/// <summary>
/// Gets an list of ticks for a given CoinAPI source file.
/// </summary>
/// <param name="entryData">The entry data.</param>
/// <param name="file">The file.</param>
/// <returns></returns>
/// <exception cref="Exception">CoinApiDataReader.ProcessCoinApiEntry(): CSV header not found for entry name: {entryData.Name}</exception>
public IEnumerable <Tick> ProcessCoinApiEntry(CoinApiEntryData entryData, FileInfo file)
{
Log.Trace("CoinApiDataReader.ProcessTarEntry(): Processing " +
$"{entryData.Symbol.ID.Market}-{entryData.Symbol.Value}-{entryData.TickType} " +
$"for {entryData.Date:yyyy-MM-dd}");
using (var stream = new GZipStream(file.OpenRead(), CompressionMode.Decompress))
using (var reader = new StreamReader(stream))
{
var headerLine = reader.ReadLine();
if (headerLine == null)
{
throw new Exception($"CoinApiDataReader.ProcessCoinApiEntry(): CSV header not found for entry name: {entryData.Name}");
}
var headerParts = headerLine.Split(';').ToList();
var tickList = entryData.TickType == TickType.Trade
? ParseTradeData(entryData.Symbol, reader, headerParts)
: ParseQuoteData(entryData.Symbol, reader, headerParts);
foreach (var tick in tickList)
{
yield return(tick);
}
}
}
/// <summary>
/// Gets an enumerable of ticks for the given CoinAPI tar entry
/// </summary>
/// <param name="tar">The tar input stream</param>
/// <param name="entryData">The entry data</param>
/// <returns>An <see cref="IEnumerable{Tick}"/> for the ticks read from the entry</returns>
public IEnumerable <Tick> ProcessCoinApiEntry(TarInputStream tar, CoinApiEntryData entryData)
{
Log.Trace("CoinApiDataReader.ProcessTarEntry(): Processing " +
$"{entryData.Symbol.ID.Market}-{entryData.Symbol.Value}-{entryData.TickType} " +
$"for {entryData.Date:yyyy-MM-dd}");
using (var gzipStream = new MemoryStream())
{
tar.CopyEntryContents(gzipStream);
gzipStream.Seek(0, SeekOrigin.Begin);
using (var innerStream = new GZipStream(gzipStream, CompressionMode.Decompress))
{
using (var reader = new StreamReader(innerStream))
{
var headerLine = reader.ReadLine();
if (headerLine == null)
{
throw new Exception($"CoinApiDataReader.ProcessTarEntry(): CSV header not found for entry name: {entryData.Name}");
}
var headerParts = headerLine.Split(';').ToList();
var ticks = entryData.TickType == TickType.Trade
? ParseTradeData(entryData.Symbol, reader, headerParts)
: ParseQuoteData(entryData.Symbol, reader, headerParts);
foreach (var tick in ticks)
{
yield return(tick);
}
}
}
}
}