/*
* 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.Collections.Generic;
using System.IO;
using System.Threading.Tasks;
using QuantConnect.Data;
using QuantConnect.Util;
namespace QuantConnect.ToolBox
{
///
/// Provides an implementation of that writes the incoming
/// stream of data to a csv file.
///
public class CsvDataProcessor : IDataProcessor
{
private const int TicksPerFlush = 50;
private static readonly object DirectoryCreateSync = new object();
private readonly string _dataDirectory;
private readonly Resolution _resolution;
private readonly TickType _tickType;
private readonly Dictionary _writers;
///
/// Initializes a new instance of the class
///
/// The root data directory, /Data
/// The resolution being sent into the Process method
/// The tick type, trade or quote
public CsvDataProcessor(string dataDirectory, Resolution resolution, TickType tickType)
{
_dataDirectory = dataDirectory;
_resolution = resolution;
_tickType = tickType;
_writers = new Dictionary();
}
///
/// Invoked for each piece of data from the source file
///
/// The data to be processed
public void Process(IBaseData data)
{
Writer writer;
if (!_writers.TryGetValue(data.Symbol, out writer))
{
writer = CreateTextWriter(data);
_writers[data.Symbol] = writer;
}
// flush every so often
if (++writer.ProcessCount%TicksPerFlush == 0)
{
writer.TextWriter.Flush();
}
var line = LeanData.GenerateLine(data, data.Symbol.ID.SecurityType, _resolution);
writer.TextWriter.WriteLine(line);
}
///
/// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
///
public void Dispose()
{
foreach (var kvp in _writers)
{
kvp.Value.TextWriter.Dispose();
}
}
///
/// Creates the that writes data to csv files
///
private Writer CreateTextWriter(IBaseData data)
{
var entry = LeanData.GenerateZipEntryName(data.Symbol, data.Time.Date, _resolution, _tickType);
var relativePath = LeanData.GenerateRelativeZipFilePath(data.Symbol, data.Time.Date, _resolution, _tickType)
.Replace(".zip", string.Empty);
var path = Path.Combine(Path.Combine(_dataDirectory, relativePath), entry);
var directory = new FileInfo(path).Directory.FullName;
if (!Directory.Exists(directory))
{
// lock before checking again
lock (DirectoryCreateSync) if (!Directory.Exists(directory)) Directory.CreateDirectory(directory);
}
return new Writer(path, new StreamWriter(path));
}
private sealed class Writer
{
public readonly string Path;
public readonly TextWriter TextWriter;
public int ProcessCount;
public Writer(string path, TextWriter textWriter)
{
Path = path;
TextWriter = textWriter;
}
}
}
}