/* * 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 NodaTime; using QuantConnect.Data; using System; using System.Collections.Generic; using System.IO; using ProtoBuf; using QuantConnect.Data.Market; namespace QuantConnect.Data.Custom.IconicTypes { /// /// Data source that is unlinked (no mapping) and takes any ticker when calling AddData /// [ProtoContract(SkipConstructor = true)] public class UnlinkedDataTradeBar : TradeBar { /// /// If true, we accept any ticker from the AddData call /// public static bool AnyTicker { get; set; } /// /// Creates a new instance of an UnlinkedTradeBar /// public UnlinkedDataTradeBar() { DataType = MarketDataType.Base; Period = TimeSpan.FromDays(1); } /// /// Get Source for Custom Data File /// >> What source file location would you prefer for each type of usage: /// /// Configuration object /// Date of this source request if source spread across multiple files /// true if we're in live mode, false for backtesting mode /// String source location of the file public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode) { return new SubscriptionDataSource( Path.Combine( "TestData", "unlinkedtradebar", AnyTicker ? "data.csv" : $"{config.Symbol.Value.ToLowerInvariant()}.csv" ), SubscriptionTransportMedium.LocalFile, FileFormat.Csv); } /// /// Fetch the data from the storage and feed it line by line into the engine. /// /// Symbols, Resolution, DataType, /// Line from the data file requested /// Date of this reader request /// true if we're in live mode, false for backtesting mode /// Enumerable iterator for returning each line of the required data. public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode) { return new UnlinkedDataTradeBar { Open = 1m, High = 2m, Low = 1m, Close = 1.5m, Volume = 0m, Symbol = config.Symbol, EndTime = date }; } /// /// Indicates whether the data source is sparse. /// If false, it will disable missing file logging. /// /// true public override bool IsSparseData() { return true; } /// /// Indicates whether the data source can undergo /// rename events/is tied to equities. /// /// true public override bool RequiresMapping() { return false; } /// /// Set the data time zone to UTC /// /// Time zone as UTC public override DateTimeZone DataTimeZone() { return TimeZones.Utc; } /// /// Sets the default resolution to Second /// /// Resolution.Second public override Resolution DefaultResolution() { return Resolution.Daily; } /// /// Gets a list of all the supported Resolutions /// /// All resolutions public override List SupportedResolutions() { return DailyResolution; } } }