/*
* 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 System.IO;
using QuantConnect.Python;
using QuantConnect.Securities;
using QuantConnect.Util;
namespace QuantConnect.Data.UniverseSelection
{
///
/// Represents a chain universe.
/// Intended as a base for options and futures universe data.
///
public abstract class BaseChainUniverseData : BaseDataCollection, IChainUniverseData
{
///
/// Csv line to get the values from
///
/// We keep the properties as they are in the csv file to reduce memory usage (strings vs decimals)
protected string CsvLine { get; }
///
/// The security identifier of the option symbol
///
[PandasIgnore]
public SecurityIdentifier ID => Symbol.ID;
///
/// Price of the security
///
[PandasIgnore]
public override decimal Value => Close;
///
/// Open price of the security
///
public decimal Open
{
get
{
// Parse the values every time to avoid keeping them in memory
return CsvLine.GetDecimalFromCsv(0);
}
}
///
/// High price of the security
///
public decimal High
{
get
{
return CsvLine.GetDecimalFromCsv(1);
}
}
///
/// Low price of the security
///
public decimal Low
{
get
{
return CsvLine.GetDecimalFromCsv(2);
}
}
///
/// Close price of the security
///
public decimal Close
{
get
{
return CsvLine.GetDecimalFromCsv(3);
}
}
///
/// Volume value of the security
///
public decimal Volume
{
get
{
return CsvLine.GetDecimalFromCsv(4);
}
}
///
/// Open interest value
///
public virtual decimal OpenInterest
{
get
{
return CsvLine.GetDecimalFromCsv(5);
}
}
///
/// Time that the data became available to use
///
public override DateTime EndTime
{
get { return Time + QuantConnect.Time.OneDay; }
set { Time = value - QuantConnect.Time.OneDay; }
}
///
/// Creates a new instance of the class
///
protected BaseChainUniverseData()
{
}
///
/// Creates a new instance of the class
///
protected BaseChainUniverseData(DateTime date, Symbol symbol, string csv)
: base(date, date, symbol, null, null)
{
CsvLine = csv;
}
///
/// Creates a new instance of the class as a copy of the given instance
///
protected BaseChainUniverseData(BaseChainUniverseData other)
: base(other)
{
CsvLine = other.CsvLine;
}
///
/// 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 path = GetUniverseFullFilePath(config.Symbol, date);
return new SubscriptionDataSource(path, SubscriptionTransportMedium.LocalFile, FileFormat.FoldingCollection);
}
///
/// Generates the file path for a universe data file based on the given symbol and date.
/// Optionally, creates the directory if it does not exist.
///
/// The financial symbol for which the universe file is generated.
/// The date associated with the universe file.
/// The full file path to the universe data file.
public static string GetUniverseFullFilePath(Symbol symbol, DateTime date)
{
return Path.Combine(LeanData.GenerateUniversesDirectory(Globals.DataFolder, symbol), $"{date:yyyyMMdd}.csv");
}
///
/// Gets the default resolution for this data and security type
///
/// This is a method and not a property so that python
/// custom data types can override it
public override Resolution DefaultResolution()
{
return Resolution.Daily;
}
///
/// Gets the symbol of the option
///
public Symbol ToSymbol()
{
return Symbol;
}
}
}