/*
* 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 System.Collections.Generic;
namespace QuantConnect.Data.UniverseSelection
{
///
/// Custom base data class used for
///
public class ConstituentsUniverseData : BaseData
{
///
/// Initializes a new instance of the class
///
public ConstituentsUniverseData()
{
DataType = MarketDataType.Auxiliary;
}
///
/// The end time of this data.
///
public override DateTime EndTime
{
get { return Time + QuantConnect.Time.OneDay; }
set { Time = value - QuantConnect.Time.OneDay; }
}
///
/// 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 universe = config.Symbol.ID.Symbol.Substring(config.MappedSymbol.LastIndexOf('-') + 1);
if (isLiveMode)
{
date = date.AddDays(-1);
}
var path = Path.Combine(Globals.DataFolder,
config.SecurityType.SecurityTypeToLower(),
config.Market,
"universes",
config.Resolution.ResolutionToLower(),
universe,
$"{date:yyyyMMdd}.csv");
return new SubscriptionDataSource(path, SubscriptionTransportMedium.LocalFile, FileFormat.Csv);
}
///
/// 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.
///
/// Subscription data config setup object
/// Line of the source document
/// 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
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
try
{
var csv = line.Split(',');
var preselected = new ConstituentsUniverseData
{
Symbol = new Symbol(SecurityIdentifier.Parse(csv[1]), csv[0]),
Time = isLiveMode ? date.AddDays(-1) : date
};
return preselected;
}
catch
{
return null;
}
}
///
/// Indicates that the data set is expected to be sparse
///
/// Relies on the property value
/// This is a method and not a property so that python
/// custom data types can override it
/// True if the data set represented by this type is expected to be sparse
public override bool IsSparseData()
{
return true;
}
///
/// Indicates if there is support for mapping
///
/// True indicates mapping should be used
public override bool RequiresMapping()
{
return false;
}
///
/// 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 supported resolution for this data and security type
///
/// Relies on the property value
/// This is a method and not a property so that python
/// custom data types can override it
public override List SupportedResolutions()
{
return DailyResolution;
}
}
}