/// <summary>
/// Processes the entry.
/// </summary>
/// <param name="coinapiDataReader">The coinapi data reader.</param>
/// <param name="file">The file.</param>
private void ProcessEntry(CoinApiDataReader coinapiDataReader, FileInfo file)
{
var entryData = coinapiDataReader.GetCoinApiEntryData(file, _processingDate);
if (!SupportedMarkets.Contains(entryData.Symbol.ID.Market))
{
// only convert data for supported exchanges
return;
}
// materialize the enumerable into a list, since we need to enumerate over it twice
var ticks = coinapiDataReader.ProcessCoinApiEntry(entryData, file).OrderBy(t => t.Time).ToList();
var writer = new LeanDataWriter(Resolution.Tick, entryData.Symbol, _destinationFolder.FullName, entryData.TickType);
writer.Write(ticks);
Log.Trace($"CoinApiDataConverter(): Starting consolidation for {entryData.Symbol.Value} {entryData.TickType}");
var consolidators = new List <TickAggregator>();
if (entryData.TickType == TickType.Trade)
{
consolidators.AddRange(new[]
{
new TradeTickAggregator(Resolution.Second),
new TradeTickAggregator(Resolution.Minute)
});
}
else
{
consolidators.AddRange(new[]
{
new QuoteTickAggregator(Resolution.Second),
new QuoteTickAggregator(Resolution.Minute)
});
}
foreach (var tick in ticks)
{
if (tick.Suspicious)
{
// When CoinAPI loses connectivity to the exchange, they indicate
// it in the data by providing a value of `-1` for bid/ask price.
// We will keep it in tick data, but will remove it from consolidated data.
continue;
}
foreach (var consolidator in consolidators)
{
consolidator.Update(tick);
}
}
foreach (var consolidator in consolidators)
{
writer = new LeanDataWriter(consolidator.Resolution, entryData.Symbol, _destinationFolder.FullName, entryData.TickType);
writer.Write(consolidator.Flush());
}
}
/// <summary>
/// Processes the entry.
/// </summary>
/// <param name="coinapiDataReader">The coinapi data reader.</param>
/// <param name="file">The file.</param>
private void ProcessEntry(CoinApiDataReader coinapiDataReader, FileInfo file)
{
var entryData = coinapiDataReader.GetCoinApiEntryData(file, _processingDate, _market);
if (!SupportedMarkets.Contains(entryData.Symbol.ID.Market))
{
// only convert data for supported exchanges
return;
}
// materialize the enumerable into a list, since we need to enumerate over it twice
var ticks = coinapiDataReader.ProcessCoinApiEntry(entryData, file).ToList();
var writer = new LeanDataWriter(Resolution.Tick, entryData.Symbol, _destinationFolder.FullName, entryData.TickType);
writer.Write(ticks);
Log.Trace($"CoinApiDataConverter(): Starting consolidation for {entryData.Symbol.Value} {entryData.TickType}");
var consolidators = new List <TickAggregator>();
if (entryData.TickType == TickType.Trade)
{
consolidators.AddRange(new[]
{
new TradeTickAggregator(Resolution.Second),
new TradeTickAggregator(Resolution.Minute)
});
}
else
{
consolidators.AddRange(new[]
{
new QuoteTickAggregator(Resolution.Second),
new QuoteTickAggregator(Resolution.Minute)
});
}
foreach (var tick in ticks)
{
foreach (var consolidator in consolidators)
{
consolidator.Update(tick);
}
}
foreach (var consolidator in consolidators)
{
writer = new LeanDataWriter(consolidator.Resolution, entryData.Symbol, _destinationFolder.FullName, entryData.TickType);
writer.Write(consolidator.Flush());
}
}
/// <summary>
/// Runs this instance.
/// </summary>
/// <returns></returns>
public bool Run()
{
var stopwatch = Stopwatch.StartNew();
var symbolMapper = new CoinApiSymbolMapper();
var success = true;
// There were cases of files with with an extra suffix, following pattern:
// <TickType>-<ID>-<Exchange>_SPOT_<BaseCurrency>_<QuoteCurrency>_<ExtraSuffix>.csv.gz
// Those cases should be ignored for SPOT prices.
var tradesFolder = new DirectoryInfo(
Path.Combine(
_rawDataFolder.FullName,
"trades",
_processingDate.ToStringInvariant(DateFormat.EightCharacter)));
var quotesFolder = new DirectoryInfo(
Path.Combine(
_rawDataFolder.FullName,
"quotes",
_processingDate.ToStringInvariant(DateFormat.EightCharacter)));
// Distinct by tick type and first two parts of the raw file name, separated by '-'.
// This prevents us from double processing the same ticker twice, in case we're given
// two raw data files for the same symbol. Related: https://github.com/QuantConnect/Lean/pull/3262
var apiDataReader = new CoinApiDataReader(symbolMapper);
var fileToProcess = tradesFolder.EnumerateFiles("*.gz")
.Concat(quotesFolder.EnumerateFiles("*.gz"))
.Where(f => f.Name.Contains("SPOT"))
.Where(f => f.Name.Split('_').Length == 4)
.DistinctBy(x => x.Directory.Parent.Name + apiDataReader.GetCoinApiEntryData(x, _processingDate).Symbol.ID);
Parallel.ForEach(fileToProcess, (file, loopState) =>
{
Log.Trace($"CoinApiDataConverter(): Starting data conversion from source file: {file.Name}...");
try
{
ProcessEntry(apiDataReader, file);
}
catch (Exception e)
{
Log.Error(e, $"CoinApiDataConverter(): Error processing entry: {file.Name}");
success = false;
loopState.Break();
}
}
);
Log.Trace($"CoinApiDataConverter(): Finished in {stopwatch.Elapsed}");
return(success);
}
/// <summary>
/// CoinAPI data converter entry point.
/// </summary>
/// <param name="sourceDirectory">The source directory where all CoinAPI raw files are stored.</param>
/// <exception cref="ArgumentException">Source folder does not exists.</exception>
/// <remarks>This converter will automatically convert data for every exchange, date and tick type contained in each raw data file in the sourceDirectory</remarks>
public static void CoinApiDataConverter(string sourceDirectory)
{
var folderPath = new DirectoryInfo(sourceDirectory);
if (!folderPath.Exists)
{
throw new ArgumentException($"CoinApiDataConverter(): Source folder not found: {folderPath.FullName}");
}
var stopwatch = Stopwatch.StartNew();
var coinapiDataReader = new CoinApiDataReader();
foreach (var fileName in folderPath.EnumerateFiles("*.tar"))
{
Log.Trace($"CoinApiDataConverter(): Starting data conversion from source file: {fileName.Name}...");
using (var stream = new FileStream(fileName.FullName, FileMode.Open))
{
using (var tar = new TarInputStream(stream))
{
TarEntry entry;
while ((entry = tar.GetNextEntry()) != null)
{
if (entry.IsDirectory)
{
continue;
}
try
{
ProcessEntry(coinapiDataReader, tar, entry);
}
catch (Exception e)
{
Log.Error(e, $"CoinApiDataConverter(): Error processing entry: {entry.Name}");
}
}
}
}
}
Log.Trace($"CoinApiDataConverter(): Finished in {stopwatch.Elapsed}");
}
/// <summary>
/// Runs this instance.
/// </summary>
/// <returns></returns>
public bool Run()
{
var stopwatch = Stopwatch.StartNew();
var symbolMapper = new CoinApiSymbolMapper();
var success = true;
// There were cases of files with with an extra suffix, following pattern:
// <TickType>-<ID>-<Exchange>_SPOT_<BaseCurrency>_<QuoteCurrency>_<ExtraSuffix>.csv.gz
// Those cases should be ignored for SPOT prices.
var tradesFolder = new DirectoryInfo(
Path.Combine(
_rawDataFolder.FullName,
"trades",
_processingDate.ToStringInvariant(DateFormat.EightCharacter)));
var quotesFolder = new DirectoryInfo(
Path.Combine(
_rawDataFolder.FullName,
"quotes",
_processingDate.ToStringInvariant(DateFormat.EightCharacter)));
// Distinct by tick type and first two parts of the raw file name, separated by '-'.
// This prevents us from double processing the same ticker twice, in case we're given
// two raw data files for the same symbol. Related: https://github.com/QuantConnect/Lean/pull/3262
var apiDataReader = new CoinApiDataReader(symbolMapper);
var filesToProcessCandidates = tradesFolder.EnumerateFiles("*.gz")
.Concat(quotesFolder.EnumerateFiles("*.gz"))
.Where(f => f.Name.Contains("SPOT"))
.Where(f => f.Name.Split('_').Length == 4)
.ToList();
var filesToProcessKeys = new HashSet <string>();
var filesToProcess = new List <FileInfo>();
foreach (var candidate in filesToProcessCandidates)
{
try
{
var key = candidate.Directory.Parent.Name + apiDataReader.GetCoinApiEntryData(candidate, _processingDate).Symbol.ID;
if (filesToProcessKeys.Add(key))
{
// Separate list from HashSet to preserve ordering of viable candidates
filesToProcess.Add(candidate);
}
}
catch (Exception err)
{
// Most likely the exchange isn't supported. Log exception message to avoid excessive stack trace spamming in console output
Log.Error(err.Message);
}
}
Parallel.ForEach(filesToProcess, (file, loopState) =>
{
Log.Trace($"CoinApiDataConverter(): Starting data conversion from source file: {file.Name}...");
try
{
ProcessEntry(apiDataReader, file);
}
catch (Exception e)
{
Log.Error(e, $"CoinApiDataConverter(): Error processing entry: {file.Name}");
success = false;
loopState.Break();
}
}
);
Log.Trace($"CoinApiDataConverter(): Finished in {stopwatch.Elapsed}");
return(success);
}
/// <summary>
/// Processes the entry.
/// </summary>
/// <param name="coinapiDataReader">The coinapi data reader.</param>
/// <param name="file">The file.</param>
private void ProcessEntry(CoinApiDataReader coinapiDataReader, FileInfo file)
{
var entryData = coinapiDataReader.GetCoinApiEntryData(file, _processingDate);
if (!SupportedMarkets.Contains(entryData.Symbol.ID.Market))
{
// only convert data for supported exchanges
return;
}
var tickData = coinapiDataReader.ProcessCoinApiEntry(entryData, file);
// in some cases the first data points from '_processingDate' get's included in the previous date file
// so we will ready previous date data and drop most of it just to save these midnight ticks
var yesterdayDate = _processingDate.AddDays(-1);
var yesterdaysFile = new FileInfo(file.FullName.Replace(
_processingDate.ToStringInvariant(DateFormat.EightCharacter),
yesterdayDate.ToStringInvariant(DateFormat.EightCharacter)));
if (yesterdaysFile.Exists)
{
var yesterdaysEntryData = coinapiDataReader.GetCoinApiEntryData(yesterdaysFile, yesterdayDate);
tickData = tickData.Concat(coinapiDataReader.ProcessCoinApiEntry(yesterdaysEntryData, yesterdaysFile));
}
else
{
Log.Error($"CoinApiDataConverter(): yesterdays data file not found '{yesterdaysFile.FullName}'");
}
// materialize the enumerable into a list, since we need to enumerate over it twice
var ticks = tickData.Where(tick => tick.Time.Date == _processingDate)
.OrderBy(t => t.Time)
.ToList();
var writer = new LeanDataWriter(Resolution.Tick, entryData.Symbol, _destinationFolder.FullName, entryData.TickType);
writer.Write(ticks);
Log.Trace($"CoinApiDataConverter(): Starting consolidation for {entryData.Symbol.Value} {entryData.TickType}");
var consolidators = new List <TickAggregator>();
if (entryData.TickType == TickType.Trade)
{
consolidators.AddRange(new[]
{
new TradeTickAggregator(Resolution.Second),
new TradeTickAggregator(Resolution.Minute)
});
}
else
{
consolidators.AddRange(new[]
{
new QuoteTickAggregator(Resolution.Second),
new QuoteTickAggregator(Resolution.Minute)
});
}
foreach (var tick in ticks)
{
if (tick.Suspicious)
{
// When CoinAPI loses connectivity to the exchange, they indicate
// it in the data by providing a value of `-1` for bid/ask price.
// We will keep it in tick data, but will remove it from consolidated data.
continue;
}
foreach (var consolidator in consolidators)
{
consolidator.Update(tick);
}
}
foreach (var consolidator in consolidators)
{
writer = new LeanDataWriter(consolidator.Resolution, entryData.Symbol, _destinationFolder.FullName, entryData.TickType);
writer.Write(consolidator.Flush());
}
}