/// <summary>
/// For backtesting returns the index source for a date
/// For live trading will return the source url to use, not using the index mechanism
/// </summary>
/// <param name="config">Configuration object</param>
/// <param name="date">Date of this source file</param>
/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
/// <returns>The <see cref="SubscriptionDataSource"/> instance to use</returns>
public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
{
if (isLiveMode)
{
if (!Tiingo.IsAuthCodeSet)
{
throw new InvalidOperationException("TiingoNews API token has to be set using Tiingo.SetAuthCode(). See https://api.tiingo.com/about/pricing");
}
var tiingoTicker = TiingoSymbolMapper.GetTiingoTicker(config.Symbol);
var url = Invariant($"https://api.tiingo.com/tiingo/news?tickers={tiingoTicker}&startDate={date:yyyy-MM-dd}&token={Tiingo.AuthCode}&sortBy=crawlDate");
return(new SubscriptionDataSource(url,
SubscriptionTransportMedium.Rest,
FileFormat.Collection));
}
var source = Path.Combine(
Globals.DataFolder,
"alternative",
"tiingo",
$"{config.MappedSymbol.ToLowerInvariant()}",
$"{date.ToStringInvariant(DateFormat.EightCharacter)}.csv"
);
return(new SubscriptionDataSource(source,
SubscriptionTransportMedium.LocalFile,
FileFormat.Index));
}
/// <summary>
/// Helper method to deserialize a single json Tiingo news
/// </summary>
/// <param name="token">The json token containing the Tiingo news to deserialize</param>
/// <returns>The deserialized <see cref="TiingoNews"/> instance</returns>
public static TiingoNews DeserializeNews(JToken token)
{
// just in case we add some default values for these
var title = token["title"]?.ToString() ?? "";
var source = token["source"]?.ToString() ?? "";
var url = token["url"]?.ToString() ?? "";
var tags = token["tags"]?.ToObject <List <string> >() ?? new List <string>();
var description = token["description"]?.ToString() ?? "";
var publishedDate = GetDateTime(token["publishedDate"]);
var crawlDate = GetDateTime(token["crawlDate"]);
var articleID = token["id"].ToString();
var tickers = token["tickers"];
// 'time' is QC time which could be crawl time or published data + offset (see converter) this is not present in live
// which will use 'crawlDate'
var time = GetDateTime(token["time"], defaultValue: crawlDate);
var symbols = new List <Symbol>();
foreach (var tiingoTicker in tickers)
{
var rawTicker = tiingoTicker.ToString();
if (rawTicker.Contains(" ") || rawTicker.Contains("|"))
{
Log.Trace($"TiingoNewsJsonConverter.DeserializeNews(): Article ID {articleID}, ignoring ticker [{rawTicker}] because it contains space or pipe character.");
continue;
}
var ticker = TiingoSymbolMapper.GetLeanTicker(rawTicker);
var sid = SecurityIdentifier.GenerateEquity(
ticker,
// for now we suppose USA market
QuantConnect.Market.USA,
// we use the news date to resolve the map file to use
mappingResolveDate: publishedDate);
symbols.Add(new Symbol(sid, ticker));
}
var dataPoint = new TiingoNews
{
ArticleID = articleID,
CrawlDate = crawlDate,
Description = description,
PublishedDate = publishedDate,
Time = time,
Source = source,
Tags = tags,
Symbols = symbols,
Url = url,
Title = title
};
return(dataPoint);
}
/// <summary>
/// Return the URL string source of the file. This will be converted to a stream
/// </summary>
/// <param name="config">Configuration object</param>
/// <param name="date">Date of this source file</param>
/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
/// <returns>String URL of source file.</returns>
public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
{
DateTime startDate;
if (!_startDates.TryGetValue(config.Symbol.Value, out startDate))
{
startDate = date;
_startDates.TryAdd(config.Symbol.Value, startDate);
}
var tiingoTicker = TiingoSymbolMapper.GetTiingoTicker(config.Symbol);
var source = Invariant($"https://api.tiingo.com/tiingo/daily/{tiingoTicker}/prices?startDate={startDate:yyyy-MM-dd}&token={Tiingo.AuthCode}");
return(new SubscriptionDataSource(source, SubscriptionTransportMedium.RemoteFile, FileFormat.Collection));
}
/// <summary>
/// Helper method to deserialize a single json Tiingo news
/// </summary>
/// <param name="token">The json token containing the Tiingo news to deserialize</param>
/// <returns>The deserialized <see cref="TiingoNewsData"/> instance</returns>
public static TiingoNewsData DeserializeNews(JToken token)
{
// just in case we add some default values for these
var title = token["title"]?.ToString() ?? "";
var source = token["source"]?.ToString() ?? "";
var url = token["url"]?.ToString() ?? "";
var tags = token["tags"]?.ToObject <List <string> >() ?? new List <string>();
var description = token["description"]?.ToString() ?? "";
var publishedDate = GetDateTime(token["publishedDate"]);
var crawlDate = GetDateTime(token["crawlDate"]);
var articleID = token["id"].ToString();
var tickers = token["tickers"];
var symbols = new List <Symbol>();
foreach (var tiingoTicker in tickers)
{
var ticker = TiingoSymbolMapper.GetLeanTicker(tiingoTicker.ToString());
var sid = SecurityIdentifier.GenerateEquity(
ticker,
// for now we suppose USA market
QuantConnect.Market.USA,
// we use the news date to resolve the map file to use
mappingResolveDate: publishedDate);
symbols.Add(new Symbol(sid, ticker));
}
var dataPoint = new TiingoNewsData
{
ArticleID = articleID,
CrawlDate = crawlDate,
Description = description,
PublishedDate = publishedDate,
Time = publishedDate,
Source = source,
Tags = tags,
Symbols = symbols,
Url = url,
Title = title
};
return(dataPoint);
}