/*
* 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 QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Util;
namespace QuantConnect.ToolBox
{
///
/// Provides an implementation of that reads files in the lean format
///
public class LeanParser : IStreamParser
{
///
/// Parses the specified input stream into an enumerable of data
///
/// The source file corresponding the the stream
/// The input stream to be parsed
/// An enumerable of base data
public IEnumerable Parse(string source, Stream stream)
{
var pathComponents = LeanDataPathComponents.Parse(source);
var tickType = pathComponents.Filename.ToLowerInvariant().Contains("_trade")
? TickType.Trade
: TickType.Quote;
var dataType = GetDataType(pathComponents.SecurityType, pathComponents.Resolution, tickType);
var factory = (BaseData) Activator.CreateInstance(dataType);
// ignore time zones here, i.e, we're going to emit data in the data time zone
var config = new SubscriptionDataConfig(dataType, pathComponents.Symbol, pathComponents.Resolution, TimeZones.Utc, TimeZones.Utc, false, true, false);
using (var reader = new StreamReader(stream))
{
string line;
while ((line = reader.ReadLine()) != null)
{
yield return factory.Reader(config, line, pathComponents.Date, false);
}
}
}
///
/// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
///
public void Dispose()
{
}
private Type GetDataType(SecurityType securityType, Resolution resolution, TickType tickType)
{
if (resolution == Resolution.Tick)
{
return typeof (Tick);
}
switch (securityType)
{
case SecurityType.Base:
case SecurityType.Equity:
return typeof (TradeBar);
case SecurityType.Cfd:
case SecurityType.Forex:
case SecurityType.Crypto:
return typeof (QuoteBar);
case SecurityType.Option:
case SecurityType.FutureOption:
case SecurityType.IndexOption:
if (tickType == TickType.Trade) return typeof (TradeBar);
if (tickType == TickType.Quote) return typeof (QuoteBar);
break;
}
var parameters = string.Join(" | ", securityType, resolution, tickType);
throw new NotImplementedException("LeanParser.GetDataType has not yet implemented: " + parameters);
}
}
}