/// <summary>
/// Converts a SecurityDefinition to a <see cref="Symbol" />
/// </summary>
/// <param name="securityDefinition">Security definition</param>
/// <param name="tradingDate">
/// The date that the stock was being traded. This is used to resolve
/// the ticker that the stock was trading under on this date.
/// </param>
/// <returns>Symbol if matching Lean Symbol was found on the trading date, null otherwise</returns>
private Symbol SecurityDefinitionToSymbol(SecurityDefinition securityDefinition, DateTime tradingDate)
{
if (securityDefinition == null)
{
return(null);
}
var market = securityDefinition.SecurityIdentifier.Market;
var mapFileResolver = _mapFileProvider.Get(market);
// Get the first ticker the symbol traded under, and then lookup the
// trading date to get the ticker on the trading date.
var mapFile = mapFileResolver
.ResolveMapFile(securityDefinition.SecurityIdentifier.Symbol, securityDefinition.SecurityIdentifier.Date);
// The mapped ticker will be null if the map file is null or there's
// no entry found for the given trading date.
var mappedTicker = mapFile?.GetMappedSymbol(tradingDate, null);
// If we're null, then try again; get the last entry of the map file and use
// it as the Symbol we return to the caller.
mappedTicker ??= mapFile?
.LastOrDefault()?
.MappedSymbol;
return(string.IsNullOrWhiteSpace(mappedTicker)
? null
: new Symbol(securityDefinition.SecurityIdentifier, mappedTicker));
}
/// <summary>
/// Get's the security definitions using a lazy initialization
/// </summary>
private IEnumerable <SecurityDefinition> GetSecurityDefinitions()
{
if (_securityDefinitions != null)
{
return(_securityDefinitions);
}
if (!SecurityDefinition.TryRead(_dataProvider, _securitiesDefinitionKey, out _securityDefinitions))
{
_securityDefinitions = new List <SecurityDefinition>();
Log.Error($"SecurityDefinitionSymbolResolver(): No security definitions data loaded from file: {_securitiesDefinitionKey}");
}
return(_securityDefinitions);
}
/// <summary>
/// Creates an instance of the symbol resolver
/// </summary>
/// <param name="dataProvider">Data provider used to obtain symbol mappings data</param>
/// <param name="securitiesDefinitionKey">Location to read the securities definition data from</param>
public SecurityDefinitionSymbolResolver(IDataProvider dataProvider = null, string securitiesDefinitionKey = null)
{
securitiesDefinitionKey ??= Path.Combine(Globals.DataFolder, "symbol-properties", "security-database.csv");
_dataProvider = dataProvider ??
Composer.Instance.GetExportedValueByTypeName <IDataProvider>(
Config.Get("data-provider", "QuantConnect.Lean.Engine.DataFeeds.DefaultDataProvider"));
if (!SecurityDefinition.TryRead(_dataProvider, securitiesDefinitionKey, out _securityDefinitions))
{
Log.Error($"SecurityDefinitionSymbolResolver(): No security definitions data loaded from file: {securitiesDefinitionKey}");
}
_mapFileProvider = Composer.Instance.GetExportedValueByTypeName <IMapFileProvider>(Config.Get("map-file-provider", "LocalDiskMapFileProvider"));
_mapFileProvider.Initialize(_dataProvider);
}
