/// <summary>
/// Get the output zip file
/// </summary>
/// <param name="baseDirectory">Base output directory for the zip file</param>
/// <param name="time">Date/time for the data we're writing</param>
/// <returns>The full path to the output zip file</returns>
private string GetZipOutputFileName(string baseDirectory, DateTime time)
{
return(LeanData.GenerateZipFilePath(baseDirectory, _symbol, time, _resolution, _dataType));
}
/// <summary>
/// Get the output zip file
/// </summary>
/// <param name="baseDirectory">Base output directory for the zip file</param>
/// <param name="time">Date/time for the data we're writing</param>
/// <returns>The full path to the output zip file</returns>
private string GetZipOutputFileName(string baseDirectory, DateTime time)
{
return(LeanData.GenerateZipFilePath(baseDirectory, _symbol.Value, _securityType, _market, time, _resolution));
}
public void GenerateZipFilePath(LeanDataTestParameters parameters)
{
var path = LeanData.GenerateZipFilePath(Globals.DataFolder, parameters.Symbol, parameters.Date, parameters.Resolution, parameters.TickType);
Assert.AreEqual(parameters.ExpectedZipFilePath, path);
}
/// <summary>
/// Gets the list of option contracts for a given underlying symbol
/// </summary>
/// <param name="underlyingSymbol">The underlying symbol</param>
/// <param name="date">The date for which to request the option chain (only used in backtesting)</param>
/// <returns>The list of option contracts</returns>
public IEnumerable <Symbol> GetOptionContractList(Symbol underlyingSymbol, DateTime date)
{
if (!underlyingSymbol.SecurityType.HasOptions())
{
throw new NotSupportedException($"BacktestingOptionChainProvider.GetOptionContractList(): SecurityType.Equity, SecurityType.Future, or SecurityType.Index is expected but was {underlyingSymbol.SecurityType}");
}
// Resolve any mapping before requesting option contract list for equities
// Needs to be done in order for the data file key to be accurate
Symbol mappedSymbol;
if (underlyingSymbol.RequiresMapping())
{
var mapFileResolver = _mapFileProvider.Get(AuxiliaryDataKey.Create(underlyingSymbol));
var mapFile = mapFileResolver.ResolveMapFile(underlyingSymbol);
var ticker = mapFile.GetMappedSymbol(date, underlyingSymbol.Value);
mappedSymbol = underlyingSymbol.UpdateMappedSymbol(ticker);
}
else
{
mappedSymbol = underlyingSymbol;
}
// build the option contract list from the open interest zip file entry names
// create a canonical option symbol for the given underlying
var canonicalSymbol = Symbol.CreateOption(
mappedSymbol,
mappedSymbol.ID.Market,
mappedSymbol.SecurityType.DefaultOptionStyle(),
default(OptionRight),
0,
SecurityIdentifier.DefaultDate);
var zipFileName = string.Empty;
Stream stream = null;
// In order of trust-worthiness of containing the complete option chain, OpenInterest is guaranteed
// to have the complete option chain. Quotes come after open-interest
// because it's also likely to contain the option chain. Trades may be
// missing portions of the option chain, so we resort to it last.
foreach (var tickType in new[] { TickType.OpenInterest, TickType.Quote, TickType.Trade })
{
// build the zip file name and fetch it with our provider
zipFileName = LeanData.GenerateZipFilePath(Globals.DataFolder, canonicalSymbol, date, Resolution.Minute, tickType);
stream = _dataProvider.Fetch(zipFileName);
if (stream != null)
{
break;
}
}
if (stream == null)
{
Log.Trace($"BacktestingOptionChainProvider.GetOptionContractList(): File not found: {zipFileName}");
yield break;
}
// generate and return the contract symbol for each zip entry
var zipEntryNames = Compression.GetZipEntryFileNames(stream);
foreach (var zipEntryName in zipEntryNames)
{
yield return(LeanData.ReadSymbolFromZipEntry(canonicalSymbol, Resolution.Minute, zipEntryName));
}
stream.DisposeSafely();
}