/*
* 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.Globalization;
using System.Collections.Generic;
using QuantConnect.Interfaces;
namespace QuantConnect.Securities
{
///
/// Helper class containing various unique identifiers for a given
/// , such as FIGI, ISIN, CUSIP, SEDOL.
///
public class SecurityDefinition
{
///
/// The unique identified by
/// the industry-standard security identifiers contained within this class.
///
public SecurityIdentifier SecurityIdentifier { get; set; }
///
/// The Committee on Uniform Securities Identification Procedures (CUSIP) number of a security
///
/// For more information on CUSIP numbers: https://en.wikipedia.org/wiki/CUSIP
public string CUSIP { get; set; }
///
/// The composite Financial Instrument Global Identifier (FIGI) of a security
///
///
/// The composite FIGI differs from an exchange-level FIGI, in that it identifies
/// an asset across all exchanges in a single country that the asset trades in.
/// For more information about the FIGI standard: https://en.wikipedia.org/wiki/Financial_Instrument_Global_Identifier
///
public string CompositeFIGI { get; set; }
///
/// The Stock Exchange Daily Official List (SEDOL) security identifier of a security
///
/// For more information about SEDOL security identifiers: https://en.wikipedia.org/wiki/SEDOL
public string SEDOL { get; set; }
///
/// The International Securities Identification Number (ISIN) of a security
///
/// For more information about the ISIN standard: https://en.wikipedia.org/wiki/International_Securities_Identification_Number
public string ISIN { get; set; }
///
/// A Central Index Key or CIK number is a unique number assigned to an individual, company, filing agent or foreign government by the United States
/// Securities and Exchange Commission (SEC). The number is used to identify its filings in several online databases, including EDGAR.
///
/// For more information about CIK: https://en.wikipedia.org/wiki/Central_Index_Key
public int? CIK { get; set; }
///
/// Reads data from the specified file and converts it to a list of SecurityDefinition
///
/// Data provider used to obtain symbol mappings data
/// Location to read the securities definition data from
/// List of security definitions
public static List Read(IDataProvider dataProvider, string securitiesDefinitionKey)
{
using var stream = dataProvider.Fetch(securitiesDefinitionKey);
using var reader = new StreamReader(stream);
var securityDefinitions = new List();
string line;
while ((line = reader.ReadLine()) != null)
{
if (string.IsNullOrWhiteSpace(line) || line.StartsWith("#", StringComparison.InvariantCulture))
{
continue;
}
securityDefinitions.Add(FromCsvLine(line));
}
return securityDefinitions;
}
///
/// Attempts to read data from the specified file and convert it into a list of SecurityDefinition
///
/// Data provider used to obtain symbol mappings data
/// Location of the file to read from
/// Security definitions read
/// true if data was read successfully, false otherwise
public static bool TryRead(IDataProvider dataProvider, string securitiesDatabaseKey, out List securityDefinitions)
{
try
{
securityDefinitions = Read(dataProvider, securitiesDatabaseKey);
return true;
}
catch
{
securityDefinitions = null;
return false;
}
}
///
/// Parses a single line of CSV and converts it into an instance
///
/// Line of CSV
/// SecurityDefinition instance
public static SecurityDefinition FromCsvLine(string line)
{
var csv = line.Split(',');
return new SecurityDefinition
{
SecurityIdentifier = SecurityIdentifier.Parse(csv[0]),
CUSIP = string.IsNullOrWhiteSpace(csv[1]) ? null : csv[1],
CompositeFIGI = string.IsNullOrWhiteSpace(csv[2]) ? null : csv[2],
SEDOL = string.IsNullOrWhiteSpace(csv[3]) ? null : csv[3],
ISIN = string.IsNullOrWhiteSpace(csv[4]) ? null : csv[4],
CIK = (csv.Length <= 5 || string.IsNullOrWhiteSpace(csv[5])) ? null : int.Parse(csv[5], CultureInfo.InvariantCulture)
};
}
}
}