/*
* 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.Util;
using QuantConnect.Data;
using QuantConnect.Logging;
using QuantConnect.Interfaces;
using QuantConnect.Securities;
using QuantConnect.Configuration;
using QuantConnect.Lean.Engine.DataFeeds;
using QuantConnect.Data.UniverseSelection;
using DataFeeds = QuantConnect.Lean.Engine.DataFeeds;
using QuantConnect.DownloaderDataProvider.Launcher.Models;
using QuantConnect.DownloaderDataProvider.Launcher.Models.Constants;
using QuantConnect.Lean.Engine.HistoricalData;
namespace QuantConnect.DownloaderDataProvider.Launcher;
public static class Program
{
///
/// Synchronizer in charge of guaranteeing a single operation per file path
///
private readonly static KeyStringSynchronizer DiskSynchronizer = new();
///
/// The provider used to cache history data files
///
private static readonly IDataCacheProvider _dataCacheProvider = new DiskDataCacheProvider(DiskSynchronizer);
///
/// Represents the time interval of 5 seconds.
///
private static TimeSpan _logDisplayInterval = TimeSpan.FromSeconds(5);
///
/// Provides access to exchange hours and raw data times zones in various markets
///
private static readonly MarketHoursDatabase _marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
///
/// The main entry point for the application.
///
/// Command-line arguments passed to the application.
public static void Main(string[] args)
{
// Parse report arguments and merge with config to use in the optimizer
if (args.Length > 0)
{
Config.MergeCommandLineArgumentsWithConfiguration(DownloaderDataProviderArgumentParser.ParseArguments(args));
}
InitializeConfigurations();
var dataDownloader = Composer.Instance.GetExportedValueByTypeName(Config.Get(DownloaderCommandArguments.CommandDownloaderDataDownloader));
var commandDataType = Config.Get(DownloaderCommandArguments.CommandDataType).ToUpperInvariant();
switch (commandDataType)
{
case "UNIVERSE":
RunUniverseDownloader(dataDownloader, new DataUniverseDownloadConfig());
break;
case "TRADE":
case "QUOTE":
case "OPENINTEREST":
RunDownload(dataDownloader, new DataDownloadConfig(), Globals.DataFolder, _dataCacheProvider);
break;
default:
Log.Error($"QuantConnect.DownloaderDataProvider.Launcher: Unsupported command data type '{commandDataType}'. Valid options: UNIVERSE, TRADE, QUOTE, OPENINTEREST.");
break;
}
if (dataDownloader is BrokerageDataDownloader brokerageDataDownloader)
{
brokerageDataDownloader.DisposeSafely();
}
}
///
/// Executes a data download operation using the specified data downloader.
///
/// An instance of an object implementing the interface, responsible for downloading data.
/// Configuration settings for the data download operation.
/// The directory where the downloaded data will be stored.
/// The provider used to cache history data files
/// True if the symbol should be mapped while writing the data
/// Thrown when is null.
public static void RunDownload(IDataDownloader dataDownloader, DataDownloadConfig dataDownloadConfig, string dataDirectory, IDataCacheProvider dataCacheProvider, bool mapSymbol = true)
{
if (dataDownloader == null)
{
throw new ArgumentNullException(nameof(dataDownloader), "The data downloader instance cannot be null. Please ensure that a valid instance of data downloader is provided.");
}
var totalDownloadSymbols = dataDownloadConfig.Symbols.Count;
var completeSymbolCount = 0;
var startDownloadUtcTime = DateTime.UtcNow;
foreach (var symbol in dataDownloadConfig.Symbols)
{
var downloadParameters = new DataDownloaderGetParameters(symbol, dataDownloadConfig.Resolution, dataDownloadConfig.StartDate, dataDownloadConfig.EndDate, dataDownloadConfig.TickType);
Log.Trace($"DownloaderDataProvider.Main(): Starting download {downloadParameters}");
var downloadedData = dataDownloader.Get(downloadParameters);
if (downloadedData == null)
{
completeSymbolCount++;
Log.Trace($"DownloaderDataProvider.Main(): No data available for the following parameters: {downloadParameters}");
continue;
}
var (dataTimeZone, exchangeTimeZone) = GetDataAndExchangeTimeZoneBySymbol(symbol);
var writer = new LeanDataWriter(dataDownloadConfig.Resolution, symbol, dataDirectory, dataDownloadConfig.TickType, dataCacheProvider, mapSymbol: mapSymbol);
var groupedData = DataFeeds.DownloaderDataProvider.FilterAndGroupDownloadDataBySymbol(
downloadedData,
symbol,
dataDownloadConfig.DataType,
exchangeTimeZone,
dataTimeZone,
downloadParameters.StartUtc,
downloadParameters.EndUtc);
var lastLogStatusTime = DateTime.UtcNow;
foreach (var data in groupedData)
{
writer.Write(data.Select(data =>
{
var utcNow = DateTime.UtcNow;
if (utcNow - lastLogStatusTime >= _logDisplayInterval)
{
lastLogStatusTime = utcNow;
Log.Trace($"Downloading data for {downloadParameters.Symbol}. Please hold on...");
}
return data;
}));
}
completeSymbolCount++;
var symbolPercentComplete = (double)completeSymbolCount / totalDownloadSymbols * 100;
Log.Trace($"DownloaderDataProvider.RunDownload(): {symbolPercentComplete:F2}% complete ({completeSymbolCount} out of {totalDownloadSymbols} symbols)");
Log.Trace($"DownloaderDataProvider.RunDownload(): Download completed for {downloadParameters.Symbol} at {downloadParameters.Resolution} resolution, " +
$"covering the period from {dataDownloadConfig.StartDate} to {dataDownloadConfig.EndDate}.");
}
Log.Trace($"All downloads completed in {(DateTime.UtcNow - startDownloadUtcTime).TotalSeconds:F2} seconds.");
}
///
/// Initiates the universe downloader using the provided configuration.
///
/// The data downloader instance.
/// The universe download configuration.
private static void RunUniverseDownloader(IDataDownloader dataDownloader, DataUniverseDownloadConfig dataUniverseDownloadConfig)
{
foreach (var symbol in dataUniverseDownloadConfig.Symbols)
{
var universeDownloadParameters = new DataUniverseDownloaderGetParameters(symbol, dataUniverseDownloadConfig.StartDate, dataUniverseDownloadConfig.EndDate);
UniverseExtensions.RunUniverseDownloader(dataDownloader, universeDownloadParameters);
}
}
///
/// Retrieves the data time zone and exchange time zone associated with the specified symbol.
///
/// The symbol for which to retrieve time zones.
///
/// A tuple containing the data time zone and exchange time zone.
/// The data time zone represents the time zone for data related to the symbol.
/// The exchange time zone represents the time zone for trading activities related to the symbol.
///
private static (DateTimeZone dataTimeZone, DateTimeZone exchangeTimeZone) GetDataAndExchangeTimeZoneBySymbol(Symbol symbol)
{
var entry = _marketHoursDatabase.GetEntry(symbol.ID.Market, symbol, symbol.SecurityType);
return (entry.DataTimeZone, entry.ExchangeHours.TimeZone);
}
///
/// Initializes various configurations for the application.
/// This method sets up logging, data providers, map file providers, and factor file providers.
///
///
/// The method reads configuration values to determine whether debugging is enabled,
/// which log handler to use, and which data, map file, and factor file providers to initialize.
///
///
///
///
///
///
///
///
public static void InitializeConfigurations()
{
Log.DebuggingEnabled = Config.GetBool("debug-mode", false);
Log.LogHandler = Composer.Instance.GetExportedValueByTypeName(Config.Get("log-handler", "CompositeLogHandler"));
var dataProvider = Composer.Instance.GetExportedValueByTypeName("DefaultDataProvider");
var mapFileProvider = Composer.Instance.GetExportedValueByTypeName(Config.Get("map-file-provider", "LocalDiskMapFileProvider"));
var factorFileProvider = Composer.Instance.GetExportedValueByTypeName(Config.Get("factor-file-provider", "LocalDiskFactorFileProvider"));
var optionChainProvider = Composer.Instance.GetPart();
if (optionChainProvider == null)
{
var historyManager = Composer.Instance.GetExportedValueByTypeName(nameof(HistoryProviderManager));
historyManager.Initialize(new HistoryProviderInitializeParameters(null, null, dataProvider, _dataCacheProvider,
mapFileProvider, factorFileProvider, _ => { }, false, new DataPermissionManager(), null, new AlgorithmSettings()));
var baseOptionChainProvider = new LiveOptionChainProvider();
baseOptionChainProvider.Initialize(new(mapFileProvider, historyManager));
optionChainProvider = new CachingOptionChainProvider(baseOptionChainProvider);
Composer.Instance.AddPart(optionChainProvider);
}
mapFileProvider.Initialize(dataProvider);
factorFileProvider.Initialize(mapFileProvider, dataProvider);
}
}