/// <summary>
/// Primary entry point to the program
/// </summary>
static void Main(string[] args)
{
//Document the process:
Console.WriteLine("QuantConnect.ToolBox: AlgoSeek Options Processor ");
Console.WriteLine("=================================================");
Console.WriteLine("The AlgoSeek Options Processor transforms AlgoSeek options ticks into the LEAN Algorithmic Trading Engine Data Format.");
Console.WriteLine("Three parameters are required: ");
Console.WriteLine(" 1> Output resolution of the LEAN data. (either minute, second or hour)");
Console.WriteLine(" 2> Source Directory of Zipped AlgoSeek Options Data.");
Console.WriteLine(" 3> Destination Directory of LEAN Data Folder. (Typically located under Lean/Data)");
Console.WriteLine(" ");
Console.WriteLine("NOTE: THIS WILL OVERWRITE ANY EXISTING FILES.");
Console.WriteLine("Press any key to continue...");
Console.ReadKey();
if (args.Length > 0) _resolution = args[0];
if (args.Length > 1) _sourceDirectory = args[1];
if (args.Length > 2) _destinationDirectory = args[2];
//Validate the user input:
Validate(_sourceDirectory, _destinationDirectory, _resolution);
//Remove the final slash to make the path building easier:
_sourceDirectory = StripFinalSlash(_sourceDirectory);
_destinationDirectory = StripFinalSlash(_destinationDirectory);
//Get all the zip files to process
Console.WriteLine("Counting Files...");
var zipFiles = new DirectoryInfo(_sourceDirectory).GetFiles("*.zip");
Console.WriteLine("Processing {0} Files ...", zipFiles.Count());
// Dummy zip file
var zipOut = new Ionic.Zip.ZipFile();
foreach (var zipFile in zipFiles)
{
var starttime = DateTime.Now;
Console.WriteLine("Reading " + zipFile.Name);
var listTick = new List<TmpTick>();
using (var reader = Compression.Unzip(zipFile.FullName, out zipOut))
while (!reader.EndOfStream)
{
var tick = new TmpTick(zipFile.Name.Split('.')[1], reader.ReadLine());
if (tick.IsInvalid) continue;
if (listTick.Count == 0)
{
listTick.Add(tick);
continue;
}
var lastRoundTime = listTick.Last().Time.RoundDown(_span);
if (lastRoundTime == tick.Time.RoundDown(_span))
{
listTick.Add(tick);
continue;
}
Console.Write("\r" + lastRoundTime.ToString(@"HH\:mm\:ss") + "\t" + listTick.Count + "\t" + (DateTime.Now - starttime).ToString(@"hh\:mm\:ss\.fff"));
WriteLeanCsvFiles(listTick);
listTick.Add(tick);
}
WriteLeanCsvFiles(listTick);
CompressLeanCSV(zipFile);
Console.WriteLine("... done!");
}
Console.WriteLine("All done! Press any key to exit.");
Console.ReadKey();
}
/// <summary>
/// Primary entry point to the program
/// </summary>
static void Main(string[] args)
{
//Document the process:
Console.WriteLine("QuantConnect.ToolBox: AlgoSeek Options Processor ");
Console.WriteLine("=================================================");
Console.WriteLine("The AlgoSeek Options Processor transforms AlgoSeek options ticks into the LEAN Algorithmic Trading Engine Data Format.");
Console.WriteLine("Three parameters are required: ");
Console.WriteLine(" 1> Output resolution of the LEAN data. (either minute, second or hour)");
Console.WriteLine(" 2> Source Directory of Zipped AlgoSeek Options Data.");
Console.WriteLine(" 3> Destination Directory of LEAN Data Folder. (Typically located under Lean/Data)");
Console.WriteLine(" ");
Console.WriteLine("NOTE: THIS WILL OVERWRITE ANY EXISTING FILES.");
Console.WriteLine("Press any key to continue...");
Console.ReadKey();
if (args.Length > 0)
{
_resolution = args[0];
}
if (args.Length > 1)
{
_sourceDirectory = args[1];
}
if (args.Length > 2)
{
_destinationDirectory = args[2];
}
//Validate the user input:
Validate(_sourceDirectory, _destinationDirectory, _resolution);
//Remove the final slash to make the path building easier:
_sourceDirectory = StripFinalSlash(_sourceDirectory);
_destinationDirectory = StripFinalSlash(_destinationDirectory);
//Get all the zip files to process
Console.WriteLine("Counting Files...");
var zipFiles = new DirectoryInfo(_sourceDirectory).GetFiles("*.zip");
Console.WriteLine("Processing {0} Files ...", zipFiles.Count());
// Dummy zip file
var zipOut = new Ionic.Zip.ZipFile();
foreach (var zipFile in zipFiles)
{
var starttime = DateTime.Now;
Console.WriteLine("Reading " + zipFile.Name);
var listTick = new List <TmpTick>();
using (var reader = Compression.Unzip(zipFile.FullName, out zipOut))
while (!reader.EndOfStream)
{
var tick = new TmpTick(zipFile.Name.Split('.')[1], reader.ReadLine());
if (tick.IsInvalid)
{
continue;
}
if (listTick.Count == 0)
{
listTick.Add(tick);
continue;
}
var lastRoundTime = listTick.Last().Time.RoundDown(_span);
if (lastRoundTime == tick.Time.RoundDown(_span))
{
listTick.Add(tick);
continue;
}
Console.Write("\r" + lastRoundTime.ToString(@"HH\:mm\:ss") + "\t" + listTick.Count + "\t" + (DateTime.Now - starttime).ToString(@"hh\:mm\:ss\.fff"));
WriteLeanCsvFiles(listTick);
listTick.Add(tick);
}
WriteLeanCsvFiles(listTick);
CompressLeanCSV(zipFile);
Console.WriteLine("... done!");
}
Console.WriteLine("All done! Press any key to exit.");
Console.ReadKey();
}
