/// <summary>
/// Parses Option trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar
/// </summary>
/// <typeparam name="T">The requested output type, must derive from TradeBar</typeparam>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="line">Line from the data file requested</param>
/// <param name="date">The base data used to compute the time of the bar since the line specifies a milliseconds since midnight</param>
/// <returns></returns>
public static T ParseDerivative <T>(SubscriptionDataConfig config, string line, DateTime date)
where T : TradeBar, new()
{
var tradeBar = new T
{
Period = config.Increment,
Symbol = config.Symbol
};
var csv = line.ToCsv(6);
if (config.Resolution == Resolution.Daily || config.Resolution == Resolution.Hour)
{
// hourly and daily have different time format, and can use slow, robust c# parser.
tradeBar.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.
tradeBar.Time = date.Date.AddMilliseconds(csv[0].ToInt32()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
}
tradeBar.Open = config.GetNormalizedPrice(csv[1].ToDecimal() * _scaleFactor);
tradeBar.High = config.GetNormalizedPrice(csv[2].ToDecimal() * _scaleFactor);
tradeBar.Low = config.GetNormalizedPrice(csv[3].ToDecimal() * _scaleFactor);
tradeBar.Close = config.GetNormalizedPrice(csv[4].ToDecimal() * _scaleFactor);
tradeBar.Volume = csv[5].ToInt64();
return(tradeBar);
}
public static T ParseOption <T>(SubscriptionDataConfig config, string line, DateTime date)
where T : TradeBar, new()
{
var tradeBar = new T
{
Period = config.Increment,
Symbol = config.Symbol
};
var csv = line.ToCsv(6);
if (config.Resolution == Resolution.Daily || config.Resolution == Resolution.Hour)
{
tradeBar.Time = DateTime.ParseExact(csv[0], DateFormat.TwelveCharacter, CultureInfo.InvariantCulture).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
}
else
{
tradeBar.Time = date.Date.AddMilliseconds(csv[0].ToInt32()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
}
tradeBar.Open = config.GetNormalizedPrice(csv[1].ToDecimal() * _scaleFactor);
tradeBar.High = config.GetNormalizedPrice(csv[2].ToDecimal() * _scaleFactor);
tradeBar.Low = config.GetNormalizedPrice(csv[3].ToDecimal() * _scaleFactor);
tradeBar.Close = config.GetNormalizedPrice(csv[4].ToDecimal() * _scaleFactor);
tradeBar.Volume = csv[5].ToInt64();
return(tradeBar);
}
/// <summary>
/// Parses equity trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar
/// </summary>
/// <typeparam name="T">The requested output type, must derive from TradeBar</typeparam>
/// <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></returns>
protected static T ParseEquity <T>(SubscriptionDataConfig config, string line, DateTime date)
where T : TradeBar, new()
{
var tradeBar = new T
{
Symbol = config.Symbol,
Period = config.Increment
};
var csv = line.Split(',');
if (config.Resolution == Resolution.Daily || config.Resolution == Resolution.Hour)
{
// hourly and daily have different time format, and can use slow, robust c# parser.
tradeBar.Time = DateTime.ParseExact(csv[0], DateFormat.TwelveCharacter, CultureInfo.InvariantCulture);
tradeBar.Open = config.GetNormalizedPrice(Convert.ToDecimal(csv[1]) / _scaleFactor);
tradeBar.High = config.GetNormalizedPrice(Convert.ToDecimal(csv[2]) / _scaleFactor);
tradeBar.Low = config.GetNormalizedPrice(Convert.ToDecimal(csv[3]) / _scaleFactor);
tradeBar.Close = config.GetNormalizedPrice(Convert.ToDecimal(csv[4]) / _scaleFactor);
}
else
{
// Using custom "ToDecimal" conversion for speed on high resolution data.
tradeBar.Time = date.Date.AddMilliseconds(Convert.ToInt32(csv[0]));
tradeBar.Open = config.GetNormalizedPrice(csv[1].ToDecimal() / _scaleFactor);
tradeBar.High = config.GetNormalizedPrice(csv[2].ToDecimal() / _scaleFactor);
tradeBar.Low = config.GetNormalizedPrice(csv[3].ToDecimal() / _scaleFactor);
tradeBar.Close = config.GetNormalizedPrice(csv[4].ToDecimal() / _scaleFactor);
}
tradeBar.Volume = Convert.ToInt64(csv[5]);
return(tradeBar);
}
/// <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);
}
public void NormalizePrice(DataNormalizationMode mode, decimal factor, decimal dividents, decimal expected)
{
_config.DataNormalizationMode = mode;
_config.PriceScaleFactor = factor;
_config.SumOfDividends = dividents;
Assert.AreEqual(expected, _config.GetNormalizedPrice(100));
}
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)
{
quoteBar.Time = DateTime.ParseExact(csv[0], DateFormat.TwelveCharacter, CultureInfo.InvariantCulture).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
}
else
{
quoteBar.Time = date.Date.AddMilliseconds(csv[0].ToInt32()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
}
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;
}
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>
/// Parse a line from CSV data sources into our trade bars.
/// </summary>
/// <param name="config">Configuration class object for this data subscription</param>
/// <param name="baseDate">Base date of this tradebar line</param>
/// <param name="line">CSV line from source data file</param>
/// <param name="datafeed">Datafeed this csv line is sourced from (backtesting or live)</param>
public TradeBar(SubscriptionDataConfig config, string line, DateTime baseDate, DataFeedEndpoint datafeed = DataFeedEndpoint.Backtesting)
{
try
{
Period = config.Resolution.ToTimeSpan();
//Parse the data into a trade bar:
var csv = line.Split(',');
const decimal scaleFactor = 10000m;
Symbol = config.Symbol;
switch (config.SecurityType)
{
//Equity File Data Format:
case SecurityType.Equity:
Time = baseDate.Date.AddMilliseconds(Convert.ToInt32(csv[0]));
Open = config.GetNormalizedPrice(csv[1].ToDecimal() / scaleFactor); // Convert.ToDecimal(csv[1]) / scaleFactor;
High = config.GetNormalizedPrice(csv[2].ToDecimal() / scaleFactor); // Using custom "ToDecimal" conversion for speed.
Low = config.GetNormalizedPrice(csv[3].ToDecimal() / scaleFactor);
Close = config.GetNormalizedPrice(csv[4].ToDecimal() / scaleFactor);
Volume = Convert.ToInt64(csv[5]);
break;
//FOREX has a different data file format:
case SecurityType.Forex:
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.SecurityType + " - " + err.Message + " - " + line);
}
}
/// <summary>
/// Parses CFD trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar
/// </summary>
/// <typeparam name="T">The requested output type, must derive from TradeBar</typeparam>
/// <param name="config">Symbols, Resolution, DataType, </param>
/// <param name="line">Line from the data file requested</param>
/// <param name="date">The base data used to compute the time of the bar since the line specifies a milliseconds since midnight</param>
/// <returns></returns>
public static T ParseOption <T>(SubscriptionDataConfig config, string line, DateTime date)
where T : TradeBar, new()
{
var tradeBar = new T
{
Period = config.Increment
};
var csv = line.ToCsv(8);
if (config.Resolution == Resolution.Daily || config.Resolution == Resolution.Hour)
{
// hourly and daily have different time format, and can use slow, robust c# parser.
tradeBar.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.
tradeBar.Time = date.Date.AddMilliseconds(csv[0].ToInt32()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
}
tradeBar.Open = config.GetNormalizedPrice(csv[4].ToDecimal() * _scaleFactor);
tradeBar.High = config.GetNormalizedPrice(csv[5].ToDecimal() * _scaleFactor);
tradeBar.Low = config.GetNormalizedPrice(csv[6].ToDecimal() * _scaleFactor);
tradeBar.Close = config.GetNormalizedPrice(csv[7].ToDecimal() * _scaleFactor);
tradeBar.Volume = csv[8].ToInt64();
var putCall = csv[1] == "P" ? OptionRight.Put : OptionRight.Call;
var strike = csv[2].ToDecimal() * _scaleFactor;
var expiry = DateTime.ParseExact(csv[3], DateFormat.EightCharacter, null);
var symbol = Symbol.CreateOption(config.Symbol.ID.Symbol, config.Market, config.Symbol.ID.OptionStyle, putCall, strike, expiry);
tradeBar.Symbol = symbol;
return(tradeBar);
}
/// <summary>
/// Parse a tick data line from quantconnect zip source files.
/// </summary>
/// <param name="line">CSV source line of the compressed source</param>
/// <param name="date">Base date for the tick (ticks date is stored as int milliseconds since midnight)</param>
/// <param name="config">Subscription configuration object</param>
public Tick(SubscriptionDataConfig config, string line, DateTime date)
{
try
{
DataType = MarketDataType.Tick;
// Which security type is this data feed:
switch (config.SecurityType)
{
case SecurityType.Equity:
{
var csv = line.ToCsv(6);
Symbol = config.Symbol;
Time = date.Date.AddMilliseconds(csv[0].ToInt64()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
Value = config.GetNormalizedPrice(csv[1].ToDecimal() / 10000m);
TickType = TickType.Trade;
Quantity = csv[2].ToInt32();
if (csv.Count > 3)
{
Exchange = csv[3];
SaleCondition = csv[4];
Suspicious = (csv[5] == "1");
}
break;
}
case SecurityType.Forex:
case SecurityType.Cfd:
{
var csv = line.ToCsv(3);
Symbol = config.Symbol;
TickType = TickType.Quote;
Time = date.Date.AddMilliseconds(csv[0].ToInt64()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
BidPrice = csv[1].ToDecimal();
AskPrice = csv[2].ToDecimal();
Value = (BidPrice + AskPrice) / 2;
break;
}
}
}
catch (Exception err)
{
Log.Error(err);
}
}
/// <summary>
/// Parse a tick data line from quantconnect zip source files.
/// </summary>
/// <param name="line">CSV source line of the compressed source</param>
/// <param name="date">Base date for the tick (ticks date is stored as int milliseconds since midnight)</param>
/// <param name="config">Subscription configuration object</param>
/// <param name="datafeed">Datafeed for tick - live or backtesting.</param>
public Tick(SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed)
{
try
{
var csv = line.Split(',');
// Which security type is this data feed:
switch (config.SecurityType)
{
case SecurityType.Equity:
Symbol = config.Symbol;
Time = date.Date.AddMilliseconds(Convert.ToInt64(csv[0]));
Value = config.GetNormalizedPrice(csv[1].ToDecimal() / 10000m);
DataType = MarketDataType.Tick;
TickType = TickType.Trade;
Quantity = Convert.ToInt32(csv[2]);
if (csv.Length > 3)
{
Exchange = csv[3];
SaleCondition = csv[4];
Suspicious = (csv[5] == "1");
}
break;
case SecurityType.Forex:
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);
}
}
/// <summary>
/// Parse a tick data line from quantconnect zip source files.
/// </summary>
/// <param name="line">CSV source line of the compressed source</param>
/// <param name="date">Base date for the tick (ticks date is stored as int milliseconds since midnight)</param>
/// <param name="config">Subscription configuration object</param>
public Tick(SubscriptionDataConfig config, string line, DateTime date)
{
try
{
var csv = line.Split(',');
DataType = MarketDataType.Tick;
// Which security type is this data feed:
switch (config.SecurityType)
{
case SecurityType.Equity:
Symbol = config.Symbol;
Time = date.Date.AddMilliseconds(csv[0].ToInt64());
Value = config.GetNormalizedPrice(csv[1].ToDecimal() / 10000m);
TickType = TickType.Trade;
Quantity = csv[2].ToInt32();
if (csv.Length > 3)
{
Exchange = csv[3];
SaleCondition = csv[4];
Suspicious = (csv[5] == "1");
}
break;
case SecurityType.Forex:
Symbol = config.Symbol;
TickType = TickType.Quote;
Time = date.Date.AddMilliseconds(csv[0].ToInt64());
BidPrice = csv[1].ToDecimal();
AskPrice = csv[2].ToDecimal();
Value = (BidPrice + AskPrice) / 2;
break;
}
}
catch (Exception err)
{
Log.Error("Error Generating Tick: " + err.Message);
}
}
/// <summary>
/// Parse a tick data line from quantconnect zip source files.
/// </summary>
/// <param name="line">CSV source line of the compressed source</param>
/// <param name="date">Base date for the tick (ticks date is stored as int milliseconds since midnight)</param>
/// <param name="config">Subscription configuration object</param>
public Tick(SubscriptionDataConfig config, string line, DateTime date)
{
try
{
var csv = line.Split(',');
DataType = MarketDataType.Tick;
// Which security type is this data feed:
switch (config.SecurityType)
{
case SecurityType.Equity:
Symbol = config.Symbol;
Time = date.Date.AddMilliseconds(csv[0].ToInt64());
Value = config.GetNormalizedPrice(csv[1].ToDecimal() / 10000m);
TickType = TickType.Trade;
Quantity = csv[2].ToInt32();
if (csv.Length > 3)
{
Exchange = csv[3];
SaleCondition = csv[4];
Suspicious = (csv[5] == "1");
}
break;
case SecurityType.Forex:
Symbol = config.Symbol;
TickType = TickType.Quote;
Time = date.Date.AddMilliseconds(csv[0].ToInt64());
BidPrice = csv[1].ToDecimal();
AskPrice = csv[2].ToDecimal();
Value = (BidPrice + AskPrice) / 2;
break;
}
}
catch (Exception err)
{
Log.Error("Error Generating Tick: " + err.Message);
}
}
/// <summary>
/// Parse a tick data line from quantconnect zip source files.
/// </summary>
/// <param name="line">CSV source line of the compressed source</param>
/// <param name="date">Base date for the tick (ticks date is stored as int milliseconds since midnight)</param>
/// <param name="config">Subscription configuration object</param>
public Tick(SubscriptionDataConfig config, string line, DateTime date)
{
try
{
DataType = MarketDataType.Tick;
// Which security type is this data feed:
switch (config.SecurityType)
{
case SecurityType.Equity:
{
var csv = line.ToCsv(6);
Symbol = config.Symbol;
Time = date.Date.AddMilliseconds(csv[0].ToInt64()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
Value = config.GetNormalizedPrice(csv[1].ToDecimal() / 10000m);
TickType = TickType.Trade;
Quantity = csv[2].ToInt32();
if (csv.Count > 3)
{
Exchange = csv[3];
SaleCondition = csv[4];
Suspicious = (csv[5] == "1");
}
break;
}
case SecurityType.Forex:
case SecurityType.Cfd:
{
var csv = line.ToCsv(3);
Symbol = config.Symbol;
TickType = TickType.Quote;
Time = date.Date.AddMilliseconds(csv[0].ToInt64()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
BidPrice = csv[1].ToDecimal();
AskPrice = csv[2].ToDecimal();
Value = (BidPrice + AskPrice) / 2;
break;
}
}
}
catch (Exception err)
{
Log.Error(err);
}
}
/// <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>
/// Parse a line from CSV data sources into our trade bars.
/// </summary>
/// <param name="config">Configuration class object for this data subscription</param>
/// <param name="baseDate">Base date of this tradebar line</param>
/// <param name="line">CSV line from source data file</param>
/// <param name="datafeed">Datafeed this csv line is sourced from (backtesting or live)</param>
public TradeBar(SubscriptionDataConfig config, string line, DateTime baseDate, DataFeedEndpoint datafeed = DataFeedEndpoint.Backtesting)
{
try
{
Period = config.Resolution.ToTimeSpan();
//Parse the data into a trade bar:
var csv = line.Split(',');
const decimal scaleFactor = 10000m;
Symbol = config.Symbol;
switch (config.SecurityType)
{
//Equity File Data Format:
case SecurityType.Equity:
Time = baseDate.Date.AddMilliseconds(Convert.ToInt32(csv[0]));
Open = config.GetNormalizedPrice(csv[1].ToDecimal() / scaleFactor); // Convert.ToDecimal(csv[1]) / scaleFactor;
High = config.GetNormalizedPrice(csv[2].ToDecimal() / scaleFactor); // Using custom "ToDecimal" conversion for speed.
Low = config.GetNormalizedPrice(csv[3].ToDecimal() / scaleFactor);
Close = config.GetNormalizedPrice(csv[4].ToDecimal() / scaleFactor);
Volume = Convert.ToInt64(csv[5]);
break;
//FOREX has a different data file format:
case SecurityType.Forex:
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.SecurityType + " - " + err.Message + " - " + line);
}
}
/// <summary>
/// Advances the enumerator to the next element of the collection.
/// </summary>
/// <returns>
/// true if the enumerator was successfully advanced to the next element; false if the enumerator has passed the end of the collection.
/// </returns>
/// <exception cref="T:System.InvalidOperationException">The collection was modified after the enumerator was created. </exception><filterpriority>2</filterpriority>
public bool MoveNext()
{
if (_endOfStream)
{
return(false);
}
if (Current != null && Current.DataType != MarketDataType.Auxiliary)
{
// only save previous price data
_previous = Current;
}
if (_subscriptionFactoryEnumerator == null)
{
// in live mode the trade able dates will eventually advance to the next
if (_isLiveMode)
{
// HACK attack -- we don't want to block in live mode
Current = null;
return(true);
}
_endOfStream = true;
return(false);
}
do
{
// check for aux data first
if (HasAuxDataBefore(_lastInstanceBeforeAuxilliaryData))
{
// check for any auxilliary data before reading a line, but make sure
// it should be going ahead of '_lastInstanceBeforeAuxilliaryData'
Current = _auxiliaryData.Dequeue();
return(true);
}
if (_emittedAuxilliaryData)
{
_emittedAuxilliaryData = false;
Current = _lastInstanceBeforeAuxilliaryData;
_lastInstanceBeforeAuxilliaryData = null;
return(true);
}
// keep enumerating until we find something that is within our time frame
while (_subscriptionFactoryEnumerator.MoveNext())
{
var instance = _subscriptionFactoryEnumerator.Current;
if (instance == null)
{
// keep reading until we get valid data
continue;
}
// prevent emitting past data, this can happen when switching symbols on daily data
if (_previous != null && _config.Resolution != Resolution.Tick)
{
if (_config.IsCustomData)
{
// Skip the point if time went backwards for custom data?
// TODO: Should this be the case for all datapoints?
if (instance.EndTime < _previous.EndTime)
{
continue;
}
}
else
{
// all other resolutions don't allow duplicate end times
if (instance.EndTime <= _previous.EndTime)
{
continue;
}
}
}
if (instance.EndTime < _periodStart)
{
// keep reading until we get a value on or after the start
_previous = instance;
continue;
}
if (instance.Time > _periodFinish)
{
// stop reading when we get a value after the end
_endOfStream = true;
return(false);
}
// if we move past our current 'date' then we need to do daily things, such
// as updating factors and symbol mapping as well as detecting aux data
if (instance.EndTime.Date > _tradeableDates.Current)
{
var currentPriceScaleFactor = _config.PriceScaleFactor;
// this is fairly hacky and could be solved by removing the aux data from this class
// the case is with coarse data files which have many daily sized data points for the
// same date,
if (!_config.IsInternalFeed)
{
// this will advance the date enumerator and determine if a new
// instance of the subscription enumerator is required
_subscriptionFactoryEnumerator = ResolveDataEnumerator(false);
}
// we produce auxiliary data on date changes, but make sure our current instance
// isn't before it in time
if (HasAuxDataBefore(instance))
{
// since we're emitting this here we need to save off the instance for next time
Current = _auxiliaryData.Dequeue();
_emittedAuxilliaryData = true;
// with hourly resolution the first bar for the new date is received
// before the price scale factor is updated by ResolveDataEnumerator,
// so we have to 'rescale' prices before emitting the bar
if (_config.Resolution == Resolution.Hour &&
(_config.SecurityType == SecurityType.Equity || _config.SecurityType == SecurityType.Option))
{
var tradeBar = instance as TradeBar;
if (tradeBar != null)
{
var bar = tradeBar;
bar.Open = _config.GetNormalizedPrice(GetRawValue(bar.Open, _config.SumOfDividends, currentPriceScaleFactor));
bar.High = _config.GetNormalizedPrice(GetRawValue(bar.High, _config.SumOfDividends, currentPriceScaleFactor));
bar.Low = _config.GetNormalizedPrice(GetRawValue(bar.Low, _config.SumOfDividends, currentPriceScaleFactor));
bar.Close = _config.GetNormalizedPrice(GetRawValue(bar.Close, _config.SumOfDividends, currentPriceScaleFactor));
}
}
_lastInstanceBeforeAuxilliaryData = instance;
return(true);
}
}
// we've made it past all of our filters, we're withing the requested start/end of the subscription,
// we've satisfied user and market hour filters, so this data is good to go as current
Current = instance;
return(true);
}
// we've ended the enumerator, time to refresh
_subscriptionFactoryEnumerator = ResolveDataEnumerator(true);
}while (_subscriptionFactoryEnumerator != null);
_endOfStream = true;
return(false);
}
/// <summary>
/// Advances the enumerator to the next element of the collection.
/// </summary>
/// <returns>
/// True if the enumerator was successfully advanced to the next element;
/// False if the enumerator has passed the end of the collection.
/// </returns>
public bool MoveNext()
{
var underlyingReturnValue = _rawDataEnumerator.MoveNext();
Current = _rawDataEnumerator.Current;
if (underlyingReturnValue &&
Current != null &&
_factorFile != null)
{
if (Current.Time.Date > _lastTradableDate)
{
_lastTradableDate = Current.Time.Date;
UpdateScaleFactor(_lastTradableDate);
}
var securityType = Current.Symbol.SecurityType;
switch (Current.DataType)
{
case MarketDataType.TradeBar:
var tradeBar = Current as TradeBar;
if (tradeBar != null)
{
tradeBar.Open = _config.GetNormalizedPrice(tradeBar.Open);
tradeBar.High = _config.GetNormalizedPrice(tradeBar.High);
tradeBar.Low = _config.GetNormalizedPrice(tradeBar.Low);
tradeBar.Close = _config.GetNormalizedPrice(tradeBar.Close);
}
break;
case MarketDataType.Tick:
var tick = Current as Tick;
if (tick != null)
{
if (securityType == SecurityType.Equity)
{
tick.Value = _config.GetNormalizedPrice(tick.Value);
}
if (securityType == SecurityType.Option ||
securityType == SecurityType.Future)
{
if (tick.TickType == TickType.Trade)
{
tick.Value = _config.GetNormalizedPrice(tick.Value);
}
else if (tick.TickType != TickType.OpenInterest)
{
tick.BidPrice = tick.BidPrice != 0 ? _config.GetNormalizedPrice(tick.BidPrice) : 0;
tick.AskPrice = tick.AskPrice != 0 ?_config.GetNormalizedPrice(tick.AskPrice) : 0;
if (tick.BidPrice != 0)
{
if (tick.AskPrice != 0)
{
tick.Value = (tick.BidPrice + tick.AskPrice) / 2m;
}
else
{
tick.Value = tick.BidPrice;
}
}
else
{
tick.Value = tick.AskPrice;
}
}
}
}
break;
case MarketDataType.QuoteBar:
var quoteBar = Current as QuoteBar;
if (quoteBar != null)
{
if (quoteBar.Ask != null)
{
quoteBar.Ask.Open = _config.GetNormalizedPrice(quoteBar.Ask.Open);
quoteBar.Ask.High = _config.GetNormalizedPrice(quoteBar.Ask.High);
quoteBar.Ask.Low = _config.GetNormalizedPrice(quoteBar.Ask.Low);
quoteBar.Ask.Close = _config.GetNormalizedPrice(quoteBar.Ask.Close);
}
if (quoteBar.Bid != null)
{
quoteBar.Bid.Open = _config.GetNormalizedPrice(quoteBar.Bid.Open);
quoteBar.Bid.High = _config.GetNormalizedPrice(quoteBar.Bid.High);
quoteBar.Bid.Low = _config.GetNormalizedPrice(quoteBar.Bid.Low);
quoteBar.Bid.Close = _config.GetNormalizedPrice(quoteBar.Bid.Close);
}
quoteBar.Value = quoteBar.Close;
}
break;
case MarketDataType.Auxiliary:
case MarketDataType.Base:
case MarketDataType.OptionChain:
case MarketDataType.FuturesChain:
break;
default:
throw new ArgumentOutOfRangeException();
}
}
return(underlyingReturnValue);
}
/// <summary>
/// Parse a tick data line from quantconnect zip source files.
/// </summary>
/// <param name="line">CSV source line of the compressed source</param>
/// <param name="date">Base date for the tick (ticks date is stored as int milliseconds since midnight)</param>
/// <param name="config">Subscription configuration object</param>
/// <param name="datafeed">Datafeed for tick - live or backtesting.</param>
public Tick(SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed)
{
try
{
var csv = line.Split(',');
// Which security type is this data feed:
switch (config.SecurityType)
{
case SecurityType.Equity:
Symbol = config.Symbol;
Time = date.Date.AddMilliseconds(Convert.ToInt64(csv[0]));
Value = config.GetNormalizedPrice(csv[1].ToDecimal() / 10000m);
DataType = MarketDataType.Tick;
TickType = TickType.Trade;
Quantity = Convert.ToInt32(csv[2]);
if (csv.Length > 3)
{
Exchange = csv[3];
SaleCondition = csv[4];
Suspicious = (csv[5] == "1");
}
break;
case SecurityType.Forex:
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);
}
}
/// <summary>
/// Parse a tick data line from quantconnect zip source files.
/// </summary>
/// <param name="line">CSV source line of the compressed source</param>
/// <param name="date">Base date for the tick (ticks date is stored as int milliseconds since midnight)</param>
/// <param name="config">Subscription configuration object</param>
public Tick(SubscriptionDataConfig config, string line, DateTime date)
{
try
{
DataType = MarketDataType.Tick;
// Which security type is this data feed:
var scaleFactor = GetScaleFactor(config.SecurityType);
switch (config.SecurityType)
{
case SecurityType.Equity:
{
var csv = line.ToCsv(6);
Symbol = config.Symbol;
Time = date.Date.AddMilliseconds(csv[0].ToInt64()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
Value = config.GetNormalizedPrice(csv[1].ToDecimal() / scaleFactor);
TickType = TickType.Trade;
Quantity = csv[2].ToDecimal();
if (csv.Count > 3)
{
Exchange = csv[3];
SaleCondition = csv[4];
Suspicious = (csv[5] == "1");
}
break;
}
case SecurityType.Forex:
case SecurityType.Cfd:
{
var csv = line.ToCsv(3);
Symbol = config.Symbol;
TickType = TickType.Quote;
Time = date.Date.AddMilliseconds(csv[0].ToInt64()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
BidPrice = csv[1].ToDecimal();
AskPrice = csv[2].ToDecimal();
Value = (BidPrice + AskPrice) / 2;
break;
}
case SecurityType.Crypto:
{
TickType = config.TickType;
Symbol = config.Symbol;
Exchange = config.Market;
if (TickType == TickType.Trade)
{
var csv = line.ToCsv(3);
Time = date.Date.AddMilliseconds(csv[0].ToInt64())
.ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
Value = csv[1].ToDecimal();
Quantity = csv[2].ToDecimal();
}
if (TickType == TickType.Quote)
{
var csv = line.ToCsv(6);
Time = date.Date.AddMilliseconds(csv[0].ToInt64())
.ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
BidPrice = csv[1].ToDecimal();
BidSize = csv[2].ToDecimal();
AskPrice = csv[3].ToDecimal();
AskSize = csv[4].ToDecimal();
Value = (BidPrice + AskPrice) / 2;
}
break;
}
case SecurityType.Future:
case SecurityType.Option:
{
var csv = line.ToCsv(7);
TickType = config.TickType;
Time = date.Date.AddMilliseconds(csv[0].ToInt64()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
Symbol = config.Symbol;
if (TickType == TickType.Trade)
{
Value = config.GetNormalizedPrice(csv[1].ToDecimal() / scaleFactor);
Quantity = csv[2].ToDecimal();
Exchange = csv[3];
SaleCondition = csv[4];
Suspicious = csv[5] == "1";
}
else if (TickType == TickType.OpenInterest)
{
Value = csv[1].ToDecimal();
}
else
{
if (csv[1].Length != 0)
{
BidPrice = config.GetNormalizedPrice(csv[1].ToDecimal() / scaleFactor);
BidSize = csv[2].ToDecimal();
}
if (csv[3].Length != 0)
{
AskPrice = config.GetNormalizedPrice(csv[3].ToDecimal() / scaleFactor);
AskSize = csv[4].ToDecimal();
}
Exchange = csv[5];
Suspicious = csv[6] == "1";
if (BidPrice != 0)
{
if (AskPrice != 0)
{
Value = (BidPrice + AskPrice) / 2m;
}
else
{
Value = BidPrice;
}
}
else
{
Value = AskPrice;
}
}
break;
}
}
}
catch (Exception err)
{
Log.Error(err);
}
}
/// <summary>
/// Parse a tick data line from quantconnect zip source files.
/// </summary>
/// <param name="line">CSV source line of the compressed source</param>
/// <param name="date">Base date for the tick (ticks date is stored as int milliseconds since midnight)</param>
/// <param name="config">Subscription configuration object</param>
public Tick(SubscriptionDataConfig config, string line, DateTime date)
{
try
{
DataType = MarketDataType.Tick;
// Which security type is this data feed:
const decimal scaleFactor = 10000m;
switch (config.SecurityType)
{
case SecurityType.Equity:
{
var csv = line.ToCsv(6);
Symbol = config.Symbol;
Time = date.Date.AddMilliseconds(csv[0].ToInt64()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
Value = config.GetNormalizedPrice(csv[1].ToDecimal() / scaleFactor);
TickType = TickType.Trade;
Quantity = csv[2].ToInt32();
if (csv.Count > 3)
{
Exchange = csv[3];
SaleCondition = csv[4];
Suspicious = (csv[5] == "1");
}
break;
}
case SecurityType.Forex:
case SecurityType.Cfd:
{
var csv = line.ToCsv(3);
Symbol = config.Symbol;
TickType = TickType.Quote;
Time = date.Date.AddMilliseconds(csv[0].ToInt64()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
BidPrice = csv[1].ToDecimal();
AskPrice = csv[2].ToDecimal();
Value = (BidPrice + AskPrice) / 2;
break;
}
case SecurityType.Option:
{
var csv = line.ToCsv(7);
TickType = config.TickType;
Time = date.Date.AddMilliseconds(csv[0].ToInt64()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
Symbol = config.Symbol;
if (TickType == TickType.Trade)
{
Value = config.GetNormalizedPrice(csv[1].ToDecimal()/scaleFactor);
Quantity = csv[2].ToInt32();
Exchange = csv[3];
SaleCondition = csv[4];
Suspicious = csv[5] == "1";
}
else
{
if (csv[1].Length != 0)
{
BidPrice = config.GetNormalizedPrice(csv[1].ToDecimal()/scaleFactor);
BidSize = csv[2].ToInt32();
}
if (csv[3].Length != 0)
{
AskPrice = config.GetNormalizedPrice(csv[3].ToDecimal()/scaleFactor);
AskSize = csv[4].ToInt32();
}
Exchange = csv[5];
Suspicious = csv[6] == "1";
if (BidPrice != 0)
{
if (AskPrice != 0)
{
Value = (BidPrice + AskPrice)/2m;
}
else
{
Value = BidPrice;
}
}
else
{
Value = AskPrice;
}
}
break;
}
}
}
catch (Exception err)
{
Log.Error(err);
}
}
/// <summary>
/// Parse a tick data line from quantconnect zip source files.
/// </summary>
/// <param name="line">CSV source line of the compressed source</param>
/// <param name="date">Base date for the tick (ticks date is stored as int milliseconds since midnight)</param>
/// <param name="config">Subscription configuration object</param>
public Tick(SubscriptionDataConfig config, string line, DateTime date)
{
try
{
DataType = MarketDataType.Tick;
// Which security type is this data feed:
const decimal scaleFactor = 10000m;
switch (config.SecurityType)
{
case SecurityType.Equity:
{
var csv = line.ToCsv(6);
Symbol = config.Symbol;
Time = date.Date.AddMilliseconds(csv[0].ToInt64()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
Value = config.GetNormalizedPrice(csv[1].ToDecimal() / scaleFactor);
TickType = TickType.Trade;
Quantity = csv[2].ToInt32();
if (csv.Count > 3)
{
Exchange = csv[3];
SaleCondition = csv[4];
Suspicious = (csv[5] == "1");
}
break;
}
case SecurityType.Forex:
case SecurityType.Cfd:
{
var csv = line.ToCsv(3);
Symbol = config.Symbol;
TickType = TickType.Quote;
Time = date.Date.AddMilliseconds(csv[0].ToInt64()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
BidPrice = csv[1].ToDecimal();
AskPrice = csv[2].ToDecimal();
Value = (BidPrice + AskPrice) / 2;
break;
}
case SecurityType.Option:
{
var csv = line.ToCsv(10);
TickType = csv.Count == 10 ? TickType.Quote : TickType.Trade;
Time = date.Date.AddMilliseconds(csv[0].ToInt64()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
var putCall = csv[1] == "P" ? OptionRight.Put : OptionRight.Call;
var strike = csv[2].ToDecimal() / scaleFactor;
var expiry = DateTime.ParseExact(csv[3], DateFormat.EightCharacter, null);
Symbol = Symbol.CreateOption(config.Symbol.ID.Symbol, config.Market, config.Symbol.ID.OptionStyle, putCall, strike, expiry);
if (TickType == TickType.Trade)
{
Value = config.GetNormalizedPrice(csv[4].ToDecimal() / scaleFactor);
Quantity = csv[5].ToInt32();
Exchange = csv[6];
SaleCondition = csv[7];
Suspicious = csv[8] == "1";
}
else
{
if (csv[4].Length != 0)
{
BidPrice = config.GetNormalizedPrice(csv[4].ToDecimal() / scaleFactor);
BidSize = csv[5].ToInt32();
}
if (csv[6].Length != 0)
{
AskPrice = config.GetNormalizedPrice(csv[6].ToDecimal() / scaleFactor);
AskSize = csv[7].ToInt32();
}
Exchange = csv[8];
Suspicious = csv[9] == "1";
if (BidPrice != 0)
{
if (AskPrice != 0)
{
Value = (BidPrice + AskPrice) / 2m;
}
else
{
Value = BidPrice;
}
}
else
{
Value = AskPrice;
}
}
break;
}
}
}
catch (Exception err)
{
Log.Error(err);
}
}
