecurityIdentifier.Parse(csv[0]), csv[1]),
Time = date,
Market = config.Market,
Value = csv[2].ToDecimal(),
Volume = csv[3].ToInt64(),
DollarVolume = csv[4].ToDecimal()
};
if (csv.Length > 5)
{
coarse.HasFundamentalData = Convert.ToBoolean(csv[5]);
}
return coarse;
}
catch (Exception)
{
return null;
}
}
/// <summary>
/// Initializes a new instance of the <see cref="CoarseFundamentalUniverse"/> class
/// </summary>
/// <param name="universeSettings">The settings used for new subscriptions generated by this universe</param>
/// <param name="selector">Returns the symbols that should be included in the universe</param>
public CoarseFundamentalUniverse(UniverseSettings universeSettings, PyObject selector)
: this(CoarseFundamental.CreateUniverseSymbol(QuantConnect.Market.USA), universeSettings, selector)
{
}
/// <summary>
/// Initializes a new instance of the <see cref="CoarseFundamentalUniverse"/> class
/// </summary>
/// <param name="universeSettings">The settings used for new subscriptions generated by this universe</param>
/// <param name="selector">Returns the symbols that should be included in the universe</param>
public CoarseFundamentalUniverse(UniverseSettings universeSettings, Func <IEnumerable <CoarseFundamental>, IEnumerable <Symbol> > selector)
: base(CreateConfiguration(CoarseFundamental.CreateUniverseSymbol(QuantConnect.Market.USA)))
{
_universeSettings = universeSettings;
_selector = selector;
}
/// <summary>
/// Adds a new subscription for universe selection
/// </summary>
/// <param name="universe">The universe to add a subscription for</param>
/// <param name="startTimeUtc">The start time of the subscription in utc</param>
/// <param name="endTimeUtc">The end time of the subscription in utc</param>
public void AddUniverseSubscription(Universe universe, DateTime startTimeUtc, DateTime endTimeUtc)
{
// TODO : Consider moving the creating of universe subscriptions to a separate, testable class
// grab the relevant exchange hours
var config = universe.Configuration;
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var exchangeHours = marketHoursDatabase.GetExchangeHours(config);
// create a canonical security object
var security = new Security(exchangeHours, config);
var localStartTime = startTimeUtc.ConvertFromUtc(security.Exchange.TimeZone);
var localEndTime = endTimeUtc.ConvertFromUtc(security.Exchange.TimeZone);
// define our data enumerator
IEnumerator<BaseData> enumerator;
var tradeableDates = Time.EachTradeableDay(security, localStartTime, localEndTime);
var userDefined = universe as UserDefinedUniverse;
if (userDefined != null)
{
// spoof a tick on the requested interval to trigger the universe selection function
enumerator = userDefined.GetTriggerTimes(startTimeUtc, endTimeUtc, marketHoursDatabase)
.Select(x => new Tick { Time = x, Symbol = config.Symbol }).GetEnumerator();
// route these custom subscriptions through the exchange for buffering
var enqueueable = new EnqueueableEnumerator<BaseData>(true);
// add this enumerator to our exchange
ScheduleEnumerator(enumerator, enqueueable, GetLowerThreshold(config.Resolution), GetUpperThreshold(config.Resolution));
enumerator = enqueueable;
}
else if (config.Type == typeof (CoarseFundamental))
{
var cf = new CoarseFundamental();
var enqueueable = new EnqueueableEnumerator<BaseData>(true);
// load coarse data day by day
var coarse = from date in Time.EachTradeableDay(security, _algorithm.StartDate, _algorithm.EndDate)
let dateInDataTimeZone = date.ConvertTo(config.ExchangeTimeZone, config.DataTimeZone).Date
let factory = new BaseDataSubscriptionFactory(config, dateInDataTimeZone, false)
let source = cf.GetSource(config, dateInDataTimeZone, false)
let coarseFundamentalForDate = factory.Read(source)
select new BaseDataCollection(date, config.Symbol, coarseFundamentalForDate);
ScheduleEnumerator(coarse.GetEnumerator(), enqueueable, 5, 100000, 2);
enumerator = enqueueable;
}
else
{
// normal reader for all others
enumerator = new SubscriptionDataReader(config, localStartTime, localEndTime, _resultHandler, MapFileResolver.Empty, _factorFileProvider, tradeableDates, false);
// route these custom subscriptions through the exchange for buffering
var enqueueable = new EnqueueableEnumerator<BaseData>(true);
// add this enumerator to our exchange
ScheduleEnumerator(enumerator, enqueueable, GetLowerThreshold(config.Resolution), GetUpperThreshold(config.Resolution));
enumerator = enqueueable;
}
// create the subscription
var timeZoneOffsetProvider = new TimeZoneOffsetProvider(security.Exchange.TimeZone, startTimeUtc, endTimeUtc);
var subscription = new Subscription(universe, security, enumerator, timeZoneOffsetProvider, startTimeUtc, endTimeUtc, true);
_subscriptions.AddOrUpdate(subscription.Security.Symbol, subscription);
}
/// <summary>
/// Converts a given fundamental data point into row format
/// </summary>
public static string ToRow(CoarseFundamental coarse)
{
// sid,symbol,close,volume,dollar volume,has fundamental data,price factor,split factor
return($"{coarse.Symbol.ID},{coarse.Symbol.Value},{coarse.Value},{coarse.Volume},{coarse.DollarVolume},{coarse.HasFundamentalData},{coarse.PriceFactor},{coarse.SplitFactor}");
}
