/* * 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 NodaTime; using System.IO; using QuantConnect.Util; namespace QuantConnect.Data.Market { /// /// Margin interest rate data source /// /// This is useful to model margin costs public class MarginInterestRate : BaseData { /// /// The interest rate value /// public decimal InterestRate { get; set; } /// /// Creates a new instance /// public MarginInterestRate() { DataType = MarketDataType.Auxiliary; } /// /// Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object /// each time it is called. The returned object is assumed to be time stamped in the config.ExchangeTimeZone. /// /// Subscription data config setup object /// The data stream /// Date of the requested data /// true if we're in live mode, false for backtesting mode /// Instance of the T:BaseData object generated by this line of the CSV [StubsIgnore] public override BaseData Reader(SubscriptionDataConfig config, StreamReader stream, DateTime date, bool isLiveMode) { var dateTime = stream.GetDateTime("yyyyMMdd HH:mm:ss"); var interestRate = stream.GetDecimal(); return new MarginInterestRate { Time = dateTime, InterestRate = Value = interestRate, Symbol = config.Symbol }; } /// /// Return the URL string source of the file. This will be converted to a stream /// /// Configuration object /// Date of this source file /// true if we're in live mode, false for backtesting mode /// String URL of source file. public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode) { var identifier = config.Symbol.ID; var source = Path.Combine(Globals.DataFolder, identifier.SecurityType.SecurityTypeToLower(), identifier.Market.ToLowerInvariant(), "margin_interest", $"{identifier.Symbol.ToLowerInvariant()}.csv" ); return new SubscriptionDataSource(source, SubscriptionTransportMedium.LocalFile, FileFormat.Csv); } /// /// Specifies the data time zone for this data type. This is useful for custom data types /// public override DateTimeZone DataTimeZone() { return TimeZones.Utc; } /// /// Formats a string with the symbol and value. /// public override string ToString() { return $"{Symbol}: Rate {InterestRate}"; } } }