/// <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></returns>
private string GetZipOutputFileName(string baseDirectory, DateTime time)
{
string file;
// Further determine path based on the remaining data: security type
switch (_securityType)
{
case SecurityType.Equity:
case SecurityType.Forex:
case SecurityType.Cfd:
// Base directory includes the market
if (_resolution == Resolution.Daily || _resolution == Resolution.Hour)
{
file = Path.Combine(baseDirectory, _resolution.ToString().ToLower(), Compression.CreateZipFileName(_symbol, _securityType, time, _resolution));
}
else
{
file = Path.Combine(baseDirectory, _resolution.ToString().ToLower(), _symbol.ToLower(), Compression.CreateZipFileName(_symbol, _securityType, time, _resolution));
}
break;
default:
throw new Exception("Sorry this security type is not yet supported by the LEAN data writer: " + _securityType);
}
return(file);
}
/// <summary>
/// Enumerate over the tick zip file and return a list of BaseData.
/// </summary>
/// <returns>IEnumerable of ticks</returns>
public IEnumerable <BaseData> Parse()
{
if (!File.Exists(_zipPath))
{
Log.Error($"LeanDataReader.Parse(): File does not exist: {_zipPath}");
yield break;
}
var factory = (BaseData)ObjectActivator.GetActivator(_config.Type).Invoke(new object[0]);
if (_config.Type.ImplementsStreamReader())
{
using (var zip = new ZipFile(_zipPath))
{
foreach (var zipEntry in zip.Where(x => _zipentry == null || string.Equals(x.FileName, _zipentry, StringComparison.OrdinalIgnoreCase)))
{
// we get the contract symbol from the zip entry if not already provided with the zip entry
var symbol = _config.Symbol;
if (_zipentry == null && (_config.SecurityType == SecurityType.Future || _config.SecurityType.IsOption()))
{
symbol = LeanData.ReadSymbolFromZipEntry(_config.Symbol, _config.Resolution, zipEntry.FileName);
}
using (var entryReader = new StreamReader(zipEntry.OpenReader()))
{
while (!entryReader.EndOfStream)
{
var dataPoint = factory.Reader(_config, entryReader, _date, false);
dataPoint.Symbol = symbol;
yield return(dataPoint);
}
}
}
}
}
// for futures and options if no entry was provided we just read all
else if (_zipentry == null && (_config.SecurityType == SecurityType.Future || _config.SecurityType.IsOption()))
{
foreach (var entries in Compression.Unzip(_zipPath))
{
// we get the contract symbol from the zip entry
var symbol = LeanData.ReadSymbolFromZipEntry(_config.Symbol, _config.Resolution, entries.Key);
foreach (var line in entries.Value)
{
var dataPoint = factory.Reader(_config, line, _date, false);
dataPoint.Symbol = symbol;
yield return(dataPoint);
}
}
}
else
{
ZipFile zipFile;
using (var unzipped = Compression.Unzip(_zipPath, _zipentry, out zipFile))
{
if (unzipped == null)
{
yield break;
}
string line;
while ((line = unzipped.ReadLine()) != null)
{
yield return(factory.Reader(_config, line, _date, false));
}
}
zipFile.Dispose();
}
}