/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
using System;
using QuantConnect.Util;
using QuantConnect.Logging;
using System.Threading.Tasks;
using QuantConnect.Interfaces;
using System.Collections.Generic;
namespace QuantConnect.Data.Auxiliary
{
///
/// Provides an implementation of that searches the local disk for a zip file containing all factor files
///
public class LocalZipFactorFileProvider : IFactorFileProvider
{
private readonly object _lock;
private IDataProvider _dataProvider;
private IMapFileProvider _mapFileProvider;
private Dictionary _seededMarket;
private readonly Dictionary _factorFiles;
///
/// The cached refresh period for the factor files
///
/// Exposed for testing
protected virtual TimeSpan CacheRefreshPeriod
{
get
{
var dueTime = Time.GetNextLiveAuxiliaryDataDueTime();
if (dueTime > TimeSpan.FromMinutes(10))
{
// Clear the cache before the auxiliary due time to avoid race conditions with consumers
return dueTime - TimeSpan.FromMinutes(10);
}
return dueTime;
}
}
///
/// Creates a new instance of the class.
///
public LocalZipFactorFileProvider()
{
_factorFiles = new Dictionary();
_seededMarket = new Dictionary();
_lock = new object();
}
///
/// Initializes our FactorFileProvider by supplying our mapFileProvider
/// and dataProvider
///
/// MapFileProvider to use
/// DataProvider to use
public void Initialize(IMapFileProvider mapFileProvider, IDataProvider dataProvider)
{
if (_mapFileProvider != null || _dataProvider != null)
{
return;
}
_mapFileProvider = mapFileProvider;
_dataProvider = dataProvider;
StartExpirationTask();
}
///
/// Gets a instance for the specified symbol, or null if not found
///
/// The security's symbol whose factor file we seek
/// The resolved factor file, or null if not found
public IFactorProvider Get(Symbol symbol)
{
symbol = symbol.GetFactorFileSymbol();
var key = AuxiliaryDataKey.Create(symbol);
lock (_lock)
{
if (!_seededMarket.ContainsKey(key))
{
HydrateFactorFileFromLatestZip(key);
_seededMarket[key] = true;
}
IFactorProvider factorFile;
if (!_factorFiles.TryGetValue(symbol, out factorFile))
{
// Could not find factor file for symbol
Log.Error($"LocalZipFactorFileProvider.Get({symbol}): No factor file found.");
_factorFiles[symbol] = factorFile = symbol.GetEmptyFactorFile();
}
return factorFile;
}
}
///
/// Helper method that will clear any cached factor files in a daily basis, this is useful for live trading
///
protected virtual void StartExpirationTask()
{
lock (_lock)
{
// we clear the seeded markets so they are reloaded
_seededMarket = new Dictionary();
}
_ = Task.Delay(CacheRefreshPeriod).ContinueWith(_ => StartExpirationTask());
}
/// Hydrate the from the latest zipped factor file on disk
private void HydrateFactorFileFromLatestZip(AuxiliaryDataKey key)
{
var market = key.Market;
// start the search with yesterday, today's file will be available tomorrow
var todayNewYork = DateTime.UtcNow.ConvertFromUtc(TimeZones.NewYork).Date;
var date = todayNewYork.AddDays(-1);
var count = 0;
do
{
var factorFilePath = FactorFileZipHelper.GetFactorFileZipFileName(market, date, key.SecurityType);
// Fetch a stream for our zip from our data provider
var stream = _dataProvider.Fetch(factorFilePath);
// If the file was found we can read the file
if (stream != null)
{
var mapFileResolver = _mapFileProvider.Get(key);
foreach (var keyValuePair in FactorFileZipHelper.ReadFactorFileZip(stream, mapFileResolver, market, key.SecurityType))
{
// we merge with existing, this will allow to hold multiple markets
_factorFiles[keyValuePair.Key] = keyValuePair.Value;
}
stream.DisposeSafely();
Log.Trace($"LocalZipFactorFileProvider.Get({market}): Fetched factor files for: {date.ToShortDateString()} NY");
return;
}
// Otherwise we will search back another day
Log.Debug($"LocalZipFactorFileProvider.Get({market}): No factor file found for date {date.ToShortDateString()}");
// prevent infinite recursion if something is wrong
if (count++ > 7)
{
throw new InvalidOperationException($"LocalZipFactorFileProvider.Get(): Could not find any factor files going all the way back to {date} for {market}");
}
date = date.AddDays(-1);
}
while (true);
}
}
}