/// <summary>
/// Source URL's of Backtesting and Live Streams:
/// </summary>
public override string GetSource(SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed)
{
var source = "";
switch (datafeed)
{
//Historical backtesting data:
case DataFeedEndpoint.Backtesting:
source = "http://www.quandl.com/api/v1/datasets/BITCOIN/BITSTAMPUSD.csv?sort_order=asc";
break;
//Live socket for bitcoin prices:
case DataFeedEndpoint.Tradier:
case DataFeedEndpoint.LiveTrading:
//Live refreshing endpoint.
source = "https://www.bitstamp.net/api/ticker/";
break;
}
return source;
}
/// <summary>
/// Parse a line from the CSV's into our trade bars.
/// </summary>
/// <param name="config">QC SecurityType of the tradebar</param>
/// <param name="baseDate">Base date of this tick</param>
/// <param name="line">CSV from data files.</param>
/// <param name="datafeed">Datafeed this csv line is sourced from</param>
public TradeBar(SubscriptionDataConfig config, string line, DateTime baseDate, DataFeedEndpoint datafeed = DataFeedEndpoint.Backtesting)
{
try
{
//Parse the data into a trade bar:
string[] csv = line.Split(',');
const decimal scaleFactor = 10000m;
base.Symbol = config.Symbol;
switch (config.Security)
{
//Equity File Data Format:
case SecurityType.Equity:
base.Time = baseDate.Date.AddMilliseconds(Convert.ToInt32(csv[0]));
Open = (csv[1].ToDecimal() / scaleFactor) * config.PriceScaleFactor; // Convert.ToDecimal(csv[1]) / scaleFactor;
High = (csv[2].ToDecimal() / scaleFactor) * config.PriceScaleFactor; // Using custom "ToDecimal" conversion for speed.
Low = (csv[3].ToDecimal() / scaleFactor) * config.PriceScaleFactor;
Close = (csv[4].ToDecimal() / scaleFactor) * config.PriceScaleFactor;
Volume = Convert.ToInt64(csv[5]);
break;
//FOREX has a different data file format:
case SecurityType.Forex:
base.Time = DateTime.ParseExact(csv[0], "yyyyMMdd HH:mm:ss.ffff", CultureInfo.InvariantCulture);
Open = csv[1].ToDecimal();
High = csv[2].ToDecimal();
Low = csv[3].ToDecimal();
Close = csv[4].ToDecimal();
break;
}
base.Value = Close;
}
catch (Exception err)
{
Log.Error("DataModels: TradeBar(): Error Initializing - " + config.Security + " - " + err.Message + " - " + line);
}
}
/// <summary>
/// 2. RETURN THE STRING URL SOURCE LOCATION FOR YOUR DATA:
/// This is a powerful and dynamic select source file method. If you have a large dataset, 10+mb we recommend you break it into smaller files. E.g. One zip per year.
/// We can accept raw text or ZIP files. We read the file extension to determine if it is a zip file.
/// </summary>
/// <param name="config">Subscription data, symbol name, data type</param>
/// <param name="date">Current date we're requesting. This allows you to break up the data source into daily files.</param>
/// <param name="datafeed">Datafeed type: Backtesting or the Live data broker who will provide live data. You can specify a different source for live trading! </param>
/// <returns>string URL end point.</returns>
public override string GetSource(SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed)
{
switch (datafeed)
{
//Backtesting Data Source: Example of a data source which varies by day (commented out)
default:
case DataFeedEndpoint.Backtesting:
//return "http://my-ftp-server.com/futures-data-" + date.ToString("Ymd") + ".zip";
// OR simply return a fixed small data file. Large files will slow down your backtest
return "http://www.quandl.com/api/v1/datasets/BITCOIN/BITSTAMPUSD.csv?sort_order=asc";
case DataFeedEndpoint.LiveTrading:
//Alternative live socket data source for live trading (soon)/
return "....";
}
}
/// <summary>
/// 3. READER METHOD: Read 1 line from data source and convert it into Object.
/// Each line of the CSV File is presented in here. The backend downloads your file, loads it into memory and then line by line
/// feeds it into your algorithm
/// </summary>
/// <param name="line">string line from the data source file submitted above</param>
/// <param name="config">Subscription data, symbol name, data type</param>
/// <param name="date">Current date we're requesting. This allows you to break up the data source into daily files.</param>
/// <param name="datafeed">Datafeed type - Backtesting or LiveTrading</param>
/// <returns>New Weather Object which extends BaseData.</returns>
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed)
{
//New weather object
Bitcoin coin = new Bitcoin();
try
{
//Example File Format:
//Date, Open High Low Close Volume (BTC) Volume (Currency) Weighted Price
//2011-09-13 5.8 6.0 5.65 5.97 58.37138238, 346.0973893944 5.929230648356
string[] data = line.Split(',');
coin.Time = DateTime.Parse(data[0]);
coin.Open = Convert.ToDecimal(data[1]);
coin.High = Convert.ToDecimal(data[2]);
coin.Low = Convert.ToDecimal(data[3]);
coin.Close = Convert.ToDecimal(data[4]);
coin.VolumeBTC = Convert.ToDecimal(data[5]);
coin.VolumeUSD = Convert.ToDecimal(data[6]);
coin.WeightedPrice = Convert.ToDecimal(data[7]);
coin.Symbol = "BTC";
coin.Value = coin.Close;
}
catch { /* Do nothing, skip first title row */ }
return coin;
}
/// <summary>
/// Backtesting & Live Bitcoin Decoder:
/// </summary>
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed)
{
Bitcoin coin = new Bitcoin();
switch (datafeed)
{
//Example Line Format:
//Date Open High Low Close Volume (BTC) Volume (Currency) Weighted Price
//2011-09-13 5.8 6.0 5.65 5.97 58.37138238, 346.0973893944 5.929230648356
case DataFeedEndpoint.Backtesting:
try
{
string[] data = line.Split(',');
coin.Time = DateTime.Parse(data[0]);
coin.Open = Convert.ToDecimal(data[1]);
coin.High = Convert.ToDecimal(data[2]);
coin.Low = Convert.ToDecimal(data[3]);
coin.Close = Convert.ToDecimal(data[4]);
coin.VolumeBTC = Convert.ToDecimal(data[5]);
coin.WeightedPrice = Convert.ToDecimal(data[7]);
coin.Symbol = "BTC";
coin.Value = coin.Close;
}
catch { /* Do nothing, skip first title row */ }
break;
//Example Line Format:
//{"high": "441.00", "last": "421.86", "timestamp": "1411606877", "bid": "421.96", "vwap": "428.58", "volume": "14120.40683975", "low": "418.83", "ask": "421.99"}
case DataFeedEndpoint.Tradier:
case DataFeedEndpoint.LiveTrading:
try
{
var liveBTC = JsonConvert.DeserializeObject<LiveBitcoin>(line);
coin.Time = DateTime.Now;
coin.Open = liveBTC.Last;
coin.High = liveBTC.High;
coin.Low = liveBTC.Low;
coin.Close = liveBTC.Last;
coin.VolumeBTC = liveBTC.Volume;
coin.WeightedPrice = liveBTC.VWAP;
coin.Symbol = "BTC";
coin.Value = coin.Close;
}
catch { /* Do nothing, possible error in json decoding */ }
break;
}
return coin;
}
/********************************************************
* CLASS METHODS
*********************************************************/
/// <summary>
/// TradeBar Reader: Fetch the data from the QC storage and feed it line by line into the engine.
/// </summary>
/// <param name="datafeed">Destination for the this datafeed - live or backtesting</param>
/// <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>
/// <returns>Enumerable iterator for returning each line of the required data.</returns>
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed)
{
//Initialize:
TradeBar _tradeBar = new TradeBar();
//Select the URL source of the data depending on where the system is trading.
switch (datafeed)
{
//Amazon S3 Backtesting Data:
case DataFeedEndpoint.Backtesting:
//Create a new instance of our tradebar:
_tradeBar = new TradeBar(config, line, date, datafeed);
break;
//Localhost Data Source
case DataFeedEndpoint.FileSystem:
//Create a new instance of our tradebar:
_tradeBar = new TradeBar(config, line, date, datafeed);
break;
//QuantConnect Live Tick Stream:
case DataFeedEndpoint.LiveTrading:
break;
}
//Return initialized TradeBar:
return _tradeBar;
}
/******************************************************** * CLASS PROPERTIES *********************************************************/ /******************************************************** * CLASS METHODS *********************************************************/ /// <summary> /// Reader Method :: using set of arguements we specify read out type. Enumerate /// until the end of the data stream or file. E.g. Read CSV file line by line and convert /// into data types. /// </summary> /// <returns>BaseData type set by Subscription Method.</returns> public abstract BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed);
/// <summary>
/// Parse a tick data line from Zip files.
/// </summary>
/// <param name="line">CSV Line</param>
/// <param name="date">Base date for the tick</param>
/// <param name="config">Subscription configuration object</param>
/// <param name="datafeed">Datafeed for </param>
public Tick(SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed)
{
try
{
string[] csv = line.Split(',');
switch (config.Security)
{
case SecurityType.Equity:
base.Symbol = config.Symbol;
base.Time = date.Date.AddMilliseconds(Convert.ToInt64(csv[0]));
base.Value = (csv[1].ToDecimal() / 10000m) * config.PriceScaleFactor;
base.DataType = MarketDataType.Tick;
this.TickType = TickType.Trade;
this.Quantity = Convert.ToInt32(csv[2]);
if (csv.Length > 3)
{
this.Exchange = csv[3];
this.SaleCondition = csv[4];
this.Suspicious = (csv[5] == "1") ? true : false;
}
break;
case SecurityType.Forex:
base.Symbol = config.Symbol;
TickType = TickType.Quote;
Time = DateTime.ParseExact(csv[0], "yyyyMMdd HH:mm:ss.ffff", CultureInfo.InvariantCulture);
BidPrice = csv[1].ToDecimal();
AskPrice = csv[2].ToDecimal();
Value = BidPrice + (AskPrice - BidPrice) / 2;
break;
}
}
catch (Exception err)
{
Log.Error("Error Generating Tick: " + err.Message);
}
}
/********************************************************
* CLASS PROPERTIES
*********************************************************/
/********************************************************
* CLASS METHODS
*********************************************************/
/// <summary>
/// Reader Method :: using set of arguements we specify read out type. Enumerate
/// until the end of the data stream or file. E.g. Read CSV file line by line and convert
/// into data types.
/// </summary>
/// <returns>BaseData type set by Subscription Method.</returns>
public abstract BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed);
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed)
{
Futures contract = new Futures();
try
{
string[] data = line.Split(',');
contract.Time = DateTime.ParseExact(data[0], "M/d/yyyy", CultureInfo.InvariantCulture);
contract.Open = Convert.ToDecimal(data[1]);
contract.High = Convert.ToDecimal(data[2]);
contract.Low = Convert.ToDecimal(data[3]);
contract.Close = Convert.ToDecimal(data[4]);
contract.Symbol = config.Symbol;
contract.Value = contract.Close;
}
catch { /* Do nothing, skip first title row */ }
return contract;
}
public override string GetSource(SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed)
{
string sourceURL = "";
if (config.Symbol == "CL1")
{
sourceURL = "https://www.dropbox.com/s/cf1c9wehmc9q8ar/CL1.csv?dl=1";
}
if (config.Symbol == "CL2")
{
sourceURL = "https://www.dropbox.com/s/uitywhz18qkiq1m/CL2.csv?dl=1";
}
return sourceURL;
}
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed)
{
//New USDINR object
DollarRupee currency = new DollarRupee();
try
{
string[] data = line.Split(',');
currency.Time = DateTime.Parse(data[0]);
currency.Close = Convert.ToDecimal(data[1]);
currency.Symbol = "USDINR";
currency.Value = currency.Close;
}
catch
{
}
return currency;
}
public override string GetSource(SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed)
{
return "https://www.dropbox.com/s/m6ecmkg9aijwzy2/USDINR.csv?dl=1";
}
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed)
{
//New Nifty object
Nifty index = new Nifty();
try
{
//Example File Format:
//Date, Open High Low Close Volume Turnover
//2011-09-13 7792.9 7799.9 7722.65 7748.7 116534670 6107.78
string[] data = line.Split(',');
index.Time = DateTime.Parse(data[0]);
index.Open = Convert.ToDecimal(data[1]);
index.High = Convert.ToDecimal(data[2]);
index.Low = Convert.ToDecimal(data[3]);
index.Close = Convert.ToDecimal(data[4]);
index.Symbol = "NIFTY";
index.Value = index.Close;
}
catch
{
}
return index;
}
public override string GetSource(SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed)
{
return "https://www.dropbox.com/s/rsmg44jr6wexn2h/CNXNIFTY.csv?dl=1";
}
public override string GetSource(SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed)
{
return "https://www.quandl.com/api/v1/datasets/YAHOO/INDEX_VIX.csv?trim_start=2000-01-01&trim_end=2014-10-31&sort_order=asc&exclude_headers=true";
}
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed)
{
VIX fear = new VIX();
//try
//{
//Date Open High Low Close Volume Adjusted Close
//10/27/2014 17.24 17.87 16 16.04 0 16.04
string[] data = line.Split(',');
fear.Time = DateTime.ParseExact(data[0], "yyyy-MM-dd", CultureInfo.InvariantCulture);
fear.Open = Convert.ToDecimal(data[1]); fear.High = Convert.ToDecimal(data[2]);
fear.Low = Convert.ToDecimal(data[3]); fear.Close = Convert.ToDecimal(data[4]);
fear.Symbol = "VIX"; fear.Value = fear.Close;
//}
//catch
//{ }
return fear;
}
/// <summary> /// Return the URL string source of the file. This will be converted to a stream /// </summary> /// <param name="datafeed">Type of datafeed we're reqesting - backtest or live</param> /// <param name="config">Configuration object</param> /// <param name="date">Date of this source file</param> /// <returns>String URL of source file.</returns> public abstract string GetSource(SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed);
/********************************************************
* CLASS METHODS
*********************************************************/
/// <summary>
/// Tick Implementation of Reader Method: read a line and convert it to a tick.
/// </summary>
/// <param name="datafeed">Source of the datafeed</param>
/// <param name="config">Configuration object for algorith</param>
/// <param name="line">Line of the datafeed</param>
/// <param name="date">Date of this reader request</param>
/// <returns>New Initialized tick</returns>
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed)
{
Tick _tick = new Tick();
//Select the URL source of the data depending on where the system is trading.
switch (datafeed)
{
//Local File System Storage and Backtesting QC Data Store Feed use same files:
case DataFeedEndpoint.FileSystem:
case DataFeedEndpoint.Backtesting:
//Create a new instance of our tradebar:
_tick = new Tick(config, line, date, datafeed);
break;
case DataFeedEndpoint.LiveTrading:
break;
case DataFeedEndpoint.Tradier:
break;
}
return _tick;
}
/********************************************************
* CLASS METHODS
*********************************************************/
/// <summary>
/// TradeBar Reader: Fetch the data from the QC storage and feed it line by line into the engine.
/// </summary>
/// <param name="datafeed">Where are we getting this datafeed from - backtesing or live.</param>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="line">Line from the data file requested</param>
/// <param name="date">Date of the reader request, only used when the source file changes daily.</param>
/// <returns>Enumerable iterator for returning each line of the required data.</returns>
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed)
{
throw new Exception("TradeBars class not implemented. Use TradeBar reader instead.");
}
/// <summary> /// Return the URL string source of the file. This will be converted to a stream /// </summary> /// <param name="datafeed">Type of datafeed we're reqesting - backtest or live</param> /// <param name="config">Configuration object</param> /// <param name="date">Date of this source file</param> /// <returns>String URL of source file.</returns> public abstract string GetSource(SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed);
/// <summary>
/// Get Source File URL for this TradeBar subscription request
/// </summary>
/// <param name="datafeed">Source of the datafeed / type of strings we'll be receiving</param>
/// <param name="config">Configuration for the subscription</param>
/// <param name="date">Date of the source file requested.</param>
/// <returns>String URL Source File</returns>
public override string GetSource(SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed)
{
throw new NotImplementedException();
}
/// <summary>
/// Get Source for Custom Data File
/// >> What source file location would you prefer for each type of usage:
/// </summary>
/// <param name="config">Configuration object</param>
/// <param name="date">Date of this source request if source spread across multiple files</param>
/// <param name="datafeed">Source of the datafeed</param>
/// <returns>String source location of the file</returns>
public override string GetSource(SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed)
{
string source = "";
switch (datafeed)
{
//Source location for backtesting. Commonly a dropbox or FTP link
case DataFeedEndpoint.Backtesting:
//E.g.:
//source = @"https://www.dropbox.com/";
break;
//Source location for local testing: Not yet released :) Coming soon.
case DataFeedEndpoint.FileSystem:
break;
//Source location for live trading: do you have an endpoint for streaming data?
case DataFeedEndpoint.LiveTrading:
break;
}
return source;
}
public override string GetSource(SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed)
{
return "https://www.dropbox.com/s/oiliumoyqqj1ovl/2013-cash.csv?dl=1";
}
/// <summary>
/// Add Market Data Required - generic data typing support as long as Type implements IBaseData.
/// </summary>
/// <param name="dataType">Set the type of the data we're subscribing to.</param>
/// <param name="security">Market Data Asset</param>
/// <param name="symbol">Symbol of the asset we're like</param>
/// <param name="resolution">Resolution of Asset Required</param>
/// <param name="fillDataForward">when there is no data pass the last tradebar forward</param>
/// <param name="extendedMarketHours">Request premarket data as well when true </param>
public void Add(Type dataType, SecurityType security, string symbol, Resolution resolution = Resolution.Minute, bool fillDataForward = true, bool extendedMarketHours = false)
{
//Clean:
symbol = symbol.ToUpper();
//Create:
SubscriptionDataConfig newConfig = new SubscriptionDataConfig(dataType, security, symbol, resolution, fillDataForward, extendedMarketHours);
//Add to subscription list: make sure we don't have his symbol:
Subscriptions.Add(newConfig);
}
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed)
{
//New Bitcoin object
CashType cash = new CashType();
try
{
string[] data = line.Split(',');
cash.Time = DateTime.ParseExact(data[0], "yyyy-MM-dd", CultureInfo.InvariantCulture);
cash.Value = Convert.ToDecimal(data[1]);
}
catch { /* Do nothing, skip first title row */ }
return cash;
}